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 811-22781
Goldman Sachs Trust II
(Exact name of registrant as specified in charter)
200 West Street
15th Floor
New York, New York 10282
(Address of principal executive offices) (Zip code)
Copies to: | ||
Caroline Kraus | Geoffrey R.T. Kenyon, Esq. | |
Goldman Sachs & Co. LLC | Dechert LLP | |
200 West Street | 100 Oliver Street | |
New York, New York 10282 | 40th Floor | |
Boston, MA 02110-2605 |
(Name and address of agents for service)
Registrant’s telephone number, including area code: (212) 902-1000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2020
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Annual Report | October 31, 2020 | |||
Active Equity Multi-Manager Funds | ||||
Multi-Manager International Equity | ||||
Multi-Manager U.S. Dynamic Equity | ||||
Multi-Manager U.S. Small Cap Equity |
It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund 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 a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Class P shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Active Equity Multi-Manager Funds
∎ | MULTI-MANAGER INTERNATIONAL EQUITY |
∎ | MULTI-MANAGER U.S. DYNAMIC EQUITY |
∎ | MULTI-MANAGER U.S. SMALL CAP EQUITY |
1 | ||||
3 | ||||
16 | ||||
31 | ||||
35 | ||||
35 | ||||
36 | ||||
37 | ||||
38 | ||||
51 | ||||
52 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
MARKET REVIEW
Active Equity Multi-Manager Funds
The capital markets produced mixed results during the 12 months ended October 31, 2020 (the “Reporting Period”), with the major influences being the spread of COVID-19, a contraction in global economic growth and historic monetary stimulus by central banks and governments around the world.
In the global equity markets, the first half of the Reporting Period was notable for its stark contrasts—2019 ended with a strong rally and 2020 started with the onset of the COVID-19 pandemic, leading to a sharp sell-off. The economic concerns associated with COVID-19 caused global equities, represented by the MSCI All Country World Index Investable Market Index, to fall more than 30% between February 20, 2020 and March 23, 2020. Investors anticipated a severe contraction in global Gross Domestic Product (“GDP”), as governments around the world implemented lockdown measures and economic activity came to a virtual halt. For the first quarter of 2020, U.S. real GDP decreased at an annualized rate of 5%, marking the end of the longest economic expansion (128 months) on record and the first economic downturn since the end of the last recession in 2009. The second half of the Reporting Period was also a time of contrasts, with a continued rally in the global equity markets during the first four months and a dramatic pullback during the last two months. Risk assets initially found support in unprecedented monetary policy easing and fiscal stimulus, which propelled global equities up more than 10% during April 2020 alone. Investors generally focused on their expectations for a U.S. economic recovery, despite the news that U.S. real GDP fell more than 31%, annualized, during the second quarter of 2020. Most economists anticipated the U.S. recession would be deep but also exceptionally short, as states reopened and economic activity resumed. Indeed, during the third calendar quarter, U.S. real GDP increased more than 33%, annualized. Global equities rallied approximately 20% from May through August 2020, completing a sharp rebound from their lows on March 23rd. However, in September and October, global equity markets pulled back as risk-off investor sentiment, or reduced risk appetite, increased due to an acceleration in COVID-19 infections across the U.S. and Europe and because of rising uncertainty surrounding the then-upcoming U.S. presidential election. Major European countries implemented further lockdown measures after experiencing another wave of infections, though the measures announced were less severe than those applied during February and March. For the Reporting Period overall, global equities were up more than 4%, driven by positive performance across U.S. and emerging markets equities. European and Asia Pacific ex-Japan equities recorded negative returns. From a sector perspective, information technology and consumer discretionary stocks were notably strong performers, while energy and financials stocks were the laggards during the Reporting Period.
Credit markets broadly rallied during the first three months of the Reporting Period. The rally was driven by improved investor sentiment about U.S. and China trade relations, global economic growth, Brexit, and the health of the consumer balance sheet. (Brexit refers to the U.K.’s exit from the European Union.) Investor sentiment deteriorated in March 2020, following the trend that began in February, with the global spread of COVID-19 and government-mandated shutdowns driving a steep sell-off in the credit markets. In response to the pandemic, the U.S. Federal Reserve (“Fed”) and the U.S. federal government, as well as other central banks and governments around the world, announced emergency monetary and fiscal measures to help support the global economy. As a result of these actions, the credit markets largely recovered during the second and third quarters of 2020, with the initial rebound led by higher quality securities and by issuers less affected by COVID-19. Investment grade corporate bonds outperformed nearly all other major fixed income sectors during the Reporting Period as a whole, as the longer duration profile of investment grade corporate bonds benefited from declining interest rates and tightening credit spreads following widening in March 2020. (Duration is a measure of bonds’ sensitivity to changes in interest rates. Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) Toward the end of the Reporting Period, high yield corporate bonds and leveraged loans outperformed the broader fixed income market, as investors’ appetite for risk assets increased. During the Reporting Period overall, emerging markets debt, primarily local currency-denominated bonds, lagged other fixed income asset classes, largely due to investors’ concerns about COVID-19 cases in emerging countries but also because of the limited amount of available fiscal and monetary support in certain countries. Within the emerging markets, investment grade sovereign bonds significantly outperformed lower rated sovereign bonds during the Reporting Period.
1
MARKET REVIEW
Looking Ahead
The U.S. elections and the COVID-19 crisis dominated the headlines for much of 2020, and at the end of the Reporting Period, investors remained focused on the outcome of the then-upcoming U.S. presidential election as well as on uncertainties around vaccine timelines. The outperformance of growth stocks versus value stocks was another area of focus, with some investors reducing their exposure to the information technology sector as well as to growth stocks broadly in advance of the U.S. elections. These moves were partly driven by valuations and the desire to take profits, but some of the proceeds were redeployed into cyclical stocks, which had been out of favor for much of 2020, in anticipation that a change at the White House could lead to significant fiscal stimulus.
2
PORTFOLIO RESULTS
Multi-Manager International Equity Fund
Investment Objective
The Fund seeks to provide long-term capital growth.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Alternative Investments & Manager Selection (“AIMS”) Group discusses the Multi-Manager International Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class P Shares generated an average annual total return of -2.28%. This return compares to the -6.85% average annual total return of the Fund’s benchmark, the MSCI Europe, Australasia and Far East (“EAFE”) Index (Net, USD, Unhedged) (the “Index”), during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund uses a multi-manager approach and generally seeks to achieve its investment objective by dynamically allocating its assets among unaffiliated investment managers (“Underlying Managers”) that employ an international equity investment strategy. The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers as well as for determining the Fund’s asset allocations. The AIMS Group applies a multifaceted process with respect to manager due diligence, portfolio construction and risk management. |
During the Reporting Period, the Fund recorded a negative absolute return but outperformed the Index on a relative basis. The relative outperformance can be attributed to the performance of the Fund’s Underlying Managers overall. The Fund allocated capital to three Underlying Managers during the Reporting Period as part of its top-level strategy allocation—Causeway Capital Management LLC (“Causeway”), Massachusetts Financial Services Company doing business as MFS Investment Management (“MFS”) and WCM Investment Management (“WCM”). |
Of these three Underlying Managers, two recorded negative absolute returns and one generated a positive absolute return during the Reporting Period. On a relative basis, growth-oriented Underlying Manager WCM and core-oriented MFS outperformed the Index. Value-oriented Causeway underperformed the Index. The Index serves as the benchmark index for all three Underlying Managers. |
Q | Which international equity strategies most significantly affected Fund performance? |
A | Growth-oriented Underlying Manager WCM outperformed the Index during the Reporting Period, driven by strong security selection within the information technology and industrials sectors. |
Core-oriented Underlying Manager MFS also outperformed the Index, partly because of an overweight position and stock selection in the industrials sector. On a regional basis, an overweight to and stock selection within the emerging markets also benefited relative performance. |
Value-oriented Underlying Manager Causeway underperformed the Index. Weak selection of financials and health care stocks detracted from results. A slight overweight and poor stock selection within the energy sector also hurt relative performance. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund used forward foreign currency exchange contracts during the Reporting Period to take positions in select non-U.S. markets. Rights were employed to give the Fund the opportunity, but not the obligation, to buy additional shares of specific stocks at a discount. The use of forward foreign currency exchange contracts had a positive impact on the Fund’s performance during the Reporting Period, while the use of rights had a rather neutral impact. |
Q | Were there any notable changes in the Fund’s allocations during the Reporting Period? |
A | At the beginning of the Reporting Period, the Fund’s assets were allocated approximately 44% to Causeway, 35% to |
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PORTFOLIO RESULTS
MFS and 20% to WCM. The remainder of the Fund’s assets were invested in cash and cash equivalents. At the end of the Reporting Period, the Fund’s assets were allocated approximately 40% to MFS, 39% to Causeway and 20% to WCM, with the remainder invested in cash and cash equivalents. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio manager for the Fund was Betsy Gorton. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, the Fund was positioned in more cyclically oriented stocks than the Index. On a sector level, the Fund was overweight versus the Index in information technology and industrials stocks and was underweight communication services and utilities stocks. Regionally, the Fund was significantly underweight developed Asia, while maintaining out-of-benchmark exposure to emerging markets and Canadian stocks. From a market capitalization perspective, the Fund was overweight at the end of the Reporting Period in mega-cap stocks and maintained underweights relative to the Index in mid-cap and large-cap companies. Additionally, the Fund had a cash position, including the cash held by Underlying Managers, of approximately 3% at the end of the Reporting Period. |
We intend to continue to position the Fund in alignment with our longer-term strategic views within the international equity complex. We further intend to continue to monitor allocations and Underlying Manager performance as we seek to generate long-term capital growth. |
4
FUND BASICS
Multi-Manager International Equity Fund
as of October 31, 2020
TOP TEN EQUITY HOLDINGS AS OF 10/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Nestle SA | 2.3 | % | Food Products | |||||
Roche Holding AG | 2.1 | Pharmaceuticals | ||||||
AIA Group Ltd. | 1.9 | Insurance | ||||||
Novartis AG | 1.7 | Pharmaceuticals | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1.6 | Semiconductors & Semiconductor Equipment | ||||||
Volkswagen AG | 1.6 | Automobiles | ||||||
ING Groep NV | 1.6 | Banks | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1.6 | Textiles, Apparel & Luxury Goods | ||||||
SAP SE | 1.5 | Software | ||||||
Experian PLC | 1.5 | Professional Services |
1 | The top 10 holdings may not be representative of the Fund’s future investments. The top ten holdings exclude holdings of money market funds. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS (%)2 |
As of October 31, 2020 |
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. Figures in the graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Performance Summary
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on July 31, 2015 (commencement of operations) in Class P Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI® EAFE® Index (Net, USD, Unhedged) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Multi-Manager International Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from July 31, 2015 through October 31, 2020.
Average Annual Total Return through October 31, 2020* | One Year | Five Years | Since Inception | |||||||
Class P (Commenced July 31, 2015) | -2.28% | 5.28% | 4.04% | |||||||
|
* | Because Class P Shares does not involve a sales charge, such a charge is not applied to its Average Annual Total Return. |
6
PORTFOLIO RESULTS
Multi-Manager U.S. Dynamic Equity Fund
Investment Objective
The Fund seeks to provide long-term capital growth.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Alternative Investments & Manager Selection (“AIMS”) Group discusses the Multi-Manager U.S. Dynamic Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class P Shares generated an average annual total return of -1.06%. This return compares to the 9.68% average annual total return of the Fund’s benchmark, the S&P 500® Total Return Index (the “Index”), during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund uses a multi-manager approach and generally seeks to achieve its investment objective by dynamically allocating its assets among unaffiliated investment managers (“Underlying Managers”) that employ dynamic equity investment strategies. (Dynamic equity investment strategies generally involve investing in equity instruments, often with a long term view. They are long-biased strategies and may have low excess return correlations to traditional long-only equity strategies.) The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers as well as for determining the Fund’s asset allocations. The AIMS Group applies a multifaceted process with respect to manager due diligence, portfolio construction and risk management. |
During the Reporting Period, the Fund recorded a negative absolute return and underperformed the Index. The relative underperformance can be attributed to the performance of the Fund’s Underlying Managers overall. |
At various points during the Reporting Period, the Fund had five Underlying Managers as part of its top-level strategy allocation, though not all were allocated capital. The five Underlying Managers were Artisan Partners Limited Partnership (“Artisan”), Lazard Asset Management LLC (“Lazard”), Sirios Capital Management, L.P. (“Sirios”), Smead Capital Management, Inc. (“Smead”) and Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”). |
Of the four Underlying Managers with allocated capital during the entire Reporting Period, two generated positive absolute returns and two generated negative absolute returns. On a relative basis, Vaughan Nelson outperformed the Index during the Reporting Period, while Lazard, Sirios and Smead underperformed the Index. The Index serves as the benchmark index for all four of these Underlying Managers. Artisan did not have allocated capital during the Reporting Period. |
Q | Which dynamic equity strategies most significantly affected Fund performance? |
A | Underlying Manager Lazard, which uses an all cap, concentrated investment strategy, underperformed the Index during the Reporting Period. An allocation to cash as well as poor stock selection in the information technology and health care sectors detracted from relative returns. |
Growth-oriented Sirios also underperformed the Index during the Reporting Period, largely because of weak stock selection in the information technology, health care and industrials sectors. These losses were slightly offset by an underweight position in the energy sector, which contributed positively. |
Value-oriented Smead underperformed the Index due to an overweight position and poor stock selection within financials. Ineffective stock selection within the communication services sector also hurt relative performance. |
Vaughan Nelson, a core-oriented Underlying Manager, outperformed the Index during the Reporting Period. Overweight positions and strong stock selection in the health care and materials sectors added to relative returns. A small allocation to stocks domiciled in Canada was also a positive contributor. |
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PORTFOLIO RESULTS
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund employed forward foreign currency exchange contracts during the Reporting Period to take positions in select non-U.S. markets. Rights were utilized to give the Fund the opportunity, but not the obligation, to buy additional shares of specific stocks at a discount. The use of forward foreign currency exchange contracts had a negative impact on the Fund’s performance during the Reporting Period, while the use of rights had a rather neutral impact. |
Q | Were there any notable changes in the Fund’s allocations during the Reporting Period? |
A | During the Reporting Period overall, we focused on reducing the Fund’s underweight exposures to information technology stocks and to growth-oriented stocks broadly. Additionally, in August 2020, we added Artisan as an Underlying Manager for the Fund, though it was not allocated capital during the Reporting Period. Artisan seeks to identify inflections in the multi-year trends that may be caused by changes in supply/demand dynamics, societal behavior, market conditions, technology, laws/regulations and business models, among other variables. According to Artisan, these inflections are often misunderstood and can lead to powerful re-ratings of industries and companies. We believe the strategy can provide the Fund with exposure to growth-oriented companies in industries where Artisan has identified inflections in multi-year trends. Artisan takes a bottom-up approach with the goal of identifying which companies offer the greatest opportunity for the strategy to take a differentiated view on fundamentals and potential valuation upside. After the end of the Reporting Period, we planned to reduce the Fund’s allocation to Smead in order to fund Artisan. |
At the beginning of the Reporting Period, the Fund’s assets were allocated approximately 33% to Sirios, 33% to Smead, 18% to Lazard and 15% to Vaughan Nelson. The remainder of the Fund’s assets were invested in cash and cash equivalents. At the end of the Reporting Period, the Fund’s assets were allocated approximately 30% to Sirios, 29% to Smead, 20% to Lazard and 20% to Vaughan Nelson. The remainder of the Fund’s assets were invested in cash and cash equivalents. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Betsy Gorton and Yvonne Woo. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, the Fund maintained an overweight relative to the Index in the health care and consumer discretionary sectors. The Fund was most underweight versus the Index in the information technology and consumer staples sectors at the end of the Reporting Period and had no exposure to utilities. In terms of market capitalization, the Fund maintained a significant underweight in mega-cap stocks and overweights in small-cap and mid-cap stocks. Regionally, the Fund was primarily invested in North American equities but also had modest exposure to companies domiciled in Europe at the end of the Reporting Period. |
We intend to continue to position the Fund in alignment with our longer-term strategic views within the U.S. equity complex. We further intend to continue to monitor allocations and Underlying Manager performance as we seek to generate long-term capital growth. |
8
FUND BASICS
Multi-Manager U.S. Dynamic Equity Fund
as of October 31, 2020
TOP TEN EQUITY HOLDINGS AS OF 10/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
JPMorgan Chase & Co. | 2.5 | % | Banks | |||||
QUALCOMM, Inc. | 2.4 | Semiconductors & Semiconductor Equipment | ||||||
The Home Depot, Inc. | 2.3 | Specialty Retail | ||||||
Target Corp. | 2.2 | Multiline Retail | ||||||
Medtronic PLC | 2.2 | Health Care Equipment & Supplies | ||||||
Alcon, Inc. | 2.1 | Health Care Equipment & Supplies | ||||||
NVR, Inc. | 2.1 | Household Durables | ||||||
Lennar Corp. Class A | 1.9 | Household Durables | ||||||
Pfizer, Inc. | 1.9 | Pharmaceuticals | ||||||
Lowe’s Cos., Inc. | 1.8 | Specialty Retail |
1 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS (%)2 |
As of October 31, 2020 |
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. Figures in the graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
9
MULTI-MANAGER U.S. DYNAMIC EQUITY FUND
Performance Summary
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on July 31, 2015 (commencement of operations) in Class P Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the S&P 500® Total Return Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Multi-Manager U.S. Dynamic Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from July 31, 2015 through October 31, 2020.
Average Annual Total Return through October 31, 2020* | One Year | Five Years | Since Inception | |||||||
Class P (Commenced July 31, 2015) | -1.06% | 7.69% | 6.28% | |||||||
|
* | Because Class P Shares does not involve a sales charge, such a charge is not applied to its Average Annual Total Return. |
10
PORTFOLIO RESULTS
Multi-Manager U.S. Small Cap Equity Fund
Investment Objective
The Fund seeks to provide long-term capital growth.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Alternative Investments & Manager Selection (“AIMS”) Group discusses the Multi-Manager U.S. Small Cap Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class P Shares generated an average annual total return of -5.88%. This return compares to the -0.14% average annual total return of the Fund’s benchmark, the Russell 2000® Total Return Index (the “Index”), during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund uses a multi-manager approach and generally seeks to achieve its investment objective by dynamically allocating its assets among unaffiliated investment managers (“Underlying Managers”) that employ a small-cap equity investment strategy. The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers as well as for determining the Fund’s asset allocations. The AIMS Group applies a multifaceted process with respect to manager due diligence, portfolio construction and risk management. |
During the Reporting Period, the Fund recorded a negative absolute return and underperformed the Index. The relative underperformance can be attributed to the performance of the Fund’s Underlying Managers overall. At various points during the Reporting Period, the Fund allocated capital to four Underlying Managers as part of its top-level strategy allocation — Boston Partners Global Investors (“Boston Partners”), Brown Advisory, LLC (“Brown Advisory”), QMA LLC (“QMA”) and Victory Capital Management, Inc. (“Victory”). |
Of the three Underlying Managers with allocated capital during the entire Reporting Period, two generated negative absolute returns and one generated a positive absolute return. Victory generated a negative absolute return from September 2, 2020, when it was allocated capital as an Underlying Manager of the Fund, to the end of the Reporting Period. On a relative basis, core-oriented Underlying Manager QMA and value-oriented Underlying Manager Boston Partners underperformed their respective benchmark indices during the Reporting Period. Growth-oriented Underlying Manager Brown Advisory outperformed its benchmark index. Victory slightly outperformed its benchmark index between September 2, 2020 and the end of the Reporting Period. |
Q | Which small-cap equity strategies most significantly affected Fund performance? |
A | Core-oriented Underlying Manager QMA underperformed the Russell 2000® Index during the Reporting Period. The negative results were primarily due to QMA’s exposure to the value factor, as the divergence between the performance of growth and value factors remained historically wide, favoring growth. This trend was a material headwind to QMA’s performance, particularly during the first quarter of 2020. Exposure to quality and growth factors helped pare the losses at times, but the performance of both factors remained relatively flat or negative during the Reporting Period overall. |
Value-oriented Underlying Manager Boston Partners also underperformed its benchmark index, the Russell 2000® Value Index, during the Reporting Period, largely because of weak stock selection in the financials and consumer staples sectors. |
Growth-oriented Underlying Manager Brown Advisory outperformed its benchmark index, the Russell 2000® Growth Index, during the Reporting Period. Stock selection in the consumer discretionary and communications services sectors added most to relative returns, offset slightly by a cash position and an underweight position in the health care sector, which detracted. |
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PORTFOLIO RESULTS
Victory, the other growth-oriented Underlying Manager, marginally outperformed its benchmark index, the Russell 2000® Growth Index, between September 2, 2020, when it was allocated capital, and the end of the Reporting Period. Strong stock selection in the industrials, health care and communication services sectors contributed positively. Stock selection in consumer discretionary, financials and information technology detracted from relative results. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, the Fund used equity futures to manage its market exposure. Rights were employed to give the Fund the opportunity, but not the obligation, to buy additional shares of specific stocks at a discount. The use of equity futures had a negative impact on the Fund’s performance during the Reporting Period, while the use of rights had a rather neutral impact. |
Q | Were there any notable changes in the Fund’s allocations during the Reporting Period? |
A | In August 2020, Victory was added as an Underlying Manager of the Fund and was allocated capital in September 2020. Victory takes a research-intensive approach to identify dynamic, small-cap companies exhibiting sustainable earnings growth with the potential to grow into mid- and large-cap companies. The strategy incorporates quantitative and fundamental analysis with a focus on five metrics: growth sustainability, company quality, attractive relative valuation, positive estimate revisions and favorable relative strength. In our view, Victory’s strategy, which seeks a beta 1 profile and has a strong risk management process, will complement Brown Advisory’s lower beta positioning. (A beta of 1 indicates an investment strategy that tends to move with the market. A beta of less than 1 means it tends to be less volatile than the market.) We believe Victory will provide greater flexibility in balancing the Fund’s growth and value exposures. |
At the beginning of the Reporting Period, the Fund’s assets were allocated approximately 39% to QMA, 35% to Boston Partners and 25% to Brown Advisory, with the remainder invested in cash and cash equivalents. At the end of the Reporting Period, the Fund’s assets were allocated approximately 30% to Boston Partners, 29% to QMA, 25% to Brown Advisory and 15% to Victory, with the remainder invested in cash and cash equivalents. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Betsy Gorton and Yvonne Woo. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, the Fund was most overweight compared to the Index in the information technology and communication services sectors. It was most underweight in the real estate, health care, utilities, and consumer discretionary sectors versus the Index. In terms of market capitalization, the Fund maintained a slight small/mid-cap bias relative to the Index, driven predominantly by Underlying Manager Brown Advisory. |
We intend to continue to position the Fund in alignment with our longer-term strategic views within the U.S. small-cap equity complex. We further intend to continue to monitor allocations and Underlying Manager performance as we seek to generate long-term capital growth. |
12
FUND BASICS
Multi-Manager U.S. Small Cap Equity Fund
as of October 31, 2020
TOP TEN EQUITY HOLDINGS AS OF 10/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
IAA, Inc. | 0.9 | % | Commercial Services & Supplies | |||||
Charles River Laboratories International, Inc. | 0.9 | Life Sciences Tools & Services | ||||||
Walker & Dunlop, Inc. | 0.9 | Thrifts & Mortgage Finance | ||||||
GCI Liberty, Inc. Class A | 0.8 | Diversified Telecommunication Services | ||||||
Graphic Packaging Holding Co. | 0.8 | Containers & Packaging | ||||||
Zynga, Inc. Class A | 0.8 | Entertainment | ||||||
FTI Consulting, Inc. | 0.8 | Professional Services | ||||||
Lithia Motors, Inc. Class A | 0.8 | Specialty Retail | ||||||
Genpact Ltd. | 0.8 | IT Services | ||||||
SiteOne Landscape Supply, Inc. | 0.8 | Trading Companies & Distributors |
1 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS(%)2 |
As of October 31, 2020 |
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. Figures in the graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
13
MULTI-MANAGER U.S. SMALL CAP EQUITY
Performance Summary
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on April 29, 2016 (commencement of operations) in Class P Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000® Total Return Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Multi-Manager U.S. Small Cap Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from April 29, 2016 through October 31, 2020.
Average Annual Total Return through October 31, 2020* | One Year | Since Inception | ||||
Class P (Commenced April 29, 2016) | -5.88% | 6.68% | ||||
|
* | Because Class P Shares does not involve a sales charge, such a charge is not applied to its Average Annual Total Return. |
14
FUND BASICS
Index Definitions
MSCI All Country World Index Investable Market Index captures large- and mid-cap representation across 23 developed markets and 24 emerging markets countries.
Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
Russell 2000® Growth Index measures the performance of the small-cap growth stocks of the U.S. equity universe.
Russell 2000® Value Index measures the performance of the small-cap value stocks of the U.S. equity universe.
The MSCI® EAFE® Index is a stock market index that is designed to measure the equity market performance of developed markets in Europe, Australasia and the Far East, excluding the U.S. and Canada. The Index figures do not reflect any deductions for fees, expenses or taxes.
The S&P 500® Total Return Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deductions for fees, expenses or taxes.
The Russell 2000® Total Return Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
It is not possible to invest directly in an unmanaged index.
15
MULTI-MANAGER INTERNATIONAL EQUITY FUND
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 94.9% | ||||||||
Argentina* – 1.1% | ||||||||
7,854 | MercadoLibre, Inc. (Internet & Direct Marketing Retail) | $ | 9,535,149 | |||||
|
| |||||||
Australia – 0.9% | ||||||||
38,171 | CSL Ltd. (Biotechnology) | 7,727,997 | ||||||
|
| |||||||
Belgium – 0.5% | ||||||||
82,000 | KBC Group NV (Banks) | 4,051,359 | ||||||
|
| |||||||
Brazil – 0.1% | ||||||||
457,005 | Ambev SA ADR (Beverages) | 977,991 | ||||||
|
| |||||||
Canada – 2.9% | ||||||||
366,000 | Air Canada* (Airlines) | 4,046,521 | ||||||
78,097 | Canadian National Railway Co. (Road & Rail) | 7,766,746 | ||||||
24,552 | Canadian Pacific Railway Ltd. (Road & Rail) | 7,344,240 | ||||||
5,855 | Shopify, Inc. Class A* (IT Services) | 5,418,393 | ||||||
114,332 | Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 1,289,807 | ||||||
|
| |||||||
25,865,707 | ||||||||
|
| |||||||
China – 2.2% | ||||||||
45,833 | Baidu, Inc. ADR* (Interactive Media & Services) | 6,098,080 | ||||||
3,110,000 | Beijing Capital International Airport Co. Ltd. Class H (Transportation Infrastructure) | 1,900,235 | ||||||
149,240 | Tencent Holdings Ltd. (Interactive Media & Services) | 11,402,773 | ||||||
|
| |||||||
19,401,088 | ||||||||
|
| |||||||
Denmark – 2.1% | ||||||||
20,859 | Carlsberg AS Class B (Beverages) | 2,641,183 | ||||||
51,992 | DSV PANALPINA A/S (Air Freight & Logistics) | 8,435,256 | ||||||
117,189 | Novo Nordisk A/S Class B (Pharmaceuticals) | 7,472,631 | ||||||
|
| |||||||
18,549,070 | ||||||||
|
| |||||||
France – 14.6% | ||||||||
73,686 | Air Liquide SA (Chemicals) | 10,775,713 | ||||||
98,432 | Airbus SE* (Aerospace & Defense) | 7,201,879 | ||||||
428,695 | AXA SA (Insurance) | 6,884,540 | ||||||
229,976 | BNP Paribas SA* (Banks) | 8,020,359 | ||||||
41,806 | Capgemini SE (IT Services) | 4,827,247 | ||||||
285,431 | Carrefour SA (Food & Staples Retailing) | 4,436,138 | ||||||
181,712 | Danone SA (Food Products) | 10,078,692 | ||||||
14,214 | Dassault Systemes SE (Software) | 2,423,634 | ||||||
281,584 | Engie SA* (Multi-Utilities) | 3,405,632 | ||||||
47,324 | EssilorLuxottica SA* (Textiles, Apparel & Luxury Goods) | 5,842,568 | ||||||
812 | Hermes International (Textiles, Apparel & Luxury Goods) | 756,053 | ||||||
14,864 | L’Oreal SA (Personal Products) | 4,803,826 | ||||||
44,665 | Legrand SA (Electrical Equipment) | 3,306,072 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
29,504 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 13,829,932 | ||||||
59,544 | Pernod Ricard SA (Beverages) | 9,592,685 | ||||||
18,682 | Renault SA* (Automobiles) | 462,674 | ||||||
69,142 | Sanofi (Pharmaceuticals) | 6,243,062 | ||||||
103,575 | Schneider Electric SE (Electrical Equipment) | 12,585,027 | ||||||
212,956 | TOTAL SE (Oil, Gas & Consumable Fuels) | 6,451,866 | ||||||
84,145 | Valeo SA (Auto Components) | 2,545,505 | ||||||
66,096 | Vinci SA (Construction & Engineering) | 5,220,597 | ||||||
|
| |||||||
129,693,701 | ||||||||
|
| |||||||
Germany – 8.2% | ||||||||
206,071 | BASF SE (Chemicals) | 11,284,074 | ||||||
163,214 | Bayer AG (Pharmaceuticals) | 7,669,510 | ||||||
58,378 | Beiersdorf AG (Personal Products) | 6,112,718 | ||||||
32,903 | Deutsche Boerse AG (Capital Markets) | 4,848,373 | ||||||
118,280 | Deutsche Post AG (Air Freight & Logistics) | 5,244,296 | ||||||
232,750 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 6,480,034 | ||||||
36,209 | Merck KGaA (Pharmaceuticals) | 5,363,681 | ||||||
10,362 | MTU Aero Engines AG (Aerospace & Defense) | 1,771,087 | ||||||
54,885 | RWE AG (Multi-Utilities) | 2,031,170 | ||||||
121,167 | SAP SE (Software) | 12,926,650 | ||||||
72,971 | Siemens AG (Industrial Conglomerates) | 8,560,668 | ||||||
|
| |||||||
72,292,261 | ||||||||
|
| |||||||
Hong Kong – 1.8% | ||||||||
1,718,000 | AIA Group Ltd. (Insurance) | 16,350,504 | ||||||
|
| |||||||
India – 1.8% | ||||||||
68,404 | HDFC Bank Ltd.* (Banks) | 1,092,407 | ||||||
114,923 | HDFC Bank Ltd. ADR* (Banks) | 6,601,177 | ||||||
119,441 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 3,098,686 | ||||||
150,519 | Tata Consultancy Services Ltd. (IT Services) | 5,424,772 | ||||||
|
| |||||||
16,217,042 | ||||||||
|
| |||||||
Ireland – 2.8% | ||||||||
30,744 | Accenture PLC Class A (IT Services) | 6,668,681 | ||||||
15,262 | ICON PLC* (Life Sciences Tools & Services) | 2,751,739 | ||||||
31,322 | Ryanair Holdings PLC* (Airlines) | 431,595 | ||||||
124,097 | Ryanair Holdings PLC ADR* (Airlines) | 10,002,218 | ||||||
25,786 | STERIS PLC (Health Care Equipment & Supplies) | 4,569,021 | ||||||
|
| |||||||
24,423,254 | ||||||||
|
|
16 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Israel* – 0.5% | ||||||||
42,506 | Check Point Software Technologies Ltd. (Software) | $ | 4,826,981 | |||||
|
| |||||||
Italy – 2.5% | ||||||||
717,278 | Enel SpA (Electric Utilities) | 5,702,721 | ||||||
209,813 | Eni SpA (Oil, Gas & Consumable Fuels) | 1,469,749 | ||||||
1,666,396 | Intesa Sanpaolo SpA* (Banks) | 2,766,390 | ||||||
1,611,132 | UniCredit SpA* (Banks) | 12,066,393 | ||||||
|
| |||||||
22,005,253 | ||||||||
|
| |||||||
Japan – 11.4% | ||||||||
46,500 | Daikin Industries Ltd. (Building Products) | 8,701,695 | ||||||
40,500 | Denso Corp. (Auto Components) | 1,887,160 | ||||||
49,300 | FANUC Corp. (Machinery) | 10,413,376 | ||||||
172,800 | Hitachi Ltd. (Electronic Equipment, Instruments & Components) | 5,824,102 | ||||||
78,000 | Hoya Corp. (Health Care Equipment & Supplies) | 8,802,838 | ||||||
171,700 | Japan Tobacco, Inc. (Tobacco) | 3,232,626 | ||||||
12,800 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 5,808,928 | ||||||
52,600 | Koito Manufacturing Co. Ltd. (Auto Components) | 2,536,571 | ||||||
18,300 | Kose Corp. (Personal Products) | 2,332,801 | ||||||
319,800 | Kubota Corp. (Machinery) | 5,557,506 | ||||||
81,500 | Kyocera Corp. (Electronic Equipment, Instruments & Components) | 4,488,405 | ||||||
115,500 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 8,099,859 | ||||||
319,100 | Olympus Corp. (Health Care Equipment & Supplies) | 6,108,876 | ||||||
17,100 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 2,283,991 | ||||||
2,600 | SMC Corp. (Machinery) | 1,382,954 | ||||||
75,800 | Sompo Holdings, Inc. (Insurance) | 2,830,059 | ||||||
187,200 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 5,182,051 | ||||||
290,700 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 8,983,382 | ||||||
172,000 | Terumo Corp. (Health Care Equipment & Supplies) | 6,330,284 | ||||||
|
| |||||||
100,787,464 | ||||||||
|
| |||||||
Luxembourg* – 0.2% | ||||||||
148,147 | ArcelorMittal SA (Metals & Mining) | 2,008,877 | ||||||
|
| |||||||
Macau – 0.4% | ||||||||
873,600 | Sands China Ltd. (Hotels, Restaurants & Leisure) | 3,065,988 | ||||||
|
| |||||||
Mexico* – 0.3% | ||||||||
612,392 | Grupo Financiero Banorte SAB de CV Class O (Banks) | 2,728,286 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Netherlands – 5.6% | ||||||||
2,185 | Adyen NV*(a) (IT Services) | 3,672,424 | ||||||
121,508 | Akzo Nobel NV (Chemicals) | 11,687,644 | ||||||
16,035 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 5,792,002 | ||||||
19,285 | Ferrari NV (Automobiles) | 3,440,287 | ||||||
2,058,865 | ING Groep NV* (Banks) | 14,102,643 | ||||||
117,622 | Koninklijke Philips NV* (Health Care Equipment & Supplies) | 5,447,869 | ||||||
53,340 | QIAGEN NV* (Life Sciences Tools & Services) | 2,532,731 | ||||||
64,921 | Randstad NV* (Professional Services) | 3,239,332 | ||||||
|
| |||||||
49,914,932 | ||||||||
|
| |||||||
Portugal – 0.2% | ||||||||
246,516 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | 2,002,002 | ||||||
|
| |||||||
Singapore – 0.4% | ||||||||
227,300 | DBS Group Holdings Ltd. (Banks) | 3,385,827 | ||||||
|
| |||||||
South Korea – 1.9% | ||||||||
8,816 | Samsung Electronics Co. Ltd. GDR (Technology Hardware, Storage & Peripherals) | 11,122,004 | ||||||
81,676 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 5,794,328 | ||||||
|
| |||||||
16,916,332 | ||||||||
|
| |||||||
Spain – 3.2% | ||||||||
28,931 | Aena SME SA*(a) (Transportation Infrastructure) | 3,898,040 | ||||||
263,116 | Amadeus IT Group SA (IT Services) | 12,536,465 | ||||||
2,194,604 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 6,331,765 | ||||||
3,012,907 | CaixaBank SA (Banks) | 5,497,319 | ||||||
|
| |||||||
28,263,589 | ||||||||
|
| |||||||
Sweden – 1.3% | ||||||||
101,326 | Atlas Copco AB Class A (Machinery) | 4,472,647 | ||||||
105,226 | Essity AB Class B (Household Products) | 3,045,587 | ||||||
193,931 | Volvo AB Class B* (Machinery) | 3,769,473 | ||||||
|
| |||||||
11,287,707 | ||||||||
|
| |||||||
Switzerland – 12.6% | ||||||||
366,707 | ABB Ltd. (Electrical Equipment) | 8,898,148 | ||||||
99,999 | Alcon, Inc.* (Health Care Equipment & Supplies) | 5,685,255 | ||||||
161,810 | Cie Financiere Richemont SA (Textiles, Apparel & Luxury Goods) | 10,113,736 | ||||||
56,980 | Julius Baer Group Ltd. (Capital Markets) | 2,535,908 | ||||||
9,160 | Lonza Group AG (Life Sciences Tools & Services) | 5,550,136 | ||||||
184,601 | Nestle SA (Food Products) | 20,763,531 | ||||||
189,778 | Novartis AG (Pharmaceuticals) | 14,787,991 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 17 |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | ||||||||
58,020 | Roche Holding AG (Pharmaceuticals) | $ | 18,643,645 | |||||
37,262 | Sika AG (Chemicals) | 9,166,629 | ||||||
472,132 | UBS Group AG (Capital Markets) | 5,496,546 | ||||||
30,672 | Zurich Insurance Group AG (Insurance) | 10,187,569 | ||||||
|
| |||||||
111,829,094 | ||||||||
|
| |||||||
Taiwan – 1.6% | ||||||||
173,450 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 14,547,252 | ||||||
|
| |||||||
United Kingdom – 11.4% | ||||||||
17,580 | Aon PLC Class A (Insurance) | 3,234,896 | ||||||
1,254,161 | Aviva PLC (Insurance) | 4,183,346 | ||||||
783,985 | Balfour Beatty PLC* (Construction & Engineering) | 2,166,671 | ||||||
6,370,746 | Barclays PLC* (Banks) | 8,830,320 | ||||||
1,388,656 | BP PLC (Oil, Gas & Consumable Fuels) | 3,542,021 | ||||||
246,512 | British American Tobacco PLC (Tobacco) | 7,813,289 | ||||||
51,029 | Coca-Cola European Partners PLC (Beverages) | 1,822,246 | ||||||
564,456 | Compass Group PLC (Hotels, Restaurants & Leisure) | 7,726,124 | ||||||
163,628 | Diageo PLC (Beverages) | 5,288,104 | ||||||
352,369 | Experian PLC (Professional Services) | 12,908,646 | ||||||
2,197,741 | International Consolidated Airlines Group SA (Airlines) | 2,748,475 | ||||||
20,210 | Johnson Matthey PLC (Chemicals) | 562,588 | ||||||
27,050 | Linde PLC (Chemicals) | 5,928,413 | ||||||
72,843 | Micro Focus International PLC* (Software) | 204,401 | ||||||
346,693 | Prudential PLC (Insurance) | 4,240,227 | ||||||
52,677 | Reckitt Benckiser Group PLC (Household Products) | 4,640,238 | ||||||
288,541 | RELX PLC (Professional Services) | 5,708,962 | ||||||
61,480 | Rio Tinto PLC (Metals & Mining) | 3,477,392 | ||||||
3,172,483 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 2,936,342 | ||||||
246,277 | Smith & Nephew PLC (Health Care Equipment & Supplies) | 4,276,386 | ||||||
130,158 | Smiths Group PLC (Industrial Conglomerates) | 2,242,621 | ||||||
1,521,194 | Tesco PLC (Food & Staples Retailing) | 4,048,727 | ||||||
212,274 | WH Smith PLC (Specialty Retail) | 2,744,034 | ||||||
|
| |||||||
101,274,469 | ||||||||
|
| |||||||
United States – 2.4% | ||||||||
12,862 | IHS Markit Ltd. (Professional Services) | 1,040,150 | ||||||
18,391 | Lululemon Athletica, Inc.* (Textiles, Apparel & Luxury Goods) | 5,872,063 | ||||||
4,655 | Mettler-Toledo International, Inc.* (Life Sciences Tools & Services) | 4,645,271 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
34,994 | ResMed, Inc. (Health Care Equipment & Supplies) | 6,716,748 | ||||||
62,893 | Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 3,347,794 | ||||||
|
| |||||||
21,622,026 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $736,983,125) | $ | 841,551,202 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 1.6% | ||||||||
Germany – 1.6% | ||||||||
Volkswagen AG (Automobiles) | ||||||||
97,839 | 3.455% | $ | 14,251,627 | |||||
(Cost $13,714,851) | ||||||||
|
| |||||||
Investment Company(b) – 2.8% | ||||||||
| Goldman Sachs Financial Square Government | |||||||
24,436,920 | 0.028% | $ | 24,436,920 | |||||
(Cost $24,436,920) | ||||||||
|
|
Units | Description | Expiration Date | Value | |||||||||
Rights* – 0.6% | ||||||||||||
United Kingdom – 0.6% | ||||||||||||
Rolls-Royce Holdings PLC (Aerospace & Defense) | ||||||||||||
10,574,943 | 11/11/20 | $ | 5,342,936 | |||||||||
(Cost $12,441,707) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS – 99.9% | ||||||||||||
(Cost $787,576,603) | $ | 885,582,685 | ||||||||||
|
| |||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 776,359 | ||||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 886,359,044 | ||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
BP | —British Pound Offered Rate | |
GDR | —Global Depository Receipt | |
PLC | —Public Limited Company | |
|
18 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. DYNAMIC EQUITY FUND
Schedule of Investments
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 96.7% | ||||||||
Aerospace & Defense – 2.5% | ||||||||
15,084 | Airbus SE* | $ | 1,103,636 | |||||
3,923 | HEICO Corp. Class A | 366,800 | ||||||
28,111 | Raytheon Technologies Corp. | 1,526,990 | ||||||
3,073 | Safran SA* | 324,140 | ||||||
|
| |||||||
3,321,566 | ||||||||
|
| |||||||
Airlines – 0.2% | ||||||||
8,008 | Southwest Airlines Co. | 316,556 | ||||||
|
| |||||||
Banks – 4.0% | ||||||||
61,807 | Bank of America Corp. | 1,464,826 | ||||||
32,883 | JPMorgan Chase & Co. | 3,223,849 | ||||||
40,502 | KeyCorp. | 525,716 | ||||||
|
| |||||||
5,214,391 | ||||||||
|
| |||||||
Beverages – 0.6% | ||||||||
4,804 | Constellation Brands, Inc. Class A | 793,765 | ||||||
|
| |||||||
Biotechnology – 1.7% | ||||||||
10,343 | Amgen, Inc. | 2,243,810 | ||||||
|
| |||||||
Building Products – 0.9% | ||||||||
12,927 | Armstrong World Industries, Inc. | 774,328 | ||||||
11,530 | The AZEK Co., Inc.* | 385,563 | ||||||
|
| |||||||
1,159,891 | ||||||||
|
| |||||||
Capital Markets – 2.6% | ||||||||
13,309 | Intercontinental Exchange, Inc. | 1,256,369 | ||||||
12,925 | Morgan Stanley | 622,339 | ||||||
3,964 | S&P Global, Inc. | 1,279,302 | ||||||
4,914 | Tradeweb Markets, Inc. Class A | 267,715 | ||||||
1,700 | Virtu Financial, Inc. Class A | 36,346 | ||||||
|
| |||||||
3,462,071 | ||||||||
|
| |||||||
Chemicals – 2.4% | ||||||||
1,680 | Linde PLC | 368,197 | ||||||
14,675 | Nutrien Ltd. | 596,979 | ||||||
2,935 | The Sherwin-Williams Co. | 2,019,221 | ||||||
10,079 | Valvoline, Inc. | 198,254 | ||||||
|
| |||||||
3,182,651 | ||||||||
|
| |||||||
Commercial Services & Supplies – 1.6% | ||||||||
4,156 | UniFirst Corp. | 680,794 | ||||||
4,388 | Waste Connections, Inc. | 435,816 | ||||||
9,045 | Waste Management, Inc. | 976,046 | ||||||
|
| |||||||
2,092,656 | ||||||||
|
| |||||||
Communications Equipment – 1.2% | ||||||||
6,954 | Motorola Solutions, Inc. | 1,099,149 | ||||||
36,035 | Telefonaktiebolaget LM Ericsson Class B | 402,314 | ||||||
|
| |||||||
1,501,463 | ||||||||
|
| |||||||
Construction Materials – 1.0% | ||||||||
9,163 | Vulcan Materials Co. | 1,327,169 | ||||||
|
| |||||||
Consumer Finance – 2.0% | ||||||||
22,257 | American Express Co. | 2,030,728 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Consumer Finance – (continued) | ||||||||
2,148 | Credit Acceptance Corp.* | 640,362 | ||||||
|
| |||||||
2,671,090 | ||||||||
|
| |||||||
Distributors* – 0.8% | ||||||||
32,913 | LKQ Corp. | 1,052,887 | ||||||
|
| |||||||
Diversified Financial Services* – 1.6% | ||||||||
10,573 | Berkshire Hathaway, Inc. Class B | 2,134,689 | ||||||
|
| |||||||
Diversified Telecommunication Services – 1.1% | ||||||||
16,611 | Cellnex Telecom SA(a) | 1,066,276 | ||||||
6,825 | Cogent Communications Holdings, Inc. | 380,835 | ||||||
|
| |||||||
1,447,111 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.3% | ||||||||
2,340 | CDW Corp. | 286,884 | ||||||
7,916 | Keysight Technologies, Inc.* | 830,151 | ||||||
1,900 | Zebra Technologies Corp. Class A* | 538,916 | ||||||
|
| |||||||
1,655,951 | ||||||||
|
| |||||||
Entertainment – 2.7% | ||||||||
17,404 | Electronic Arts, Inc.* | 2,085,521 | ||||||
1,489 | Live Nation Entertainment, Inc.* | 72,663 | ||||||
7,960 | The Walt Disney Co. | 965,150 | ||||||
11,330 | World Wrestling Entertainment, Inc. Class A | 411,959 | ||||||
|
| |||||||
3,535,293 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 3.5% | ||||||||
7,166 | Crown Castle International Corp. | 1,119,329 | ||||||
6,971 | Public Storage | 1,596,847 | ||||||
15,821 | Simon Property Group, Inc. | 993,717 | ||||||
134,325 | The Macerich Co. | 934,902 | ||||||
|
| |||||||
4,644,795 | ||||||||
|
| |||||||
Food & Staples Retailing* – 0.3% | ||||||||
9,795 | BJ’s Wholesale Club Holdings, Inc. | 375,051 | ||||||
|
| |||||||
Food Products – 0.6% | ||||||||
4,174 | General Mills, Inc. | 246,767 | ||||||
8,950 | Lamb Weston Holdings, Inc. | 567,877 | ||||||
|
| |||||||
814,644 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 7.7% | ||||||||
14,871 | Abbott Laboratories | 1,563,091 | ||||||
47,852 | Alcon, Inc.* | 2,719,908 | ||||||
16,066 | Baxter International, Inc. | 1,246,239 | ||||||
855 | Becton Dickinson & Co. | 197,616 | ||||||
22,782 | Boston Scientific Corp.* | 780,739 | ||||||
480 | Danaher Corp. | 110,179 | ||||||
2,955 | Masimo Corp.* | 661,388 | ||||||
28,431 | Medtronic PLC | 2,859,306 | ||||||
|
| |||||||
10,138,466 | ||||||||
|
| |||||||
Health Care Providers & Services – 2.4% | ||||||||
13,923 | Covetrus, Inc.* | 343,759 | ||||||
12,783 | HCA Healthcare, Inc. | 1,584,325 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 19 |
MULTI-MANAGER U.S. DYNAMIC EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Providers & Services – (continued) | ||||||||
4,000 | UnitedHealth Group, Inc. | $ | 1,220,560 | |||||
|
| |||||||
3,148,644 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
15,662 | Las Vegas Sands Corp. | 752,716 | ||||||
6,590 | McDonald’s Corp. | 1,403,670 | ||||||
10,376 | Starbucks Corp. | 902,297 | ||||||
|
| |||||||
3,058,683 | ||||||||
|
| |||||||
Household Durables – 5.4% | ||||||||
24,255 | D.R. Horton, Inc. | 1,620,476 | ||||||
2,189 | Garmin Ltd. | 227,700 | ||||||
34,964 | Lennar Corp. Class A | 2,455,522 | ||||||
688 | NVR, Inc.* | 2,719,726 | ||||||
|
| |||||||
7,023,424 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.1% | ||||||||
1,234 | 3M Co. | 197,391 | ||||||
3,312 | Roper Technologies, Inc. | 1,229,878 | ||||||
|
| |||||||
1,427,269 | ||||||||
|
| |||||||
Insurance – 0.9% | ||||||||
3,930 | Aon PLC Class A | 723,159 | ||||||
3,855 | Arthur J. Gallagher & Co. | 399,802 | ||||||
|
| |||||||
1,122,961 | ||||||||
|
| |||||||
Interactive Media & Services* – 2.9% | ||||||||
1,416 | Alphabet, Inc. Class A | 2,288,412 | ||||||
5,925 | Facebook, Inc. Class A | 1,558,927 | ||||||
|
| |||||||
3,847,339 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 2.5% | ||||||||
475 | Amazon.com, Inc.* | 1,442,171 | ||||||
38,579 | eBay, Inc. | 1,837,518 | ||||||
|
| |||||||
3,279,689 | ||||||||
|
| |||||||
IT Services – 5.3% | ||||||||
6,949 | Accenture PLC Class A | 1,507,307 | ||||||
4,900 | Broadridge Financial Solutions, Inc. | 674,240 | ||||||
19,828 | Fiserv, Inc.* | 1,892,979 | ||||||
4,170 | Mastercard, Inc. Class A | 1,203,629 | ||||||
4,274 | PayPal Holdings, Inc.* | 795,520 | ||||||
39,123 | Verra Mobility Corp.* | 375,972 | ||||||
2,906 | Visa, Inc. Class A | 528,049 | ||||||
|
| |||||||
6,977,696 | ||||||||
|
| |||||||
Leisure Products – 1.2% | ||||||||
15,897 | Brunswick Corp. | 1,012,798 | ||||||
5,990 | Hasbro, Inc. | 495,493 | ||||||
|
| |||||||
1,508,291 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.9% | ||||||||
1,449 | IQVIA Holdings, Inc.* | 223,131 | ||||||
2,005 | Thermo Fisher Scientific, Inc. | 948,606 | ||||||
|
| |||||||
1,171,737 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Machinery – 0.4% | ||||||||
1,546 | Otis Worldwide Corp. | 94,739 | ||||||
4,657 | The Toro Co. | 382,340 | ||||||
|
| |||||||
477,079 | ||||||||
|
| |||||||
Media – 2.6% | ||||||||
31,567 | Comcast Corp. Class A | 1,333,390 | ||||||
99,470 | Discovery, Inc. Class A* | 2,013,273 | ||||||
|
| |||||||
3,346,663 | ||||||||
|
| |||||||
Metals & Mining – 0.6% | ||||||||
17,925 | Wheaton Precious Metals Corp. | 826,522 | ||||||
|
| |||||||
Multiline Retail – 2.9% | ||||||||
10,407 | Dollar Tree, Inc.* | 939,960 | ||||||
19,048 | Target Corp. | 2,899,487 | ||||||
|
| |||||||
3,839,447 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.6% | ||||||||
22,317 | Chevron Corp. | 1,551,032 | ||||||
25,733 | ConocoPhillips | 736,478 | ||||||
74,864 | Continental Resources, Inc. | 900,614 | ||||||
194,975 | Kosmos Energy Ltd. | 193,864 | ||||||
|
| |||||||
3,381,988 | ||||||||
|
| |||||||
Pharmaceuticals – 4.0% | ||||||||
10,539 | Eli Lilly & Co. | 1,374,918 | ||||||
18,616 | Merck & Co., Inc. | 1,400,109 | ||||||
68,927 | Pfizer, Inc. | 2,445,530 | ||||||
|
| |||||||
5,220,557 | ||||||||
|
| |||||||
Road & Rail – 2.6% | ||||||||
2,467 | AMERCO | 856,444 | ||||||
2,779 | Norfolk Southern Corp. | 581,144 | ||||||
11,100 | Union Pacific Corp. | 1,966,809 | ||||||
|
| |||||||
3,404,397 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 7.3% | ||||||||
17,512 | Analog Devices, Inc. | 2,075,697 | ||||||
7,850 | Entegris, Inc. | 586,944 | ||||||
45,800 | ON Semiconductor Corp.* | 1,149,122 | ||||||
25,255 | QUALCOMM, Inc. | 3,115,457 | ||||||
9,038 | Skyworks Solutions, Inc. | 1,276,979 | ||||||
9,225 | Texas Instruments, Inc. | 1,333,843 | ||||||
|
| |||||||
9,538,042 | ||||||||
|
| |||||||
Software – 2.6% | ||||||||
781 | Autodesk, Inc.* | 183,957 | ||||||
10,074 | Dropbox, Inc. Class A* | 183,951 | ||||||
9,955 | Microsoft Corp. | 2,015,589 | ||||||
6,212 | PTC, Inc.* | 521,062 | ||||||
4,280 | Varonis Systems, Inc.* | 494,640 | ||||||
|
| |||||||
3,399,199 | ||||||||
|
| |||||||
Specialty Retail – 4.7% | ||||||||
14,976 | Lowe’s Cos., Inc. | 2,367,706 | ||||||
11,191 | The Home Depot, Inc. | 2,984,752 | ||||||
|
|
20 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. DYNAMIC EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
1,650 | Ulta Beauty, Inc.* | $ | 341,170 | |||||
4,491 | Williams-Sonoma, Inc. | 409,624 | ||||||
|
| |||||||
6,103,252 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
7,972 | Carter’s, Inc. | 649,319 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.7% | ||||||||
6,218 | T-Mobile US, Inc.* | 681,306 | ||||||
137,847 | Vodafone Group PLC | 183,884 | ||||||
|
| |||||||
865,190 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $98,936,414) | $ | 126,703,354 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 3.3% | ||||||||
| Goldman Sachs Financial Square Government Fund – Institutional | | ||||||
4,388,467 | 0.028% | $ | 4,388,467 | |||||
(Cost $4,388,467) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0% | ||||||||
(Cost $103,324,881) | $ | 131,091,821 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.0)% | (25,764 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 131,066,057 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
EUR | —Euro | |
GBP | —British Pound | |
SEK | —Swedish Krona | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 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 | ||||||||||||||||
MS & Co. Int. PLC | GBP | 110,000 | USD | 142,218 | 12/16/20 | $ | 340 | |||||||||||||
USD | 4,597,055 | EUR | 3,879,000 | 12/16/20 | 74,200 | |||||||||||||||
USD | 459,469 | SEK | 4,024,000 | 12/16/20 | 6,967 | |||||||||||||||
TOTAL |
| $ | 81,507 |
The accompanying notes are an integral part of these financial statements. | 21 |
MULTI-MANAGER U.S. DYNAMIC EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | EUR | 1,480,000 | USD | 1,745,203 | 12/16/20 | $ | (19,545 | ) | ||||||||||||
SEK | 356,000 | USD | 40,297 | 12/16/20 | (265 | ) | ||||||||||||||
USD | 323,208 | GBP | 251,000 | 12/16/20 | (2,082 | ) | ||||||||||||||
TOTAL |
| $ | (21,892 | ) |
| ||
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
22 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 95.9% | ||||||||
Aerospace & Defense – 1.1% | ||||||||
7,000 | Aerojet Rocketdyne Holdings, Inc.* | $ | 226,940 | |||||
4,490 | Axon Enterprise, Inc.* | 444,061 | ||||||
25,986 | BWX Technologies, Inc. | 1,429,490 | ||||||
13,880 | Curtiss-Wright Corp. | 1,170,917 | ||||||
20,931 | Mercury Systems, Inc.* | 1,441,727 | ||||||
8,300 | Vectrus, Inc.* | 328,016 | ||||||
|
| |||||||
5,041,151 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.3% | ||||||||
8,000 | Atlas Air Worldwide Holdings, Inc.* | 473,280 | ||||||
800 | Forward Air Corp. | 50,376 | ||||||
13,800 | Hub Group, Inc. Class A* | 691,794 | ||||||
37,600 | Radiant Logistics, Inc.* | 193,264 | ||||||
|
| |||||||
1,408,714 | ||||||||
|
| |||||||
Airlines – 0.1% | ||||||||
4,800 | Mesa Air Group, Inc.* | 15,168 | ||||||
12,900 | SkyWest, Inc. | 374,487 | ||||||
|
| |||||||
389,655 | ||||||||
|
| |||||||
Auto Components – 0.7% | ||||||||
19,350 | Adient PLC* | 410,607 | ||||||
23,150 | Dana, Inc. | 323,869 | ||||||
6,440 | Fox Factory Holding Corp.* | 541,475 | ||||||
12,517 | LCI Industries | 1,372,614 | ||||||
10,998 | Standard Motor Products, Inc. | 503,708 | ||||||
|
| |||||||
3,152,273 | ||||||||
|
| |||||||
Automobiles – 0.3% | ||||||||
39,236 | Harley-Davidson, Inc. | 1,290,080 | ||||||
|
| |||||||
Banks – 4.2% | ||||||||
600 | ACNB Corp. | 12,522 | ||||||
6,150 | Amalgamated Bank Class A | 68,265 | ||||||
14,950 | Ameris Bancorp | 438,035 | ||||||
58,502 | BankUnited, Inc. | 1,477,175 | ||||||
6,750 | Berkshire Hills Bancorp, Inc. | 87,953 | ||||||
8,500 | Boston Private Financial Holdings, Inc. | 52,530 | ||||||
7,750 | Cadence BanCorp. | 86,955 | ||||||
13,900 | Cathay General Bancorp | 327,067 | ||||||
1,050 | Century Bancorp, Inc. Class A | 75,149 | ||||||
19,013 | Columbia Banking System, Inc. | 540,159 | ||||||
11,700 | ConnectOne Bancorp, Inc. | 180,531 | ||||||
32,050 | Customers Bancorp, Inc.* | 442,931 | ||||||
2,800 | Eagle Bancorp, Inc. | 83,776 | ||||||
10,500 | Financial Institutions, Inc. | 186,165 | ||||||
110,250 | First Bancorp | 715,522 | ||||||
1,750 | First Citizens BancShares, Inc. Class A | 809,725 | ||||||
4,700 | First Commonwealth Financial Corp. | 40,514 | ||||||
3,300 | First Foundation, Inc. | 49,071 | ||||||
82,697 | First Hawaiian, Inc. | 1,427,350 | ||||||
98,782 | First Horizon National Corp. | 1,028,321 | ||||||
27,289 | First Merchants Corp. | 712,516 | ||||||
5,400 | First Midwest Bancorp, Inc. | 67,770 | ||||||
13,000 | Great Western Bancorp, Inc. | 168,870 | ||||||
10,200 | Hancock Whitney Corp. | 233,274 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
17,150 | Hanmi Financial Corp. | 154,178 | ||||||
2,650 | Heartland Financial USA, Inc. | 87,291 | ||||||
35,150 | Hilltop Holdings, Inc. | 801,771 | ||||||
29,300 | Hope Bancorp, Inc. | 236,451 | ||||||
3,800 | International Bancshares Corp. | 105,184 | ||||||
8,150 | Midland States Bancorp, Inc. | 121,435 | ||||||
5,950 | MidWestOne Financial Group, Inc. | 119,893 | ||||||
40,050 | OFG Bancorp | 576,319 | ||||||
2,800 | Old Second Bancorp, Inc. | 23,940 | ||||||
27,907 | Prosperity Bancshares, Inc. | 1,537,955 | ||||||
7,300 | QCR Holdings, Inc. | 226,519 | ||||||
49,200 | Simmons First National Corp. Class A | 835,908 | ||||||
7,642 | South State Corp. | 469,219 | ||||||
13,750 | Southern National Bancorp of Virginia, Inc. | 132,825 | ||||||
42,373 | Synovus Financial Corp. | 1,101,698 | ||||||
4,200 | Texas Capital Bancshares, Inc.* | 189,000 | ||||||
42,800 | The Bancorp, Inc.* | 410,880 | ||||||
39,450 | The Bank of NT Butterfield & Son Ltd. | 1,043,847 | ||||||
5,400 | TriState Capital Holdings, Inc.* | 67,986 | ||||||
42,189 | Umpqua Holdings Corp. | 529,894 | ||||||
74,600 | Valley National Bancorp | 569,944 | ||||||
|
| |||||||
18,654,283 | ||||||||
|
| |||||||
Beverages* – 0.2% | ||||||||
9,900 | National Beverage Corp. | 775,071 | ||||||
|
| |||||||
Biotechnology* – 7.7% | ||||||||
26,773 | Abcam PLC ADR | 508,687 | ||||||
8,700 | Acceleron Pharma, Inc. | 909,846 | ||||||
30,750 | Allogene Therapeutics, Inc. | 1,043,040 | ||||||
1,200 | ALX Oncology Holdings, Inc. | 47,412 | ||||||
44,700 | Amicus Therapeutics, Inc. | 797,001 | ||||||
19,090 | Apellis Pharmaceuticals, Inc. | 608,971 | ||||||
15,170 | Arcus Biosciences, Inc. | 330,706 | ||||||
7,230 | Arena Pharmaceuticals, Inc. | 619,756 | ||||||
3,420 | Ascendis Pharma A/S ADR | 558,657 | ||||||
17,970 | Assembly Biosciences, Inc. | 264,878 | ||||||
32,450 | Athenex, Inc. | 369,930 | ||||||
11,900 | Avid Bioservices, Inc. | 86,275 | ||||||
10,200 | Avidity Biosciences, Inc. | 252,246 | ||||||
16,659 | Biohaven Pharmaceutical Holding Co. Ltd. | 1,290,406 | ||||||
4,850 | BioSpecifics Technologies Corp. | 427,285 | ||||||
8,190 | Bioxcel Therapeutics, Inc. | 374,201 | ||||||
10,030 | Bluebird Bio, Inc. | 518,651 | ||||||
21,565 | Blueprint Medicines Corp. | 2,205,668 | ||||||
170,950 | Catalyst Pharmaceuticals, Inc. | 507,721 | ||||||
9,180 | Celyad SA ADR | 64,903 | ||||||
36,464 | Coherus Biosciences, Inc. | 607,855 | ||||||
6,340 | Compass Pathways PLC ADR | 202,880 | ||||||
15,500 | Concert Pharmaceuticals, Inc. | 159,960 | ||||||
15,610 | Constellation Pharmaceuticals, Inc.* | 306,268 | ||||||
57,330 | CytomX Therapeutics, Inc. | 379,525 | ||||||
19,700 | Dicerna Pharmaceuticals, Inc. | 413,503 | ||||||
16,300 | Eagle Pharmaceuticals, Inc. | 758,276 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 23 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Biotechnology* – (continued) | ||||||||
11,450 | Emergent BioSolutions, Inc. | $ | 1,030,156 | |||||
35,290 | Epizyme, Inc. | 436,184 | ||||||
30,030 | Equillium, Inc. | 190,691 | ||||||
20,250 | Fate Therapeutics, Inc. | 899,100 | ||||||
29,156 | FibroGen, Inc. | 1,119,007 | ||||||
11,450 | Generation Bio Co. | 295,868 | ||||||
10,518 | Global Blood Therapeutics, Inc. | 556,192 | ||||||
12,800 | Halozyme Therapeutics, Inc. | 358,400 | ||||||
13,100 | Insmed, Inc. | 431,514 | ||||||
15,240 | Invitae Corp. | 597,560 | ||||||
33,525 | Iovance Biotherapeutics, Inc. | 1,196,172 | ||||||
6,770 | Kronos Bio, Inc. | 190,169 | ||||||
7,320 | Krystal Biotech, Inc. | 314,687 | ||||||
17,760 | Kura Oncology, Inc. | 555,000 | ||||||
7,500 | Ligand Pharmaceuticals, Inc. | 618,375 | ||||||
4,370 | Mirati Therapeutics, Inc. | 948,902 | ||||||
24,530 | Myovant Sciences Ltd. | 338,514 | ||||||
16,600 | Natera, Inc. | 1,116,516 | ||||||
8,242 | Neurocrine Biosciences, Inc. | 813,238 | ||||||
7,000 | Novavax, Inc. | 564,970 | ||||||
237,600 | OPKO Health, Inc. | 836,352 | ||||||
20,340 | Opthea, Ltd. ADR | 258,318 | ||||||
12,220 | ORIC Pharmaceuticals, Inc. | 262,730 | ||||||
8,430 | PMV Pharmaceuticals, Inc. | 295,472 | ||||||
6,450 | Prothena Corp. PLC | 70,370 | ||||||
20,200 | Puma Biotechnology, Inc. | 169,074 | ||||||
13,150 | Replimune Group, Inc. | 549,801 | ||||||
33,900 | Retrophin, Inc. | 686,136 | ||||||
6,710 | Sage Therapeutics, Inc. | 492,380 | ||||||
7,030 | SpringWorks Therapeutics, Inc. | 407,670 | ||||||
7,570 | Twist Bioscience Corp. | 580,165 | ||||||
11,350 | Ultragenyx Pharmaceutical, Inc. | 1,140,675 | ||||||
950 | United Therapeutics Corp. | 127,519 | ||||||
70,350 | Vanda Pharmaceuticals, Inc. | 752,041 | ||||||
|
| |||||||
33,814,425 | ||||||||
|
| |||||||
Building Products – 1.1% | ||||||||
13,810 | Advanced Drainage Systems, Inc. | 875,968 | ||||||
11,500 | American Woodmark Corp.* | 950,015 | ||||||
3,400 | Apogee Enterprises, Inc. | 81,226 | ||||||
33,550 | JELD-WEN Holding, Inc.* | 705,557 | ||||||
11,010 | Simpson Manufacturing Co., Inc. | 976,807 | ||||||
6,490 | Trex Co., Inc.* | 451,315 | ||||||
19,500 | UFP Industries, Inc. | 973,245 | ||||||
|
| |||||||
5,014,133 | ||||||||
|
| |||||||
Capital Markets – 1.4% | ||||||||
30,766 | Ares Management Corp. Class A | 1,301,402 | ||||||
4,100 | Assetmark Financial Holdings, Inc.* | 86,715 | ||||||
5,250 | Donnelley Financial Solutions, Inc.* | 66,308 | ||||||
19,367 | Evercore, Inc. Class A | 1,540,451 | ||||||
40,500 | Federated Hermes, Inc. | 967,950 | ||||||
8,029 | Hamilton Lane, Inc. Class A | 559,621 | ||||||
800 | Oppenheimer Holdings, Inc. Class A | 20,048 | ||||||
20,450 | Stifel Financial Corp. | 1,195,507 | ||||||
3,200 | Virtus Investment Partners, Inc. | 510,560 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
5,700 | Waddell & Reed Financial, Inc. Class A | 87,495 | ||||||
|
| |||||||
6,336,057 | ||||||||
|
| |||||||
Chemicals – 2.1% | ||||||||
96,920 | Amyris, Inc.* | 242,300 | ||||||
6,650 | Avient Corp. | 206,615 | ||||||
900 | Hawkins, Inc. | 42,039 | ||||||
23,735 | Huntsman Corp. | 576,523 | ||||||
15,741 | Ingevity Corp.* | 863,866 | ||||||
2,500 | Koppers Holdings, Inc.* | 56,075 | ||||||
22,250 | Kronos Worldwide, Inc. | 296,370 | ||||||
9,159 | Minerals Technologies, Inc. | 500,906 | ||||||
46,000 | Orion Engineered Carbons SA | 674,820 | ||||||
56,441 | PQ Group Holdings, Inc.* | 652,458 | ||||||
8,530 | Quaker Chemical Corp. | 1,627,439 | ||||||
11,300 | Sensient Technologies Corp. | 739,359 | ||||||
3,700 | Stepan Co. | 430,828 | ||||||
123,133 | Valvoline, Inc. | 2,422,026 | ||||||
|
| |||||||
9,331,624 | ||||||||
|
| |||||||
Commercial Services & Supplies – 3.7% | ||||||||
65,072 | ABM Industries, Inc. | 2,259,300 | ||||||
104,247 | ACCO Brands Corp. | 549,382 | ||||||
9,850 | CECO Environmental Corp.* | 69,738 | ||||||
38,160 | Covanta Holding Corp. | 346,493 | ||||||
28,200 | Deluxe Corp. | 604,608 | ||||||
63,018 | Harsco Corp.* | 812,932 | ||||||
25,600 | Herman Miller, Inc. | 780,032 | ||||||
4,700 | HNI Corp. | 152,985 | ||||||
73,202 | IAA, Inc.* | 4,142,501 | ||||||
14,100 | Interface, Inc. | 86,433 | ||||||
101,006 | KAR Auction Services, Inc. | 1,470,647 | ||||||
10,400 | Matthews International Corp. Class A | 227,032 | ||||||
10,334 | MSA Safety, Inc. | 1,363,261 | ||||||
8,700 | Steelcase, Inc. Class A | 90,828 | ||||||
33,769 | Waste Connections, Inc. | 3,353,937 | ||||||
|
| |||||||
16,310,109 | ||||||||
|
| |||||||
Communications Equipment – 0.8% | ||||||||
14,800 | Calix, Inc.* | 346,468 | ||||||
9,150 | Extreme Networks, Inc.* | 37,149 | ||||||
22,069 | InterDigital, Inc. | 1,235,423 | ||||||
15,500 | NETGEAR, Inc.* | 477,710 | ||||||
33,750 | NetScout Systems, Inc.* | 692,550 | ||||||
3,500 | Plantronics, Inc. | 68,320 | ||||||
37,580 | Viavi Solutions, Inc.* | 464,113 | ||||||
|
| |||||||
3,321,733 | ||||||||
|
| |||||||
Construction & Engineering – 1.1% | ||||||||
19,914 | AECOM* | 892,944 | ||||||
54,179 | Aegion Corp.* | 764,466 | ||||||
7,600 | Comfort Systems USA, Inc. | 348,080 | ||||||
19,132 | EMCOR Group, Inc. | 1,304,611 | ||||||
20,676 | MasTec, Inc.* | 1,026,356 | ||||||
26,700 | Primoris Services Corp. | 503,829 | ||||||
|
| |||||||
4,840,286 | ||||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Construction Materials* – 0.1% | ||||||||
26,900 | Forterra, Inc. | $ | 351,045 | |||||
10,800 | Summit Materials, Inc. Class A | 191,052 | ||||||
|
| |||||||
542,097 | ||||||||
|
| |||||||
Consumer Finance – 1.9% | ||||||||
3,800 | Enova International, Inc.* | 58,330 | ||||||
24,953 | FirstCash, Inc. | 1,298,554 | ||||||
1,040 | Green Dot Corp. Class A* | 55,453 | ||||||
1,080 | LendingTree, Inc.* | 349,477 | ||||||
208,852 | Navient Corp. | 1,672,905 | ||||||
9,476 | Nelnet, Inc. Class A | 578,415 | ||||||
52,092 | PRA Group, Inc.* | 1,777,900 | ||||||
5,900 | Regional Management Corp.* | 119,888 | ||||||
288,280 | SLM Corp. | 2,649,293 | ||||||
|
| |||||||
8,560,215 | ||||||||
|
| |||||||
Containers & Packaging – 0.9% | ||||||||
275,650 | Graphic Packaging Holding Co. | 3,663,388 | ||||||
4,050 | Greif, Inc. Class A | 164,390 | ||||||
|
| |||||||
3,827,778 | ||||||||
|
| |||||||
Diversified Consumer Services – 1.9% | ||||||||
850 | Adtalem Global Education, Inc.* | 19,924 | ||||||
1,400 | American Public Education, Inc.* | 39,578 | ||||||
19,440 | Arco Platform Ltd. Class A* | 662,515 | ||||||
19,355 | Bright Horizons Family Solutions, Inc.* | 3,059,058 | ||||||
19,943 | Chegg, Inc.* | 1,464,614 | ||||||
2,500 | Franchise Group, Inc. | 57,300 | ||||||
33,671 | frontdoor, Inc.* | 1,334,045 | ||||||
15,399 | OneSpaWorld Holdings Ltd. | 95,628 | ||||||
35,500 | Perdoceo Education Corp.* | 400,795 | ||||||
12,710 | Strategic Education, Inc. | 1,055,692 | ||||||
|
| |||||||
8,189,149 | ||||||||
|
| |||||||
Diversified Financial Services* – 0.2% | ||||||||
22,750 | Cannae Holdings, Inc. | 841,295 | ||||||
|
| |||||||
Diversified Telecommunication Services – 1.7% | ||||||||
14,390 | Bandwidth, Inc. Class A* | 2,307,509 | ||||||
13,596 | Cogent Communications Holdings, Inc. | 758,657 | ||||||
45,841 | GCI Liberty, Inc. Class A* | 3,723,664 | ||||||
7,100 | Liberty Latin America Ltd. Class A* | 69,580 | ||||||
19,150 | Liberty Latin America Ltd. Class C* | 186,138 | ||||||
31,940 | Vonage Holdings Corp.* | 337,925 | ||||||
|
| |||||||
7,383,473 | ||||||||
|
| |||||||
Electric Utilities – 0.1% | ||||||||
16,100 | Otter Tail Corp. | 617,435 | ||||||
|
| |||||||
Electrical Equipment – 1.1% | ||||||||
28,450 | Atkore International Group, Inc.* | 588,631 | ||||||
1,500 | AZZ, Inc. | 50,385 | ||||||
5,900 | Encore Wire Corp. | 272,639 | ||||||
42,945 | EnerSys | 3,074,862 | ||||||
5,700 | nVent Electric PLC | 102,885 | ||||||
23,700 | Plug Power, Inc.* | 331,800 | ||||||
5,660 | Sunrun, Inc.* | 294,433 | ||||||
|
| |||||||
4,715,635 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Electronic Equipment, Instruments & Components – 2.3% | ||||||||
43,523 | Belden, Inc. | 1,343,990 | ||||||
3,900 | ePlus, Inc.* | 263,289 | ||||||
43,879 | Insight Enterprises, Inc.* | 2,340,945 | ||||||
7,720 | Itron, Inc.* | 524,574 | ||||||
6,256 | Littelfuse, Inc. | 1,238,313 | ||||||
6,450 | Methode Electronics, Inc. | 198,466 | ||||||
2,900 | PC Connection, Inc. | 132,095 | ||||||
27,950 | Sanmina Corp.* | 683,098 | ||||||
8,250 | ScanSource, Inc.* | 165,825 | ||||||
23,503 | SYNNEX Corp. | 3,093,935 | ||||||
23,000 | Vishay Intertechnology, Inc. | 373,060 | ||||||
|
| |||||||
10,357,590 | ||||||||
|
| |||||||
Energy Equipment & Services – 0.5% | ||||||||
46,242 | Cactus, Inc. Class A | 786,114 | ||||||
110,128 | ChampionX Corp.* | 961,417 | ||||||
15,100 | Matrix Service Co.* | 114,760 | ||||||
139,000 | Oceaneering International, Inc.* | 567,120 | ||||||
|
| |||||||
2,429,411 | ||||||||
|
| |||||||
Entertainment* – 0.9% | ||||||||
12,700 | Glu Mobile, Inc. | 90,932 | ||||||
3,300 | Lions Gate Entertainment Corp. Class A | 22,110 | ||||||
6,100 | Lions Gate Entertainment Corp. Class B | 38,247 | ||||||
404,359 | Zynga, Inc. Class A | 3,635,187 | ||||||
|
| |||||||
3,786,476 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 2.3% | ||||||||
13,450 | American Assets Trust, Inc. | 281,508 | ||||||
10,250 | Cedar Realty Trust, Inc. | 9,738 | ||||||
28,700 | City Office REIT, Inc. | 181,384 | ||||||
46,700 | Columbia Property Trust, Inc. | 494,086 | ||||||
92,400 | CoreCivic, Inc. | 592,284 | ||||||
57,455 | Cousins Properties, Inc. | 1,463,953 | ||||||
9,800 | DiamondRock Hospitality Co. | 48,412 | ||||||
14,204 | EastGroup Properties, Inc. | 1,890,268 | ||||||
41,550 | Franklin Street Properties Corp. | 174,510 | ||||||
4,200 | Front Yard Residential Corp. | 56,238 | ||||||
3,800 | Global Net Lease, Inc. | 54,074 | ||||||
6,600 | Kite Realty Group Trust | 68,376 | ||||||
3,300 | Office Properties Income Trust | 60,753 | ||||||
58,500 | Pebblebrook Hotel Trust | 700,830 | ||||||
61,000 | Piedmont Office Realty Trust, Inc. Class A | 696,620 | ||||||
19,700 | PotlatchDeltic Corp. | 818,535 | ||||||
47,050 | Sabra Health Care REIT, Inc. | 619,178 | ||||||
12,450 | Service Properties Trust | 89,765 | ||||||
14,811 | Spirit Realty Capital, Inc. | 445,071 | ||||||
2,800 | STAG Industrial, Inc. | 87,136 | ||||||
86,850 | The Geo Group, Inc. | 769,491 | ||||||
25,400 | Urban Edge Properties | 238,760 | ||||||
15,400 | Urstadt Biddle Properties, Inc. Class A | 146,454 | ||||||
36,750 | Xenia Hotels & Resorts, Inc. | 302,820 | ||||||
|
| |||||||
10,290,244 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – 0.9% | ||||||||
47,090 | BJ’s Wholesale Club Holdings, Inc.* | $ | 1,803,076 | |||||
10,110 | Casey’s General Stores, Inc. | 1,704,243 | ||||||
6,000 | PriceSmart, Inc. | 414,000 | ||||||
|
| |||||||
3,921,319 | ||||||||
|
| |||||||
Food Products – 2.0% | ||||||||
33,050 | Darling Ingredients, Inc.* | 1,421,150 | ||||||
27,117 | Fresh Del Monte Produce, Inc. | 583,829 | ||||||
8,410 | Freshpet, Inc.* | 962,945 | ||||||
51,290 | Hostess Brands, Inc.* | 648,306 | ||||||
2,150 | John B. Sanfilippo & Son, Inc. | 156,434 | ||||||
3,790 | Lancaster Colony Corp. | 629,671 | ||||||
39,700 | Nomad Foods Ltd.* | 962,725 | ||||||
95,991 | The Hain Celestial Group, Inc.* | 2,951,723 | ||||||
31,834 | The Simply Good Foods Co.* | 598,479 | ||||||
|
| |||||||
8,915,262 | ||||||||
|
| |||||||
Gas Utilities – 0.3% | ||||||||
4,400 | National Fuel Gas Co. | 175,824 | ||||||
2,100 | ONE Gas, Inc. | 144,984 | ||||||
9,700 | Southwest Gas Holdings, Inc. | 637,484 | ||||||
5,700 | Spire, Inc. | 319,428 | ||||||
|
| |||||||
1,277,720 | ||||||||
|
| |||||||
Health Care Equipment & Supplies* – 2.6% | ||||||||
26,150 | AngioDynamics, Inc. | 270,391 | ||||||
9,678 | CryoPort, Inc. | 388,475 | ||||||
3,800 | Eargo, Inc. | 131,670 | ||||||
55,081 | Envista Holdings Corp. | 1,455,240 | ||||||
30,621 | Establishment Labs Holdings, Inc. | 766,444 | ||||||
1,700 | ICU Medical, Inc. | 302,243 | ||||||
7,046 | Inari Medical, Inc. | 466,445 | ||||||
14,700 | Integer Holdings Corp. | 859,215 | ||||||
4,730 | iRhythm Technologies, Inc. | 1,000,158 | ||||||
2,470 | Masimo Corp. | 552,835 | ||||||
44,300 | Meridian Bioscience, Inc. | 759,745 | ||||||
10,300 | Natus Medical, Inc. | 187,563 | ||||||
3,900 | Neogen Corp. | 271,986 | ||||||
10,517 | Nevro Corp. | 1,569,242 | ||||||
22,047 | OrthoPediatrics Corp. | 983,296 | ||||||
3,600 | Quidel Corp. | 965,844 | ||||||
11,570 | Silk Road Medical, Inc. | 701,142 | ||||||
|
| |||||||
11,631,934 | ||||||||
|
| |||||||
Health Care Providers & Services – 2.4% | ||||||||
2,600 | Castle Biosciences, Inc.* | 120,718 | ||||||
18,553 | Encompass Health Corp. | 1,137,484 | �� | |||||
16,950 | Hanger, Inc.* | 296,116 | ||||||
34,291 | HealthEquity, Inc.* | 1,765,644 | ||||||
7,410 | LHC Group, Inc.* | 1,604,635 | ||||||
2,500 | Magellan Health, Inc.* | 180,675 | ||||||
2,550 | National HealthCare Corp. | 161,415 | ||||||
12,461 | Oak Street Health, Inc.* | 593,019 | ||||||
30,399 | Progyny, Inc.* | 740,824 | ||||||
45,462 | R1 RCM, Inc.* | 814,679 | ||||||
42,500 | Select Medical Holdings Corp.* | 891,650 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Providers & Services – (continued) | ||||||||
18,100 | The Ensign Group, Inc. | 1,065,004 | ||||||
6,200 | The Providence Service Corp.* | 728,810 | ||||||
14,700 | Tivity Health, Inc.* | 202,125 | ||||||
6,513 | Triple-S Management Corp. Class B* | 120,621 | ||||||
|
| |||||||
10,423,419 | ||||||||
|
| |||||||
Health Care Technology – 2.1% | ||||||||
22,819 | Accolade, Inc.* | 799,121 | ||||||
45,150 | Allscripts Healthcare Solutions, Inc.* | 455,112 | ||||||
202,222 | Change Healthcare, Inc.* | 2,861,441 | ||||||
10,800 | Computer Programs & Systems, Inc. | 301,212 | ||||||
17,220 | Health Catalyst, Inc.* | 593,746 | ||||||
24,800 | HMS Holdings Corp.* | 660,176 | ||||||
3,100 | Inovalon Holdings, Inc. Class A* | 58,869 | ||||||
7,380 | Inspire Medical Systems, Inc.* | 881,394 | ||||||
35,150 | NextGen Healthcare, Inc.* | 478,040 | ||||||
5,500 | Omnicell, Inc.* | 476,025 | ||||||
40,624 | Phreesia, Inc.* | 1,501,869 | ||||||
|
| |||||||
9,067,005 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.5% | ||||||||
3,700 | Bally’s Corp. | 89,799 | ||||||
36,800 | Bloomin’ Brands, Inc. | 514,464 | ||||||
3,100 | Boyd Gaming Corp. | 98,332 | ||||||
1,500 | Century Casinos, Inc.* | 7,065 | ||||||
8,764 | Choice Hotels International, Inc. | 765,535 | ||||||
6,320 | Churchill Downs, Inc. | 942,628 | ||||||
26,100 | Del Taco Restaurants, Inc.* | 193,532 | ||||||
7,300 | Dine Brands Global, Inc. | 375,585 | ||||||
36,801 | Extended Stay America, Inc. | 417,691 | ||||||
42,500 | International Game Technology PLC | 348,925 | ||||||
5,600 | Jack in the Box, Inc. | 448,336 | ||||||
5,500 | Papa John’s International, Inc. | 421,300 | ||||||
9,000 | Texas Roadhouse, Inc. | 630,270 | ||||||
7,550 | Wingstop, Inc. | 878,292 | ||||||
13,515 | Wyndham Destinations, Inc. | 440,994 | ||||||
|
| |||||||
6,572,748 | ||||||||
|
| |||||||
Household Durables – 1.4% | ||||||||
1,600 | Cavco Industries, Inc.* | 275,424 | ||||||
17,700 | M/I Homes, Inc.* | 724,284 | ||||||
3,950 | MDC Holdings, Inc. | 171,904 | ||||||
15,770 | Meritage Homes Corp.* | 1,373,409 | ||||||
10,200 | Skyline Champion Corp.* | 261,630 | ||||||
6,778 | Tempur Sealy International, Inc.* | 603,242 | ||||||
12,352 | Toll Brothers, Inc. | 522,243 | ||||||
13,502 | TopBuild Corp.* | 2,068,641 | ||||||
2,600 | TRI Pointe Group, Inc.* | 42,718 | ||||||
9,300 | Tupperware Brands Corp. | 294,996 | ||||||
|
| |||||||
6,338,491 | ||||||||
|
| |||||||
Household Products – 0.8% | ||||||||
58,521 | Energizer Holdings, Inc. | 2,302,801 | ||||||
19,543 | Spectrum Brands Holdings, Inc. | 1,111,411 | ||||||
|
| |||||||
3,414,212 | ||||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Insurance – 3.1% | ||||||||
2,600 | Argo Group International Holdings Ltd. | $ | 92,768 | |||||
70,183 | Assured Guaranty Ltd. | 1,791,772 | ||||||
42,467 | Axis Capital Holdings Ltd. | 1,812,916 | ||||||
13,800 | CNO Financial Group, Inc. | 244,950 | ||||||
1,700 | Employers Holdings, Inc. | 54,417 | ||||||
18,621 | First American Financial Corp. | 830,310 | ||||||
22,250 | Genworth Financial, Inc. Class A* | 87,443 | ||||||
31,250 | Heritage Insurance Holdings, Inc. | 295,000 | ||||||
69,114 | National General Holdings Corp. | 2,347,803 | ||||||
26,962 | ProAssurance Corp. | 416,024 | ||||||
8,852 | Reinsurance Group of America, Inc. | 894,229 | ||||||
2,400 | Selective Insurance Group, Inc. | 124,944 | ||||||
14,700 | Stewart Information Services Corp. | 623,133 | ||||||
17,255 | The Hanover Insurance Group, Inc. | 1,650,613 | ||||||
24,600 | Third Point Reinsurance Ltd.* | 191,388 | ||||||
24,150 | Universal Insurance Holdings, Inc. | 301,150 | ||||||
1,947 | White Mountains Insurance Group Ltd. | 1,768,519 | ||||||
|
| |||||||
13,527,379 | ||||||||
|
| |||||||
Interactive Media & Services* – 0.6% | ||||||||
51,166 | ANGI Homeservices, Inc. Class A | 542,360 | ||||||
93,350 | Cars.com, Inc. | 689,856 | ||||||
8,670 | EverQuote, Inc. Class A | 290,358 | ||||||
17,800 | Liberty TripAdvisor Holdings, Inc. Class A | 31,684 | ||||||
6,000 | QuinStreet, Inc. | 96,030 | ||||||
46,686 | Yelp, Inc. | 918,314 | ||||||
|
| |||||||
2,568,602 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail* – 1.1% | ||||||||
17,200 | 1-800-Flowers.com, Inc. Class A | 341,076 | ||||||
3,300 | Duluth Holdings, Inc. Class B | 50,622 | ||||||
7,817 | Etsy, Inc. | 950,469 | ||||||
71,740 | MakeMyTrip Ltd. | 1,346,560 | ||||||
4,700 | Overstock.com, Inc. | 263,670 | ||||||
4,750 | Stamps.com, Inc. | 1,060,390 | ||||||
21,126 | Stitch Fix, Inc. Class A | 727,368 | ||||||
|
| |||||||
4,740,155 | ||||||||
|
| |||||||
IT Services – 5.7% | ||||||||
85,530 | DXC Technology Co. | 1,575,463 | ||||||
28,760 | EVERTEC, Inc. | 957,133 | ||||||
132,068 | Evo Payments, Inc. Class A* | 2,782,673 | ||||||
98,402 | Genpact Ltd. | 3,382,077 | ||||||
41,650 | KBR, Inc. | 928,378 | ||||||
23,190 | LiveRamp Holdings, Inc.* | 1,532,627 | ||||||
13,290 | ManTech International Corp. Class A | 862,255 | ||||||
23,760 | MAXIMUS, Inc. | 1,605,701 | ||||||
32,000 | Perspecta, Inc. | 573,760 | ||||||
25,040 | Repay Holdings Corp.* | 564,151 | ||||||
24,586 | Science Applications International Corp. | 1,877,633 | ||||||
11,190 | Shift4 Payments, Inc. Class A* | 569,683 | ||||||
60,917 | Sykes Enterprises, Inc.* | 2,085,798 | ||||||
17,400 | The Hackett Group, Inc. | 224,808 | ||||||
40,601 | TTEC Holdings, Inc. | 2,224,123 | ||||||
77,852 | Unisys Corp.* | 1,022,975 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
IT Services – (continued) | ||||||||
3,365 | WEX, Inc.* | 425,841 | ||||||
5,420 | Wix.com Ltd.* | 1,340,474 | ||||||
10,750 | WNS Holdings Ltd. ADR* | 619,630 | ||||||
|
| |||||||
25,155,183 | ||||||||
|
| |||||||
Leisure Products – 0.8% | ||||||||
10,100 | American Outdoor Brands, Inc.* | 152,813 | ||||||
66,279 | Clarus Corp. | 1,027,987 | ||||||
12,250 | Malibu Boats, Inc. Class A* | 622,668 | ||||||
17,150 | MasterCraft Boat Holdings, Inc.* | 353,633 | ||||||
44,200 | Smith & Wesson Brands, Inc. | 733,278 | ||||||
14,810 | YETI Holdings, Inc.* | 732,799 | ||||||
|
| |||||||
3,623,178 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 2.4% | ||||||||
26,351 | Bruker Corp. | 1,120,972 | ||||||
16,619 | Charles River Laboratories International, Inc.* | 3,784,146 | ||||||
9,100 | Medpace Holdings, Inc.* | 1,009,554 | ||||||
73,716 | NeoGenomics, Inc.* | 2,891,879 | ||||||
35,054 | Syneos Health, Inc.* | 1,860,666 | ||||||
|
| |||||||
10,667,217 | ||||||||
|
| |||||||
Machinery – 2.3% | ||||||||
26,600 | Altra Industrial Motion Corp. | 1,137,416 | ||||||
3,000 | Astec Industries, Inc. | 152,400 | ||||||
7,870 | Chart Industries, Inc.* | 664,621 | ||||||
2,000 | Crane Co. | 101,500 | ||||||
8,521 | ESCO Technologies, Inc. | 713,122 | ||||||
31,590 | Evoqua Water Technologies Corp.* | 724,359 | ||||||
36,750 | Gates Industrial Corp. PLC* | 407,925 | ||||||
19,369 | Hillenbrand, Inc. | 566,543 | ||||||
1,558 | IDEX Corp. | 265,468 | ||||||
12,026 | John Bean Technologies Corp. | 1,009,823 | ||||||
7,710 | Kornit Digital Ltd.* | 519,037 | ||||||
21,600 | Rexnord Corp. | 692,928 | ||||||
15,900 | SPX Corp.* | 674,001 | ||||||
3,250 | Standex International Corp. | 201,793 | ||||||
22,444 | Terex Corp. | 554,142 | ||||||
16,650 | The Shyft Group, Inc. | 321,512 | ||||||
2,100 | TriMas Corp.* | 51,093 | ||||||
5,620 | Watts Water Technologies, Inc. Class A | 622,527 | ||||||
7,921 | Woodward, Inc. | 630,116 | ||||||
|
| |||||||
10,010,326 | ||||||||
|
| |||||||
Marine – 0.1% | ||||||||
19,000 | Costamare, Inc. | 108,110 | ||||||
9,500 | Matson, Inc. | 493,525 | ||||||
|
| |||||||
601,635 | ||||||||
|
| |||||||
Media – 0.3% | ||||||||
53,500 | Entercom Communications Corp. Class A | 80,250 | ||||||
22,900 | Gray Television, Inc.* | 290,372 | ||||||
12,193 | Nexstar Media Group, Inc. Class A | 1,004,703 | ||||||
13,400 | TEGNA, Inc. | 161,202 | ||||||
|
| |||||||
1,536,527 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Metals & Mining – 0.4% | ||||||||
75,100 | Hecla Mining Co. | $ | 343,958 | |||||
33,650 | Ryerson Holding Corp.* | 264,826 | ||||||
19,950 | Worthington Industries, Inc. | 981,739 | ||||||
|
| |||||||
1,590,523 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) – 1.0% | ||||||||
30,903 | Ares Commercial Real Estate Corp. | 287,707 | ||||||
56,683 | Blackstone Mortgage Trust, Inc. Class A | 1,230,021 | ||||||
105,500 | Chimera Investment Corp. | 880,925 | ||||||
59,600 | Colony Credit Real Estate, Inc. | 312,304 | ||||||
31,200 | Ready Capital Corp. | 350,688 | ||||||
67,771 | Starwood Property Trust, Inc. | 946,761 | ||||||
51,400 | TPG RE Finance Trust, Inc. | 401,948 | ||||||
|
| |||||||
4,410,354 | ||||||||
|
| |||||||
Multi-Utilities – 0.1% | ||||||||
9,300 | Black Hills Corp. | 526,938 | ||||||
1,600 | NorthWestern Corp. | 83,408 | ||||||
|
| |||||||
610,346 | ||||||||
|
| |||||||
Multiline Retail – 0.3% | ||||||||
15,800 | Big Lots, Inc. | 752,080 | ||||||
5,540 | Ollie’s Bargain Outlet Holdings, Inc.* | 482,479 | ||||||
|
| |||||||
1,234,559 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.0% | ||||||||
27,550 | Ardmore Shipping Corp. | 77,140 | ||||||
8,100 | Berry Corp. | 21,222 | ||||||
11,850 | DHT Holdings, Inc. | 56,998 | ||||||
26,600 | Diamond S Shipping, Inc.* | 150,556 | ||||||
21,763 | Diamondback Energy, Inc. | 564,967 | ||||||
19,700 | International Seaways, Inc. | 266,738 | ||||||
35,563 | Parsley Energy, Inc. Class A | 355,986 | ||||||
12,100 | Range Resources Corp. | 79,618 | ||||||
127,877 | World Fuel Services Corp. | 2,691,811 | ||||||
|
| |||||||
4,265,036 | ||||||||
|
| |||||||
Paper & Forest Products – 0.6% | ||||||||
20,000 | Boise Cascade Co. | 767,600 | ||||||
9,700 | Louisiana-Pacific Corp. | 277,226 | ||||||
44,053 | Schweitzer-Mauduit International, Inc. | 1,462,560 | ||||||
7,200 | Verso Corp. Class A | 56,016 | ||||||
|
| |||||||
2,563,402 | ||||||||
|
| |||||||
Personal Products – 0.6% | ||||||||
50,600 | BellRing Brands, Inc. Class A* | 925,474 | ||||||
46,360 | elf Beauty, Inc.* | 939,717 | ||||||
800 | Medifast, Inc. | 112,392 | ||||||
3,500 | Nu Skin Enterprises, Inc. Class A | 172,725 | ||||||
6,900 | USANA Health Sciences, Inc.* | 521,985 | ||||||
|
| |||||||
2,672,293 | ||||||||
|
| |||||||
Pharmaceuticals* – 1.2% | ||||||||
110,100 | Amneal Pharmaceuticals, Inc. | 458,016 | ||||||
20,100 | Amphastar Pharmaceuticals, Inc. | 393,759 | ||||||
28,483 | Catalent, Inc. | 2,499,953 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals* – (continued) | ||||||||
3,760 | GW Pharmaceuticals PLC ADR | 338,438 | ||||||
1,550 | Horizon Therapeutics PLC | 116,141 | ||||||
900 | Innoviva, Inc. | 9,729 | ||||||
14,800 | Osmotica Pharmaceuticals PLC | 75,924 | ||||||
25,600 | Prestige Consumer Healthcare, Inc. | 845,568 | ||||||
37,050 | Supernus Pharmaceuticals, Inc. | 680,238 | ||||||
|
| |||||||
5,417,766 | ||||||||
|
| |||||||
Professional Services – 2.0% | ||||||||
36,764 | ASGN, Inc.* | 2,451,424 | ||||||
7,850 | Barrett Business Services, Inc. | 465,112 | ||||||
36,531 | FTI Consulting, Inc.* | 3,596,842 | ||||||
22,700 | Kelly Services, Inc. Class A | 394,526 | ||||||
11,900 | Kforce, Inc. | 412,930 | ||||||
12,290 | Korn Ferry | 371,035 | ||||||
4,176 | ManpowerGroup, Inc. | 283,425 | ||||||
9,200 | TriNet Group, Inc.* | 634,064 | ||||||
|
| |||||||
8,609,358 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.2% | ||||||||
1,500 | eXp World Holdings, Inc.* | 63,585 | ||||||
4,315 | Jones Lang LaSalle, Inc. | 486,991 | ||||||
36,800 | Newmark Group, Inc. Class A | 174,248 | ||||||
9,300 | The RMR Group, Inc. Class A | 247,938 | ||||||
|
| |||||||
972,762 | ||||||||
|
| |||||||
Road & Rail – 0.6% | ||||||||
14,457 | Knight-Swift Transportation Holdings, Inc. | 549,221 | ||||||
3,083 | Landstar System, Inc. | 384,450 | ||||||
5,710 | Saia, Inc.* | 843,139 | ||||||
22,900 | Werner Enterprises, Inc. | 870,658 | ||||||
|
| |||||||
2,647,468 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.1% | ||||||||
10,510 | Advanced Energy Industries, Inc.* | 709,110 | ||||||
11,800 | Amkor Technology, Inc.* | 139,830 | ||||||
3,350 | Brooks Automation, Inc. | 156,445 | ||||||
19,497 | CMC Materials, Inc. | 2,772,278 | ||||||
19,679 | Entegris, Inc. | 1,471,399 | ||||||
34,950 | FormFactor, Inc.* | 990,833 | ||||||
90,489 | Lattice Semiconductor Corp.* | 3,158,066 | ||||||
22,140 | MACOM Technology Solutions Holdings, Inc.* | 808,110 | ||||||
3,000 | Photronics, Inc.* | 29,250 | ||||||
18,400 | Semtech Corp.* | 1,009,976 | ||||||
6,590 | Silicon Laboratories, Inc.* | 675,211 | ||||||
10,700 | Synaptics, Inc.* | 820,369 | ||||||
52,567 | Ultra Clean Holdings, Inc.* | 1,119,151 | ||||||
|
| |||||||
13,860,028 | ||||||||
|
| |||||||
Software – 6.2% | ||||||||
40,800 | A10 Networks, Inc.* | 274,992 | ||||||
18,020 | ACI Worldwide, Inc.* | 525,643 | ||||||
5,382 | Aspen Technology, Inc.* | 590,997 | ||||||
65,480 | Avaya Holdings Corp.* | 1,126,256 | ||||||
|
|
28 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software – (continued) | ||||||||
20,076 | Blackline, Inc.* | $ | 1,961,024 | |||||
11,700 | Box, Inc. Class A* | 181,350 | ||||||
21,200 | ChannelAdvisor Corp.* | 343,440 | ||||||
36,700 | Cloudera, Inc.* | 356,724 | ||||||
11,150 | CommVault Systems, Inc.* | 441,429 | ||||||
24,826 | Dynatrace, Inc.* | 876,606 | ||||||
8,100 | eGain Corp.* | 128,385 | ||||||
36,060 | Envestnet, Inc.* | 2,767,244 | ||||||
9,690 | Everbridge, Inc.* | 1,014,446 | ||||||
4,580 | Five9, Inc.* | 694,878 | ||||||
5,045 | Guidewire Software, Inc.* | 484,875 | ||||||
11,250 | j2 Global, Inc.* | 763,650 | ||||||
3,800 | MicroStrategy, Inc. Class A* | 634,866 | ||||||
51,302 | Mimecast Ltd.* | 1,960,249 | ||||||
52,600 | Mitek Systems, Inc.* | 654,870 | ||||||
54,813 | Nuance Communications, Inc.* | 1,749,083 | ||||||
10,700 | OneSpan, Inc.* | 234,651 | ||||||
24,200 | Progress Software Corp. | 880,154 | ||||||
17,130 | PROS Holdings, Inc.* | 482,552 | ||||||
8,877 | Q2 Holdings, Inc.* | 809,937 | ||||||
600 | Qualys, Inc.* | 52,710 | ||||||
3,900 | Sapiens International Corp. NV | 105,807 | ||||||
13,350 | SPS Commerce, Inc.* | 1,142,627 | ||||||
10,051 | Sumo Logic, Inc.* | 173,681 | ||||||
10,350 | Telenav, Inc.* | 42,125 | ||||||
13,760 | Varonis Systems, Inc.* | 1,590,243 | ||||||
16,500 | Verint Systems, Inc.* | 800,580 | ||||||
47,245 | Workiva, Inc.* | 2,613,121 | ||||||
108,075 | Zuora, Inc. Class A* | 1,039,682 | ||||||
|
| |||||||
27,498,877 | ||||||||
|
| |||||||
Specialty Retail – 2.5% | ||||||||
7,500 | Aaron’s Holdings Co., Inc. | 391,950 | ||||||
1,000 | America’s Car-Mart, Inc.* | 86,520 | ||||||
10,000 | Asbury Automotive Group, Inc.* | 1,029,800 | ||||||
36,514 | Foot Locker, Inc. | 1,346,636 | ||||||
5,800 | Hibbett Sports, Inc.* | 219,298 | ||||||
15,644 | Lithia Motors, Inc. Class A | 3,591,393 | ||||||
14,900 | MarineMax, Inc.* | 446,702 | ||||||
8,000 | Murphy USA, Inc.* | 978,320 | ||||||
50,212 | National Vision Holdings, Inc.* | 2,025,050 | ||||||
11,800 | Sonic Automotive, Inc. Class A | 425,508 | ||||||
13,500 | The Buckle, Inc. | 323,460 | ||||||
3,300 | Urban Outfitters, Inc.* | 73,722 | ||||||
6,400 | Zumiez, Inc.* | 179,200 | ||||||
|
| |||||||
11,117,559 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals* – 0.3% | ||||||||
61,568 | NCR Corp. | 1,251,062 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||
8,220 | Canada Goose Holdings, Inc.* | 256,300 | ||||||
5,650 | Deckers Outdoor Corp.* | 1,431,540 | ||||||
74,356 | Hanesbrands, Inc. | 1,194,901 | ||||||
3,900 | Kontoor Brands, Inc.* | 128,310 | ||||||
48,076 | Skechers U.S.A., Inc. Class A* | 1,524,490 | ||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – (continued) | ||||||||
41,123 | Steven Madden Ltd. | $ | 987,363 | |||||
5,100 | Vera Bradley, Inc.* | 32,334 | ||||||
|
| |||||||
5,555,238 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 2.6% | ||||||||
3,100 | Axos Financial, Inc.* | 84,506 | ||||||
51,392 | Essent Group Ltd. | 2,047,971 | ||||||
6,087 | Federal Agricultural Mortgage Corp. Class C | 393,159 | ||||||
7,500 | Flagstar Bancorp, Inc. | 220,125 | ||||||
2,800 | HomeStreet, Inc. | 86,996 | ||||||
4,350 | Merchants Bancorp | 93,873 | ||||||
58,534 | Mr Cooper Group, Inc.* | 1,233,897 | ||||||
52,857 | NMI Holdings, Inc. Class A* | 1,135,897 | ||||||
25,613 | PennyMac Financial Services, Inc. | 1,301,652 | ||||||
2,200 | Premier Financial Corp. | 39,578 | ||||||
59,794 | Walker & Dunlop, Inc. | 3,759,847 | ||||||
35,289 | Washington Federal, Inc. | 751,303 | ||||||
4,400 | WSFS Financial Corp. | 139,436 | ||||||
|
| |||||||
11,288,240 | ||||||||
|
| |||||||
Tobacco – 0.2% | ||||||||
2,050 | Turning Point Brands, Inc. | 76,814 | ||||||
23,159 | Universal Corp. | 922,886 | ||||||
|
| |||||||
999,700 | ||||||||
|
| |||||||
Trading Companies & Distributors – 2.4% | ||||||||
33,000 | Air Lease Corp. | 898,920 | ||||||
9,800 | Applied Industrial Technologies, Inc. | 598,290 | ||||||
40,390 | BMC Stock Holdings, Inc.* | 1,599,040 | ||||||
18,850 | Foundation Building Materials, Inc.* | 274,456 | ||||||
37,150 | GMS, Inc.* | 839,590 | ||||||
26,755 | HD Supply Holdings, Inc.* | 1,066,454 | ||||||
88,197 | Nesco Holdings, Inc.* | 366,018 | ||||||
28,118 | SiteOne Landscape Supply, Inc.* | 3,359,820 | ||||||
33,979 | WESCO International, Inc.* | 1,401,294 | ||||||
|
| |||||||
10,403,882 | ||||||||
|
| |||||||
Water Utilities – 0.2% | ||||||||
11,150 | American States Water Co. | 832,793 | ||||||
3,550 | Artesian Resources Corp. Class A | 125,067 | ||||||
|
| |||||||
957,860 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.0% | ||||||||
3,400 | Shenandoah Telecommunications Co. | 148,308 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $374,664,652) | $ | 423,287,325 | ||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||
U.S. Treasury Obligation(a)(b) – 0.2% | ||||||||||
United States Treasury Bills |
| |||||||||
$625,000 | 0.000% | 12/17/20 | $ | 624,930 | ||||||
(Cost $624,926) | ||||||||||
|
The accompanying notes are an integral part of these financial statements. | 29 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Dividend Rate | Value | ||||
Investment Company(c) – 5.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
22,519,566 | 0.028% | $ | 22,519,566 | |||
(Cost $22,519,566) | ||||||
| ||||||
TOTAL INVESTMENTS – 101.2% |
| |||||
(Cost $397,809,144) | $ | 446,431,821 | ||||
| ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (1.2)% | (5,117,369 | ) | ||||
| ||||||
NET ASSETS – 100.0% | $ | 441,314,452 | ||||
|
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) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
E-mini Russell 2000 Index | 42 | 12/18/20 | $ | 3,227,280 | $ | (171,867 | ) |
30 | The accompanying notes are an integral part of these financial statements. |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Assets and Liabilities
October 31, 2020
Multi-Manager International Equity Fund | Multi-Manager US Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||
Assets: |
| |||||||||||||
Investments, at value (cost $763,139,683, $98,936,414 and $375,289,578, respectively) | $ | 861,145,765 | $ | 126,703,354 | $ | 423,912,255 | ||||||||
Investments of affiliated issuers, at value (cost $24,436,920, $4,388,467 and $22,519,566, respectively) | 24,436,920 | 4,388,467 | 22,519,566 | |||||||||||
Foreign currencies, at value (cost $343,301, $63 and $0, respectively) | 474,832 | 63 | — | |||||||||||
Cash | 498,701 | 94,217 | — | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | — | 81,507 | — | |||||||||||
Receivables: |
| |||||||||||||
Investments sold | 1,896,609 | 258,940 | 18,224,302 | |||||||||||
Foreign tax reclaims | 1,850,091 | 284 | — | |||||||||||
Dividends | 1,259,012 | 85,864 | 103,782 | |||||||||||
Investments sold on an extended — settlement basis | 362,327 | — | — | |||||||||||
Fund shares sold | 325,000 | 55,000 | 45,000 | |||||||||||
Reimbursement from investment adviser | 35,162 | 63,847 | — | |||||||||||
Collateral on certain derivative contracts(a) | — | 130,000 | — | |||||||||||
Other assets | 37,700 | 13,494 | 18,419 | |||||||||||
Total assets | 892,322,119 | 131,875,037 | 464,823,324 | |||||||||||
Liabilities: |
| |||||||||||||
Due to custodian | — | 4,721 | 834,020 | |||||||||||
Variation margin on futures contracts | — | — | 45,312 | |||||||||||
Unrealized loss on forward foreign currency exchange contracts | — | 21,892 | — | |||||||||||
Payables: |
| |||||||||||||
Investments purchased | 4,068,469 | 338,046 | 22,024,373 | |||||||||||
Investments purchased on an extended — settlement basis | 372,434 | — | — | |||||||||||
Management fees | 343,859 | 73,319 | 213,267 | |||||||||||
Fund shares redeemed | 330,000 | — | — | |||||||||||
Transfer Agency fees | 15,720 | 2,357 | 7,672 | |||||||||||
Accrued expenses and other liabilities | 832,593 | 368,645 | 384,228 | |||||||||||
Total liabilities | 5,963,075 | 808,980 | 23,508,872 | |||||||||||
Net Assets: |
| |||||||||||||
Paid-in capital | 828,142,602 | 97,970,964 | 412,313,390 | |||||||||||
Total distributable earnings | 58,216,442 | 33,095,093 | 29,001,062 | |||||||||||
NET ASSETS | $ | 886,359,044 | $ | 131,066,057 | $ | 441,314,452 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 79,411,374 | 11,190,280 | 36,359,407 | |||||||||||
Net asset value, offering and redemption price per share: | $11.16 | $11.71 | $12.14 |
(a) | Segregated for collateral on forward foreign currency exchange transactions. |
The accompanying notes are an integral part of these financial statements. | 31 |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2020
Multi-Manager International Equity Fund | Multi-Manager US Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||
Investment income: | ||||||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $1,859,496, $3,586 and $10,608, respectively) | $ | 15,250,098 | $ | 2,470,030 | $ | 4,562,936 | ||||||||
Non-cash dividends — unaffiliated issuers | 1,008,788 | — | — | |||||||||||
Dividends — affiliated issuers | 168,759 | 44,090 | 104,363 | |||||||||||
Interest | — | — | 31,604 | |||||||||||
Total investment income | 16,427,645 | 2,514,120 | 4,698,903 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 5,038,195 | 1,264,139 | 2,924,851 | |||||||||||
Custody, accounting and administrative services | 600,366 | 346,165 | 354,908 | |||||||||||
Professional fees | 230,199 | 207,802 | 232,005 | |||||||||||
Transfer Agency fees | 167,940 | 31,603 | 77,996 | |||||||||||
Registration fees | 46,688 | 26,492 | 37,698 | |||||||||||
Trustee fees | 43,163 | 32,448 | 35,878 | |||||||||||
Printing and mailing costs | 33,865 | 18,889 | 23,487 | |||||||||||
Other | 36,807 | 7,774 | 18,934 | |||||||||||
Total expenses | 6,197,223 | 1,935,312 | 3,705,757 | |||||||||||
Less — expense reductions | (1,453,855 | ) | (696,925 | ) | (716,289 | ) | ||||||||
Net expenses | 4,743,368 | 1,238,387 | 2,989,468 | |||||||||||
NET INVESTMENT INCOME | 11,684,277 | 1,275,733 | 1,709,435 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: |
| |||||||||||||
Investments — unaffiliated issuers (including commission recapture of $17,032, $323, $0, respectively) | (38,788,890 | ) | 6,029,631 | (14,583,889 | ) | |||||||||
Futures contracts | — | — | (749,491 | ) | ||||||||||
Forward foreign currency exchange contracts | 12,709 | (212,039 | ) | — | ||||||||||
Foreign currency transactions | (117,054 | ) | (8,752 | ) | (14 | ) | ||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||
Investments — unaffiliated issuers | 13,270,873 | (7,548,966 | ) | 6,625,871 | ||||||||||
Futures contracts | — | — | (293,195 | ) | ||||||||||
Forward foreign currency exchange contracts | (24 | ) | 153,719 | — | ||||||||||
Foreign currency translation | 97,039 | 598 | — | |||||||||||
Net realized and unrealized loss | (25,525,347 | ) | (1,585,809 | ) | (9,000,718 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (13,841,070 | ) | $ | (310,076 | ) | $ | (7,291,283 | ) |
32 | The accompanying notes are an integral part of these financial statements. |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Changes in Net Assets
Multi-Manager International Equity Fund | Multi-Manager US Dynamic Equity Fund | |||||||||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 11,684,277 | $ | 17,857,767 | $ | 1,275,733 | $ | 1,555,248 | ||||||||||||||
Net realized gain (loss) | (38,893,235 | ) | (4,469,722 | ) | 5,808,840 | 7,880,792 | ||||||||||||||||
Net change in unrealized gain (loss) | 13,367,888 | 75,079,269 | (7,394,649 | ) | 12,968,737 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (13,841,070 | ) | 88,467,314 | (310,076 | ) | 22,404,777 | ||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings | (20,286,707 | ) | (24,585,380 | ) | (8,979,771 | ) | (10,236,864 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 233,465,188 | 171,615,977 | 14,352,000 | 13,268,000 | ||||||||||||||||||
Reinvestment of distributions | 20,286,707 | 24,585,380 | 8,979,771 | 10,236,864 | ||||||||||||||||||
Cost of shares redeemed | (156,469,045 | ) | (63,850,569 | ) | (54,552,382 | ) | (24,622,918 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 97,282,850 | 132,350,788 | (31,220,611 | ) | (1,118,054 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) | 63,155,073 | 196,232,722 | (40,510,458 | ) | 11,049,859 | |||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of year | 823,203,971 | 626,971,249 | 171,576,515 | 160,526,656 | ||||||||||||||||||
End of year | $ | 886,359,044 | $ | 823,203,971 | $ | 131,066,057 | $ | 171,576,515 |
The accompanying notes are an integral part of these financial statements. | 33 |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Changes in Net Assets (continued)
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 1,709,435 | $ | 2,125,570 | ||||||
Net realized gain (loss) | (15,333,394 | ) | 7,086,592 | |||||||
Net change in unrealized gain | 6,332,676 | 24,908,734 | ||||||||
Net increase (decrease) in net assets resulting from operations | (7,291,283 | ) | 34,120,896 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings | (12,257,751 | ) | (8,948,144 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 154,170,464 | 60,002,243 | ||||||||
Reinvestment of distributions | 12,257,751 | 8,948,144 | ||||||||
Cost of shares redeemed | (83,462,509 | ) | (34,391,380 | ) | ||||||
Net increase in net assets resulting from share transactions | 82,965,706 | 34,559,007 | ||||||||
TOTAL INCREASE | 63,416,672 | 59,731,759 | ||||||||
Net assets: | ||||||||||
Beginning of year | 377,897,780 | 318,166,021 | ||||||||
End of year | $ | 441,314,452 | $ | 377,897,780 |
34 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Selected Share Data for a Share Outstanding Throughout Each Year
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | 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. | 35 |
MULTI-MANAGER U.S. DYNAMIC EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from a special dividend which amounted to $0.01 per share and 0.17% of average net assets. |
(c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | 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. |
36 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(a) | Commenced operations on April 29, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.23% of average net assets. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 37 |
ACTIVE EQUITY MULTI-MANAGER FUNDS
October 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust II (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Multi-Manager International Equity | Class P | Diversified | ||
Multi-Manager U.S. Dynamic Equity | Class P | Diversified | ||
Multi-Manager U.S. Small Cap Equity | Class P | Diversified |
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 (each, an “Agreement”) with the Trust. As of October 31, 2020, GSAM had sub-advisory agreements (the “Sub-Advisory Agreements”) for the Multi-Manager International Equity Fund with Causeway Capital Management LLC, Massachusetts Financial Services Company, doing business as MFS Investment Management and WCM Investment Management, LLC; for the Multi-Manager U.S. Dynamic Equity Fund with Artisan Partners Limited Partnership, Lazard Asset Management LLC, Sirios Capital Management, L.P., Smead Capital Management, Inc., and Vaughan Nelson Investment Management, L.P. and for the Multi- Manager U.S. Small Cap Equity Fund with Boston Partners Global Investors Inc., Brown Advisory, LLC, QMA LLC and Victory Capital Management, Inc., (the “Underlying Managers”). Pursuant to the terms of the Sub-Advisory Agreements, the Underlying Managers are responsible for making investment decisions and managing the investments of the applicable Fund. GSAM compensates the Underlying Managers directly in accordance with the terms of the applicable Sub-Advisory Agreements. The Funds are not charged any separate or additional investment advisory fees by the Underlying Managers.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT. For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
38
ACTIVE EQUITY MULTI-MANAGER FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
C. Expenses — Expenses incurred directly by a Fund are charged to the Fund, and certain 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, and are accrued daily.
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 annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
39
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying 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. 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
40
ACTIVE EQUITY MULTI-MANAGER FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
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 October 31, 2020:
MULTI-MANAGER INTERNATIONAL EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 32,073,491 | $ | 163,424,987 | $ | — | ||||||
Australia and Oceania | — | 7,727,997 | — | |||||||||
Europe | 37,373,534 | 554,473,661 | — | |||||||||
North America | 50,216,019 | — | — | |||||||||
South America | 10,513,140 | — | — | |||||||||
Rights | — | 5,342,936 | — | |||||||||
Investment Company | 24,436,920 | — | — | |||||||||
Total | $ | 154,613,104 | $ | 730,969,581 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
41
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER U.S. DYNAMIC EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Europe | $ | 8,037,380 | $ | 3,448,447 | $ | — | ||||||
North America | 115,217,527 | — | — | |||||||||
Investment Company | 4,388,467 | — | — | |||||||||
Total | $ | 127,643,374 | $ | 3,448,447 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 81,507 | $ | — | ||||||
Liabilities(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (21,892 | ) | $ | — | |||||
MULTI-MANAGER U.S. SMALL CAP EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | $ | 3,311,878 | $ | — | $ | — | ||||||
Australia and Oceania | 258,318 | — | — | |||||||||
Europe | 4,289,245 | — | — | |||||||||
North America | 414,765,369 | — | — | |||||||||
South America | 662,515 | — | — | |||||||||
Fixed Income |
| |||||||||||
U.S. Treasury Obligations | 624,930 | — | — | |||||||||
Investment Company | 22,519,566 | — | — | |||||||||
Total | $ | 446,431,821 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Liabilities(b) |
| |||||||||||
Futures Contracts | $ | (171,867 | ) | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
42
ACTIVE EQUITY MULTI-MANAGER FUNDS
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 October 31, 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.
Multi-Manager U.S. Dynamic Equity Fund | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 81,507 | Payable for unrealized gain on forward foreign currency exchange contracts | $ | (21,892) | ||||||
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Equity | — | $ | — | Variation margin on futures contracts | $ | (171,867) | (a) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 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:
Multi-Manager International Equity Fund | ||||||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | 12,709 | $ | (24 | ) | 1 | |||||||
Multi-Manager U.S. Dynamic Fund | ||||||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | (212,039 | ) | $ | 153,719 | 21 | |||||||
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized loss from futures contracts/Net unrealized gain (loss) on futures contracts | $ | (749,491 | ) | $ | (293,195 | ) | 44 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2020. |
43
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
October 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2020, contractual and effective net management fees with GSAM were at the following rates:
Management Rate | ||||||||||
Fund | Contractual Management Rate | Effective Net Management Rate*^ | ||||||||
Multi-Manager International Equity | 0.60 | % | 0.44 | % | ||||||
Multi-Manager U.S. Dynamic Equity | 0.80 | 0.63 | ||||||||
Multi-Manager U.S. Small Cap Equity | 0.75 | 0.57 |
* | GSAM has agreed to waive a portion of its management fee for each Fund in order to achieve an effective net management fee rate that is equal to the actual cost of fees paid to the Fund’s Underlying Managers. These arrangements will remain in effect through at least February 28, 2021, and prior to such date, GSAM may not terminate the applicable arrangement without the approval of the Trustees. |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest. For the fiscal year ended October 31, 2020, GSAM waived $42,917, $9,950, and $28,098 of the management fee for the Multi-Manager International Equity, Multi-Manager U.S. Dynamic Equity and Multi-Manager U.S. Small Cap Equity Funds, respectively.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.02% of the average daily net assets of Class P Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit each Fund’s “Total Annual Operating Expenses” (excluding acquired fund fees and expenses, 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 Total Annual Operating 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 Total Annual Operating Expense limitations as an annual percentage rate of average daily net assets for the Multi-Manager International Equity, Multi-Manager U.S. Dynamic Equity and Multi-Manager U.S. Small Cap Equity Funds are 0.57%, 0.79% and 0.80%, respectively. These Other Expense limitations will remain in place through at least February 28, 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 transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Total Annual Operating Expense” limitations described above.
44
ACTIVE EQUITY MULTI-MANAGER FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2020, these expense reductions, including any fee waivers and Total Annual Operating Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Reimbursements | Total Annual Operating Reductions | |||||||||||
Multi-Manager International Equity | $ | 1,379,917 | $ | 73,938 | $ | 1,453,855 | ||||||||
Multi-Manager U.S. Dynamic Equity | 269,372 | 427,553 | 696,925 | |||||||||||
Multi-Manager U.S. Small Cap Equity | 716,289 | — | 716,289 |
D. Line of Credit Facility — As of October 31, 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. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2020, the Funds did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
E. Other Transactions with Affiliates — For the fiscal year ended October 31, 2020, Goldman Sachs earned $1,744, $30 and $1,702 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Multi-Manager International Equity, Multi-Manager U.S. Dynamic Equity, and Multi-Manager U.S. Small Cap Equity Funds, respectively.
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended October 31, 2020:
Fund | Market Value as of October 31, | Purchases at Cost | Proceeds from Sales | Market Value as of October 31, | Shares as of October 31, | Dividend Income | ||||||||||||||||
Multi-Manager International Equity | $22,489,043 | $ | 641,938,179 | $ | (639,990,302 | ) | $ | 24,436,920 | 24,436,920 | $ | 168,759 | |||||||||||
Multi-Manager U.S. Dynamic Equity | 8,028,001 | 100,830,018 | (104,469,552 | ) | 4,388,467 | 4,388,467 | 44,090 | |||||||||||||||
Multi-Manager U.S. Small Cap Equity | 17,650,494 | 322,026,204 | (317,157,132 | ) | 22,519,566 | 22,519,566 | 104,363 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2020, were as follows:
Fund | Purchases | Sales and Maturities | ||||||||
Multi-Manager International Equity | $ | 512,625,594 | $ | 422,229,450 | ||||||
Multi-Manager U.S. Dynamic Equity | 164,616,108 | 199,972,684 | ||||||||
Multi-Manager U.S. Small Cap Equity | 392,476,202 | 317,255,199 |
45
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
October 31, 2020
7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2020 was as follows:
Multi-Manager International Equity Fund | Multi-Manager U.S. Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
Distribution paid from: | ||||||||||||
Ordinary income | $ | 19,137,491 | $ | 4,125,848 | $ | 2,259,775 | ||||||
Net long-term capital gains | 1,149,216 | 4,853,923 | 9,997,976 | |||||||||
Total taxable distributions | $ | 20,286,707 | $ | 8,979,771 | $ | 12,257,751 |
The tax character of distributions paid during the fiscal year ended October 31, 2019 was as follows:
Multi-Manager International Equity Fund | Multi-Manager U.S. Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
Distribution paid from: | ||||||||||||
Ordinary income | $ | 11,615,633 | $ | 4,504,389 | $ | 3,721,929 | ||||||
Net long-term capital gains | 12,969,747 | 5,732,475 | 5,226,215 | |||||||||
Total taxable distributions | $ | 24,585,380 | $ | 10,236,864 | $ | 8,948,144 |
As of October 31, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Multi-Manager International Equity Fund | Multi-Manager U.S. Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
Undistributed ordinary income — net | $ | 9,660,841 | $ | 881,357 | $ | 929,658 | ||||||
Undistributed long-term capital gains | — | 7,996,006 | — | |||||||||
Total undistributed earnings | $ | 9,660,841 | $ | 8,877,363 | $ | 929,658 | ||||||
Capital loss carryforwards | $ | (17,919,843 | ) | $ | — | $ | (9,050,569 | ) | ||||
Timing differences | 3 | — | — | |||||||||
Unrealized gains — net | 66,475,441 | 24,217,730 | 37,121,973 | |||||||||
Total accumulated earnings net | $ | 58,216,442 | $ | 33,095,093 | $ | 29,001,062 |
Multi-Manager International Equity Fund | Multi-Manager U.S. Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
Capital loss carryforwards: | ||||||||||||
Perpetual Short-Term | $ | — | $ | — | $ | (976,590 | ) | |||||
Perpetual Long-Term | (17,919,843 | ) | — | (8,073,979 | ) | |||||||
Total capital loss carryforwards | $ | (17,919,843 | ) | $ | — | $ | (9,050,569 | ) |
46
ACTIVE EQUITY MULTI-MANAGER FUNDS
7. TAX INFORMATION (continued) |
As of October 31, 2020, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Multi-Manager International Equity Fund | Multi-Manager U.S. Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
Tax Cost | $ | 819,065,363 | $ | 106,933,914 | $ | 409,137,981 | ||||||
Gross unrealized gain | 133,159,362 | 26,505,761 | 63,648,766 | |||||||||
Gross unrealized loss | (66,683,921 | ) | (2,288,031 | ) | �� | (26,526,793 | ) | |||||
Net unrealized gains (losses) | $ | 66,475,441 | $ | 24,217,730 | $ | 37,121,973 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts, net mark to market gains/(losses) on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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 a 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 a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If a 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 a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market
47
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
October 31, 2020
8. OTHER RISKS (continued) |
countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
Market and Credit Risk — 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.
Multi-Manager Approach Risk — The Funds’ performance depends on the ability of the Investment Adviser in selecting, overseeing, and allocating Fund assets to the Underlying Managers. The Underlying Managers’ investment styles may not always be complementary. The Funds’ multi-manager approach may result in the Fund investing a significant percentage of its assets in certain types of investments, which could be beneficial or detrimental to the Funds’ performance depending on the performance of
48
ACTIVE EQUITY MULTI-MANAGER FUNDS
8. OTHER RISKS (continued) |
those investments and the overall market environment. The Funds’ Underlying Managers may underperform the market generally or underperform other investment managers that could have been selected for the Funds. Because the Funds’ Underlying Managers may trade with counterparties, prime brokers, clearing brokers or futures commission merchants on terms that are different than those on which the Investment Adviser would trade, and because each Underlying Manager applies its own risk analysis in evaluating potential counterparties for the Funds, the Funds may be subject to greater counterparty risk than if they were managed directly by the Investment Adviser.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS |
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
11. SUBSEQUENT EVENTS |
On Wednesday, December 23, 2020, the Multi-Manager U.S. Dynamic Equity Fund received instructions from shareholders to redeem 100% of the Fund’s outstanding shares. GSAM currently intends to request that the Fund’s Board of Trustees approve the termination of the Fund in 2021.
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi-Manager International Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 21,296,099 | $ | 233,465,188 | 15,694,040 | $ | 171,615,977 | ||||||||||
Reinvestment of distributions | 1,674,735 | 20,286,707 | 2,457,124 | 24,585,380 | ||||||||||||
Shares redeemed | (13,946,622 | ) | (156,469,045 | ) | (5,792,905 | ) | (63,850,569 | ) | ||||||||
NET INCREASE | 9,024,212 | $ | 97,282,850 | 12,358,259 | $ | 132,350,788 |
49
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
October 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Multi-Manager U.S. Dynamic Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,393,172 | $ | 14,352,000 | 1,130,475 | $ | 13,268,000 | ||||||||||
Reinvestment of distributions | 720,224 | 8,979,771 | 961,226 | 10,236,864 | ||||||||||||
Shares redeemed | (4,695,430 | ) | (54,552,382 | ) | (2,106,932 | ) | (24,622,918 | ) | ||||||||
NET DECREASE | (2,582,034 | ) | $ | (31,220,611 | ) | (15,231 | ) | $ | (1,118,054 | ) |
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 14,235,882 | $ | 154,170,464 | 4,779,300 | $ | 60,002,243 | ||||||||||
Reinvestment of distributions | 895,132 | 12,257,751 | 794,190 | 8,948,144 | ||||||||||||
Shares redeemed | (7,156,901 | ) | (83,462,509 | ) | (2,850,471 | ) | (34,391,380 | ) | ||||||||
NET INCREASE | 7,974,113 | $ | 82,965,706 | 2,723,019 | $ | 34,559,007 |
50
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust II and Shareholders of Multi-Manager International Equity Fund, Multi-Manager U.S. Dynamic Equity Fund, and Multi-Manager U.S. Small Cap Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Multi-Manager International Equity Fund, Multi-Manager U.S. Dynamic Equity Fund, and Multi-Manager U.S. Small Cap Equity Fund (three of the funds constituting Goldman Sachs Trust II, hereafter collectively referred to as the “Funds”) as of October 31, 2020, the related statements of operations for the year ended October 31, 2020, the statements of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
51
ACTIVE EQUITY MULTI-MANAGER FUNDS
Fund Expenses — Six Month Period Ended October 31, 2020 (Unaudited)
As a shareholder of Class P Shares of the Funds, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments, and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in 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 May 1, 2020 through October 31, 2020, which represents a period of 184 days in 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 ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. 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.
Multi-Manager International Equity Fund | Multi-Manager U.S. Dynamic Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | |||||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,110.45 | $ | 2.97 | $ | 1,000.00 | $ | 1,099.53 | $ | 4.12 | $ | 1,000.00 | $ | 1,172.90 | $ | 4.15 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.32 | + | 2.85 | 1,000.00 | 1,021.22 | + | 3.96 | 1,000.00 | 1,021.32 | + | 3.86 |
+ | 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 for each share class 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 October 31, 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 | Class P | |||||||||||||||||||
Multi-Manager International Equity Fund | 0.56 | % | ||||||||||||||||||
Multi-Manager U.S. Dynamic Equity Fund | 0.78 | |||||||||||||||||||
Multi-Manager U.S. Small Cap Equity Fund | 0.77 |
52
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited)
Background
The Multi-Manager International Equity Fund, Multi-Manager U.S. Dynamic Equity Fund, and Multi-Manager U.S. Small Cap Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust II (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. Each Fund employs a “manager of managers” structure, whereby Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) is responsible for selecting sub-advisers (subject to Board approval), allocating the Fund’s assets among them, and overseeing their day-to-day management of Fund assets. The Board determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with the Investment Adviser on behalf of the Funds.
The Management Agreement was most recently approved for continuation until August 31, 2021 by the Board, 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 August 10-11, 2020 (the “Annual Meeting”). At the Annual Meeting, the Board also considered the sub-advisory agreements (each a “ Designated Sub-Advisory Agreement” and, together with the Management Agreement, the “Agreements”) between the Investment Adviser and (i) each of Causeway Capital Management LLC, Massachusetts Financial Services Company (d/b/a MFS Investment Management), and WCM Investment Management (on behalf of Multi-Manager International Equity Fund); (ii) each of Lazard Asset Management LLC, Sirios Capital Management, L.P., Smead Capital Management, Inc. and Vaughan Nelson Investment Management, L.P. (on behalf of Multi-Manager U.S. Dynamic Equity Fund); and (iii) each of Boston Partners Global Investors, Inc., Brown Advisory LLC and QMA LLC (on behalf of Multi-Manager U.S. Small Cap Equity Fund) (collectively, the “Designated Sub-Advisers”).
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 five 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 and the Designated Sub-Advisory 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, and the Designated Sub-Advisers, including, as applicable, information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and the Designated Sub-Advisers and the Designated Sub-Advisers’ 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”), benchmark performance indices, and commingled investment vehicles with comparable investment strategies managed by the Investment Adviser, as well as 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 |
53
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
(iii) | comparative information on the advisory fees charged and services provided by the Investment Adviser to certain collective investment vehicles that it manages with comparable investment strategies; |
(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 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, portfolio trading, and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | with respect to the Investment Adviser, portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; information on the Designated Sub-Advisers’ compensation arrangements; and the number and types of accounts managed by the portfolio managers; |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (as well as the Designated Sub-Advisers), 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 |
(n) | the Investment Adviser’s and Designated Sub-Advisers’ processes and policies addressing various types of potential conflicts of interest; their approaches 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 and share purchase and redemption activity.
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 Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Funds and the respective services of the Investment Adviser and its affiliates, and the Designated Sub-Advisers. 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. In addition, the Trustees periodically received written materials and oral presentations from the Funds’ various sub-advisers, including the Designated Sub-Advisers. 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. The Trustees reviewed a written response prepared by each Designated Sub-Adviser to a similar request for information submitted to the Designated Sub-Adviser by the Investment Adviser. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. They also recalled presentations received during the past year, which described portfolio management changes for the Funds. 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
54
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates. In addition, the Trustees reviewed the Sub-Adviser oversight process that the Investment Adviser had employed, which included areas such as investment analytics, risk management and compliance.
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, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider. 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 considered the Investment Adviser’s representations that each Fund had significant differences from its Outside Data Provider peer group that caused it to be an imperfect basis for comparison. The Trustees also compared the investment performance of each Fund to the performance of comparable unregistered funds for which the Investment Adviser also serves as investment adviser. They considered that the unregistered funds provide an imperfect performance comparison because they are not subject to the requirements of the Investment Company Act of 1940, as amended.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and the Sub-Advisers’ 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 noted that the Multi-Manager International Equity Fund’s Class P Shares had placed in the fourth quartile of the Fund’s performance peer group for the one-year period, and had outperformed the Fund’s benchmark index for the one-year period ended March 31, 2020. They observed that the Multi-Manager U.S. Dynamic Equity Fund’s Class P Shares had placed in the third quartile of the Fund’s performance peer group for the one-year period, and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2020. The Trustees noted that the Multi-Manager U.S. Small Cap Equity Fund’s Class P Shares had placed in the third quartile of the Fund’s performance peer group, and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement, the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds, as well as additional information provided by the Investment Adviser throughout the year. The analyses provided a comparison of each Fund’s management fee 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 also considered comparative fee information for services provided by the Investment Adviser to collective investment vehicles having investment objectives and policies similar to those of the Funds. The Trustees considered that services provided to the Funds differed in various significant respects from the services provided to these collective investment vehicles, which generally operated under less stringent regulatory and financial reporting requirements and required fewer services from the Investment Adviser. The Trustees concluded that the comparisons provided by the Outside Data Provider and the Investment Adviser were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
The Trustees considered the Investment Adviser’s undertaking to waive a portion of the management fee payable by each Fund. In this regard the Trustees noted that shareholders that are invested in the Funds consist of institutional clients that have entered into a separate management agreement with the Investment Adviser and pay a single management fee for the Investment Adviser’s management of their accounts, and that the Investment Adviser waives a portion of the management fee with respect to each Fund in order to achieve an effective net management fee rate that is equal to the actual cost of fees paid to the Fund’s sub-advisers. They also considered the Investment Adviser’s undertaking to limit each Fund’s total annual operating expenses
55
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
(excluding certain expenses) to a specified level. 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.
The Investment Adviser’s 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 considered that the Funds are offered to the Investment Adviser’s institutional clients as part of an investment model whereby the Funds and other funds act as core “building blocks” with which the client and the Investment Adviser form an investment strategy for the client’s portfolio. The Trustees considered the Investment Adviser’s representations that its clients benefit from this investment model with increased liquidity, increased investment oversight, access to new investment strategies, economies of scale, and reduced complexity in managing client portfolios. The Trustees noted that, pursuant to the model, clients pay a management fee for the Investment Adviser’s management of their accounts, and that the fund-level management fee in excess of the weighted average sub-advisory fees are waived in order to avoid charging two layers of management fees. The Trustees considered that there are no breakpoints in the fee rate payable under the Management Agreement for each of the Funds.
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 (if any); 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 and to limit certain expenses of the Funds that exceed specified levels. The Trustees also considered the relationship between the advisory and sub-advisory fee rate schedules.
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, 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 transactions (in its capacity as clearing broker) and futures transactions on behalf of the Funds; (c) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of the Investment Adviser’s other clients; (d) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (e) the Investment Adviser’s ability to negotiate better pricing with the Funds’ custodian on behalf of its other clients, as a result of the relationship with the Funds; (f) 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; (g) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers (including the Sub-Advisers) 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.
56
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (b) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (c) 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; (d) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (e) access to certain affiliated distribution channels.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the investment management fees paid by each Fund were reasonable in light of the factors considered, and that the Management Agreement, and the terms thereof, should be approved and continued with respect to each Fund until August 31, 2021.
Designated Sub-Advisory Agreements
Nature, Extent, and Quality of the Services Provided Under the Designated Sub-Advisory Agreements and Performance
In evaluating the Designated Sub-Advisory Agreements, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and the Designated Sub-Advisers. In evaluating the nature, extent, and quality of services provided by each Designated Sub-Adviser, the Trustees considered information on the services provided to the Funds by their respective Designated Sub-Advisers, including information about each Designated Sub-Adviser’s (a) personnel and compensation structure; (b) track record in managing the Fund and, if applicable, other funds and/or accounts with investment strategies similar to those employed on behalf of the Funds; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. In this regard, they also considered assessments provided by the Investment Adviser of each Designated Sub-Adviser, the Designated Sub-Adviser’s investment strategies and personnel, and its compliance program. The Trustees also considered information regarding each Designated Sub-Adviser’s business continuity planning and remote operations in the current environment. The Trustees also reviewed the operations and investment performance of each Designated Sub-Adviser’s respective sleeve of the applicable Fund since its inception, including a comparison of each Designated Sub-Adviser to relevant benchmark indices based on various metrics, including realized beta, excess return, alpha, and volatility.
Costs of Services Provided
The Trustees reviewed the terms of each Designated Sub-Advisory Agreement, including the schedule of fees payable to the Designated Sub-Advisers. They considered any breakpoints in the sub-advisory fee rate payable under each Designated Sub-Advisory Agreement. The Trustees noted that the compensation paid to each Designated Sub-Adviser is paid by the Investment Adviser, not by the Funds. The Trustees considered that certain Designated Sub-Advisers had agreed to reduce their sub-advisory fee rate, which benefited shareholders of the applicable Funds in light of the existing management fee waiver arrangement. The Trustees reviewed the blended average of all sub-advisory fees paid by the Investment Adviser with respect to each Fund in light of the overall management fee paid by each Fund. They also considered the Investment Adviser’s undertaking to waive a portion of its management fee which is in excess of the weighted average of each Fund’s sub-advisory fees.
Conclusion
In connection with their consideration of the Designated Sub-Advisory Agreements, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees paid by the Investment Adviser to each Designated Sub-Adviser were reasonable in light of the factors considered, and that each Designated Sub-Advisory Agreement should be approved and continued until August 31, 2021.
57
ACTIVE EQUITY MULTI-MANAGER FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Cheryl K. Beebe Age: 64 | Chair of the Board of Trustees | Since 2017 (Trustee since 2015) | Ms. Beebe is retired. She is Director, Packaging Corporation of America (2008-Present); Director, The Mosaic Company (2019-Present); and was formerly Director, Convergys Corporation (a global leader in customer experience outsourcing) (2015-2018); and formerly held the position of Executive Vice President, (2010-2014); and Chief Financial Officer, Ingredion, Inc. (a leading global ingredient solutions company) (2004-2014).
Chair of the Board of Trustees — Goldman Sachs Trust II. | 19 | Packaging Corporation of America (producer of container board); The Mosaic Company (producer of phosphate and potash fertilizer) | |||||
Lawrence Hughes Age: 62 | Trustee | Since 2016 | Mr. Hughes is retired. Formerly, he held senior management positions with BNY Mellon Wealth Management, a division of The Bank of New York Mellon Corporation (a financial services company) (1991-2015), most recently as Chief Executive Officer (2010-2015). He serves as a Member of the Board of Directors, (2012-Present) and formerly served as Chairman (2012-2019), Ellis Memorial and Eldredge House (a not-for-profit organization). Previously, Mr. Hughes served as an Advisory Board Member of Goldman Sachs Trust II (February 2016-April 2016).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
John F. Killian Age: 65 | Trustee | Since 2015 | Mr. Killian is retired. He is Director, Consolidated Edison, Inc. (2007-Present); Director, Houghton Mifflin Harcourt Publishing Company (2011-Present); and formerly held senior management positions with Verizon Communications, Inc., including Executive Vice President and Chief Financial Officer (2009-2010); and President, Verizon Business, Verizon Communications, Inc. (2005-2009).
Trustee — Goldman Sachs Trust II. | 19 | Consolidated Edison, Inc. (a utility holding company); Houghton Mifflin Harcourt Publishing Company | |||||
Steven D. Krichmar Age: 62 | Trustee | Since 2018 | Mr. Krichmar is retired. Formerly, he held senior management and governance positions with Putnam Investments, LLC, a financial services company (2001-2016). He was most recently Chief of Operations and a member of the Operating Committee of Putnam Investments, LLC and Principal Financial Officer of The Putnam Funds. Previously, Mr. Krichmar served as an Audit Partner with PricewaterhouseCoopers LLP and its predecessor company (1990-2001).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
58
ACTIVE EQUITY MULTI-MANAGER FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | President and Trustee | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 170 | None | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. He holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2020. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2020, Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
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ACTIVE EQUITY MULTI-MANAGER FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 58 | Trustee and President | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust II; Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 52 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer Since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of October 31, 2020. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Active Equity Multi-Manager Funds — Tax Information (Unaudited)
For the year ended October 31, 2020, 0.43%, 59.81% and 100% of the dividends paid from net investment company taxable income by the Multi-Manager International Equity, Multi-Manager U.S. Dynamic Equity, and Multi-Manager U.S. Small Cap Equity Funds qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2020, 0.65% of the dividends paid from net investment company taxable income by the Multi-Manager U.S. Dynamic Equity Fund qualify as section 199A dividends.
For the year ended October 31, 2020, 100%, 59.82% and 100% of the dividends paid from net investment company taxable income by the Multi-Manager International Equity, Multi-Manager U.S. Dynamic Equity, and Multi-Manager U.S. Small Cap Equity Funds qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Multi-Manager International Equity, Multi-Manager U.S. Dynamic Equity, and Multi-Manager U.S. Small Cap Equity Funds designate $1,149,216, $4,853,923 and $9,997,976 or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended October 31, 2020.
From distributions paid during the year ended October 31, 2020, the total amount of income received by Multi-Manager International Equity Fund from sources within foreign countries and possessions of the United States was $0.2792 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Multi-Manager International Equity Fund was 92.70%. The total amount of taxes paid by the Multi-Manager International Equity Fund was $0.0222 per share.
During the fiscal year ended October 31, 2020, the Multi-Manager U.S. Dynamic Equity designates $2,354,668 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
60
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.86 trillion in assets under supervision as of September 30, 2020, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
∎ | Financial Square Treasury Solutions Fund1 |
∎ | Financial Square Government Fund1 |
∎ | Financial Square Money Market Fund2 |
∎ | Financial Square Prime Obligations Fund2 |
∎ | Financial Square Treasury Instruments Fund1 |
∎ | Financial Square Treasury Obligations Fund1 |
∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ | Investor Money Market Fund3 |
∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund4 |
∎ | Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Municipal Income Completion Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
∎ | Defensive Equity Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund6 |
∎ | Emerging Markets Equity Fund |
∎ | Imprint Emerging Markets Opportunities Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund7 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income Fund |
∎ | Multi-Manager U.S. Dynamic Equity Fund |
∎ | Multi-Manager Global Equity Fund |
∎ | Multi-Manager International Equity Fund |
∎ | Tactical Tilt Overlay Fund |
∎ | Balanced Strategy Portfolio |
∎ | Multi-Manager U.S. Small Cap Equity Fund |
∎ | Multi-Manager Real Assets Strategy Fund |
∎ | Growth and Income Strategy Portfolio |
∎ | Growth Strategy Portfolio |
∎ | Dynamic Global Equity Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio8 |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close of business on August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
7 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
8 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Cheryl K. Beebe, Chair Lawrence Hughes John F. Killian Steven D. Krichmar James A. McNamara | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on the Funds’ managements’ 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 most recent 12-month period ended June 30, are 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 1-800-621-2550.
Fund holdings and allocations shown are unaudited, and may not be representative of current or future investments. Fund holdings and allocations may not include a Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Fund holdings and allocations shown are as of October 31, 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.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2020 Goldman Sachs. All rights reserved. 224948-OTU-1321582 MMGRFDSAR-20
Goldman Sachs Funds
Annual Report | October 31, 2020 | |||
GQG Partners International |
It is our intention that beginning on January 1, 2021, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund 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 Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of the Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Fund’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs GQG Partners International Opportunities Fund
1 | ||||
5 | ||||
6 | ||||
7 | ||||
9 | ||||
12 | ||||
19 | ||||
30 | ||||
31 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs GQG Partners International Opportunities Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the portfolio management team of GQG Partners LLC, the Goldman Sachs GQG Partners International Opportunities Fund’s (the “Fund”) sub-adviser, discusses the Fund’s performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 11.66%, 10.87%, 12.06%, 12.00%, 12.09%, 11.32% and 12.08%, respectively. These returns compare to the -2.60% average annual total return of the Fund’s benchmark, the MSCI ACWI ex USA Index (Net, Unhedged) (the “Index”), during the same time period. |
Q | What economic and market factors most influenced the Fund during the Reporting Period? |
A | Global equities recorded a modestly negative absolute return during the Reporting Period, as significant losses in non-U.S. developed equity markets offset gains in emerging markets equities. U.S. stocks generated a positive absolute return during the Reporting Period. |
When the Reporting Period began in November 2019, non-U.S. developed equities and emerging markets equities were rallying, mainly driven by the accommodative stance of various central banks. Also supporting international equities toward the end of 2019 was anticipation of a resolution to the U.S.-China trade war, as each of the two countries reached an agreement in principle on a “Phase One” trade deal in mid-December 2019. Additionally, Brexit negotiations took a turn for the better when the Conservative party won a comfortable majority in the mid-December U.K. Parliamentary elections, clearing the way for the U.K. Prime Minister’s Brexit deal to be ratified before a January 31, 2020 deadline. (Brexit indicates the U.K.’s path out of the European Union.) In the U.S., equity returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market, while fundamentals of low core inflation and reduced trade war tensions fended off imminent recession risk. |
During the first quarter of 2020, global equities broadly sold off as the emergence and rapid spread of COVID-19 raised fears of a worldwide recession. The extent of the spread of what had clearly become a pandemic caused global equity markets to reprice, reflecting lower expectations for global economic growth and corporate earnings. Countries around the world implemented lockdowns to try and flatten the of new infections, with largely all but essential businesses being forced to close. Aside from COVID-19, global equities also faced adverse effects from the start of an oil price dispute between Russia and Saudi Arabia. On March 8, 2020, a week after the Organization of the Petroleum Exporting Countries (“OPEC”) failed to strike a deal with its allies about production cuts, Saudi Arabia announced it would ramp up its production, which caused global oil prices to drop approximately 25% in a single day. |
In a sharp reversal, equity markets around the world rallied during the second calendar quarter. Investors seemed optimistic about a potential global economic recovery, as lockdown measures began to ease, even as many markets faced some headwinds from weak macroeconomic data, fear of a second wave of COVID-19 and a bleak U.S. economic outlook from the U.S. Federal Reserve (the “Fed”). Governments bolstered their respective economic recoveries through large stimulus packages. China was at the forefront of the recovery, as its economic activity largely returned to normal levels. |
For the third quarter of 2020, global equities posted further gains in spite of pressure from the COVID-19 pandemic. Overall, market performance was buoyed by supportive industrial and labor data, optimism surrounding COVID-19 vaccine testing and ongoing policy support from governments and central banks. The rally weakened in September following an uptick in global COVID-19 cases, a pullback in information technology sector performance and the U.S. Fed’s perspective on further policy support. |
1
PORTFOLIO RESULTS
In October 2020, U.S. and non-U.S. developed equities retreated amid uncertainty around the then-upcoming U.S. elections and rising COVID-19 cases in many countries, most notably across the U.S. and Europe. A number of countries, including France, Germany and Belgium, were forced to reintroduce national lockdown measures. As for emerging markets equities, they generated positive returns during October, as parts of emerging Asia outperformed, benefiting in part from their handling of the COVID-19 outbreak as well as improving economic conditions in a number of countries. Meanwhile, third quarter 2020 corporate earnings, released in October, were largely positive, with many companies beating consensus expectations. Continued investor optimism about a potential COVID-19 vaccine broadly helped to support global equity markets during the month. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | During the Reporting Period, the Fund generated positive absolute returns and outperformed the Index. The Fund’s outperformance was driven primarily by security selection. Asset allocation also added to relative returns. |
The Fund was generally helped by its exposure to sectors and companies that benefited from the stay-at-home economy that emerged following the outbreak of COVID-19. The strongest performing sectors in the Index during the Reporting Period were information technology, communication services and consumer discretionary, all of which produced double-digit gains. Cyclically oriented sectors, such as energy, real estate and financials, recorded double-digit losses. |
Q | Which equity market sectors and countries most significantly affected Fund performance? |
A | During the Reporting Period, stock selection in eight of the 11 sectors in the Index added to the Fund’s relative performance. The greatest gains were within the communication services and consumer discretionary sectors. Security selection in the health care sector also contributed positively to relative performance. Conversely, stock selection in the industrials, consumer staples and energy sectors detracted slightly from relative returns. |
From an asset allocation perspective, overweight positions compared to the Index in the information technology and communication services sectors added to performance. Underweight positions in the energy and financials sectors further bolstered relative returns. The Fund was held back by its slightly underweight position during the Reporting Period in consumer discretionary and consumer staples. |
With regard to countries, exposure to the U.S., China and Spain added significantly to the Fund’s returns during the Reporting Period. On the downside, the Fund’s exposure to France, India and Germany detracted from relative performance. |
Q | What were some of the Fund’s best-performing individual stocks during the Reporting Period? |
A | The Fund’s best-performing individual holdings during the Reporting Period were Alibaba Group Holdings, NVIDIA and Cellnex Telecom. |
Alibaba Group Holdings, a China-based company specializing in e-commerce, retail, Internet and technology, added most to the Fund’s returns during the Reporting Period. In our view, Alibaba Group Holdings continued to deliver a diversified set of business earnings, at scale, and at an attractive relative valuation compared to the overall international equity opportunity set. The company also continued to see strong growth during the Reporting Period in its core e-commerce business while the cloud business matures. |
U.S.-based NVIDIA engages in the design and manufacture of computer graphics processors, chipsets and related multimedia software. NVIDIA executed well during the Reporting Period from its dominant position within the semiconductor industry. At the end of the Reporting Period, we expected a potential secular increase in demand for NVIDIA’s product line of high-end graphics processing units for gaming and processing. |
Cellnex Telecom is Europe’s leading independent wireless tower operator. The Spain-based company remained in a strong position during the Reporting Period to expand its footprint and number of cell towers globally via acquisition. At the end of the Reporting Period, we expected this consolidation in the cell tower business may continue and for Cellnex to potentially be a beneficiary of that trend. |
Q | Which stocks detracted most from the Fund’s relative performance during the Reporting Period? |
A | HDFC Bank, Safran and Aristocrat Leisure detracted most from the Fund’s relative returns during the Reporting Period. |
The Fund’s top detractor was India’s HDFC Bank. The COVID-19 pandemic severely depressed bond yields and negatively affected net interest margins for many banks. As a result, loan losses remained elevated, which was reflected in the decline of HDFC Bank’s share price. We eliminated the |
2
PORTFOLIO RESULTS
Fund’s position in the stock in favor of what we considered to be better risk-adjusted opportunities. |
Safran is a French aircraft engine, rocket engine, aerospace-component and defense company. Air travel was structurally impaired by the COVID-19 pandemic, which drove a decline in Safran’s share price during the Reporting Period. We exited the Fund’s investment in the stock to take advantage of what we saw as more attractive risk-adjusted opportunities. |
Aristocrat Leisure, an Australia-based gaming provider and games publisher, was hurt during the Reporting Period by the drop in leisure activities, such as on-site gambling at casinos, amid the spread of COVID-19. We decided to sell the Fund’s position in Aristocrat Leisure and to reallocate the proceeds to what we viewed as better risk-adjusted opportunities. |
Q | Were there any significant purchases or sales during the Reporting Period? |
A | During the Reporting Period, we added to the Fund’s positions in Alibaba Group Holdings, NVIDIA and Cellnex Telecom because we believe in the long-term fundamentals of all three businesses. |
As mentioned previously, we exited the Fund’s investments in HDFC Bank, Safran and Aristocrat Leisure during the Reporting Period. |
Q | What changes were made to the Fund’s sector and country weightings during the Reporting Period? |
A | In terms of sector weightings, we decreased the Fund’s exposures to the financials and consumer staples sectors during the Reporting Period. We increased its exposures to the consumer discretionary, communication services and information technology sectors. Regarding countries, we reduced the Fund’s exposures to Germany, France and India and increased its exposures to China, Denmark and the Netherlands. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund did not use derivatives or similar instruments as a part of its investment strategy during the Reporting Period. |
Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
A | The Fund was overweight relative to the Index in the health care, information technology and communication services sectors at the end of the Reporting Period. It was underweight the industrials, financials and materials sectors. The Fund was rather neutrally positioned compared to the Index in the consumer discretionary, consumer staples, real estate and utilities sectors. It had no exposure to the energy sector at the end of the Reporting Period. |
In terms of countries, the Fund had significant exposure to the U.S., which is not a constituent of the Index, at the end of the Reporting Period. It was overweight relative to the Index in Denmark, Spain, the Netherlands, the U.K., France and China. Compared to the Index, the Fund was underweight South Africa, Germany, Brazil, Canada, India, Taiwan, South Korea, Japan, Hong Kong and Australia. At the end of the Reporting Period, the Fund was rather neutrally weighted in the other countries comprising the Index. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we continued to see dispersion among stocks in select sectors, particularly in health care, information technology and communication services, which we believe may provide the Fund with attractive investment opportunities. We planned to continue looking for idiosyncratic opportunities through which we can upgrade the portfolio’s quality characteristics as well as diversify its earnings streams. We continued to focus on the balance sheet strength of the companies in which we consider investing as we seek to measure their financial strength. Additionally, we favored those companies that can, in our view, not only weather the current economic storm but have the potential to emerge stronger once the environment normalizes. Select companies that have benefited from the work-from-home environment remained attractive at the end of the Reporting Period, in our view, but we are sensitive to their valuations. In addition, given the global equity market appreciation during the Reporting Period, we thought valuations in certain regions of the world were quite stretched at the end of October 2020. We were concentrating on stocks that have what we consider to be better long-term growth prospects relative to the Index, as measured by consensus estimates, and that have returns on equity that are higher than the Index. Moving forward, we believe market participants will likely pay an increasing amount of attention to the outlook for corporate earnings and the overall economic picture globally. We plan to remain focused on company fundamentals and will continue to monitor the sustainability of global economic activity. |
3
FUND BASICS
GQG Partners International Opportunities Fund
as of October 31, 2020
TOP TEN HOLDINGS AS OF 10/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Tencent Holdings Ltd. | 6.0 | % | Interactive Media & Services | |||||
Cellnex Telecom SA | 5.8 | Diversified Telecommunication Services | ||||||
Alibaba Group Holding Ltd. ADR | 4.7 | Internet & Direct Marketing Retail | ||||||
ASML Holding NV | 4.5 | Semiconductors & Semiconductor Equipment | ||||||
AstraZeneca PLC | 4.4 | Pharmaceuticals | ||||||
Nestle SA | 4.2 | Food Products | ||||||
Novo Nordisk A/S Class B | 4.0 | Pharmaceuticals | ||||||
Air Liquide SA | 3.5 | Chemicals | ||||||
London Stock Exchange Group PLC | 3.5 | Capital Markets | ||||||
Abbott Laboratories | 3.4 | Health Care Equipment & Supplies |
1 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
As of October 31, 2020 |
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. Figures in the graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph generally categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
4
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on December 15, 2016 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI All Country World Index ex USA Index (Net, Unhedged) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs GQG Partners International Opportunities Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from December 15, 2016 through October 31, 2020.
Average Annual Total Return through October 31, 2020* | One Year | Since Inception | ||||||
Class A (Commenced December 15, 2016) | ||||||||
Excluding sales charges | 11.66% | 13.85% | ||||||
Including sales charges | 5.54% | 12.21% | ||||||
| ||||||||
Class C (Commenced December 15, 2016) | ||||||||
Excluding contingent deferred sales charges | 10.87% | 13.02% | ||||||
Including contingent deferred sales charges | 9.87% | 13.02% | ||||||
| ||||||||
Institutional Class (Commenced December 15, 2016) | 12.06% | 14.29% | ||||||
| ||||||||
Investor Class (Commenced December 15, 2016) | 12.00% | 14.13% | ||||||
| ||||||||
Class R6 (Commenced December 15, 2016) | 12.09% | 14.30% | ||||||
| ||||||||
Class R (Commenced December 15, 2016) | 11.32% | 13.55% | ||||||
| ||||||||
Class P (Commenced April 16, 2018) | 12.08% | 9.91% | ||||||
|
* | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
5
FUND BASICS
The MSCI ACWI ex USA Index is an international equity index that tracks stocks from 22 developed and 26 emerging markets countries. Developed countries include Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the U.K. Emerging markets countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Russia, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. It is not possible to invest directly in an unmanaged index.
6
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 95.2% | ||||||||
Australia – 2.3% | ||||||||
1,370,286 | Afterpay Ltd.* (IT Services) | $ | 93,301,524 | |||||
990,652 | CSL Ltd. (Biotechnology) | 200,564,705 | ||||||
|
| |||||||
293,866,229 | ||||||||
|
| |||||||
Canada – 5.1% | ||||||||
8,831,131 | Algonquin Power & Utilities Corp. (Multi-Utilities) | 133,895,403 | ||||||
9,562,126 | Barrick Gold Corp. (Metals & Mining) | 255,595,628 | ||||||
305,504 | Shopify, Inc. Class A* (IT Services) | 282,722,567 | ||||||
|
| |||||||
672,213,598 | ||||||||
|
| |||||||
China – 15.3% | ||||||||
5,742,077 | Alibaba Group Holding Ltd.* (Internet & Direct Marketing Retail) | 217,589,376 | ||||||
2,011,741 | Alibaba Group Holding Ltd. ADR* (Internet & Direct Marketing Retail) | 612,957,365 | ||||||
6,841,886 | Meituan Class B* (Internet & Direct Marketing Retail) | 255,059,748 | ||||||
3,779,425 | NetEase, Inc. (Entertainment) | 66,106,156 | ||||||
746,403 | NetEase, Inc. ADR (Entertainment) | 64,780,316 | ||||||
10,289,531 | Tencent Holdings Ltd. (Interactive Media & Services) | 786,177,875 | ||||||
|
| |||||||
2,002,670,836 | ||||||||
|
| |||||||
Denmark – 9.3% | ||||||||
1,060,564 | DSV PANALPINA A/S (Air Freight & Logistics) | 172,067,421 | ||||||
1,276,484 | Genmab A/S* (Biotechnology) | 426,377,371 | ||||||
8,175,944 | Novo Nordisk A/S Class B (Pharmaceuticals) | 521,344,255 | ||||||
625,965 | Orsted A/S(a) (Electric Utilities) | 99,349,420 | ||||||
|
| |||||||
1,219,138,467 | ||||||||
|
| |||||||
France – 7.8% | ||||||||
3,100,598 | Air Liquide SA (Chemicals) | 453,426,098 | ||||||
699,921 | L’Oreal SA (Personal Products) | 226,204,168 | ||||||
955,764 | Pernod Ricard SA (Beverages) | 153,975,934 | ||||||
1,565,480 | Schneider Electric SE (Electrical Equipment) | 190,215,860 | ||||||
|
| |||||||
1,023,822,060 | ||||||||
|
| |||||||
Germany – 2.4% | ||||||||
1,235,470 | Deutsche Boerse AG (Capital Markets) | 182,050,851 | ||||||
845,026 | SAP SE ADR(b) (Software) | 90,274,127 | ||||||
396,471 | Zalando SE*(a) (Internet & Direct Marketing Retail) | 36,921,115 | ||||||
|
| |||||||
309,246,093 | ||||||||
|
| |||||||
Italy – 2.0% | ||||||||
33,392,868 | Enel SpA (Electric Utilities) | 265,490,076 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Netherlands – 5.9% | ||||||||
110,452 | Adyen NV*(a) (IT Services) | 185,641,442 | ||||||
1,601,587 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 579,458,786 | ||||||
|
| |||||||
765,100,228 | ||||||||
|
| |||||||
South Korea – 1.3% | ||||||||
3,286,548 | Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals) | 165,200,335 | ||||||
|
| |||||||
Spain(a) – 5.8% | ||||||||
11,737,065 | Cellnex Telecom SA (Diversified Telecommunication Services) | 753,413,396 | ||||||
|
| |||||||
Sweden – 2.4% | ||||||||
2,266,177 | Evolution Gaming Group AB(a) (Hotels, Restaurants & Leisure) | 168,082,927 | ||||||
12,994,598 | Telefonaktiebolaget LM Ericsson Class B (Communications Equipment) | 145,078,383 | ||||||
|
| |||||||
313,161,310 | ||||||||
|
| |||||||
Switzerland – 6.2% | ||||||||
367,438 | Lonza Group AG (Life Sciences Tools & Services) | 222,634,367 | ||||||
4,903,821 | Nestle SA (Food Products) | 551,571,433 | ||||||
95,202 | Roche Holding AG (Pharmaceuticals) | 30,591,386 | ||||||
|
| |||||||
804,797,186 | ||||||||
|
| |||||||
Taiwan – 1.9% | ||||||||
16,505,787 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 249,727,168 | ||||||
|
| |||||||
United Kingdom – 9.4% | ||||||||
5,693,293 | AstraZeneca PLC (Pharmaceuticals) | 571,637,748 | ||||||
4,184,447 | London Stock Exchange Group PLC (Capital Markets) | 451,074,272 | ||||||
1,088,044 | Ocado Group PLC* (Internet & Direct Marketing Retail) | 32,086,313 | ||||||
1,964,215 | Reckitt Benckiser Group PLC (Household Products) | 173,024,770 | ||||||
|
| |||||||
1,227,823,103 | ||||||||
|
| |||||||
United States – 18.1% | ||||||||
4,201,254 | Abbott Laboratories (Health Care Equipment & Supplies) | 441,593,808 | ||||||
489,335 | Accenture PLC Class A (IT Services) | 106,141,655 | ||||||
70,484 | Alphabet, Inc. Class A* (Interactive Media & Services) | 113,909,897 | ||||||
74,903 | Alphabet, Inc. Class C* (Interactive Media & Services) | 121,418,512 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
248,083 | Bio-Rad Laboratories, Inc. Class A* (Life Sciences Tools & Services) | $ | 145,480,833 | |||||
322,771 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 236,023,066 | ||||||
593,313 | Mastercard, Inc. Class A (IT Services) | 171,253,864 | ||||||
361,818 | MercadoLibre, Inc.* (Internet & Direct Marketing Retail) | 439,265,143 | ||||||
852,558 | NVIDIA Corp. (Semiconductors & Semiconductor Equipment) | 427,438,479 | ||||||
921,896 | Visa, Inc. Class A (IT Services) | 167,517,722 | ||||||
|
| |||||||
2,370,042,979 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $10,777,966,958) | $ | 12,435,713,064 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(c) – 4.2% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
552,202,746 | 0.028% | $ | 552,202,746 | |||||
(Cost $552,202,746) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |||||||
(Cost $11,330,169,704) | $ | 12,987,915,810 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(c) – 0.0% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,809,300 | 0.028% | 1,809,300 | ||||||
(Cost $1,809,300) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.4% | ||||||||
(Cost $11,331,979,004) | $ | 12,989,725,110 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.6% | 76,383,247 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 13,066,108,357 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | All or portion of security is on loan. | |
(c) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement of Assets and Liabilities
October 31, 2020
Assets: |
| |||||
Investments of unaffiliated issuers, at value (cost $10,777,966,958) | $ | 12,435,713,064 | ||||
Investments of affiliated issuers, at value (cost $552,202,746) | 552,202,746 | |||||
Investments in securities lending reinvestment vehicle — affiliated issuer, at value (cost $1,809,300)(a) | 1,809,300 | |||||
Cash | 11,269,258 | |||||
Receivables: | ||||||
Fund shares sold | 166,780,675 | |||||
Investments sold | 10,461,318 | |||||
Dividends and interest | 7,433,629 | |||||
Foreign tax reclaims | 6,737,142 | |||||
Reimbursement from investment adviser | 516,044 | |||||
Securities lending income | 2,637 | |||||
Other assets | 581,982 | |||||
Total assets | 13,193,507,795 | |||||
Liabilities: | ||||||
Payables: | ||||||
Investments purchased | 102,935,258 | |||||
Fund shares redeemed | 13,057,347 | |||||
Management fees | 8,046,722 | |||||
Payable upon return of securities loaned | 1,809,300 | |||||
Distribution and Service fees and Transfer Agency fees | 844,725 | |||||
Accrued expenses | 706,086 | |||||
Total liabilities | 127,399,438 | |||||
Net Assets: | ||||||
Paid-in capital | 11,667,497,584 | |||||
Total distributable earnings | 1,398,610,773 | |||||
NET ASSETS | $ | 13,066,108,357 | ||||
Net Assets: | ||||||
Class A | $ | 252,602,808 | ||||
Class C | 61,783,809 | |||||
Institutional | 8,683,860,152 | |||||
Investor | 2,488,875,339 | |||||
Class R6 | 391,506,762 | |||||
Class R | 734,998 | |||||
Class P | 1,186,744,489 | |||||
Total Net Assets | $ | 13,066,108,357 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 15,361,477 | |||||
Class C | 3,843,308 | |||||
Institutional | 524,286,636 | |||||
Investor | 150,786,249 | |||||
Class R6 | 23,642,758 | |||||
Class R | 45,139 | |||||
Class P | 71,688,159 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $16.44 | |||||
Class C | 16.08 | |||||
Institutional | 16.56 | |||||
Investor | 16.51 | |||||
Class R6 | 16.56 | |||||
Class R | 16.28 | |||||
Class P | 16.55 |
(a) | Includes loaned securities having a market value of $1,741,329. |
(b) | Maximum public offering price per share for Class A Shares is $17.40. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement of Operations
For the Fiscal Year Ended October 31, 2020
Investment income: |
| |||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $10,006,165) | $ | 100,363,513 | ||||
Dividends — affiliated issuers | 1,174,063 | |||||
Securities lending income — affiliated issuers | 740,915 | |||||
Total investment income | 102,278,491 | |||||
Expenses: |
| |||||
Management fees | 56,023,538 | |||||
Transfer Agency fees(a) | 5,457,956 | |||||
Printing and mailing costs | 938,037 | |||||
Custody, accounting and administrative services | 816,138 | |||||
Distribution and Service (12b-1) fees(a) | 782,251 | |||||
Registration fees | 551,252 | |||||
Professional fees | 177,739 | |||||
Trustee fees | 147,289 | |||||
Service fees — Class C | 119,924 | |||||
Other | 82,717 | |||||
Total expenses | 65,096,841 | |||||
Less — expense reductions | (2,192,739 | ) | ||||
Net expenses | 62,904,102 | |||||
NET INVESTMENT INCOME | 39,374,389 | |||||
Realized and unrealized gain (loss): |
| |||||
Net realized gain (loss) from: |
| |||||
Investments — unaffiliated issuers | (180,556,723 | ) | ||||
Forward foreign currency exchange contracts | 120,332 | |||||
Foreign currency transactions | (15,538,425 | ) | ||||
Net change in unrealized gain/(loss) on: |
| |||||
Investments — unaffiliated issuers | 1,168,984,170 | |||||
Forward foreign currency exchange contracts | (7,914 | ) | ||||
Foreign currency translation | 428,258 | |||||
Net realized and unrealized gain | 973,429,698 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,012,804,087 |
(a) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||||||||
$ | 419,873 | $ | 359,773 | $ | 2,605 | $ | 285,513 | $ | 81,549 | $ | 1,913,123 | $ | 2,928,684 | $ | 23,114 | $ | 886 | $ | 225,087 |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 39,374,389 | $ | 25,530,801 | ||||||
Net realized loss | (195,974,816 | ) | (75,140,137 | ) | ||||||
Net change in unrealized gain | 1,169,404,514 | 497,617,686 | ||||||||
Net increase in net assets resulting from operations | 1,012,804,087 | 448,008,350 | ||||||||
Distributions to shareholders: |
| |||||||||
From distributable earnings: | ||||||||||
Class A Shares | (456,372 | ) | (84,001 | ) | ||||||
Institutional Shares | (15,034,407 | ) | (4,326,053 | ) | ||||||
Investor Shares | (6,998,774 | ) | (1,041,204 | ) | ||||||
Class R6 Shares | (262,239 | ) | (3,113 | ) | ||||||
Class R Shares | (1,686 | ) | (19 | ) | ||||||
Class P Shares | (3,452,086 | ) | (1,546,031 | ) | ||||||
Total distributions to shareholders | (26,205,564 | ) | (7,000,421 | ) | ||||||
From share transactions: |
| |||||||||
Proceeds from sales of shares | 10,199,565,729 | 2,677,327,488 | ||||||||
Reinvestment of distributions | 25,405,746 | 6,904,153 | ||||||||
Cost of shares redeemed | (1,874,972,134 | ) | (643,146,674 | ) | ||||||
Net increase in net assets resulting from share transactions | 8,349,999,341 | 2,041,084,967 | ||||||||
TOTAL INCREASE | 9,336,597,864 | 2,482,092,896 | ||||||||
Net assets: |
| |||||||||
Beginning of year | 3,729,510,493 | 1,247,417,597 | ||||||||
End of year | $ | 13,066,108,357 | $ | 3,729,510,493 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||||||
Class A Shares | ||||||||||||||||||
Year Ended October 31, | Period Ended October 31, 2017(a) | |||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.78 | $ | 12.32 | $ | 12.69 | $ | 10.00 | ||||||||||
Net investment income (loss)(b) | 0.04 | 0.10 | 0.08 | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.68 | 2.38 | (0.45 | ) | 2.66 | |||||||||||||
Total from investment operations | 1.72 | 2.48 | (0.37 | ) | 2.70 | |||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.02 | ) | — | (0.01 | ) | |||||||||||
Net asset value, end of period | $ | 16.44 | $ | 14.78 | $ | 12.32 | $ | 12.69 | ||||||||||
Total return(c) | 11.66 | % | 20.19 | % | (2.92 | )% | 26.97 | % | ||||||||||
Net assets, end of period (in 000s) | $ | 252,603 | $ | 89,592 | $ | 44,887 | $ | 11,297 | ||||||||||
Ratio of net expenses to average net assets | 1.17 | % | 1.23 | % | 1.28 | % | 1.30 | %(d) | ||||||||||
Ratio of total expenses to average net assets | 1.20 | % | 1.29 | % | 1.38 | % | 1.65 | %(d) | ||||||||||
Ratio of net investment income to average net assets | 0.23 | % | 0.71 | % | 0.57 | % | 0.40 | %(d) | ||||||||||
Portfolio turnover rate(e) | 72 | % | 55 | % | 90 | % | 54 | % |
(a) | Commenced operations on December 15, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||||||
Class C Shares | ||||||||||||||||||
Year Ended October 31, | Period Ended October 31, 2017(a) | |||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.50 | $ | 12.16 | $ | 12.61 | $ | 10.00 | ||||||||||
Net investment income (loss)(b) | (0.08 | ) | — | (c) | (0.02 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized gain (loss) | 1.66 | 2.34 | (0.43 | ) | 2.67 | |||||||||||||
Total from investment operations | 1.58 | 2.34 | (0.45 | ) | 2.61 | |||||||||||||
Distributions to shareholders from net investment income | — | — | — | 0.00 | (c) | |||||||||||||
Net asset value, end of period | $ | 16.08 | $ | 14.50 | $ | 12.16 | $ | 12.61 | ||||||||||
Total return(d) | 10.87 | % | 19.24 | % | (3.57 | )% | 26.13 | % | ||||||||||
Net assets, end of period (in 000s) | $ | 61,784 | $ | 32,620 | $ | 20,147 | $ | 12,969 | ||||||||||
Ratio of net expenses to average net assets | 1.92 | % | 1.98 | % | 2.04 | % | 2.05 | %(e) | ||||||||||
Ratio of total expenses to average net assets | 1.95 | % | 2.04 | % | 2.12 | % | 2.34 | %(e) | ||||||||||
Ratio of net investment loss to average net assets | (0.51 | )% | (0.02 | )% | (0.18 | )% | (0.57 | )%(e) | ||||||||||
Portfolio turnover rate(f) | 72 | % | 55 | % | 90 | % | 54 | % |
(a) | Commenced operations on December 15, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||||||
Institutional Shares | ||||||||||||||||||
Year Ended October 31, | Period Ended October 31, 2017(a) | |||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.87 | $ | 12.39 | $ | 12.73 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.09 | 0.15 | 0.13 | 0.08 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.70 | 2.39 | (0.45 | ) | 2.66 | |||||||||||||
Total from investment operations | 1.79 | 2.54 | (0.32 | ) | 2.74 | |||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.06 | ) | (0.02 | ) | (0.01 | ) | ||||||||||
Net asset value, end of period | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | ||||||||||
Total return(c) | 12.06 | % | 20.65 | % | (2.52 | )% | 27.39 | % | ||||||||||
Net assets, end of period (in 000s) | $ | 8,683,860 | $ | 1,996,934 | $ | 713,691 | $ | 392,168 | ||||||||||
Ratio of net expenses to average net assets | 0.79 | % | 0.84 | % | 0.90 | % | 0.90 | %(d) | ||||||||||
Ratio of total expenses to average net assets | 0.82 | % | 0.90 | % | 0.98 | % | 1.30 | %(d) | ||||||||||
Ratio of net investment income to average net assets | 0.55 | % | 1.10 | % | 0.96 | % | 0.73 | %(d) | ||||||||||
Portfolio turnover rate(e) | 72 | % | 55 | % | 90 | % | 54 | % |
(a) | Commenced operations on December 15, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Year Ended October 31, | Period Ended October 31, 2017(a) | |||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.82 | $ | 12.36 | $ | 12.71 | $ | 10.00 | ||||||||||
Net investment income (loss)(b) | 0.08 | 0.15 | 0.10 | (0.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.70 | 2.36 | (0.43 | ) | 2.73 | |||||||||||||
Total from investment operations | 1.78 | 2.51 | (0.33 | ) | 2.72 | |||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.05 | ) | (0.02 | ) | (0.01 | ) | ||||||||||
Net asset value, end of period | $ | 16.51 | $ | 14.82 | $ | 12.36 | $ | 12.71 | ||||||||||
Total return(c) | 12.00 | % | 20.42 | % | (2.64 | )% | 27.18 | % | ||||||||||
Net assets, end of period (in 000s) | $ | 2,488,875 | $ | 1,098,284 | $ | 234,587 | $ | 63,303 | ||||||||||
Ratio of net expenses to average net assets | 0.92 | % | 0.98 | % | 1.03 | % | 1.05 | %(d) | ||||||||||
Ratio of total expenses to average net assets | 0.95 | % | 1.04 | % | 1.13 | % | 1.39 | %(d) | ||||||||||
Ratio of net investment income to average net assets | 0.48 | % | 1.09 | % | 0.77 | % | (0.10 | )%(d) | ||||||||||
Portfolio turnover rate(e) | 72 | % | 55 | % | 90 | % | 54 | % |
(a) | Commenced operations on December 15, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and 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. | 15 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Year Ended October 31, | Period Ended October 31, 2017(a) | |||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.87 | $ | 12.39 | $ | 12.73 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.07 | 0.05 | 0.12 | 0.11 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.72 | 2.50 | (0.44 | ) | 2.63 | |||||||||||||
Total from investment operations | 1.79 | 2.55 | (0.32 | ) | 2.74 | |||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.07 | ) | (0.02 | ) | (0.01 | ) | ||||||||||
Net asset value, end of period | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | ||||||||||
Total return(c) | 12.09 | % | 20.68 | % | (2.52 | )% | 27.39 | % | ||||||||||
Net assets, end of period (in 000s) | $ | 391,507 | $ | 34,263 | $ | 540 | $ | 13 | ||||||||||
Ratio of net expenses to average net assets | 0.77 | % | 0.81 | % | 0.87 | % | 0.89 | %(d) | ||||||||||
Ratio of total expenses to average net assets | 0.81 | % | 0.92 | % | 0.98 | % | 1.66 | %(d) | ||||||||||
Ratio of net investment income to average net assets | 0.42 | % | 0.34 | % | 0.92 | % | 1.09 | %(d) | ||||||||||
Portfolio turnover rate(e) | 72 | % | 55 | % | 90 | % | 54 | % |
(a) | Commenced operations on December 15, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||||||
Class R Shares | ||||||||||||||||||
Year Ended October 31, | Period Ended October 31, 2017(a) | |||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.69 | $ | 12.26 | $ | 12.66 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.01 | 0.01 | 0.02 | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.65 | 2.43 | (0.42 | ) | 2.62 | |||||||||||||
Total from investment operations | 1.66 | 2.44 | (0.40 | ) | 2.66 | |||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.01 | ) | — | (0.00 | )(c) | |||||||||||
Net asset value, end of period | $ | 16.28 | $ | 14.69 | $ | 12.26 | $ | 12.66 | ||||||||||
Total return(d) | 11.32 | % | 19.91 | % | (3.16 | )% | 26.65 | % | ||||||||||
Net assets, end of period (in 000s) | $ | 735 | $ | 208 | $ | 25 | $ | 17 | ||||||||||
Ratio of net expenses to average net assets | 1.42 | % | 1.47 | % | 1.53 | % | 1.55 | %(e) | ||||||||||
Ratio of total expenses to average net assets | 1.45 | % | 1.54 | % | 1.62 | % | 2.22 | %(e) | ||||||||||
Ratio of net investment income to average net assets | 0.07 | % | 0.05 | % | 0.15 | % | 0.43 | %(e) | ||||||||||
Portfolio turnover rate(f) | 72 | % | 55 | % | 90 | % | 54 | % |
(a) | Commenced operations on December 15, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and 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. | 17 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs GQG Partners International Opportunities Fund | ||||||||||||||
Class P Shares | ||||||||||||||
Year Ended October 31, | Period Ended October 31, 2018(a) | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 14.86 | $ | 12.39 | $ | 13.17 | ||||||||
Net investment income(b) | 0.10 | 0.16 | 0.02 | |||||||||||
Net realized and unrealized gain (loss) | 1.69 | 2.38 | (0.80 | ) | ||||||||||
Total from investment operations | 1.79 | 2.54 | (0.78 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.07 | ) | — | |||||||||
Net asset value, end of period | $ | 16.55 | $ | 14.86 | $ | 12.39 | ||||||||
Total return(c) | 12.08 | % | 20.61 | % | (5.92 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 1,186,744 | $ | 477,609 | $ | 233,541 | ||||||||
Ratio of net expenses to average net assets | 0.77 | % | 0.82 | % | 0.87 | %(d) | ||||||||
Ratio of total expenses to average net assets | 0.81 | % | 0.89 | % | 1.02 | %(d) | ||||||||
Ratio of net investment income to average net assets | 0.61 | % | 1.14 | % | 0.33 | %(d) | ||||||||
Portfolio turnover rate(e) | 72 | % | 55 | % | 90 | % |
(a) | Commenced operations on April 16, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving certain derivatives and short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
October 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust II (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs GQG Partners International Opportunities Fund (the “Fund”). The Fund is a diversified portfolio that currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares.
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R, and Class P Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
GQG Partners LLC (“GQG Partners” or the “Sub-Adviser”) serves as the sub-adviser to the Fund. GSAM compensates the Sub-Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Fund is not charged any separate or additional investment advisory fees by the Sub-Adviser.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. 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 the 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 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.
19
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
October 31, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the
20
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying 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. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
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
21
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 October 31, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 677,737,681 | $ | 1,739,860,658 | $ | — | ||||||
Australia and Oceania | — | 293,866,229 | — | |||||||||
Europe | 295,765,202 | 6,492,368,372 | — | |||||||||
North America | 2,496,849,779 | — | — | |||||||||
South America | 439,265,143 | — | — | |||||||||
Investment Company | 552,202,746 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,809,300 | — | — | |||||||||
Total | $ | 4,463,629,851 | $ | 8,526,095,259 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes value model prices provided by an independent fair value service for international equities, 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 fiscal year ended October 31, 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) | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | 120,332 | $ | (7,914 | ) | 1 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 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.
22
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2020, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Fees | Effective Net Management Rate^ | |||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||||
0.85% | 0.77% | 0.73% | 0.71% | 0.70% | 0.74% | 0.74% |
^ | 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 investment of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended October 31, 2020, GSAM waived $450,441 of the Fund’s management fee.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||
Class A* | Class C | Class R* | ||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % |
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the For the fiscal year ended October 31, 2020, Goldman Sachs retained $92,381 of the front end sales charges.
D. Service Plan — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25%, the average daily net assets attributable to Class C Shares of the Fund.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.17% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional Shares.
Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.01% as an annual percentage rate of the average daily net assets attributable to Class R6 Shares and Class P Shares of the Fund. This arrangement will remain in effect
23
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
October 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
through at least February 28, 2021, with respect to Class R6 Shares and Class P Shares, and prior to such date, Goldman Sachs may not terminate this arrangement without the approval of the Board of Trustees.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, 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 February 28, 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 transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended October 31, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Transfer Agency Waivers/Credits | Other Expense Reimbursements | Total Expense Reductions | |||||||||||
$ | 450,441 | $ | 86,034 | $ | 1,656,264 | $ | 2,192,739 |
G. Line of Credit Facility — As of October 31, 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 fiscal year ended October 31, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended October 31, 2020, Goldman Sachs did not earn any brokerage commissions from portfolio transactions, on behalf of the Fund.
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the fiscal year ended October 31, 2020:
Market Value as of October 31, 2019 | Purchases at cost | Proceeds from sales | Market Value as of October 31, 2020 | Shares as of October 31, 2020 | Dividend Income | |||||||||||||||||
$ | 167,689,373 | $ | 5,844,543,501 | $ | (5,460,030,128 | ) | $ | 552,202,746 | 552,202,746 | $ | 1,174,063 |
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
24
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
6. SECURITIES LENDING (continued) |
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 agreement 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 October 31, 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 fiscal year ended October 31, 2020, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of October 31, 2020 | ||||||||
$ | 82,320 | $ | 37,273 | $ | — |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended October 31, 2020.
Market Value as of October 31, 2019 | Purchases at cost | Proceeds from sales | Market Value as of October 31, 2020 | |||||||||||
$ | 42,935,200 | $ | 1,398,075,032 | $ | (1,439,200,932 | ) | $ | 1,809,300 |
7. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2020, were $13,106,737,270 and $5,267,241,612, respectively.
25
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
October 31, 2020
8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2020 was as follows:
Distributions paid from: | ||||
Ordinary income | $ | 26,205,564 | ||
Net long-term capital gains | — | |||
Total taxable distributions | $ | 26,205,564 |
The tax character of distributions paid during the period ended October 31, 2019 was as follows:
Distributions paid from: | ||||
Ordinary income | $ | 7,000,421 | ||
Net long-term capital gains | — | |||
Total taxable distributions | $ | 7,000,421 |
As of October 31, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Undistributed ordinary income — net | $ | 23,022,780 | ||
Undistributed long-term capital gains | — | |||
Total undistributed earnings | $ | 23,022,780 | ||
Capital loss carryforwards: | ||||
Perpetual Short-Term | $ | (265,437,986 | ) | |
Unrealized gains (losses) — net | 1,641,025,979 | |||
Total accumulated earnings (losses) net | $ | 1,398,610,773 |
As of October 31, 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 | $ | 11,348,960,411 | ||
Gross unrealized gain | 1,756,383,909 | |||
Gross unrealized loss | (115,357,930 | ) | ||
Net unrealized security loss | $ | 1,641,025,979 |
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
26
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
9. OTHER RISKS (continued) |
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.
Geographic Risk — If the Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“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.
27
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
October 31, 2020
9. OTHER RISKS (continued) |
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. OTHER MATTERS |
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
12. 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.
28
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 13,698,861 | $ | 209,446,099 | 3,794,358 | $ | 52,028,621 | ||||||||||
Reinvestment of distributions | 29,115 | 442,259 | 6,959 | 84,001 | ||||||||||||
Shares redeemed | (4,427,089 | ) | (66,586,887 | ) | (1,382,650 | ) | (18,545,275 | ) | ||||||||
9,300,887 | 143,301,471 | 2,418,667 | 33,567,347 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,372,864 | 35,775,997 | 1,241,972 | 16,402,029 | ||||||||||||
Shares redeemed | (779,291 | ) | (11,617,769 | ) | (649,379 | ) | (8,452,959 | ) | ||||||||
1,593,573 | 24,158,228 | 592,593 | 7,949,070 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 456,407,668 | 7,036,561,221 | 101,757,764 | 1,376,617,331 | ||||||||||||
Reinvestment of distributions | 934,408 | 14,249,728 | 349,631 | 4,230,532 | ||||||||||||
Shares redeemed | (67,349,264 | ) | (1,026,051,834 | ) | (25,403,818 | ) | (333,747,882 | ) | ||||||||
389,992,812 | 6,024,759,115 | 76,703,577 | 1,047,099,981 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 117,458,451 | 1,800,560,693 | 68,437,677 | 920,488,378 | ||||||||||||
Reinvestment of distributions | 459,773 | 6,997,748 | 86,130 | 1,040,457 | ||||||||||||
Shares redeemed | (41,221,508 | ) | (619,400,753 | ) | (13,414,533 | ) | (180,244,852 | ) | ||||||||
76,696,716 | 1,188,157,688 | 55,109,274 | 741,283,983 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 21,994,117 | 366,241,200 | 2,306,223 | 33,450,701 | ||||||||||||
Reinvestment of distributions | 17,196 | 262,239 | 257 | 3,113 | ||||||||||||
Shares redeemed | (673,307 | ) | (10,705,017 | ) | (45,284 | ) | (643,063 | ) | ||||||||
21,338,006 | 355,798,422 | 2,261,196 | 32,810,751 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 31,345 | 478,529 | 12,153 | 172,500 | ||||||||||||
Reinvestment of distributions | 112 | 1,686 | 2 | 19 | ||||||||||||
Shares redeemed | (506 | ) | (8,416 | ) | — | — | ||||||||||
30,951 | 471,799 | 12,155 | 172,519 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 48,874,200 | 750,501,990 | 21,036,854 | 278,167,928 | ||||||||||||
Reinvestment of distributions | 226,515 | 3,452,086 | 127,877 | 1,546,031 | ||||||||||||
Shares redeemed | (9,552,700 | ) | (140,601,458 | ) | (7,881,201 | ) | (101,512,643 | ) | ||||||||
39,548,015 | 613,352,618 | 13,283,530 | 178,201,316 | |||||||||||||
NET INCREASE | 538,500,960 | $ | 8,349,999,341 | 150,380,992 | $ | 2,041,084,967 |
29
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust II and Shareholders of
Goldman Sachs GQG Partners International Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs GQG Partners International Opportunities Fund (one of the funds constituting Goldman Sachs Trust II, referred to hereafter as the “Fund”) as of October 31, 2020, the related statement of operations for the year ended October 31, 2020, the statements of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
30
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Fund Expenses — Six Month Period Ended October 31, 2020 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P Shares of the Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2020 through October 31, 2020, which represents a period of 184 days out of 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 ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. 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 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,149.70 | $ | 7.57 | ||||||
Hypothetical 5% return | 1,000.00 | 1,018.10 | + | 7.10 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,146.10 | 9.66 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,016.14 | + | 9.07 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,152.40 | 4.92 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,022.56 | + | 4.62 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,152.10 | 7.25 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,018.40 | + | 6.80 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,152.40 | 5.52 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.01 | + | 5.18 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,148.90 | 11.78 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.18 | + | 11.04 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,152.50 | 5.84 | |||||||||
Hypothethical 5% return | 1,000.00 | 1,019.71 | + | 5.48 |
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 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 | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||
GQG Partners International Opportunities | 1.40 | % | 1.79 | % | 0.91 | % | 1.34 | % | 1.02 | % | 2.18 | % | 1.08 | % |
+ | 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. |
31
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs GQG Partners International Opportunities Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust II (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 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 August 31, 2021 by the Board, 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 August 10-11, 2020 (the “Annual Meeting”). At the Annual Meeting, the Board also considered the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Management Agreement, the “Agreements”) between the Investment Adviser and GQG Partners LLC (the “Sub-Adviser”).
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 five 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 and the Sub-Advisory 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 and the Sub-Adviser, including, as applicable, information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and the Sub-Adviser and the Sub-Adviser’s portfolio management team; |
(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 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) | comparative information on the advisory fees charged and services provided by the Investment Adviser to a non-U.S. fund that it manages with comparable investment strategies; |
(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, distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
32
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
(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, 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) | portfolio manager ownership of Fund shares and the manner in which portfolio manager compensation is determined; information on the Sub-Adviser’s compensation arrangements; and the number and types of accounts managed by the portfolio manager; |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (as well as the Sub-Adviser), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the services provided under the Management Agreement; and |
(n) | the Investment Adviser’s and Sub-Adviser’s processes and policies addressing various types of potential conflicts of interest; their approaches 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 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 Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Fund and the respective services of the Investment Adviser and its affiliates, and the Sub-Adviser. 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. In addition, the Trustees periodically received written materials and oral presentations from the Sub-Adviser. 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. The Trustees reviewed a written response prepared by the Sub-Adviser to a similar request for information submitted to the Sub-Adviser by the Investment Adviser. 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 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. In addition, the Trustees reviewed the Sub-Adviser oversight process that the Investment Adviser had employed, which included areas such as investment analytics, risk management and compliance.
33
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory 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, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. They 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 the Sub-Adviser’s 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 profiles, 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 first quartile of the Fund’s performance peer group for the one- and three-year periods, and had outperformed the Fund’s primary benchmark index for the one-year period ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement, the fee rates payable by the Fund thereunder, and the net amount retained by the Investment Adviser after payment of sub-advisory fees. 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, as well as additional information provided by the Investment Adviser throughout the year. 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 and the Investment Adviser were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
The Trustees considered the Investment Adviser’s undertaking to limit the Fund’s “other expenses” rate (excluding certain expenses) to a specified level. They also considered comparative fee information for services provided by the Investment Adviser to a non-U.S. fund that has investment objectives and policies similar to those of the Fund.
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.
The Investment Adviser’s 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.
34
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory 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:
Average Daily Net Assets | Management Fee Annual Rate | |||
First $1 billion | 0.85 | % | ||
Next $1 billion | 0.77 | % | ||
Next $3 billion | 0.73 | % | ||
Next $3 billion | 0.71 | % | ||
Over $8 billion | 0.70 | % |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed specified levels. The Trustees also considered the relationship between the advisory and sub-advisory fee rate schedules. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Fund, which had asset levels above the highest breakpoint.
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, 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 transactions (in its capacity as clearing broker) and futures transactions on behalf of the Fund; (c) 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); (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of the Investment Adviser’s other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund distributor; (g) the Investment Adviser’s ability to negotiate better pricing with the Fund’s custodian on behalf of its other clients, as a result of the relationship with the Fund; (h) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (i) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers (including the Sub-Adviser) may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (d) 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; (e) 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; (f) 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 (g) access to certain affiliated distribution channels.
35
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the investment management fees paid by the Fund were reasonable in light of the factors considered, and that the Management Agreement, and the terms thereof, should be approved and continued with respect to the Fund until August 31, 2021.
36
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Sub-Advisory Agreement with GQG Partners LLC (Unaudited)
Nature, Extent, and Quality of the Services Provided Under the Sub-Advisory Agreement
In evaluating the Sub-Advisory Agreement, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and 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 Fund by the Sub-Adviser, including information about the Sub-Adviser’s (a) personnel and compensation structure; (b) track record in managing the Fund and other funds and/or accounts with investment strategies similar to those employed on behalf of the Fund; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. In this regard, they also considered assessments provided by the Investment Adviser of the Sub-Adviser, the Sub-Adviser’s investment strategies and personnel, and its compliance program. The Trustees also considered information regarding the Sub-Adviser’s business continuity planning and remote operations in the current environment.
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. The Trustees noted that the compensation paid to the Sub-Adviser is paid by the Investment Adviser, not by the Fund. They also considered the expense limitations that substantially reduce the fees retained by the Investment Adviser, and that the retention of the Sub-Adviser does not directly 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 significant differences in cost drivers and risks associated with the respective services offered by the Investment Adviser and the Sub-Adviser.
Conclusion
In connection with their consideration of the Sub-Advisory Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees paid by the Investment Adviser to the Sub-Adviser were reasonable in light of the factors considered, and that the Sub-Advisory Agreement should be approved and continued until August 31, 2021.
37
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Cheryl K. Beebe Age: 64 | Chair of the Board of Trustees | Since 2017 (Trustee since 2015) | Ms. Beebe is retired. She is Director, Packaging Corporation of America (2008-Present); Director, The Mosaic Company (2019-Present); and was formerly Director, Convergys Corporation (a global leader in customer experience outsourcing) (2015-2018); and formerly held the position of Executive Vice President, (2010-2014); and Chief Financial Officer, Ingredion, Inc. (a leading global ingredient solutions company) (2004-2014).
Chair of the Board of Trustees — Goldman Sachs Trust II. | 19 | Packaging Corporation of America (producer of container board); The Mosaic Company (producer of phosphate and potash fertilizer) | |||||
Lawrence Hughes Age: 62 | Trustee | Since 2016 | Mr. Hughes is retired. Formerly, he held senior management positions with BNY Mellon Wealth Management, a division of The Bank of New York Mellon Corporation (a financial services company) (1991-2015), most recently as Chief Executive Officer (2010-2015). He serves as a Member of the Board of Directors, (2012-Present) and formerly served as Chairman (2012-2019), Ellis Memorial and Eldredge House (a not-for-profit organization). Previously, Mr. Hughes served as an Advisory Board Member of Goldman Sachs Trust II (February 2016-April 2016).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
John F. Killian Age: 65 | Trustee | Since 2015 | Mr. Killian is retired. He is Director, Consolidated Edison, Inc. (2007-Present); Director, Houghton Mifflin Harcourt Publishing Company (2011-Present); and formerly held senior management positions with Verizon Communications, Inc., including Executive Vice President and Chief Financial Officer (2009-2010); and President, Verizon Business, Verizon Communications, Inc. (2005-2009).
Trustee — Goldman Sachs Trust II. | 19 | Consolidated Edison, Inc. (a utility holding company); Houghton Mifflin Harcourt Publishing Company | |||||
Steven D. Krichmar Age: 62 | Trustee | Since 2018 | Mr. Krichmar is retired. Formerly, he held senior management and governance positions with Putnam Investments, LLC, a financial services company (2001-2016). He was most recently Chief of Operations and a member of the Operating Committee of Putnam Investments, LLC and Principal Financial Officer of The Putnam Funds. Previously, Mr. Krichmar served as an Audit Partner with PricewaterhouseCoopers LLP and its predecessor company (1990-2001).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
38
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | President and Trustee | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 170 | None | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. He holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2020. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2020, Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
39
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 58 | Trustee and President | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust II; Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 52 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer Since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of October 31, 2020. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs GQG Partners International Opportunities Fund — Tax Information (Unaudited)
For the year ended October 31, 2020, 19.10% of the dividends paid from net investment company taxable income by the Goldman Sachs GQG Partners International Opportunities Fund qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2020, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs GQG Partners International Opportunities Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
From distributions paid during the year ended October 31, 2020, the total amount of income received by the Goldman Sachs GQG Partners International Opportunities Fund from sources within foreign countries and possessions of the United States was $0.0947 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Goldman Sachs GQG Partners International Opportunities Fund was 88.09%. The total amount of taxes paid by the Goldman Sachs GQG Partners International Opportunities Fund to such countries was $0.0138 per share.
40
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.86 trillion in assets under supervision as of September 30, 2020, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
∎ | Financial Square Treasury Solutions Fund1 |
∎ | Financial Square Government Fund1 |
∎ | Financial Square Money Market Fund2 |
∎ | Financial Square Prime Obligations Fund2 |
∎ | Financial Square Treasury Instruments Fund1 |
∎ | Financial Square Treasury Obligations Fund1 |
∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ | Investor Money Market Fund3 |
∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Income Fund |
∎ | Global Core Fixed Income Fund4 |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Municipal Income Completion Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
∎ | Defensive Equity Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund6 |
∎ | Emerging Markets Equity Fund |
∎ | Imprint Emerging Markets Opportunities Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund7 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income Fund |
∎ | Multi-Manager U.S. Dynamic Equity Fund |
∎ | Multi-Manager Global Equity Fund |
∎ | Multi-Manager International Equity Fund |
∎ | Tactical Tilt Overlay Fund |
∎ | Balanced Strategy Portfolio |
∎ | Multi-Manager U.S. Small Cap Equity Fund |
∎ | Multi-Manager Real Assets Strategy Fund |
∎ | Growth and Income Strategy Portfolio |
∎ | Growth Strategy Portfolio |
∎ | Dynamic Global Equity Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio8 |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close of business on August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
7 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
8 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Cheryl K. Beebe, Chair Lawrence Hughes John F. Killian Steven D. Krichmar James A. McNamara | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT L.P. Investment Adviser |
Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (the “SEC”) web site at http://www.sec.gov.
The Fund will file its portfolio holdings for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of October 31, 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.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 224111-OTU-1319329 GQGPIOAR-20
Goldman Sachs Funds
Annual Report | October 31, 2020 | |||
Multi-Manager Alternatives Fund |
It is our intention that beginning on January 1, 2021, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund 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 a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of the Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Multi-Manager Alternatives Fund
1 | ||||
9 | ||||
10 | ||||
27 | ||||
30 | ||||
37 | ||||
54 | ||||
55 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Multi-Manager Alternatives Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Alternative Investments & Manager Selection (“AIMS”) Group discusses the Goldman Sachs Multi-Manager Alternatives Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 2.33%, 1.48%, 2.66%, 2.59%, 2.60%, 1.98% and 2.60%, respectively. These returns compare to the 0.91% average annual total return of the Fund’s primary benchmark, the ICE BofAML Three-Month U.S. Treasury Bill Index (the “ICE BofAML Index”), which reflects no deductions for fees or expenses, during the same time period. The HFRX Global Hedge Fund Index (the “HFRX Index”) (net of management, administrative and performance/incentive fees), a broad proxy for hedge fund performance and the Fund’s secondary benchmark, returned 3.68% during the Reporting Period. |
References to the Fund’s benchmarks mentioned herein are for informational purposes only, and unless otherwise noted, are not an indication of how the Fund is managed. The use of the ICE BofAML Index as the Fund’s benchmark does not imply the Fund is being managed like cash and does not imply low risk or low volatility. |
Q | What economic and market factors most influenced the financial markets as a whole during the Reporting Period? |
A | The capital markets produced mixed results during the Reporting Period, with the major influences being the spread of COVID-19, a contraction in global economic growth and historic monetary stimulus by central banks and governments around the world. |
In the global equity markets, the first half of the Reporting Period was notable for its stark contrasts—2019 ended with a strong rally and 2020 started with the onset of the COVID-19 pandemic, leading to a sharp sell-off. The economic concerns associated with COVID-19 caused global equities, represented by the MSCI All Country World Index Investable Market Index, to fall more than 30% between February 20, 2020 and March 23, 2020. Investors anticipated a severe contraction in global Gross Domestic Product (“GDP”), as governments around the world implemented lockdown measures and economic activity came to a virtual halt. For the first quarter of 2020, U.S. real GDP decreased at an annualized rate of 5%, marking the end of the longest economic expansion (128 months) on record and the first economic downturn since the end of the last recession in 2009. The second half of the Reporting Period was also a time of contrasts, with a continued rally in the global equity markets during the first four months and a dramatic pullback during the last two months. Risk assets found support in unprecedented monetary policy easing and fiscal stimulus, which propelled global equities up more than 10% during April 2020 alone. Investors generally focused on their expectations for a U.S. economic recovery, despite the news that U.S. real GDP fell more than 31%, annualized, during the second quarter of 2020. Most economists anticipated the U.S. recession would be deep but also exceptionally short, as states reopened and economic activity resumed. Indeed, during the third calendar quarter, U.S. real GDP increased more than 33%, annualized. Global equities rallied approximately 20% in May through August 2020, completing a sharp rebound from their lows on March 23rd. However, in September and October, global equity markets pulled back as risk-off investor sentiment, or reduced risk appetite, increased due to an acceleration in COVID-19 infections across the U.S. and Europe and because of rising uncertainty surrounding the then-upcoming U.S. presidential election. Major European countries implemented further lockdown measures after experiencing another wave of infections, though the measures announced were less severe than those applied during February and March. For the Reporting Period overall, global equities were up more |
1
PORTFOLIO RESULTS
than 4%, driven by positive performance across U.S. and emerging markets equities. European and Asia Pacific ex-Japan equities recorded negative returns. From a sector perspective, information technology and consumer discretionary stocks were notably strong performers, while energy and financials stocks were the laggards during the Reporting Period. |
Credit markets broadly rallied during the first three months of the Reporting Period. The rally was driven by improved investor sentiment about U.S. and China trade relations, global economic growth, Brexit, and the health of the consumer balance sheet. (Brexit refers to the U.K.’s exit from the European Union.) Investor sentiment deteriorated in March 2020, following the trend that began in February, with the global spread of COVID-19 and government-mandated shutdowns driving a steep sell-off in the credit markets. In response to the pandemic, the U.S. Federal Reserve (“Fed”) and the U.S. federal government, as well as other central banks and governments around the world, announced emergency monetary and fiscal measures to help support the global economy. As a result of these actions, the credit markets largely recovered during the second and third quarters of 2020, with the initial rebound led by higher quality securities and by issuers less affected by COVID-19. Investment grade corporate bonds outperformed nearly all other major fixed income sectors during the Reporting Period as a whole, as the longer duration profile of investment grade corporate bonds benefited from declining interest rates and tightening credit spreads following widening in March 2020. (Duration is a measure of bonds’ sensitivity to changes in interest rates. Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) Toward the end of the Reporting Period, high yield corporate bonds and leveraged loans outperformed the broader fixed income market, as investors’ appetite for risk assets increased. During the Reporting Period overall, emerging markets debt, primarily local currency-denominated bonds, lagged other fixed income asset classes, largely due to investors’ concerns about COVID-19 cases in emerging countries but also because of the limited amount of available fiscal and monetary support in certain countries. Within the emerging markets, investment grade sovereign bonds significantly outperformed lower rated sovereign bonds during the Reporting Period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund generally seeks to achieve its investment objective by allocating its assets among multiple unaffiliated investment managers (“Underlying Managers”) that employ one or more non-traditional and alternative investment strategies. The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers as well as for determining the Fund’s asset allocations. The AIMS Group applies a multifaceted process with respect to manager due diligence, portfolio construction and risk management. |
During the Reporting Period, the Fund’s outperformance of the ICE BofAML Index can be attributed to the performance of the Fund’s Underlying Managers. |
At various points during the Reporting Period, the Fund had 13 Underlying Managers, though not all were allocated capital. The 13 Underlying Managers were Algert Global LLC (“Algert”); Ares Capital Management II LLC (“Ares”); Artisan Partners LP (“Artisan”); Bardin Hill Arbitrage IC Management LP (“Bardin Hill”); Brigade Capital Management, LP (“Brigade”); Crabel Capital Management, LLC (“Crabel”); Emso Asset Management Limited (“Emso”); First Pacific Advisors LP (“FPA”); GQG Partners LLC (“GQG Partners”); Marathon Asset Management, L.P. (“Marathon”); River Canyon Fund Management LLC (“River Canyon”); Sirios Capital Management, L.P. (“Sirios”); and Wellington Management Company LLC (“Wellington”). |
These 13 Underlying Managers represented five strategies—equity long/short (FPA, Sirios and Wellington); event driven and credit (Ares, Bardin Hill, Brigade, Marathon and River Canyon); tactical trading (Crabel and Emso); relative value (Algert); and dynamic equity (Artisan and GQG Partners). |
Nine of these 13 Underlying Managers were allocated capital during the Reporting Period, with five of them generating positive absolute returns and four of them generating negative absolute returns. |
In addition, during the Reporting Period, the Fund allocated assets to Russell Investments Commodity Advisor, LLC (“RICA”). RICA manages a beta completion mandate for the Fund, which provides us with an additional tool to manage the beta of the Fund and is not used to override any views and/or decisions of the Fund’s Underlying Managers. (Beta |
2
PORTFOLIO RESULTS
is a measure of the sensitivity of a portfolio’s returns to broad market returns.) During the Reporting Period, RICA generated negative absolute returns. |
Q | Which strategies most significantly affected Fund performance? |
A | Of the five strategies employed across the Underlying Managers during the Reporting Period, three generated positive returns and two generated negative returns. The Fund did not have an allocation to the opportunistic fixed income strategy during the Reporting Period. |
The Fund’s dynamic equity strategy contributed most positively to performance, driven by gains in communication services, technology and consumer non-cyclical stocks. Notable individual contributors were Alibaba, a China-based multinational e-commerce and technology company; Worldpay, a U.S. payment processing company and technology provider; Shopify, a Canadian multinational e-commerce company; and British American Tobacco, a U.K.-based tobacco company. On a regional basis, the dynamic equity strategy benefited from its exposures to North America, specifically the U.S., and to Asian emerging markets. Dynamic equity strategies generally involve investing in equity instruments, often with a long-term view, and may have low excess return correlations to traditional long-only equity strategies. Dynamic equity strategies are less likely to track a benchmark than traditional long-only strategies, and dynamic equity managers are less constrained than traditional long-only managers with respect to factors such as position concentration, sector and country weights, style and market capitalization. |
The event driven and credit strategy overall also bolstered the Fund’s performance during the Reporting Period. Within merger arbitrage strategies, which involve taking long and/or short positions in securities affected by a corporate merger or acquisition, the Fund was helped by select positions in communication services and consumer cyclical stocks, including Canadian gaming and online gambling company Stars Group and Italian-American multinational auto maker Fiat Chrysler. Within credit strategies, the Fund was hurt by its positions in select residential mortgage-backed securities, though its investments in mortgage-backed securities overall had a positive impact on performance during Reporting Period. The Fund’s positions in asset backed securities detracted from results. Event driven and credit strategies seek to achieve gains from market movements in security prices caused by specific corporate events or changes in perceived relative value. These strategies may include, among others, merger arbitrage, distressed credit, opportunistic credit and value with a catalyst investing style. |
The equity long/short strategy added further to the Fund’s returns, led by the Underlying Managers’ positions in the information technology and communication services sectors. Leading individual contributors were Tencent Holdings, a China-based technology holding company; Snap, a U.S. camera and social media company; and Alibaba, mentioned earlier. The equity long/short strategy’s gains were offset slightly by the Underlying Managers’ hedging losses as well as by leading individual detractors within the industrials sector. Equity long/short strategies generally involve long and short investing, based on fundamental evaluations, research and various analytical measurements, in equity and equity-related investments. Equity long/short managers may, for example, buy stocks they expect to outperform or they believe are undervalued, and may also sell short stocks they believe will underperform or they believe are overvalued. Long positions benefit from an increase in the price of the underlying instrument or asset class, while short positions benefit from a decrease in that price. |
The tactical trading strategy detracted from the Fund’s performance. Within macro strategies, the Underlying Managers’ positions in foreign currencies and in fixed income had a negative impact on results. Within managed futures strategies, Underlying Managers were hurt by trading losses in interest rates, though this was partly offset by exposure to the U.S. Tactical trading strategies that seek to produce total return by long and short investing across global fixed income, currency, equity and commodity markets. Tactical trading managers may employ various investment styles of which the two major strategies are macro and managed futures. Tactical trading managers that employ a global macro style may select their investments based upon fundamental and/or technical analysis. Tactical trading managers that employ a managed futures investing style may use quantitative modeling techniques, e.g., determining an asset’s value based upon an analysis of price history, price momentum and the asset’s value relative to that of other assets, among other factors. Some tactical trading managers may employ both fundamental analysis and quantitative modeling techniques. Tactical trading managers typically have no bias to be long, short or neutral, but at any given time may have significant long or short exposures in a particular market or asset. |
3
PORTFOLIO RESULTS
The relative value strategy also detracted from the Fund’s returns during the Reporting Period, driven by the Underlying Managers’ losses in the information technology, utilities and industrials sectors. These negative results were offset somewhat by gains in the consumer discretionary sector. Relative value strategies seek to identify and capitalize on price discrepancies between related assets (assets that share a common financial factor, such as interest rates, an issuer, or an index). Relative value strategies generally rely on arbitrage (the simultaneous purchase and sale of related assets) and may exist between two issuers or within the capital structure of a single issuer. These strategies attempt to exploit a source of return with low correlation to the market and include, among others, fixed income arbitrage, convertible arbitrage, volatility arbitrage, statistical arbitrage and equity market neutral strategies. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Underlying Managers of the Fund employ derivatives and similar instruments as part of their underlying strategies to hedge market exposure and/or to gain implicit leverage, subject to the constraints of the Investment Company Act of 1940. The derivatives used most by Underlying Managers during the Reporting Period were commodity futures, equity futures and equity options, warrants, rights, total return swaps (single name and index), bond futures, credit default swaps, interest rate futures, interest rate swaps, currency futures and forward foreign currency exchange contracts. Overall, the use of derivatives and similar instruments by the Underlying Managers had a negative impact on the Fund’s performance during the Reporting Period. |
Q | Were there any notable changes in the Fund’s allocations and Underlying Managers during the Reporting Period? |
A | During the Reporting Period, shifts in the Fund’s asset allocation were made in response to the market environment and were also the result of changes in allocations to the Fund’s various strategies. One of the shifts in strategy allocation during the Reporting Period was an increase in the Fund’s exposure to the event driven and credit strategy. Most of the increase occurred in February 2020, with the addition of Marathon as a new Underlying Manager. Marathon manages an emerging markets debt strategy that strives to give investors participation in upside emerging markets debt performance while providing downside risk management. Marathon does this by combining what it considers the best ideas from its emerging markets hedge fund with its “optimal beta” approach and also tactically uses cash to control overall market exposure. We believe Marathon can provide differentiated exposure to high carry emerging markets debt, with the flexibility of reducing exposure and managing downside risk during periods of heightened market volatility. (High carry refers to positions in which there exists a greater difference in yield between a funding source, such as a currency borrowed at a low interest rate, and a long position, such as the holding of a currency with a higher interest rate.) Another shift in strategy allocation during the Reporting Period was to increase the Fund’s exposure to the dynamic equity strategy, accomplished through increased allocations to GQG Partners and Artisan. We funded the increase by reducing the Fund’s allocation to the tactical trading strategy, ultimately removing Emso as an Underlying Manager for the Fund. In addition, during the Reporting Period, we eliminated the Fund’s allocation to the relative value strategy. Although Algert was no longer allocated capital, it remained an Underlying Manager for the Fund at the end of the Reporting Period. |
Overall, during the Reporting Period, we added one Underlying Manager and removed two Underlying Managers. Marathon was added as a new Underlying Manager within the Fund’s event driven and credit strategy, joining River Canyon and Bardin Hill, and was allocated capital in February 2020. Effective February 28, 2020, Emso no longer served as Underlying Manager within the tactical trading strategy. FPA was removed as an Underlying Manager within the equity long/short strategy as of September 30, 2020. Given portfolio construction considerations around maintaining a style balanced portfolio, the Fund had not allocated capital to FPA, which has a value orientation, since 2018. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio manager for the Fund was Betsy Gorton, who has been a portfolio manager since 2015. |
4
PORTFOLIO RESULTS
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | We intend to continue to closely monitor global economic growth, monetary policy and market volatility, while using active portfolio management and alternative investment strategies to position the Fund as we aim to deliver positive absolute returns across a variety of market environments. We believe the flexibility to allocate tactically across these alternative strategies may enable us to provide investors with positive absolute returns in a variety of market conditions and with significant diversification benefits. We intend to continue to actively explore adding new managers with what we consider to be unique alternative capabilities as market conditions warrant. |
5
FUND BASICS
Multi-Manager Alternatives Fund
as of October 31, 2020
FUND COMPOSITION (%)1 |
1 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of the Fund’s market value, excluding cash and the allocation to Russell Investments Commodity Advisor, LLC, which manages a beta completion mandate. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Consolidated Schedule of Investments. |
TOP TEN EQUITY HOLDINGS AS OF 10/31/202 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Alibaba Group Holding Ltd. ADR | 1.4 | % | Internet & Direct Marketing Retail | |||||
Tencent Holdings Ltd. | 1.4 | Interactive Media & Services | ||||||
Varian Medical Systems, Inc. | 1.3 | Health Care Equipment & Supplies | ||||||
Navistar International Corp. | 1.0 | Machinery | ||||||
Cellnex Telecom SA | 0.8 | Diversified Telecommunication Services | ||||||
Fidelity National Information Services, Inc. | 0.7 | IT Services | ||||||
Tiffany & Co. | 0.8 | Specialty Retail | ||||||
Wright Medical Group NV | 0.7 | Health Care Equipment & Supplies | ||||||
NVIDIA Corp. | 0.7 | Semiconductors & Semiconductor Equipment | ||||||
GrandVision NV | 0.7 | Specialty Retail |
2 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
6
FUND BASICS
SUBADVISOR ALLOCATION (%)3 |
| |||||
Type | Fund | |||||
River Canyon Fund Management LLC | 20.0 | |||||
Bardin Hill Arbitrage IC Management LP | 15.6 | |||||
Crabel Capital Management, LLC | 15.0 | |||||
GQG | 13.4 | |||||
Artisan | 11.3 | |||||
Wellington Management Company LLP | 11.2 | |||||
Marathon Capital Management | 9.8 | |||||
Other | 3.6 | |||||
Algert Global LLC | 0.1 | |||||
Sirios Capital Management, LP | 0.0 | |||||
Ares Capital Management II LLC | 0.0 | |||||
Brigade Capital Management, LP | 0.0 |
3 | The chart above represents capital allocated to the Underlying Managers, as a percentage of net assets, excluding cash and the allocation to Russell Investments Commodity Advisor, LLC which manages a beta completion mandate for the Fund, and as such the weightings may not sum to 100%. Other represents the Fund’s allocation to iShares® iBoxx $ High Yield Corporate Bond ETF. |
STRATEGY ALLOCATION (%)4 |
As of October 31, 2019 |
4 | Equity Long/Short Strategies generally involve long and short investing, based on fundamental evaluations, research and various analytical measurements, in equity and equity-related investments. Dynamic Equity Strategies generally are long-biased strategies that are less constrained than traditional long-only managers with respect to factors such as position concentration, sector and country weights, style, and market capitalization. Relative Value Strategies seek to identify and benefit from pricing discrepancies between related assets. Event Driven and Credit Strategies seek to achieve gains from market movements in security prices caused by specific corporate events or changes in perceived relative value. Tactical Trading Strategies seek to produce total return by long and short investing across global fixed income, currency, equity, and commodity markets. Tactical Trading managers typically have no bias to be long, short, or neutral but at any given time may have significant long or short exposures in a particular market or asset class. The percentages above exclude cash and the allocation to Russell Investments Commodity Advisor, LLC, which manages a beta completion mandate for the Fund. |
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
Index Definition
The ICE BofAML Three-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent 3-month auction, it is also possible for a seasoned 6-month Bill to be selected. |
The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies, including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. The index is investable through products managed by HFR Asset Management, LLC that track HFRX Indices. The HFRX Global Hedge Fund Index is a trademark of Hedge Fund Research, Inc. (“HFR”). HFR has not participated in the formation of the Fund. HFR does not endorse or approve the Fund or make any recommendation with respect to investing in the Fund. |
HFRI and HFRX and related indices are trademarks and service marks of HFR which has no affiliation with GSAM. Information regarding HFR indices was obtained from HFR’s website and other public sources and is provided for comparison purposes only. HFR does not endorse or approve any of the statements made herein. |
MSCI All Country World Index Investable Market Index captures large- and mid-cap representation across 23 developed markets and 26 emerging markets countries. It is not possible to invest directly in an unmanaged index. |
It is not possible to invest directly in an unmanaged index. |
8
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on April 30, 2013 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s current benchmarks, the ICE BofAML Three-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Multi-Manager Alternatives Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from April 30, 2013 through October 31, 2020.
Average Annual Total Return through October 31, 2020* | One Year | Five Years | Since Inception | |||||||
Class A (Commenced April 30, 2013) | ||||||||||
Excluding sales charges | 2.33% | 1.14% | 1.46% | |||||||
Including sales charges | -3.29% | | 0.00% | | 0.70% | |||||
| ||||||||||
Class C (Commenced April 30, 2013) | ||||||||||
Excluding contingent deferred sales charges | 1.48% | 0.35% | 0.69% | |||||||
Including contingent deferred sales charges | 0.48% | 0.35% | 0.69% | |||||||
| ||||||||||
Institutional (Commenced April 30, 2013) | 2.66% | 1.51% | 1.84% | |||||||
| ||||||||||
Investor (Commenced April 30, 2013) | 2.59% | 1.37% | 1.72% | |||||||
| ||||||||||
Class R6 (Commenced February 28, 2018) | 2.60% | N/A | 2.46% | |||||||
| ||||||||||
Class R (Commenced April 30, 2013) | 1.98% | 0.89% | 1.20% | |||||||
| ||||||||||
Class P (Commenced April 16, 2018) | 2.60% | N/A | 2.59% | |||||||
|
* | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
9
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – 5.2% | ||||||||||||||
Airlines(a)(b) – 1.0% | ||||||||||||||
| Mileage Plus Holdings LLC/Mileage Plus Intellectual Property | | ||||||||||||
$ | 1,480,000 | 6.500 | % | 06/20/27 | $ | 1,542,900 | ||||||||
|
| |||||||||||||
Commercial Services(a)(b)(c)(d) – 0.0% | ||||||||||||||
Cenveo Corp. | ||||||||||||||
1,315,000 | 8.500 | 09/15/22 | 1,119 | |||||||||||
|
| |||||||||||||
Electrical(a)(b) – 0.2% | ||||||||||||||
AES Panama Generation Holdings SRL | ||||||||||||||
331,000 | 4.375 | 05/31/30 | 349,258 | |||||||||||
|
| |||||||||||||
Media(a)(b) – 0.9% | ||||||||||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||||||||
1,315,000 | 5.125 | 08/15/27 | 1,288,700 | |||||||||||
|
| |||||||||||||
Oil Field Services(b) – 1.8% | ||||||||||||||
Empresa Nacional del Petroleo | ||||||||||||||
334,000 | 3.750 | 08/05/26 | 351,952 | |||||||||||
Petrobras Global Finance B.V. | ||||||||||||||
606,000 | 5.600 | 01/03/31 | 651,814 | |||||||||||
Petroleos Mexicanos | ||||||||||||||
359,000 | 7.690 | 01/23/50 | 297,952 | |||||||||||
598,000 | 6.950 | 01/28/60 | 467,636 | |||||||||||
Petronas Capital Ltd.(a) | ||||||||||||||
371,000 | 4.550 | 04/21/50 | 462,884 | |||||||||||
371,000 | 4.800 | 04/21/60 | 500,270 | |||||||||||
|
| |||||||||||||
2,732,508 | ||||||||||||||
|
| |||||||||||||
Pipeline(a) – 0.3% | ||||||||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||||||||
466,000 | 2.625 | 03/31/36 | 462,500 | |||||||||||
|
| |||||||||||||
Real Estate Investment Trust(a)(b) – 1.0% | ||||||||||||||
New Residential Investment Corp. | ||||||||||||||
1,500,000 | 6.250 | 10/15/25 | 1,436,250 | |||||||||||
|
| |||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $8,574,971) | $ | 7,813,235 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – 38.0% | ||||||||
Air Freight & Logistics – 0.6% | ||||||||
1,604 | DSV PANALPINA A/S | $ | 260,235 | |||||
4,132 | United Parcel Service, Inc. Class B | 649,179 | ||||||
|
| |||||||
909,414 | ||||||||
|
| |||||||
Beverages – 0.1% | ||||||||
1,385 | Pernod Ricard SA | 223,127 | ||||||
|
| |||||||
Biotechnology – 0.6% | ||||||||
1,408 | CSL Ltd. | 285,060 | ||||||
1,943 | Genmab A/S* | 649,010 | ||||||
|
| |||||||
934,070 | ||||||||
|
| |||||||
Capital Markets – 1.2% | ||||||||
929 | BlackRock, Inc. | 556,666 | ||||||
1,831 | Deutsche Boerse AG | 269,805 | ||||||
6,371 | London Stock Exchange Group PLC | 686,780 | ||||||
578 | Moody’s Corp. | 151,956 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
637 | S&P Global, Inc. | 205,579 | ||||||
|
| |||||||
1,870,786 | ||||||||
|
| |||||||
Chemicals – 0.5% | ||||||||
4,851 | Air Liquide SA | 709,402 | ||||||
|
| |||||||
Commercial Services & Supplies* – 0.4% | ||||||||
4,803 | Copart, Inc. | 530,059 | ||||||
|
| |||||||
Communications Equipment – 0.5% | ||||||||
4,513 | Sunrise Communications Group AG* | 540,901 | ||||||
19,494 | Telefonaktiebolaget LM Ericsson Class B | 217,641 | ||||||
|
| |||||||
758,542 | ||||||||
|
| |||||||
Diversified Consumer Services*(c) – 0.0% | ||||||||
5,019 | Gymboree Holding Corp. | — | ||||||
|
| |||||||
Diversified Telecommunication Services(a) – 0.8% | ||||||||
17,833 | Cellnex Telecom SA | 1,144,717 | ||||||
|
| |||||||
Electric Utilities – 0.4% | ||||||||
50,024 | Enel SpA | 397,716 | ||||||
947 | Orsted A/S(a) | 150,302 | ||||||
|
| |||||||
548,018 | ||||||||
|
| |||||||
Electrical Equipment – 0.7% | ||||||||
4,949 | AMETEK, Inc. | 485,992 | ||||||
4,393 | OSRAM Licht AG* | 257,813 | ||||||
2,365 | Schneider Electric SE | 287,362 | ||||||
|
| |||||||
1,031,167 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||
5,245 | Amphenol Corp. Class A | 591,846 | ||||||
119,552 | Fitbit, Inc. Class A*(e) | 841,646 | ||||||
|
| |||||||
1,433,492 | ||||||||
|
| |||||||
Entertainment – 0.2% | ||||||||
444 | Electronic Arts, Inc.* | 53,205 | ||||||
5,806 | NetEase, Inc. | 101,553 | ||||||
1,118 | NetEase, Inc. ADR | 97,031 | ||||||
202 | Netflix, Inc.* | 96,099 | ||||||
|
| |||||||
347,888 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.2% | ||||||||
504 | SBA Communications Corp. | 146,347 | ||||||
4,453 | Taubman Centers, Inc.(e) | 148,819 | ||||||
|
| |||||||
295,166 | ||||||||
|
| |||||||
Food Products – 0.6% | ||||||||
7,501 | Nestle SA | 843,697 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 2.4% | ||||||||
6,230 | Abbott Laboratories | 654,835 | ||||||
17,614 | Stemline Therapeutics, Inc.(c) | 5,813 | ||||||
11,070 | Varian Medical Systems, Inc.*(e) | 1,912,896 | ||||||
35,828 | Wright Medical Group NV*(e) | 1,095,978 | ||||||
|
| |||||||
3,669,522 | ||||||||
|
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Hotels, Restaurants & Leisure – 1.0% | ||||||||
2,150 | Dunkin’ Brands Group, Inc. | $ | 214,376 | |||||
3,394 | Evolution Gaming Group AB(a) | 251,734 | ||||||
102,001 | NetEnt AB* | 967,405 | ||||||
|
| |||||||
1,433,515 | ||||||||
|
| |||||||
Household Products – 0.2% | ||||||||
2,930 | Reckitt Benckiser Group PLC | 258,099 | ||||||
|
| |||||||
Insurance – 1.4% | ||||||||
3,873 | Aon PLC Class A(f) | 712,671 | ||||||
5,428 | Trupanion, Inc.* | 388,319 | ||||||
1,397 | Watford Holdings Ltd.* | 50,292 | ||||||
4,826 | Willis Towers Watson PLC(e) | 880,648 | ||||||
|
| |||||||
2,031,930 | ||||||||
|
| |||||||
Interactive Media & Services – 2.2% | ||||||||
110 | Alphabet, Inc. Class A* | 177,772 | ||||||
198 | Alphabet, Inc. Class C* | 320,960 | ||||||
1,180 | Match Group, Inc.* | 137,800 | ||||||
15,398 | Snap, Inc. Class A* | 606,527 | ||||||
26,554 | Tencent Holdings Ltd. | 2,028,875 | ||||||
|
| |||||||
3,271,934 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail* – 3.1% | ||||||||
1,594 | Alibaba Group Holding Ltd. | 60,403 | ||||||
6,851 | Alibaba Group Holding Ltd. ADR | 2,087,431 | ||||||
224 | Amazon.com, Inc. | 680,098 | ||||||
4,498 | Grubhub, Inc. | 332,672 | ||||||
10,317 | Meituan Class B | 384,609 | ||||||
798 | MercadoLibre, Inc. | 968,812 | ||||||
1,626 | Ocado Group PLC | 47,951 | ||||||
613 | Zalando SE(a) | 57,085 | ||||||
|
| |||||||
4,619,061 | ||||||||
|
| |||||||
IT Services – 3.4% | ||||||||
741 | Accenture PLC Class A | 160,730 | ||||||
166 | Adyen NV*(a) | 279,003 | ||||||
2,071 | Afterpay Ltd.* | 141,013 | ||||||
3,919 | Cognizant Technology Solutions Corp. Class A | 279,895 | ||||||
1,433 | Edenred | 66,798 | ||||||
9,043 | Fidelity National Information Services, Inc. | 1,126,667 | ||||||
3,702 | Genpact Ltd. | 127,238 | ||||||
2,241 | Global Payments, Inc. | 353,495 | ||||||
3,978 | GoDaddy, Inc. Class A* | 281,404 | ||||||
899 | Mastercard, Inc. Class A | 259,487 | ||||||
19,713 | Network International Holdings PLC*(a) | 56,565 | ||||||
14,249 | Nexi SpA*(a) | 219,351 | ||||||
6,518 | Repay Holdings Corp.* | 146,851 | ||||||
456 | Shopify, Inc. Class A* | 421,996 | ||||||
5,575 | StoneCo Ltd. Class A* | 292,910 | ||||||
722 | VeriSign, Inc.* | 137,685 | ||||||
10,891 | Virtusa Corp.* | 547,817 | ||||||
1,442 | Visa, Inc. Class A | 262,026 | ||||||
|
| |||||||
5,160,931 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Life Sciences Tools & Services – 1.1% | ||||||||
4,925 | Agilent Technologies, Inc. | 502,793 | ||||||
388 | Bio-Rad Laboratories, Inc. Class A* | 227,531 | ||||||
559 | Lonza Group AG | 338,704 | ||||||
6,600 | QIAGEN NV* | 313,386 | ||||||
618 | Thermo Fisher Scientific, Inc. | 292,388 | ||||||
|
| |||||||
1,674,802 | ||||||||
|
| |||||||
Machinery*(e) – 1.0% | ||||||||
33,409 | Navistar International Corp. | 1,440,262 | ||||||
|
| |||||||
Media* – 0.3% | ||||||||
1,884 | Cardlytics, Inc. | 139,077 | ||||||
558 | Charter Communications, Inc. Class A | 336,931 | ||||||
|
| |||||||
476,008 | ||||||||
|
| |||||||
Metals & Mining – 0.3% | ||||||||
14,347 | Barrick Gold Corp. | 383,495 | ||||||
|
| |||||||
Multi-Utilities – 0.1% | ||||||||
13,818 | Algonquin Power & Utilities Corp. | 209,505 | ||||||
|
| |||||||
Personal Products – 0.2% | ||||||||
1,049 | L’Oreal SA | 339,021 | ||||||
|
| |||||||
Pharmaceuticals – 2.2% | ||||||||
43,866 | AMAG Pharmaceuticals, Inc.* | 601,841 | ||||||
8,718 | AstraZeneca PLC | 875,335 | ||||||
4,541 | MyoKardia, Inc.* | 1,015,050 | ||||||
12,553 | Novo Nordisk A/S Class B | 800,450 | ||||||
115 | Roche Holding AG | 36,953 | ||||||
|
| |||||||
3,329,629 | ||||||||
|
| |||||||
Professional Services – 1.3% | ||||||||
14,024 | CoreLogic, Inc.(e) | 1,078,866 | ||||||
17 | CoStar Group, Inc.* | 14,002 | ||||||
11,060 | IHS Markit Ltd. | 894,422 | ||||||
267 | TransUnion | 21,269 | ||||||
248 | TriNet Group, Inc.* | 17,092 | ||||||
|
| |||||||
2,025,651 | ||||||||
|
| |||||||
Road & Rail – 0.3% | ||||||||
2,152 | Union Pacific Corp. | 381,313 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.0% | ||||||||
5,129 | Advanced Micro Devices, Inc.* | 386,162 | ||||||
5,852 | Analog Devices, Inc. | 693,638 | ||||||
3,055 | ASML Holding NV | 1,104,933 | ||||||
3,182 | Inphi Corp.* | 444,716 | ||||||
12,499 | Maxim Integrated Products, Inc.(e) | 870,555 | ||||||
628 | Micron Technology, Inc.* | 31,614 | ||||||
2,155 | NVIDIA Corp. | 1,080,431 | ||||||
25,827 | Taiwan Semiconductor Manufacturing Co. Ltd. | 390,754 | ||||||
4,240 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 355,609 | ||||||
3,307 | Texas Instruments, Inc. | 478,159 | ||||||
1,804 | Xilinx, Inc. | 214,117 | ||||||
|
| |||||||
6,050,688 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software – 2.6% | ||||||||
538 | Adobe, Inc.* | $ | 240,540 | |||||
2,722 | Atlassian Corp. PLC Class A* | 521,590 | ||||||
2,426 | Avalara, Inc.* | 361,595 | ||||||
2,134 | Cloudflare, Inc.* | 110,904 | ||||||
58 | Guidewire Software, Inc.* | 5,574 | ||||||
360 | HubSpot, Inc.* | 104,425 | ||||||
606 | Intuit, Inc. | 190,696 | ||||||
4,721 | Microsoft Corp.(f) | 955,861 | ||||||
920 | salesforce.com, Inc.* | 213,689 | ||||||
1,259 | SAP SE ADR | 134,499 | ||||||
449 | ServiceNow, Inc.* | 223,409 | ||||||
1,732 | Splunk, Inc.* | 343,005 | ||||||
2,697 | Workday, Inc. Class A* | 566,694 | ||||||
|
| |||||||
3,972,481 | ||||||||
|
| |||||||
Specialty Retail – 1.5% | ||||||||
38,872 | GrandVision NV*(a) | 1,079,744 | ||||||
8,427 | Tiffany & Co.(e) | 1,102,589 | ||||||
|
| |||||||
2,182,333 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.9% | ||||||||
9,209 | Apple, Inc.(f) | 1,002,492 | ||||||
6,045 | HP, Inc.(e) | 108,568 | ||||||
4,946 | Samsung Electronics Co. Ltd. | 248,614 | ||||||
|
| |||||||
1,359,674 | ||||||||
|
| |||||||
Trading Companies & Distributors* – 0.1% | ||||||||
2,523 | WESCO International, Inc. (e) | 104,049 | ||||||
|
| |||||||
Wireless Telecommunication Services* – 0.6% | ||||||||
8,837 | T-Mobile US, Inc. | 968,270 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $46,267,779) | $ | 56,921,718 | ||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Obligations – 6.5% | ||||||||||||||
Collateralized Mortgage Obligations – 6.5% | ||||||||||||||
Interest Only(g) – 3.8% | ||||||||||||||
| FHLMC REMIC Series 4723, Class KS(h) (-1x1M USD LIBOR + | | ||||||||||||
$ | 5,086,616 | 6.002 | % | 09/15/47 | $ | 1,025,808 | ||||||||
| FHLMC REMIC Series 4729, Class KS(h) (-1x1M USD LIBOR + | | ||||||||||||
3,843,971 | 6.002 | 11/15/47 | 753,312 | |||||||||||
| GNMA REMIC Series 2017-117, Class AS(h) (-1x1M USD | | ||||||||||||
5,957,877 | 6.049 | 08/20/47 | 1,246,138 | |||||||||||
GNMA REMIC Series 2019-156, Class IO(h) | ||||||||||||||
13,173,763 | 0.776 | 11/16/61 | 972,975 | |||||||||||
| GNMA REMIC Series 2020-78, Class AS(h) (-1x1M USD | | ||||||||||||
3,939,910 | 5.999 | 06/20/50 | 944,622 | |||||||||||
|
| |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Collateralized Mortgage Obligations – (continued) | ||||||||||||||
Interest Only(g) – (continued) | ||||||||||||||
| GNMA REMIC Series 2020-78, Class SQ(h) (-1x1M USD LIBOR | | ||||||||||||
2,074,871 | 5.999 | 06/20/50 | 470,860 | |||||||||||
GNMA REMIC Series 2020-81, Class IO | ||||||||||||||
4,359,528 | 0.938 | 02/16/61 | 348,296 | |||||||||||
|
| |||||||||||||
5,762,011 | ||||||||||||||
|
| |||||||||||||
Regular Floater(a)(h) – 1.3% | ||||||||||||||
| CHL GMSR Issuer Trust Series 2018-GT1, Class A (1M USD | | ||||||||||||
1,000,000 | 2.899 | 05/25/23 | 961,126 | |||||||||||
| CHL GMSR Issuer Trust Series 2018-GT1, Class B (1M USD | | ||||||||||||
1,000,000 | 3.649 | 05/25/23 | 927,697 | |||||||||||
|
| |||||||||||||
1,888,823 | ||||||||||||||
|
| |||||||||||||
Sequential Floating Rate(a)(h) – 1.4% | ||||||||||||||
Banc of America Funding Corp. Series 2015-R3, Class 1A2 | ||||||||||||||
2,719,433 | 0.591 | 03/27/36 | 2,062,685 | |||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $9,879,790) | $ | 9,713,519 | ||||||||||||
|
| |||||||||||||
Asset-Backed Securities – 8.3% | ||||||||||||||
Automotive(a) – 0.4% | ||||||||||||||
Hertz Vehicle Financing II LP Series 2015-3A, Class A | ||||||||||||||
$ | 119,995 | 2.670 | % | 09/25/21 | $ | 119,879 | ||||||||
Hertz Vehicle Financing II LP Series 2016-4A, Class A | ||||||||||||||
469,226 | 2.650 | 07/25/22 | 470,113 | |||||||||||
|
| |||||||||||||
589,992 | ||||||||||||||
|
| |||||||||||||
Collateralized Loan Obligations(a) – 5.0% | ||||||||||||||
| AGL CLO 6 Ltd. Series 2020-6A, Class E(h) (3M USD LIBOR + | | ||||||||||||
250,000 | 7.731 | 07/20/31 | 244,318 | |||||||||||
Business Jet Securities LLC Series 2019-1, Class A | ||||||||||||||
933,547 | 4.212 | 07/15/34 | 941,389 | |||||||||||
| Catamaran CLO Ltd. Series 2013-1A, Class DR(h) (3M USD | | ||||||||||||
1,750,000 | 3.017 | 01/27/28 | 1,557,246 | |||||||||||
| CVP CLO Ltd. Series 2017-2A, Class D(h) (3M USD LIBOR + | | ||||||||||||
1,000,000 | 2.868 | 01/20/31 | 855,211 | |||||||||||
| Shackleton CLO Ltd. Series 2013-3A, Class DR(h) (3M USD | | ||||||||||||
1,500,000 | 3.257 | 07/15/30 | 1,330,537 | |||||||||||
| Venture CLO Ltd. Series 2017-30A, Class D(h) (3M USD LIBOR | | ||||||||||||
1,500,000 | 3.237 | 01/15/31 | 1,282,586 | |||||||||||
| Voya CLO Ltd. Series 2013-1A, Class CR(h) (3M USD LIBOR + | | ||||||||||||
1,500,000 | 3.187 | 10/15/30 | 1,319,138 | |||||||||||
|
| |||||||||||||
7,530,425 | ||||||||||||||
|
|
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||
Home Equity(h) – 2.9% | ||||||||||||||
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates | | ||||||||||||
$ | 2,390,119 | 0.609 | % | 01/25/36 | $ | 1,876,298 | ||||||||
| GE-WMC Asset-Backed Pass Through Certificates Series 2005-1, | | ||||||||||||
2,121,544 | 0.839 | 10/25/35 | 1,756,233 | |||||||||||
| Securitized Asset Backed Receivables LLC | | ||||||||||||
1,173,051 | 0.399 | 05/25/36 | 735,596 | |||||||||||
|
| |||||||||||||
4,368,127 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $13,078,049) | $ | 12,488,544 | ||||||||||||
|
| |||||||||||||
Foreign Debt Obligations – 6.3% | ||||||||||||||
Abu Dhabi Government International Bond | ||||||||||||||
$ | 360,000 | 3.125 | % | 09/30/49 | 379,237 | |||||||||
Bahamas Government International Bond(a)(b) | ||||||||||||||
303,000 | 8.950 | 10/15/32 | 288,702 | |||||||||||
Croatia Government International Bond | ||||||||||||||
331,000 | 6.375 | 03/24/21 | 338,137 | |||||||||||
Dominican Republic International Bond(a) | ||||||||||||||
228,000 | 5.875 | 01/30/60 | 218,809 | |||||||||||
399,000 | 4.875 | 09/23/32 | 406,606 | |||||||||||
Ecuador Government International Fund(a)(i) | ||||||||||||||
15,074 | 0.000 | 07/31/30 | 6,788 | |||||||||||
Hungary Government Bond | ||||||||||||||
140,000 | 6.375 | 03/29/21 | 143,500 | |||||||||||
Jordan Government International Bond(a) | ||||||||||||||
653,000 | 4.950 | 07/07/25 | 662,795 | |||||||||||
Qatar Government International Bond(a) | ||||||||||||||
360,000 | 3.400 | 04/16/25 | 395,437 | |||||||||||
Republic of Argentina(b) | ||||||||||||||
1,912,105 | 1.000 | 07/09/29 | 783,963 | |||||||||||
Republic of Brazil | ||||||||||||||
357,000 | 3.875 | 06/12/30 | 361,463 | |||||||||||
Republic of Chile(b) | ||||||||||||||
210,000 | 2.550 | 01/27/32 | 218,859 | |||||||||||
Republic of Colombia(b) | ||||||||||||||
334,000 | 3.000 | 01/30/30 | 340,993 | |||||||||||
Republic of Egypt(a) | ||||||||||||||
303,000 | 5.250 | 10/06/25 | 301,864 | |||||||||||
Republic Of Indonesia | ||||||||||||||
462,000 | 2.950 | 01/11/23 | 480,836 | |||||||||||
Republic of Ivory Coast | ||||||||||||||
360,000 | 6.125 | 06/15/33 | 362,700 | |||||||||||
Republic of Kazakhstan | ||||||||||||||
270,000 | 5.125 | 07/21/25 | 313,284 | |||||||||||
Republic of Kenya | ||||||||||||||
360,000 | 8.000 | 05/22/32 | 377,663 | |||||||||||
Republic of Romania(a) | ||||||||||||||
346,000 | 3.000 | 02/14/31 | 357,569 | |||||||||||
Republic of Senegal | ||||||||||||||
360,000 | 6.750 | 03/13/48 | 351,000 | |||||||||||
Republic of Serbia | ||||||||||||||
331,000 | 7.250 | 09/28/21 | 349,308 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Republic of South Africa | ||||||||||||||
300,000 | 4.850 | 09/30/29 | 297,188 | |||||||||||
Republic of Uruguay(b) | ||||||||||||||
172,620 | 4.375 | 01/23/31 | 208,493 | |||||||||||
Romanian Government International Bond | ||||||||||||||
124,000 | 6.750 | 02/07/22 | 133,145 | |||||||||||
Russian Foreign Bond – Eurobond | ||||||||||||||
400,000 | 4.375 | 03/21/29 | 458,125 | |||||||||||
State of Israel | ||||||||||||||
469,000 | 3.875 | 07/03/50 | 543,747 | |||||||||||
Ukraine Government International Bond | ||||||||||||||
331,000 | 7.750 | 09/01/23 | 343,744 | |||||||||||
|
| |||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $9,413,143) | $ | 9,423,955 | ||||||||||||
|
|
Units | Description | Expiration Date | Value | |||||||
Right* – 0.0% | ||||||||||
Pharmaceuticals – 0.0% | ||||||||||
Bristol-Myers Squibb Co. |
| |||||||||
5,329 | 03/31/21 | $ | 17,373 | |||||||
(Cost $16,165) |
| |||||||||
|
Shares | Description | Value | ||||||
Exchange Traded Fund – 3.4% | ||||||||
60,500 | iShares iBoxx High Yield Corporate Bond ETF | $ | 5,074,740 | |||||
(Cost $4,894,345) | ||||||||
|
|
Shares | Dividend Rate | Value | ||||||
Preferred Stocks(b)(e)(h) – 0.7% | ||||||||
Distribution & Wholesale – 0.7% | ||||||||
WESCO International, Inc.(5 Year CMT + 10.325%) |
| |||||||
36,362 | 10.625 | % | $ | 1,053,771 | ||||
(Cost $953,459) |
| |||||||
| ||||||||
Investment Company(j) – 27.3% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
40,788,471 | 0.028 | % | $ | 40,788,471 | ||||
(Cost $40,788,471) |
| |||||||
| ||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT – 95.7% |
| |||||||
(Cost $133,866,172) |
| $ | 143,295,326 | |||||
|
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Short-term Investments(i) – 4.2% | ||||||||||||
U.S. Treasury Obligation – 4.2% | ||||||||||||
United States Treasury Bills | ||||||||||||
$ | 165,000 | 0.000% | 11/17/20 | $ | 164,995 | |||||||
755,000 | 0.000 | 11/24/20 | 754,963 | |||||||||
84,600 | 0.000(f) | 11/27/20 | 84,595 | |||||||||
75,000 | 0.000 | 12/01/20 | 74,995 | |||||||||
550,000 | 0.000(f) | 12/03/20 | 549,959 | |||||||||
370,000 | 0.000 | 12/08/20 | 369,967 | |||||||||
155,000 | 0.000 | 12/10/20 | 154,985 | |||||||||
660,000 | 0.000(f) | 12/17/20 | 659,926 | |||||||||
390,000 | 0.000(f) | 12/22/20 | 389,951 | |||||||||
305,000 | 0.000(f) | 12/24/20 | 304,960 | |||||||||
145,000 | 0.000 | 12/31/20 | 144,978 | |||||||||
160,000 | 0.000 | 01/05/21 | 159,974 | |||||||||
125,000 | 0.000 | 01/12/21 | 124,979 | |||||||||
215,000 | 0.000 | 01/14/21 | 214,962 | |||||||||
215,000 | 0.000 | 01/21/21 | 214,956 | |||||||||
625,000 | 0.000(f) | 02/02/21 | 624,880 | |||||||||
10,000 | 0.000 | 02/18/21 | 9,997 | |||||||||
810,000 | 0.000 | 02/25/21 | 809,728 | |||||||||
170,000 | 0.000 | 03/02/21 | 169,943 | |||||||||
160,000 | 0.000 | 03/16/21 | 159,945 | |||||||||
110,000 | 0.000 | 03/18/21 | 109,959 | |||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $6,253,152) | $ | 6,253,597 | ||||||||||
|
| |||||||||||
| TOTAL INVESTMENTS BEFORE SHORT POSITIONS – 99.9% | | ||||||||||
(Cost $140,119,324) | $ | 149,548,923 | ||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks Sold Short – (2.5)% | ||||||||
Hotels, Restaurants & Leisure – (0.7)% | ||||||||
13,320 | Evolution Gaming Group AB | $ | (987,948 | ) | ||||
|
| |||||||
Insurance – (0.6)% | ||||||||
5,212 | Aon PLC Class A | (959,060 | ) | |||||
|
| |||||||
Internet & Direct Marketing Retail(a) – (0.2)% | ||||||||
3,018 | Just Eat Takeaway.com NV | (335,741 | ) | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment – (1.0)% | ||||||||
3,109 | Advanced Micro Devices, Inc. | (234,076 | ) | |||||
7,875 | Analog Devices, Inc. | (933,424 | ) | |||||
7,390 | Marvell Technology Group Ltd. | (277,199 | ) | |||||
|
| |||||||
(1,444,699 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | ||||||||
(Cost $(3,664,089)) | $ | (3,727,448 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT – (2.5)% | ||||||||
(Cost $(3,664,089)) | $ | (3,727,448 | ) | |||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.6% | 3,874,342 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 149,695,817 | ||||||
|
|
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) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(c) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(d) | Security is currently in default. | |
(e) | All or portion of security is pledged as collateral for short sales. Total market value of securities pledged as collateral on short sales amounts to $3,770,357, which represents approximately 2.5% of net assets as of October 31, 2020. | |
(f) | All or a portion of security is segregated as collateral for options. | |
(g) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(h) | 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 October 31, 2020. | |
(i) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(j) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CNH | —Chinese Yuan Renminbi Offshore | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
HUF | —Hungarian Forint | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PLN | —Polish Zloty | |
RUB | —Russian Ruble | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
THB | —Thai Baht | |
TRY | —Turkish Lira | |
TWD | —Taiwan Dollar | |
USD | —U.S. Dollar | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CLO | —Collateralized Loan Obligation | |
CMT | —Constant Maturity Treasury Indexes | |
ETF | —Exchange Traded Fund | |
FHLMC | —Federal Home Loan Mortgage Corp. | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PLC | —Public Limited Company | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SPA | —Stand-by Purchase Agreement | |
|
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 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 | ||||||||||||||||
Deutsche Bank AG (London) | AUD | 207,516 | EUR | 125,000 | 11/20/20 | $ | 235 | |||||||||||||
AUD | 1,200,000 | JPY | 88,236,480 | 11/20/20 | 578 | |||||||||||||||
CAD | 379,356 | AUD | 400,000 | 11/20/20 | 3,566 | |||||||||||||||
CAD | 600,000 | JPY | 47,094,420 | 11/20/20 | 449 | |||||||||||||||
CAD | 1,800,000 | USD | 1,347,551 | 11/20/20 | 3,588 | |||||||||||||||
CHF | 268,202 | EUR | 250,000 | 11/20/20 | 1,373 | |||||||||||||||
CHF | 148,700 | GBP | 125,000 | 11/20/20 | 305 | |||||||||||||||
CHF | 250,000 | JPY | 28,465,325 | 11/20/20 | 851 | |||||||||||||||
CHF | 250,000 | USD | 270,941 | 11/20/20 | 1,861 | |||||||||||||||
CLP | 78,553,000 | USD | 100,000 | 11/02/20 | 1,579 | |||||||||||||||
CLP | 78,980,856 | USD | 100,000 | 11/06/20 | 2,127 | |||||||||||||||
CLP | 79,369,000 | USD | 100,000 | 11/09/20 | 2,627 | |||||||||||||||
CLP | 79,765,000 | USD | 100,000 | 11/16/20 | 3,136 | |||||||||||||||
CNH | 7,489,502 | USD | 1,100,000 | 11/20/20 | 16,851 | |||||||||||||||
EUR | 250,000 | AUD | 412,536 | 11/20/20 | 1,289 | |||||||||||||||
EUR | 125,000 | CAD | 192,932 | 11/20/20 | 824 | |||||||||||||||
EUR | 300,000 | HUF | 109,373,941 | 11/20/20 | 2,394 | |||||||||||||||
EUR | 400,000 | JPY | 48,717,360 | 11/20/20 | 630 | |||||||||||||||
EUR | 125,000 | NOK | 1,371,847 | 11/20/20 | 1,956 | |||||||||||||||
EUR | 400,000 | PLN | 1,813,705 | 11/20/20 | 7,873 | |||||||||||||||
EUR | 260,000 | USD | 302,810 | 12/18/20 | 365 | |||||||||||||||
GBP | 125,000 | AUD | 225,734 | 11/20/20 | 3,272 | |||||||||||||||
GBP | 125,000 | CHF | 147,041 | 11/20/20 | 1,505 | |||||||||||||||
GBP | 5,252,983 | EUR | 5,800,000 | 11/20/20 | 48,138 | |||||||||||||||
GBP | 375,000 | JPY | 50,818,663 | 11/20/20 | 362 | |||||||||||||||
GBP | 1,312,500 | USD | 1,686,870 | 11/20/20 | 13,686 | |||||||||||||||
GBP | 60,000 | USD | 77,112 | 12/18/20 | 649 | |||||||||||||||
HUF | 36,900,528 | EUR | 100,000 | 11/20/20 | 606 | |||||||||||||||
JPY | 359,809,820 | AUD | 4,800,000 | 11/20/20 | 63,266 | |||||||||||||||
JPY | 317,202,560 | CAD | 4,000,000 | 11/20/20 | 27,955 | |||||||||||||||
JPY | 374,139,200 | CHF | 3,250,000 | 11/20/20 | 28,017 | |||||||||||||||
JPY | 803,025,030 | EUR | 6,500,000 | 11/20/20 | 98,369 | |||||||||||||||
JPY | 238,925,914 | GBP | 1,750,000 | 11/20/20 | 15,241 | |||||||||||||||
JPY | 236,400,659 | NZD | 3,400,000 | 11/20/20 | 10,413 | |||||||||||||||
JPY | 487,500,000 | USD | 4,629,499 | 11/20/20 | 27,974 | |||||||||||||||
MXN | 6,500,000 | USD | 297,191 | 11/20/20 | 8,543 | |||||||||||||||
NZD | 4,940,717 | AUD | 4,600,000 | 11/20/20 | 33,159 | |||||||||||||||
NZD | 600,000 | JPY | 41,486,000 | 11/20/20 | 376 | |||||||||||||||
NZD | 800,000 | USD | 525,731 | 11/20/20 | 3,237 | |||||||||||||||
SEK | 953,871 | NOK | 1,000,000 | 11/20/20 | 2,476 | |||||||||||||||
SEK | 903,594 | USD | 100,000 | 11/20/20 | 1,567 | |||||||||||||||
SGD | 137,178 | USD | 100,000 | 11/20/20 | 428 | |||||||||||||||
TWD | 5,720,400 | USD | 200,000 | 11/09/20 | 814 | |||||||||||||||
TWD | 5,703,400 | USD | 200,000 | 11/20/20 | 701 | |||||||||||||||
TWD | 8,555,789 | USD | 300,000 | 11/23/20 | 1,274 | |||||||||||||||
TWD | 5,684,789 | USD | 200,000 | 11/30/20 | 486 | |||||||||||||||
USD | 5,984,571 | AUD | 8,400,000 | 11/20/20 | 79,577 | |||||||||||||||
USD | 5,144,823 | CAD | 6,800,000 | 11/20/20 | 40,522 | |||||||||||||||
USD | 2,190,722 | CHF | 2,000,000 | 11/20/20 | 8,305 |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Deutsche Bank AG (London) (continued) | USD | 541,386 | CHF | 493,000 | 12/18/20 | $ | 2,879 | |||||||||||||
USD | 200,000 | CNH | 1,334,494 | 11/20/20 | 997 | |||||||||||||||
USD | 18,957,338 | EUR | 16,125,000 | 11/20/20 | 169,076 | |||||||||||||||
USD | 5,051,344 | EUR | 4,272,000 | 12/18/20 | 69,954 | |||||||||||||||
USD | 1,791,839 | GBP | 1,375,000 | 11/20/20 | 10,305 | |||||||||||||||
USD | 79,444 | GBP | 61,000 | 12/18/20 | 387 | |||||||||||||||
USD | 200,000 | HUF | 61,391,411 | 11/20/20 | 5,143 | |||||||||||||||
USD | 200,000 | INR | 14,715,740 | 11/06/20 | 2,502 | |||||||||||||||
USD | 200,000 | INR | 14,717,314 | 11/09/20 | 2,697 | |||||||||||||||
USD | 100,000 | INR | 7,360,849 | 11/17/20 | 1,397 | |||||||||||||||
USD | 100,000 | INR | 7,358,644 | 11/23/20 | 1,484 | |||||||||||||||
USD | 200,000 | INR | 14,807,348 | 11/27/20 | 1,839 | |||||||||||||||
USD | 100,000 | INR | 7,409,213 | 12/02/20 | 896 | |||||||||||||||
USD | 1,078,737 | JPY | 112,500,000 | 11/20/20 | 3,937 | |||||||||||||||
USD | 47,224 | MXN | 1,000,000 | 11/20/20 | 188 | |||||||||||||||
USD | 100,000 | NOK | 935,451 | 11/20/20 | 2,019 | |||||||||||||||
USD | 865,263 | NZD | 1,300,000 | 11/20/20 | 5,692 | |||||||||||||||
USD | 500,000 | PLN | 1,940,503 | 11/20/20 | 9,775 | |||||||||||||||
USD | 500,000 | RUB | 38,805,570 | 11/20/20 | 12,625 | |||||||||||||||
USD | 200,000 | SEK | 1,773,961 | 11/20/20 | 600 | |||||||||||||||
USD | 200,000 | SGD | 271,582 | 11/20/20 | 1,176 | |||||||||||||||
USD | 600,000 | TRY | 4,618,788 | 11/20/20 | 54,324 | |||||||||||||||
ZAR | 3,341,395 | USD | 200,000 | 11/20/20 | 4,847 | |||||||||||||||
JPMorgan Securities, Inc. | USD | 295,613 | EUR | 253,000 | 12/16/20 | 619 | ||||||||||||||
TOTAL | $ | 940,733 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Deutsche Bank AG (London) | AUD | 400,000 | CAD | 379,395 | 11/20/20 | $ | (3,595 | ) | ||||||||||||
AUD | 619,119 | EUR | 375,000 | 11/20/20 | (1,710 | ) | ||||||||||||||
AUD | 221,937 | GBP | 125,000 | 11/20/20 | (5,941 | ) | ||||||||||||||
AUD | 4,200,000 | JPY | 315,128,260 | 11/20/20 | (58,173 | ) | ||||||||||||||
AUD | 4,400,000 | NZD | 4,736,287 | 11/20/20 | (38,583 | ) | ||||||||||||||
AUD | 7,400,000 | USD | 5,263,346 | 11/20/20 | (61,328 | ) | ||||||||||||||
CAD | 387,389 | EUR | 250,000 | 11/20/20 | (504 | ) | ||||||||||||||
CAD | 2,800,000 | JPY | 223,055,380 | 11/20/20 | (29,251 | ) | ||||||||||||||
CAD | 5,200,000 | USD | 3,952,712 | 11/20/20 | (49,421 | ) | ||||||||||||||
CHF | 148,314 | GBP | 125,000 | 11/20/20 | (117 | ) | ||||||||||||||
CHF | 3,000,000 | JPY | 346,843,650 | 11/20/20 | (40,046 | ) | ||||||||||||||
CHF | 1,875,000 | USD | 2,067,430 | 11/20/20 | (21,414 | ) | ||||||||||||||
CLP | 200,144 | USD | 260 | 11/02/20 | (1 | ) | ||||||||||||||
CNH | 2,006,783 | USD | 300,000 | 11/20/20 | (744 | ) | ||||||||||||||
EUR | 125,000 | AUD | 209,131 | 11/20/20 | (1,368 | ) | ||||||||||||||
EUR | 250,000 | CAD | 391,829 | 11/20/20 | (2,829 | ) | ||||||||||||||
EUR | 125,000 | CHF | 135,189 | 11/20/20 | (1,874 | ) | ||||||||||||||
EUR | 5,600,000 | GBP | 5,096,660 | 11/20/20 | (78,629 | ) | ||||||||||||||
EUR | 4,900,000 | JPY | 608,028,880 | 11/20/20 | (99,679 | ) | ||||||||||||||
EUR | 13,250,000 | USD | 15,562,561 | 11/20/20 | (124,144 | ) | ||||||||||||||
EUR | 2,566,000 | USD | 3,014,188 | 12/18/20 | (22,089 | ) |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Deutsche Bank AG (London) (continued) | GBP | 1,750,000 | JPY | 239,602,614 | 11/20/20 | $ | (21,705 | ) | ||||||||||||
GBP | 1,937,500 | USD | 2,534,897 | 11/20/20 | (24,553 | ) | ||||||||||||||
GBP | 81,000 | USD | 105,430 | 12/18/20 | (453 | ) | ||||||||||||||
HUF | 72,915,834 | EUR | 200,000 | 11/20/20 | (1,596 | ) | ||||||||||||||
HUF | 61,733,605 | USD | 200,000 | 11/20/20 | (4,056 | ) | ||||||||||||||
INR | 14,693,984 | USD | 200,000 | 11/06/20 | (2,794 | ) | ||||||||||||||
INR | 14,721,740 | USD | 200,000 | 11/09/20 | (2,638 | ) | ||||||||||||||
INR | 7,360,500 | USD | 100,000 | 11/17/20 | (1,401 | ) | ||||||||||||||
INR | 7,361,095 | USD | 100,000 | 11/23/20 | (1,451 | ) | ||||||||||||||
INR | 14,783,457 | USD | 200,000 | 11/27/20 | (2,160 | ) | ||||||||||||||
INR | 7,399,980 | USD | 100,000 | 12/02/20 | (1,020 | ) | ||||||||||||||
JPY | 44,001,660 | AUD | 600,000 | 11/20/20 | (1,403 | ) | ||||||||||||||
JPY | 46,993,040 | CAD | 600,000 | 11/20/20 | (1,417 | ) | ||||||||||||||
JPY | 50,188,600 | GBP | 375,000 | 11/20/20 | (6,383 | ) | ||||||||||||||
JPY | 27,544,200 | NZD | 400,000 | 11/20/20 | (1,332 | ) | ||||||||||||||
JPY | 400,000,000 | USD | 3,829,967 | 11/20/20 | (8,451 | ) | ||||||||||||||
MXN | 9,000,000 | USD | 428,063 | 11/20/20 | (4,737 | ) | ||||||||||||||
NOK | 1,355,652 | EUR | 125,000 | 11/20/20 | (3,652 | ) | ||||||||||||||
NOK | 1,000,000 | SEK | 957,102 | 11/20/20 | (2,840 | ) | ||||||||||||||
NOK | 917,276 | USD | 100,000 | 11/20/20 | (3,923 | ) | ||||||||||||||
NZD | 2,200,000 | JPY | 153,687,560 | 11/20/20 | (13,638 | ) | ||||||||||||||
NZD | 2,200,000 | USD | 1,464,007 | 11/20/20 | (9,348 | ) | ||||||||||||||
PLN | 1,805,975 | EUR | 400,000 | 11/20/20 | (9,826 | ) | ||||||||||||||
PLN | 1,926,954 | USD | 500,000 | 11/20/20 | (13,198 | ) | ||||||||||||||
RUB | 39,199,560 | USD | 500,000 | 11/20/20 | (7,677 | ) | ||||||||||||||
SEK | 877,534 | USD | 100,000 | 11/20/20 | (1,362 | ) | ||||||||||||||
SGD | 271,164 | USD | 200,000 | 11/20/20 | (1,482 | ) | ||||||||||||||
TRY | 4,630,015 | USD | 600,000 | 11/20/20 | (52,997 | ) | ||||||||||||||
USD | 1,049,939 | CAD | 1,400,000 | 11/20/20 | (947 | ) | ||||||||||||||
USD | 136,051 | CHF | 125,000 | 11/20/20 | (350 | ) | ||||||||||||||
USD | 3,265 | CHF | 3,000 | 12/18/20 | (12 | ) | ||||||||||||||
USD | 100,000 | CLP | 78,753,144 | 11/02/20 | (1,838 | ) | ||||||||||||||
USD | 100,000 | CLP | 79,380,000 | 11/06/20 | (2,643 | ) | ||||||||||||||
USD | 100,000 | CLP | 79,780,000 | 11/09/20 | (3,158 | ) | ||||||||||||||
USD | 100,000 | CLP | 79,725,144 | 11/16/20 | (3,084 | ) | ||||||||||||||
USD | 1,000,000 | CNH | 6,769,686 | 11/20/20 | (9,512 | ) | ||||||||||||||
USD | 207,312 | EUR | 178,000 | 12/18/20 | (245 | ) | ||||||||||||||
USD | 2,974,402 | GBP | 2,312,500 | 11/20/20 | (21,816 | ) | ||||||||||||||
USD | 86,266 | GBP | 67,000 | 12/18/20 | (566 | ) | ||||||||||||||
USD | 6,879,128 | JPY | 725,000,000 | 11/20/20 | (47,366 | ) | ||||||||||||||
USD | 598,706 | MXN | 13,000,000 | 11/20/20 | (12,762 | ) | ||||||||||||||
USD | 987,922 | NZD | 1,500,000 | 11/20/20 | (3,892 | ) | ||||||||||||||
USD | 100,000 | SGD | 136,795 | 11/20/20 | (147 | ) | ||||||||||||||
USD | 200,000 | TWD | 5,710,811 | 11/09/20 | (478 | ) | ||||||||||||||
USD | 200,000 | TWD | 5,708,200 | 11/20/20 | (870 | ) | ||||||||||||||
USD | 300,000 | TWD | 8,547,005 | 11/23/20 | (965 | ) | ||||||||||||||
USD | 200,000 | TWD | 5,698,332 | 11/27/20 | (832 | ) | ||||||||||||||
USD | 200,000 | ZAR | 3,370,316 | 11/20/20 | (6,620 | ) | ||||||||||||||
JPMorgan Securities, Inc. | EUR | 336,000 | USD | 397,774 | 12/16/20 | (6,003 | ) | |||||||||||||
GBP | 152,000 | USD | 199,753 | 12/16/20 | (2,764 | ) | ||||||||||||||
TOTAL | $ | (975,803 | ) |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At October 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
10 Year German Euro-Bund | 5 | 12/08/20 | $ | 1,025,766 | $ | (770 | ) | |||||||||
10 Year German Euro-Bund | 1 | 12/08/20 | 158,241 | 174 | ||||||||||||
10 Year Mini Japanese Government Bonds | 1 | 12/11/20 | 145,069 | (306 | ) | |||||||||||
10 Year U.K. Long Gilt | 4 | 12/29/20 | 703,094 | (2,476 | ) | |||||||||||
2 Year German Euro-Schatz | 3 | 12/08/20 | 392,947 | 45 | ||||||||||||
20 Year U.S. Treasury Bonds | 2 | 12/21/20 | 344,937 | (2,158 | ) | |||||||||||
Brent Crude | 1 | 11/30/20 | 37,940 | (71 | ) | |||||||||||
British Pound | 1 | 12/14/20 | 81,006 | 23 | ||||||||||||
CAC40 Index | 1 | 11/20/20 | 53,457 | 1,164 | ||||||||||||
Canada 10 Year Government Bonds | 3 | 12/18/20 | 340,104 | (1,699 | ) | |||||||||||
Coffee | 1 | 12/18/20 | 39,150 | (1,165 | ) | |||||||||||
Copper | 2 | 11/03/20 | 335,375 | 14,730 | ||||||||||||
Copper | 5 | 11/06/20 | 838,687 | 45,787 | ||||||||||||
Copper | 7 | 11/10/20 | 1,174,455 | 59,884 | ||||||||||||
Copper | 2 | 11/12/20 | 335,600 | 17,089 | ||||||||||||
Copper | 8 | 11/13/20 | 1,342,470 | 73,302 | ||||||||||||
Copper | 1 | 11/17/20 | 167,844 | 6,191 | ||||||||||||
Copper | 2 | 11/18/20 | 335,687 | 7,794 | ||||||||||||
Copper | 2 | 11/19/20 | 335,537 | 4,485 | ||||||||||||
Copper | 6 | 11/20/20 | 1,006,612 | 20,482 | ||||||||||||
Copper | 1 | 11/24/20 | 167,769 | 2,239 | ||||||||||||
Copper | 1 | 11/25/20 | 167,769 | 5,003 | ||||||||||||
Copper | 2 | 11/27/20 | 335,537 | 6,969 | ||||||||||||
Copper | 2 | 12/01/20 | 335,547 | (4,071 | ) | |||||||||||
Copper | 2 | 12/03/20 | 335,562 | 1,470 | ||||||||||||
Copper | 2 | 12/18/20 | 335,437 | (3,906 | ) | |||||||||||
Copper | 2 | 12/21/20 | 335,362 | 6,607 | ||||||||||||
Copper | 1 | 12/24/20 | 167,707 | 3,804 | ||||||||||||
Copper | 2 | 12/29/20 | 243,937 | 4,008 | ||||||||||||
Copper | 2 | 01/04/21 | 335,637 | 4,814 | ||||||||||||
Copper | 1 | 01/14/21 | 167,884 | (444 | ) | |||||||||||
Copper | 1 | 01/15/21 | 167,894 | 604 | ||||||||||||
Copper | 1 | 01/22/21 | 167,900 | (3,741 | ) | |||||||||||
Cotton No. 2 | 2 | 12/08/20 | 68,920 | (2,375 | ) | |||||||||||
E-mini Consumer Discretionary Select Sector | 1 | 12/18/20 | 144,220 | (6,081 | ) | |||||||||||
E-mini Russell 2000 Index | 1 | 12/18/20 | 76,840 | (1,246 | ) | |||||||||||
FTSE/MIB Index | 1 | 12/18/20 | 104,242 | 1,693 | ||||||||||||
H-Shares Index | 1 | 11/27/20 | 63,115 | (549 | ) | |||||||||||
Japan 10 Year Government Bonds | 3 | 12/14/20 | 4,352,070 | (3,825 | ) | |||||||||||
Korea 10 Year Bonds | 4 | 12/15/20 | 464,651 | (1,849 | ) | |||||||||||
Lead | 1 | 11/25/20 | 45,286 | (4,993 | ) | |||||||||||
Lead | 2 | 11/27/20 | 90,579 | (6,507 | ) | |||||||||||
Lead | 1 | 12/01/20 | 45,298 | (4,768 | ) | |||||||||||
Lead | 1 | 12/04/20 | 45,315 | (3,725 | ) | |||||||||||
Lead | 1 | 12/07/20 | 45,338 | (4,029 | ) | |||||||||||
Lead | 1 | 12/08/20 | 45,346 | (2,256 | ) | |||||||||||
Lead | 1 | 12/24/20 | 45,431 | (1,160 | ) | |||||||||||
Lead | 1 | 01/04/21 | 45,464 | 1,155 | ||||||||||||
Lead | 1 | 01/05/21 | 45,467 | 1,314 |
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
Lead | 1 | 01/06/21 | $ | 45,470 | $ | 610 | ||||||||||
Lead | 2 | 01/12/21 | 90,975 | 156 | ||||||||||||
Lead | 1 | 01/15/21 | 45,492 | 1,222 | ||||||||||||
Lead | 2 | 01/20/21 | 90,976 | 2,565 | ||||||||||||
Lead | 1 | 01/21/21 | 45,481 | 491 | ||||||||||||
Lead | 2 | 01/29/21 | 91,000 | 281 | ||||||||||||
Low Sulphur Gas Oil | 1 | 12/10/20 | 30,700 | 199 | ||||||||||||
Low Sulphur Gas Oil | 1 | 01/12/21 | 31,075 | 474 | ||||||||||||
Maize | 1 | 01/05/21 | 10,773 | (161 | ) | |||||||||||
Mexican Peso | 5 | 12/14/20 | 117,150 | (78 | ) | |||||||||||
MSCI Singapore Index | 3 | 11/27/20 | 60,540 | (2,373 | ) | |||||||||||
Nickel | 3 | 11/13/20 | 272,293 | 15,634 | ||||||||||||
Nickel | 2 | 11/19/20 | 181,512 | (948 | ) | |||||||||||
Nickel | 1 | 11/20/20 | 90,759 | 2,346 | ||||||||||||
Nickel | 3 | 11/24/20 | 272,320 | 6,706 | ||||||||||||
Nickel | 1 | 11/25/20 | 90,777 | 1,299 | ||||||||||||
Nickel | 2 | 11/27/20 | 181,567 | (935 | ) | |||||||||||
Nickel | 1 | 12/03/20 | 90,804 | 1,285 | ||||||||||||
Nickel | 1 | 01/04/21 | 90,880 | 2,816 | ||||||||||||
Nickel | 1 | 01/05/21 | 90,884 | 3,161 | ||||||||||||
Nickel | 1 | 01/14/21 | 90,915 | 102 | ||||||||||||
Nickel | 1 | 01/19/21 | 90,933 | (4,530 | ) | |||||||||||
Nickel | 1 | 01/28/21 | 90,936 | (6,567 | ) | |||||||||||
Platinum | 1 | 01/27/21 | 42,420 | (927 | ) | |||||||||||
Primary Aluminum | 2 | 11/03/20 | 92,350 | 6,894 | ||||||||||||
Primary Aluminum | 1 | 11/04/20 | 46,188 | 2,580 | ||||||||||||
Primary Aluminum | 1 | 11/13/20 | 46,306 | 2,278 | ||||||||||||
Primary Aluminum | 1 | 11/18/20 | 46,338 | 1,810 | ||||||||||||
Primary Aluminum | 1 | 11/19/20 | 46,318 | 1,577 | ||||||||||||
Primary Aluminum | 2 | 11/20/20 | 92,595 | 3,302 | ||||||||||||
Primary Aluminum | 2 | 11/24/20 | 92,515 | 3,796 | ||||||||||||
Primary Aluminum | 1 | 11/25/20 | 46,238 | 1,753 | ||||||||||||
Primary Aluminum | 1 | 11/27/20 | 46,238 | 1,159 | ||||||||||||
Primary Aluminum | 1 | 12/02/20 | 46,225 | 1,567 | ||||||||||||
Primary Aluminum | 1 | 12/03/20 | 46,238 | 1,686 | ||||||||||||
Primary Aluminum | 1 | 12/04/20 | 46,250 | 1,710 | ||||||||||||
Primary Aluminum | 1 | 12/10/20 | 46,250 | 1,585 | ||||||||||||
Primary Aluminum | 1 | 12/11/20 | 46,250 | 1,866 | ||||||||||||
Primary Aluminum | 1 | 12/15/20 | 46,310 | 1,094 | ||||||||||||
Primary Aluminum | 1 | 12/16/20 | 46,325 | 1,235 | ||||||||||||
Primary Aluminum | 1 | 12/17/20 | 46,294 | 1,760 | ||||||||||||
Primary Aluminum | 1 | 12/21/20 | 46,253 | 1,838 | ||||||||||||
Primary Aluminum | 1 | 12/22/20 | 46,244 | 1,553 | ||||||||||||
Primary Aluminum | 1 | 12/24/20 | 46,225 | 2,360 | ||||||||||||
Primary Aluminum | 2 | 12/29/20 | 92,523 | 3,067 | ||||||||||||
Primary Aluminum | 1 | 12/30/20 | 46,269 | 2,028 | ||||||||||||
Primary Aluminum | 3 | 01/04/21 | 138,956 | 5,410 | ||||||||||||
Primary Aluminum | 1 | 01/05/21 | 46,321 | 1,768 | ||||||||||||
Primary Aluminum | 2 | 01/06/21 | 92,644 | 3,797 | ||||||||||||
Primary Aluminum | 3 | 01/12/21 | 138,997 | 804 |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
Primary Aluminum | 2 | 01/14/21 | $ | 92,671 | $ | 276 | ||||||||||
Primary Aluminum | 1 | 01/21/21 | 46,250 | (53 | ) | |||||||||||
Primary Aluminum | 1 | 01/26/21 | 46,200 | 52 | ||||||||||||
Primary Aluminum | 2 | 01/29/21 | 92,425 | 406 | ||||||||||||
SET 50 Index | 16 | 12/29/20 | 76,398 | (1,839 | ) | |||||||||||
SGX S&P Index | 1 | 11/26/20 | 23,270 | (43 | ) | |||||||||||
Soybean | 2 | 01/14/21 | 105,625 | (517 | ) | |||||||||||
SPDR S&P MidCap 400 ETF | 1 | 12/18/20 | 189,560 | 1,149 | ||||||||||||
Tin | 1 | 11/05/20 | 88,624 | (679 | ) | |||||||||||
Tin | 1 | 11/06/20 | 443,130 | (3,885 | ) | |||||||||||
Tin | 1 | 12/24/20 | 88,646 | (2,061 | ) | |||||||||||
Tin | 1 | 01/06/21 | 88,652 | (2,276 | ) | |||||||||||
Tin | 1 | 01/21/21 | 88,645 | (5,108 | ) | |||||||||||
Tin | 1 | 01/26/21 | 88,633 | (895 | ) | |||||||||||
Ultra Long U.S. Treasury Bonds | 1 | 12/21/20 | 215,000 | (1,970 | ) | |||||||||||
Wheat | 1 | 12/14/20 | 27,063 | (115 | ) | |||||||||||
Zinc | 1 | 11/12/20 | 62,880 | 3,455 | ||||||||||||
Zinc | 1 | 11/13/20 | 62,883 | 1,400 | ||||||||||||
Zinc | 1 | 11/17/20 | 62,894 | 2,128 | ||||||||||||
Zinc | 1 | 12/16/20 | 62,938 | (478 | ) | |||||||||||
Zinc | 1 | 12/17/20 | 62,881 | (22 | ) | |||||||||||
Zinc | 4 | 12/21/20 | 251,563 | 11,190 | ||||||||||||
Zinc | 1 | 12/23/20 | 62,897 | 2,789 | ||||||||||||
Zinc | 2 | 12/24/20 | 125,800 | 5,076 | ||||||||||||
Zinc | 3 | 12/29/20 | 188,794 | 8,072 | ||||||||||||
Zinc | 3 | 01/04/21 | 188,878 | 7,209 | ||||||||||||
Zinc | 1 | 01/05/21 | 62,963 | 4,773 | ||||||||||||
Zinc | 1 | 01/06/21 | 62,968 | 3,727 | ||||||||||||
Zinc | 1 | 01/08/21 | 62,976 | 2,099 | ||||||||||||
Zinc | 1 | 01/13/21 | 63,003 | 1,951 | ||||||||||||
Zinc | 1 | 01/14/21 | 63,011 | 2,535 | ||||||||||||
Zinc | 1 | 01/15/21 | 63,020 | (225 | ) | |||||||||||
Total | $ | 347,886 | ||||||||||||||
Short position contracts: | ||||||||||||||||
10 Year U.S. Treasury Notes | (7 | ) | 12/21/20 | (967,531 | ) | 3,244 | ||||||||||
2 Year U.S. Treasury Notes | (3 | ) | 12/31/20 | �� | (662,531 | ) | (18 | ) | ||||||||
5 Year U.S. Treasury Notes | (14 | ) | 12/31/20 | (1,758,422 | ) | 1,310 | ||||||||||
Amsterdam Oil Exchanges Index | (3 | ) | 11/20/20 | (372,106 | ) | 12,723 | ||||||||||
Brent Crude | (1 | ) | 12/30/20 | (38,400 | ) | 1,529 | ||||||||||
Brent Crude Oil | (1 | ) | 11/30/20 | (37,940 | ) | 1,549 | ||||||||||
CAC40 Index | (8 | ) | 11/20/20 | (427,660 | ) | 32,540 | ||||||||||
Canadian Dollar | (2 | ) | 12/15/20 | (150,190 | ) | (308 | ) | |||||||||
Cattle Feeder | (1 | ) | 01/28/21 | (67,062 | ) | (3,965 | ) | |||||||||
CBOE Volatility Index | (13 | ) | 11/18/20 | (443,300 | ) | (28,722 | ) | |||||||||
CBOE Volatility Index | (19 | ) | 12/16/20 | (647,425 | ) | (42,567 | ) | |||||||||
Cocoa | (1 | ) | 12/14/20 | (20,793 | ) | 258 | ||||||||||
Copper | (2 | ) | 11/03/20 | (335,375 | ) | (18,031 | ) | |||||||||
Copper | (5 | ) | 11/06/20 | (838,688 | ) | (37,677 | ) | |||||||||
Copper | (7 | ) | 11/10/20 | (1,174,455 | ) | (60,030 | ) | |||||||||
Copper | (2 | ) | 11/12/20 | (335,600 | ) | (19,994 | ) |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Copper | (8 | ) | 11/13/20 | $ | (1,342,470 | ) | $ | (56,769 | ) | |||||||
Copper | (1 | ) | 11/17/20 | (167,844 | ) | (2,264 | ) | |||||||||
Copper | (2 | ) | 11/18/20 | (335,688 | ) | (6,891 | ) | |||||||||
Copper | (2 | ) | 11/19/20 | (335,538 | ) | (1,831 | ) | |||||||||
Copper | (6 | ) | 11/20/20 | (1,006,613 | ) | (23,418 | ) | |||||||||
Copper | (1 | ) | 11/24/20 | (167,769 | ) | (5,259 | ) | |||||||||
Copper | (1 | ) | 11/25/20 | (167,769 | ) | (2,259 | ) | |||||||||
Copper | (2 | ) | 11/27/20 | (335,538 | ) | (4,503 | ) | |||||||||
Copper | (2 | ) | 12/01/20 | (335,548 | ) | (1,503 | ) | |||||||||
Copper | (2 | ) | 12/03/20 | (335,563 | ) | (6,356 | ) | |||||||||
Copper | (2 | ) | 12/18/20 | (335,438 | ) | (6,868 | ) | |||||||||
Copper | (2 | ) | 12/21/20 | (335,363 | ) | (2,069 | ) | |||||||||
Copper | (1 | ) | 12/24/20 | (167,707 | ) | (5,435 | ) | |||||||||
Copper | (1 | ) | 12/29/20 | (167,750 | ) | (851 | ) | |||||||||
Copper | (2 | ) | 01/04/21 | (335,638 | ) | (13,081 | ) | |||||||||
Copper | (1 | ) | 01/14/21 | (167,885 | ) | (606 | ) | |||||||||
Copper | (1 | ) | 01/15/21 | (167,894 | ) | 91 | ||||||||||
DAX Index | (2 | ) | 12/18/20 | (673,401 | ) | 65,304 | ||||||||||
E-Mini Crude Oil | (1 | ) | 11/19/20 | (17,900 | ) | 761 | ||||||||||
Euro Stoxx 50 Index | (12 | ) | 12/18/20 | (413,544 | ) | 39,733 | ||||||||||
Euro Stoxx 50 Index | (1 | ) | 12/18/20 | (31,399 | ) | 1,025 | ||||||||||
French 10 Year Government Bonds | (1 | ) | 12/08/20 | (198,119 | ) | (315 | ) | |||||||||
FTSE 100 Index | (8 | ) | 12/18/20 | (576,601 | ) | 44,340 | ||||||||||
FTSE China A50 Index | (3 | ) | 11/27/20 | (47,031 | ) | 267 | ||||||||||
FTSE/MIB Index | (1 | ) | 12/18/20 | (104,242 | ) | 11,373 | ||||||||||
Gasoline RBOB | (3 | ) | 11/30/20 | (130,057 | ) | 1,877 | ||||||||||
Gold 100 Oz | (6 | ) | 12/29/20 | (1,127,940 | ) | 1,280 | ||||||||||
Hang Seng Index | (1 | ) | 11/27/20 | (31,160 | ) | 702 | ||||||||||
IBEX 35 Index | (2 | ) | 11/20/20 | (149,967 | ) | 4,988 | ||||||||||
Kospi 200 Index | (5 | ) | 12/10/20 | (332,467 | ) | 6,430 | ||||||||||
Lead | (1 | ) | 11/25/20 | (45,285 | ) | 4,241 | ||||||||||
Lead | (2 | ) | 11/27/20 | (90,579 | ) | 8,290 | ||||||||||
Lead | (1 | ) | 12/01/20 | (45,298 | ) | 2,242 | ||||||||||
Lead | (1 | ) | 12/04/20 | (45,315 | ) | 3,929 | ||||||||||
Lead | (1 | ) | 12/07/20 | (45,338 | ) | 2,237 | ||||||||||
Lead | (1 | ) | 12/08/20 | (45,345 | ) | 2,502 | ||||||||||
Lead | (1 | ) | 12/24/20 | (45,430 | ) | 329 | ||||||||||
Lead | (1 | ) | 01/04/21 | (45,463 | ) | (704 | ) | |||||||||
Lead | (1 | ) | 01/05/21 | (45,466 | ) | (1,144 | ) | |||||||||
Lead | (1 | ) | 01/06/21 | (45,469 | ) | (318 | ) | |||||||||
Lead | (2 | ) | 01/12/21 | (90,975 | ) | (1,870 | ) | |||||||||
Lead | (1 | ) | 01/15/21 | (45,492 | ) | (983 | ) | |||||||||
Lead | (2 | ) | 01/28/21 | (90,993 | ) | (1,412 | ) | |||||||||
Lead | (3 | ) | 01/29/21 | (136,500 | ) | (334 | ) | |||||||||
MSCI Emerging Markets Index | (35 | ) | 12/18/20 | (1,928,325 | ) | (3,715 | ) | |||||||||
Nasdaq 100 E-Mini Index | (1 | ) | 12/18/20 | (220,925 | ) | 4,019 | ||||||||||
Natural Gas | (2 | ) | 11/25/20 | (67,080 | ) | (1,753 | ) | |||||||||
Nickel | (3 | ) | 11/13/20 | (272,293 | ) | (2,084 | ) | |||||||||
Nickel | (2 | ) | 11/19/20 | (181,512 | ) | (4,488 | ) | |||||||||
Nickel | (1 | ) | 11/20/20 | (90,759 | ) | (2,616 | ) | |||||||||
Nickel | (3 | ) | 11/24/20 | (272,320 | ) | (791 | ) |
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Nickel | (1 | ) | 11/25/20 | $ | (90,777 | ) | $ | (960 | ) | |||||||
Nickel | (2 | ) | 11/27/20 | (181,567 | ) | (1,017 | ) | |||||||||
Nickel | (1 | ) | 12/03/20 | (90,804 | ) | 333 | ||||||||||
Nickel | (1 | ) | 01/04/21 | (90,880 | ) | (4,933 | ) | |||||||||
Nickel | (1 | ) | 01/05/21 | (90,884 | ) | (3,027 | ) | |||||||||
Nickel | (1 | ) | 01/14/21 | (90,915 | ) | 762 | ||||||||||
Nickel | (1 | ) | 01/28/21 | (90,936 | ) | 4,502 | ||||||||||
Nickel | (1 | ) | 01/29/21 | (90,936 | ) | 81 | ||||||||||
Nikkei 225 Index | (1 | ) | 12/10/20 | (218,540 | ) | 955 | ||||||||||
Nikkei 225 Mini | (9 | ) | 12/10/20 | (196,686 | ) | 1,087 | ||||||||||
NY Harbor ULSD | (1 | ) | 11/30/20 | (45,608 | ) | (312 | ) | |||||||||
Nymex Palladium | (1 | ) | 12/29/20 | (221,720 | ) | 4,118 | ||||||||||
NZD Index | (2 | ) | 12/14/20 | (132,200 | ) | 377 | ||||||||||
OMXS 30 Index | (8 | ) | 11/20/20 | (154,590 | ) | 8,185 | ||||||||||
Primary Aluminum | (2 | ) | 11/03/20 | (92,350 | ) | (5,191 | ) | |||||||||
Primary Aluminum | (1 | ) | 11/04/20 | (46,187 | ) | (2,191 | ) | |||||||||
Primary Aluminum | (1 | ) | 11/13/20 | (46,306 | ) | (1,660 | ) | |||||||||
Primary Aluminum | (1 | ) | 11/18/20 | (46,337 | ) | (1,644 | ) | |||||||||
Primary Aluminum | (1 | ) | 11/19/20 | (46,317 | ) | (1,896 | ) | |||||||||
Primary Aluminum | (2 | ) | 11/20/20 | (92,595 | ) | (4,314 | ) | |||||||||
Primary Aluminum | (2 | ) | 11/24/20 | (92,515 | ) | (3,686 | ) | |||||||||
Primary Aluminum | (1 | ) | 11/25/20 | (46,237 | ) | (1,941 | ) | |||||||||
Primary Aluminum | (1 | ) | 11/27/20 | (46,237 | ) | (1,797 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/02/20 | (46,225 | ) | (1,428 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/03/20 | (46,237 | ) | (1,653 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/04/20 | (46,250 | ) | (1,595 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/10/20 | (46,250 | ) | (1,882 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/11/20 | (46,250 | ) | (1,791 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/15/20 | (46,310 | ) | (1,788 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/16/20 | (46,325 | ) | (1,403 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/17/20 | (46,294 | ) | (1,759 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/21/20 | (46,253 | ) | (1,794 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/22/20 | (46,244 | ) | (1,845 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/24/20 | (46,225 | ) | (1,228 | ) | |||||||||
Primary Aluminum | (2 | ) | 12/29/20 | (92,523 | ) | (3,652 | ) | |||||||||
Primary Aluminum | (1 | ) | 12/30/20 | (46,269 | ) | (1,912 | ) | |||||||||
Primary Aluminum | (3 | ) | 01/04/21 | (138,956 | ) | (8,078 | ) | |||||||||
Primary Aluminum | (1 | ) | 01/05/21 | (46,320 | ) | (1,273 | ) | |||||||||
Primary Aluminum | (2 | ) | 01/06/21 | (92,645 | ) | (610 | ) | |||||||||
Primary Aluminum | (3 | ) | 01/12/21 | (138,998 | ) | (357 | ) | |||||||||
Primary Aluminum | (2 | ) | 01/14/21 | (92,672 | ) | (90 | ) | |||||||||
Primary Aluminum | (1 | ) | 01/21/21 | (46,250 | ) | (231 | ) | |||||||||
Primary Aluminum | (1 | ) | 01/26/21 | (46,200 | ) | (215 | ) | |||||||||
S&P 500 E-Mini Index | (71 | ) | 12/18/20 | (11,589,685 | ) | 263,582 | ||||||||||
S&P Toronto Stock Exchange 60 Index | (2 | ) | 12/17/20 | (277,835 | ) | 11,930 | ||||||||||
SPI 200 Index | (2 | ) | 12/17/20 | (207,004 | ) | 522 | ||||||||||
STOXX 600 Banks Index | (1 | ) | 12/18/20 | (4,845 | ) | (24 | ) | |||||||||
Tin | (1 | ) | 11/05/20 | (88,624 | ) | 766 | ||||||||||
Tin | (1 | ) | 11/06/20 | (443,130 | ) | 3,617 | ||||||||||
Tin | (1 | ) | 12/24/20 | (88,646 | ) | (3,074 | ) | |||||||||
Tin | (1 | ) | 01/06/21 | (88,652 | ) | 2,026 |
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Tin | (1 | ) | 01/21/21 | $ | (88,645 | ) | $ | 852 | ||||||||
Tin | (1 | ) | 01/26/21 | (88,633 | ) | 1,489 | ||||||||||
TOCOM Kerosene | (1 | ) | 04/23/21 | (19,117 | ) | 792 | ||||||||||
Topix Index | (8 | ) | 12/10/20 | (1,201,968 | ) | 21,243 | ||||||||||
Ultra 10 Year U.S. Treasury Notes | (2 | ) | 12/21/20 | (314,563 | ) | 514 | ||||||||||
WTI Crude Oil | (1 | ) | 11/19/20 | (35,790 | ) | 1,539 | ||||||||||
WTI Crude Oil | (1 | ) | 12/14/20 | (20,166 | ) | (188 | ) | |||||||||
WTI Crude Oil | (3 | ) | 12/21/20 | (108,450 | ) | 945 | ||||||||||
Zinc | (1 | ) | 11/12/20 | (62,879 | ) | (3,108 | ) | |||||||||
Zinc | (1 | ) | 11/13/20 | (62,882 | ) | (3,510 | ) | |||||||||
Zinc | (1 | ) | 11/17/20 | (62,894 | ) | (1,433 | ) | |||||||||
Zinc | (1 | ) | 12/16/20 | (62,937 | ) | (2,940 | ) | |||||||||
Zinc | (1 | ) | 12/17/20 | (62,881 | ) | (2,846 | ) | |||||||||
Zinc | (4 | ) | 12/21/20 | (251,563 | ) | (2,800 | ) | |||||||||
Zinc | (1 | ) | 12/23/20 | (62,897 | ) | (2,863 | ) | |||||||||
Zinc | (2 | ) | 12/24/20 | (125,800 | ) | (5,620 | ) | |||||||||
Zinc | (3 | ) | 12/29/20 | (188,794 | ) | (8,102 | ) | |||||||||
Zinc | (3 | ) | 01/04/21 | (188,878 | ) | (11,349 | ) | |||||||||
Zinc | (1 | ) | 01/05/21 | (62,963 | ) | (2,241 | ) | |||||||||
Zinc | (1 | ) | 01/06/21 | (62,968 | ) | (2,245 | ) | |||||||||
Zinc | (1 | ) | 01/08/21 | (62,976 | ) | (2,049 | ) | |||||||||
Zinc | (1 | ) | 01/13/21 | (63,003 | ) | (2,580 | ) | |||||||||
Zinc | (1 | ) | 01/14/21 | (63,011 | ) | 124 | ||||||||||
Zinc | (1 | ) | 01/15/21 | (63,020 | ) | (2,149 | ) | |||||||||
Total | $ | 87,378 | ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 435,264 |
SWAP CONTRACTS — At October 31, 2020, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
Reference Obligation/ Index(a) | Financing Rate Paid (Received) by the Fund | Counterparty | Termination Date | Notional Amount/ Contracts (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Adobe, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | $ | 45 | $ | (3,633 | ) | $ | — | $ | (3,633 | ) | |||||||||
Advanced Micro Devices, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 229 | (28,867 | ) | — | (28,867 | ) | |||||||||||||
Alphabet, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 61 | 5,450 | — | 5,450 | |||||||||||||||
Alphabet, Inc. Class C | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 46 | 4,174 | — | 4,174 | |||||||||||||||
Amazon.com, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 26 | (1,311 | ) | — | (1,311 | ) | |||||||||||||
ASML Holding NV | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 81 | (4,450 | ) | — | (4,450 | ) | |||||||||||||
Avalara, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 58 | 6,940 | — | 6,940 | |||||||||||||||
Ceridian HCM Holding, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 231 | (5,378 | ) | — | (5,378 | ) | |||||||||||||
Cognizant Technology Solutions | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 85 | 563 | — | 563 | |||||||||||||||
Edenred SA | 1M EUR LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 72 | 1,761 | — | 1,761 | |||||||||||||||
Electronic Arts | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 115 | (8,633 | ) | — | (8,633 | ) | |||||||||||||
Facebook, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 254 | (1,536 | ) | — | (1,536 | ) | |||||||||||||
Genpact Ltd. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 531 | (61,065 | ) | — | (61,065 | ) |
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS# (continued)
Reference Obligation/ Index(a) | Financing Rate Paid (Received) by the Fund | Counterparty | Termination Date | Notional Amount/ Contracts (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Global Payments, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | $ | 49 | $ | (5,270 | ) | $ | — | $ | (5,270 | ) | |||||||||
Guidewire Software, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 329 | (21,922 | ) | — | (21,922 | ) | |||||||||||||
Hubspot, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 50 | 82 | — | 82 | |||||||||||||||
iShares Expanded Tech-Software Sector ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 531 | 18,530 | — | 18,530 | |||||||||||||||
iShares Russell 2000 Growth ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 1,018 | 33,237 | — | 33,237 | |||||||||||||||
iShares Russell Mid-Capital Growth ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 90 | 2,016 | — | 2,016 | |||||||||||||||
KLA Corp. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 62 | 7,775 | (267 | ) | 8,042 | ||||||||||||||
Mastercard, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 24 | (3,883 | ) | — | (3,883 | ) | |||||||||||||
Match Group, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 153 | 3,643 | — | 3,643 | |||||||||||||||
Micron Technology | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 104 | (3,528 | ) | — | (3,528 | ) | |||||||||||||
Network International Holdings | 1M GBP LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 14 | (3,456 | ) | — | (3,456 | ) | |||||||||||||
Salesforce.com, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 100 | (7,690 | ) | — | (7,690 | ) | |||||||||||||
ServiceNow, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 86 | (742 | ) | — | (742 | ) | |||||||||||||
Snap, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 98 | 42,198 | — | 42,198 | |||||||||||||||
Splunk, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 4 | 90 | — | 90 | |||||||||||||||
Stoneco Ltd. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 77 | (2,502 | ) | — | (2,502 | ) | |||||||||||||
T-Mobile US, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 169 | (7,729 | ) | — | (7,729 | ) | |||||||||||||
TransUnion | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 33 | (2,892 | ) | — | (2,892 | ) | |||||||||||||
TriNet Group, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 31 | 3,421 | — | 3,421 | |||||||||||||||
Twitter, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 162 | (18,623 | ) | — | (18,623 | ) | |||||||||||||
VeriSign, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 36 | (2,278 | ) | — | (2,278 | ) | |||||||||||||
Workday, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 58 | (3,101 | ) | — | (3,101 | ) | |||||||||||||
Zscaler, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 129 | (8,530 | ) | — | (8,530 | ) | |||||||||||||
Adobe, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 93 | (10,065 | ) | — | (10,065 | ) | |||||||||||||
Adobe Systems, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 84 | (9,046 | ) | — | (9,046 | ) | |||||||||||||
Alphabet, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 429 | 16,655 | — | 16,655 | |||||||||||||||
Alphabet, Inc. Class C | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 305 | 12,057 | — | 12,057 | |||||||||||||||
Amazon.com, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 821 | (74,565 | ) | — | (74,565 | ) | |||||||||||||
Ceridian HCM Holding, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 88 | (3,666 | ) | — | (3,666 | ) | |||||||||||||
Cognizant Technology Solutions | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 174 | (5,364 | ) | — | (5,364 | ) | |||||||||||||
CoStar Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 343 | (17,372 | ) | — | (17,372 | ) | |||||||||||||
Electronic Arts | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 77 | (6,766 | ) | — | (6,766 | ) | |||||||||||||
Experian PLC | 1M GBP LIBOR | MS & Co. Int. PLC | 05/15/23 | 129 | (8,030 | ) | — | (8,030 | ) | |||||||||||||
Facebook, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 241 | (3,312 | ) | — | (3,312 | ) | |||||||||||||
Faurecia SE | 0.470% | MS & Co. Int. PLC | 07/07/21 | 2 | (11,934 | ) | — | (11,934 | ) | |||||||||||||
Fiat Chrysler Automobiles NV | 0.470 | MS & Co. Int. PLC | 07/07/21 | 122 | 20,391 | — | 20,391 | |||||||||||||||
Fidelity National Information | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 172 | (23,131 | ) | — | (23,131 | ) | |||||||||||||
FleetCor Technologies, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 539 | (56,030 | ) | — | (56,030 | ) | |||||||||||||
G4S PLC | 0.050 | MS & Co. Int. PLC | 08/12/22 | 288 | (13,443 | ) | — | (13,443 | ) | |||||||||||||
Global Payments, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 1,311 | (136,392 | ) | — | (136,392 | ) | |||||||||||||
GoDaddy, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 271 | (20,191 | ) | — | (20,191 | ) | |||||||||||||
HubSpot, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 141 | (10,031 | ) | — | (10,031 | ) | |||||||||||||
Intuit, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 116 | (9,274 | ) | — | (9,274 | ) | |||||||||||||
Invesco QQQ Trust | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 163 | 9,855 | — | 9,855 | |||||||||||||||
iShares Expanded Tech-Software Sector ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 2,197 | 171,877 | — | 171,877 |
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS# (continued)
Reference Obligation/ Index(a) | Financing Rate Paid (Received) by the Fund | Counterparty | Termination Date | Notional Amount/ Contracts (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
iShares Russell 2000 Growth ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | $ | 3,216 | $ | 223,780 | $ | — | $ | 223,780 | |||||||||||||||
iShares Russell Mid-Capital Growth ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 6,130 | 395,571 | — | 395,571 | |||||||||||||||||||
Marvell Technology Group Ltd. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 491 | (62,242 | ) | — | (62,242 | ) | |||||||||||||||||
Mastercard, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 341 | (50,408 | ) | — | (50,408 | ) | |||||||||||||||||
Match Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 309 | 15,596 | — | 15,596 | |||||||||||||||||||
Micron Technology | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 150 | (7,621 | ) | — | (7,621 | ) | |||||||||||||||||
Microsoft Corp. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 114 | (8,913 | ) | — | (8,913 | ) | |||||||||||||||||
Mongodb, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 73 | (11,270 | ) | — | (11,270 | ) | |||||||||||||||||
Netflix, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 228 | (27,899 | ) | — | (27,899 | ) | |||||||||||||||||
PayPal Holdings, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 407 | (34,162 | ) | — | (34,162 | ) | |||||||||||||||||
Peugeot SA | (0.470)% | MS & Co. Int. PLC | 07/07/21 | 70 | (11,728 | ) | — | (11,728 | ) | |||||||||||||||||
Repay Holdings Corp. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 120 | (7,662 | ) | — | (7,662 | ) | |||||||||||||||||
Salesforce.com, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 450 | (44,590 | ) | — | (44,590 | ) | |||||||||||||||||
ServiceNow, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 489 | (21,814 | ) | — | (21,814 | ) | |||||||||||||||||
Splunk, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 169 | (6,006 | ) | — | (6,006 | ) | |||||||||||||||||
Suez SA | 0.470 | MS & Co. Int. PLC | 07/07/21 | 12 | 52 | — | 52 | |||||||||||||||||||
T-Mobile US, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 3 | (155 | ) | — | (155 | ) | |||||||||||||||||
T-Mobile US, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 62 | (3,114 | ) | — | (3,114 | ) | |||||||||||||||||
TransUnion | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 275 | (27,185 | ) | — | (27,185 | ) | |||||||||||||||||
TriNet Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 510 | (5,228 | ) | — | (5,228 | ) | |||||||||||||||||
Twitter, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 146 | (14,902 | ) | — | (14,902 | ) | |||||||||||||||||
U.S Mszzmomo | 1M USD LIBOR | MS & Co. Int. PLC | 01/29/21 | 429 | (104,189 | ) | (133,460 | ) | 29,271 | |||||||||||||||||
VeriSign, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 278 | (23,925 | ) | — | (23,925 | ) | |||||||||||||||||
Visa, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 347 | (31,013 | ) | — | (31,013 | ) | |||||||||||||||||
WEX, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 237 | (36,176 | ) | — | (36,176 | ) | |||||||||||||||||
William Hill PLC | 0.050% | MS & Co. Int. PLC | 08/12/22 | 123 | (2,531 | ) | — | (2,531 | ) | |||||||||||||||||
TOTAL | $ | (172,650 | ) | $ | (133,727 | ) | $ | (38,923 | ) |
(a) | Payments made monthly. |
# | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At October 31, 2020, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||
Calls | �� | |||||||||||||||||||||||||
Analog Devices, Inc. | $ 65.00 | 03/19/2021 | 38 | $ | 3,800 | $ | 202,920 | $ | 197,682 | $ | 5,238 | |||||||||||||||
Copart, Inc. | 50.00 | 02/19/2021 | 32 | 3,200 | 193,600 | 120,692 | 72,908 | |||||||||||||||||||
Facebook, Inc. | 135.00 | 09/17/2021 | 17 | 1,700 | 225,037 | 252,433 | (27,396 | ) | ||||||||||||||||||
Fedex Corp. | 115.00 | 04/16/2021 | 24 | 2,400 | 347,760 | 306,459 | 41,301 | |||||||||||||||||||
Micron Technology, Inc. | 25.00 | 06/18/2021 | 75 | 7,500 | 194,062 | 189,030 | 5,032 | |||||||||||||||||||
Norfolk Southern Corp. | 120.00 | 06/18/2021 | 38 | 3,800 | 339,150 | 370,320 | (31,170 | ) | ||||||||||||||||||
Taiwan Semiconductor Manufacture | 40.00 | 01/21/2022 | 42 | 4,200 | 183,330 | 190,170 | (6,840 | ) | ||||||||||||||||||
The Walt Disney Co. | 60.00 | 01/21/2022 | 50 | 5,000 | 317,125 | 311,794 | 5,331 | |||||||||||||||||||
Union Pacific Corp. | 90.00 | 01/21/2022 | 11 | 1,100 | 96,663 | 96,179 | 484 | |||||||||||||||||||
Total purchased option contracts | 327 | $ | 32,700 | $ | 2,099,647 | $ | 2,034,759 | $ | 64,888 | |||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||
Advanced Micro Devices, Inc. | 80.00 | 12/18/2020 | (41 | ) | (4,100 | ) | (14,731 | ) | (14,731 | ) | — | |||||||||||||||
Amag Pharmaceuticals, Inc. | 14.00 | 01/15/2021 | (50 | ) | (5,000 | ) | (250 | ) | (478 | ) | 228 | |||||||||||||||
Amazon.Com, Inc. | 3,100.00 | 12/18/2020 | (2 | ) | (200 | ) | (34,316 | ) | (34,316 | ) | — | |||||||||||||||
Apple, Inc. | 105.00 | 12/18/2020 | (92 | ) | (9,200 | ) | (76,313 | ) | (76,313 | ) | — | |||||||||||||||
Moody’s Corp. | 280.00 | 12/18/2020 | (5 | ) | (500 | ) | (3,075 | ) | (5,830 | ) | 2,755 | |||||||||||||||
Nvidia Corp. | 510.00 | 12/18/2020 | (8 | ) | (800 | ) | (26,860 | ) | (26,860 | ) | — | |||||||||||||||
S&P Global, Inc. | 340.00 | 12/18/2020 | (6 | ) | (600 | ) | (4,500 | ) | (6,435 | ) | 1,935 | |||||||||||||||
Thermo Fisher Scientific, Inc. | 440.00 | 11/20/2020 | (6 | ) | (600 | ) | (23,100 | ) | (20,540 | ) | (2,560 | ) | ||||||||||||||
Total written option contracts | (210 | ) | $ | (21,000 | ) | $ | (183,145 | ) | $ | (185,503 | ) | $ | 2,358 | |||||||||||||
TOTAL | 117 | $ | 11,700 | $ | 1,916,502 | $ | 1,849,256 | $ | 67,246 |
| ||
Abbreviations: | ||
MS & Co. Int. PLC | —Morgan Stanley & Co. International PLC | |
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Statement of Assets and Liabilities(a)
October 31, 2020
| ||||||
Assets: |
| |||||
Investments, at value (cost $99,330,853) | $ | 108,760,452 | ||||
Investments of affiliated issuers, at value (cost $40,788,471) | 40,788,471 | |||||
Purchased options, at value (premium paid $2,034,759) | 2,099,647 | |||||
Cash | 1,635,227 | |||||
Foreign currencies, at value (cost $7,930) | 13,712 | |||||
Unrealized gain on swap contracts | 1,025,252 | |||||
Unrealized gain on forward foreign currency exchange contracts | 940,733 | |||||
Variation margin on futures contracts | 406,483 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(b) | 4,651,827 | |||||
Investments sold | 1,344,234 | |||||
Dividends and interest | 251,812 | |||||
Reimbursement from investment adviser | 86,996 | |||||
Foreign tax reclaims | 56,037 | |||||
Fund shares sold | 46,372 | |||||
Due from broker — upfront payment | 36,070 | |||||
Investments sold on an extended settlement basis | 7,395 | |||||
Other assets | 35,764 | |||||
Total assets | $ | 162,186,484 | ||||
Liabilities: | ||||||
Securities sold short, at value (proceeds received $3,664,089) | 3,727,448 | |||||
Unrealized loss on swap contracts | 1,064,175 | |||||
Unrealized loss on forward foreign currency exchange contracts | 975,803 | |||||
Written option contracts, at value (premium received $185,503) | 183,145 | |||||
Payables: | ||||||
Investments purchased | 3,272,712 | |||||
Fund shares redeemed | 663,526 | |||||
Investments purchased on an extended settlement basis | 466,000 | |||||
Management fees | 198,809 | |||||
Upfront payments received on swap contracts | 133,727 | |||||
Distribution and service fees and transfer agency fees | 13,482 | |||||
Dividend expense payable on securities sold short | 2,398 | |||||
Accrued expenses and other liabilities | 1,789,442 | |||||
Total liabilities | 12,490,667 | |||||
Net Assets: | ||||||
Paid-in capital | 199,050,472 | |||||
Total distributable earnings (loss) | (49,354,655 | ) | ||||
NET ASSETS | $ | 149,695,817 | ||||
Net Assets: | ||||||
Class A | $ | 8,015,274 | ||||
Class C | 5,045,115 | |||||
Institutional | 67,353,968 | |||||
Investor | 10,060,950 | |||||
Class R6 | 10,674 | |||||
Class R | 27,361 | |||||
Class P | 59,182,475 | |||||
Total Net Assets | $ | 149,695,817 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 751,997 | |||||
Class C | 491,542 | |||||
Institutional | 6,245,216 | |||||
Investor | 937,872 | |||||
Class R6 | 989 | |||||
Class R | 2,600 | |||||
Class P | 5,489,092 | |||||
Net asset value, offering and redemption price per share:(c) | ||||||
�� | Class A | $ | 10.66 | |||
Class C | 10.26 | |||||
Institutional | 10.78 | |||||
Investor | 10.73 | |||||
Class R6 | 10.79 | |||||
Class R | 10.52 | |||||
Class P | 10.78 |
(a) | Statement of Assets and Liabilities for the Fund is consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity— MMA IV, LLC. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Includes segregated cash of $ 2,271,827, $ 620,000, $850,000 and $910,000 relating to initial margin requirements and/or collateral on futures, forward foreign currency, options and swaps transactions, respectively. |
(c) | Maximum public offering price per share for Class A Shares is $11.28. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Statement of Operations(a)
For the Fiscal Year Ended October 31, 2020
| ||||||
Investment income: |
| |||||
Interest— unaffiliated issuers (net of foreign withholding taxes of $221) | $ | 2,132,972 | ||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $44,854) | 1,138,690 | |||||
Dividends — affiliated issuers | 579,448 | |||||
Total investment income | 3,851,110 | |||||
Expenses: |
| |||||
Management fees | 3,773,915 | |||||
Custody, accounting and administrative services | 2,956,562 | |||||
Professional fees | 557,979 | |||||
Registration fees | 130,282 | |||||
Printing and mailing costs | 119,833 | |||||
Transfer Agency fees(b) | 107,421 | |||||
Distribution and Service (12b-1) fees(b) | 70,087 | |||||
Dividend expense for securities sold short | 67,610 | |||||
Prime broker fees | 43,752 | |||||
Trustee fees | 32,686 | |||||
Service fees — Class C | 15,515 | |||||
Other | 48,042 | |||||
Total expenses | 7,923,684 | |||||
Less — expense reductions | (4,249,738 | ) | ||||
Net expenses | 3,673,946 | |||||
NET INVESTMENT INCOME | 177,164 | |||||
Realized and unrealized gain (loss): |
| |||||
Net realized gain (loss) from: | ||||||
Investments (including commission recapture of $5,753) | 10,376,836 | |||||
Securities sold short | (195,477 | ) | ||||
Purchased options | 335,636 | |||||
Futures contracts | (1,821,396 | ) | ||||
Written options | 194,103 | |||||
Swap contracts | (4,202,285 | ) | ||||
Forward foreign currency exchange contracts | (763,419 | ) | ||||
Foreign currency transactions | 86,066 | |||||
Net change in unrealized gain (loss) on: | ||||||
Investments— unaffiliated issuers | 457,785 | |||||
Securities short sales | 438,722 | |||||
Purchased options | 143,135 | |||||
Futures contracts | 51,756 | |||||
Written options | (11,449 | ) | ||||
Swap contracts | 46,632 | |||||
Forward foreign currency exchange contracts | 107,360 | |||||
Foreign currency translation | 11,310 | |||||
Net realized and unrealized gain | 5,255,315 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,432,479 |
(a) | Statement of Operations for the Fund is consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity— MMA IV, LLC. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||||||||
$ | 23,298 | $ | 46,653 | $ | 136 | $ | 15,842 | $ | 10,575 | $ | 42,408 | $ | 19,105 | $ | 4 | $ | 46 | $ | 19,441 |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Statements of Changes in Net Assets(a)
Multi-Manager Alternatives Fund | ||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 177,164 | $ | 2,489,143 | ||||||
Net realized gain | 4,010,064 | 10,031,680 | ||||||||
Net change in unrealized gain | 1,245,251 | 10,595,053 | ||||||||
Net increase in net assets resulting from operations | 5,432,479 | 23,115,876 | ||||||||
Distributions to shareholders: |
| |||||||||
From distributable earnings | ||||||||||
Class A Shares | (61,290 | ) | — | |||||||
Institutional Shares | (1,583,309 | ) | — | |||||||
Investor Shares | (118,769 | ) | — | |||||||
Class R6 Shares | (112 | ) | — | |||||||
Class R Shares | (143 | ) | — | |||||||
Class P Shares | (790,366 | ) | — | |||||||
Total distributions to shareholders | (2,553,989 | ) | — | |||||||
From share transactions: |
| |||||||||
Proceeds from sales of shares | 52,849,842 | 62,447,737 | ||||||||
Reinvestment of distributions | 2,532,702 | — | ||||||||
Cost of shares redeemed | (172,843,032 | ) | (353,836,473 | ) | ||||||
Net decrease in net assets resulting from share transactions | (117,460,488 | ) | (291,388,736 | ) | ||||||
TOTAL DECREASE | (114,581,998 | ) | (268,272,860 | ) | ||||||
Net assets: |
| |||||||||
Beginning of year | 264,277,815 | 532,550,675 | ||||||||
End of year | $ | 149,695,817 | $ | 264,277,815 |
(a) | Statements of Changes in Net Assets for the Fund is consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity— MMA IV, LLC. Accordingly, all interfund balances and transactions have been eliminated. |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.48 | $ | 9.91 | $ | 10.22 | $ | 10.25 | $ | 10.33 | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.04 | (0.04 | ) | (0.02 | ) | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.53 | (0.27 | ) | 0.13 | (0.06 | ) | |||||||||||||||
Total from investment operations | 0.24 | 0.57 | (0.31 | ) | 0.11 | (0.02 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | — | — | (0.14 | ) | (0.01 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.05 | ) | ||||||||||||||||
Total distributions | (0.06 | ) | — | — | (0.14 | ) | (0.06 | ) | ||||||||||||||
Net asset value, end of year | $ | 10.66 | $ | 10.48 | $ | 9.91 | $ | 10.22 | $ | 10.25 | ||||||||||||
Total return(b) | 2.33 | % | 5.75 | % | (3.03 | )% | 1.08 | % | (0.23 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 8,015 | $ | 11,538 | $ | 19,155 | $ | 37,077 | $ | 134,843 | ||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.13 | % | 2.12 | % | 2.31 | % | 2.51 | % | 2.65 | % | ||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.07 | % | 2.07 | % | 2.23 | % | 2.38 | % | 2.41 | % | ||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 4.32 | % | 3.51 | % | 2.91 | % | 2.74 | % | 2.85 | % | ||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 4.27 | % | 3.46 | % | 2.82 | % | 2.62 | % | 2.60 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.17 | )% | 0.39 | % | (0.43 | )% | (0.22 | )% | 0.39 | % | ||||||||||||
Portfolio turnover rate(c) | 222 | % | 202 | % | 232 | % | 112 | % | 73 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.11 | $ | 9.62 | $ | 10.00 | $ | 10.02 | $ | 10.16 | ||||||||||||
Net investment loss(a) | (0.09 | ) | (0.03 | ) | (0.12 | ) | (0.11 | ) | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.24 | 0.52 | (0.26 | ) | 0.13 | (0.05 | ) | |||||||||||||||
Total from investment operations | 0.15 | 0.49 | (0.38 | ) | 0.02 | (0.09 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.04 | ) | — | ||||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.05 | ) | ||||||||||||||||
Total distributions | — | — | — | (0.04 | ) | (0.05 | ) | |||||||||||||||
Net asset value, end of year | $ | 10.26 | $ | 10.11 | $ | 9.62 | $ | 10.00 | $ | 10.02 | ||||||||||||
Total return(b) | 1.48 | % | 4.98 | % | (3.70 | )% | 0.23 | % | (1.02 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 5,045 | $ | 7,646 | $ | 12,333 | $ | 29,758 | $ | 49,334 | ||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.88 | % | 2.87 | % | 3.07 | % | 3.26 | % | 3.40 | % | ||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.82 | % | 2.82 | % | 2.99 | % | 3.13 | % | 3.16 | % | ||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 5.09 | % | 4.27 | % | 3.65 | % | 3.54 | % | 3.60 | % | ||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 5.03 | % | 4.21 | % | 3.57 | % | 3.41 | % | 3.36 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.92 | )% | (0.36 | )% | (1.23 | )% | (1.07 | )% | (0.35 | )% | ||||||||||||
Portfolio turnover rate(c) | 222 | % | 202 | % | 232 | % | 112 | % | 73 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.62 | $ | 10.00 | $ | 10.28 | $ | 10.33 | $ | 10.40 | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.07 | (0.01 | ) | — | (b) | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | 0.55 | (0.27 | ) | 0.15 | (0.07 | ) | |||||||||||||||
Total from investment operations | 0.27 | 0.62 | (0.28 | ) | 0.15 | 0.01 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.11 | ) | — | — | (0.20 | ) | (0.03 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.05 | ) | ||||||||||||||||
Total distributions | (0.11 | ) | — | — | (0.20 | ) | (0.08 | ) | ||||||||||||||
Net asset value, end of year | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.28 | $ | 10.33 | ||||||||||||
Total return(c) | 2.66 | % | 6.20 | % | (2.72 | )% | 1.47 | % | 0.13 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 67,354 | $ | 158,958 | $ | 361,962 | $ | 807,918 | $ | 903,812 | ||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 1.81 | % | 1.80 | % | 1.97 | % | 2.11 | % | 2.25 | % | ||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 1.75 | % | 1.74 | % | 1.89 | % | 1.98 | % | 2.01 | % | ||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.94 | % | 3.03 | % | 2.51 | % | 2.40 | % | 2.45 | % | ||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 3.88 | % | 2.98 | % | 2.43 | % | 2.28 | % | 2.21 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.14 | % | 0.71 | % | (0.12 | )% | 0.02 | % | 0.81 | % | ||||||||||||
Portfolio turnover rate(d) | 222 | % | 202 | % | 232 | % | 112 | % | 73 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.56 | $ | 9.95 | $ | 10.24 | $ | 10.30 | $ | 10.37 | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.07 | (0.03 | ) | (0.01 | ) | 0.07 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | 0.54 | (0.26 | ) | 0.14 | (0.07 | ) | |||||||||||||||
Total from investment operations | 0.27 | 0.61 | (0.29 | ) | 0.13 | — | ||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | — | — | (0.19 | ) | (0.02 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.05 | ) | ||||||||||||||||
Total distributions | (0.10 | ) | — | — | (0.19 | ) | (0.07 | ) | ||||||||||||||
Net asset value, end of year | $ | 10.73 | $ | 10.56 | $ | 9.95 | $ | 10.24 | $ | 10.30 | ||||||||||||
Total return(b) | 2.59 | % | 6.02 | % | (2.73 | )% | 1.23 | % | (0.06 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 10,061 | $ | 12,457 | $ | 30,347 | $ | 95,628 | $ | 108,924 | ||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 1.88 | % | 1.87 | % | 2.09 | % | 2.26 | % | 2.39 | % | ||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 1.82 | % | 1.82 | % | 2.01 | % | 2.13 | % | 2.16 | % | ||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 4.07 | % | 3.23 | % | 2.64 | % | 2.54 | % | 2.61 | % | ||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 4.02 | % | 3.18 | % | 2.56 | % | 2.42 | % | 2.38 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.07 | % | 0.63 | % | (0.26 | )% | (0.13 | )% | 0.70 | % | ||||||||||||
Portfolio turnover rate(c) | 222 | % | 202 | % | 232 | % | 112 | % | 73 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||
Class R6 Shares | ||||||||||||||
Year Ended October 31, | Period Ended October 31, 2018(a) | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 10.63 | $ | 10.01 | $ | 10.22 | ||||||||
Net investment income(b) | 0.02 | 0.08 | 0.01 | |||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.54 | (0.22 | ) | ||||||||||
Total from investment operations | 0.27 | 0.62 | (0.21 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.11 | ) | — | — | ||||||||||
Net asset value, end of period | $ | 10.79 | $ | 10.63 | $ | 10.01 | ||||||||
Total return(c) | 2.60 | % | 6.19 | % | (2.05 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 11 | $ | 10 | $ | 10 | ||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 1.81 | % | 1.79 | % | 1.90 | %(d) | ||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 1.76 | % | 1.74 | % | 1.81 | %(d) | ||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.93 | % | 3.23 | % | 2.63 | %(d) | ||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 3.88 | % | 3.18 | % | 2.54 | %(d) | ||||||||
Ratio of net investment income to average net assets | 0.12 | % | 0.75 | % | 0.13 | %(d) | ||||||||
Portfolio turnover rate(e) | 222 | % | 202 | % | 232 | % |
(a) | Commenced operations on February 28, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.37 | $ | 9.82 | $ | 10.15 | $ | 10.18 | $ | 10.29 | ||||||||||||
Net investment income (loss)(a) | (0.05 | ) | 0.02 | (0.09 | ) | (0.06 | ) | 0.01 | ||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | 0.53 | (0.24 | ) | 0.14 | (0.05 | ) | |||||||||||||||
Total from investment operations | 0.21 | 0.55 | (0.33 | ) | 0.08 | (0.04 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | — | — | (0.11 | ) | (0.02 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.05 | ) | ||||||||||||||||
Total distributions | (0.06 | ) | — | — | (0.11 | ) | (0.07 | ) | ||||||||||||||
Net asset value, end of year | $ | 10.52 | $ | 10.37 | $ | 9.82 | $ | 10.15 | $ | 10.18 | ||||||||||||
Total return(b) | 1.98 | % | 5.60 | % | (3.25 | )% | 0.73 | % | (0.40 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 27 | $ | 27 | $ | 25 | $ | 120 | $ | 119 | ||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.38 | % | 2.38 | % | 2.61 | % | 2.76 | % | 2.91 | % | ||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.32 | % | 2.32 | % | 2.53 | % | 2.63 | % | 2.66 | % | ||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 4.56 | % | 3.86 | % | 3.12 | % | 3.07 | % | 3.11 | % | ||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 4.50 | % | 3.81 | % | 3.04 | % | 2.94 | % | 2.85 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.44 | )% | 0.15 | % | (0.91 | )% | (0.63 | )% | 0.07 | % | ||||||||||||
Portfolio turnover rate(c) | 222 | % | 202 | % | 232 | % | 112 | % | 73 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||
Class P Shares | ||||||||||||||
Year Ended October 31, | Period Ended | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 10.62 | $ | 10.00 | $ | 10.21 | ||||||||
Net investment income(b) | 0.02 | 0.08 | 0.02 | |||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.54 | (0.23 | ) | ||||||||||
Total from investment operations | 0.27 | 0.62 | (0.21 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.11 | ) | — | — | ||||||||||
Net asset value, end of period | $ | 10.78 | $ | 10.62 | $ | 10.00 | ||||||||
Total return(c) | 2.60 | % | 6.20 | % | (2.06 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 59,182 | $ | 73,641 | $ | 108,718 | ||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 1.80 | % | 1.79 | % | 1.83 | %(d) | ||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 1.74 | % | 1.73 | % | 1.74 | %(d) | ||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.93 | % | 3.13 | % | 2.68 | %(d) | ||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 3.88 | % | 3.08 | % | 2.58 | %(d) | ||||||||
Ratio of net investment income to average net assets | 0.15 | % | 0.73 | % | 0.45 | %(d) | ||||||||
Portfolio turnover rate(e) | 222 | % | 202 | % | 232 | % |
(a) | Commenced operations on April 16, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements
October 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust II (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Multi-Manager Alternatives Fund (the “Fund”). The Fund is a diversified portfolio and currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares.
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R and Class P Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust. As of October 31, 2020, GSAM had sub-advisory agreements (the “Sub-Advisory Agreements”) for the Fund with Algert Global LLC (“Algert”), Ares Capital Management II LLC (“Ares”), Artisan Partners Limited Partnership (“Artisan Partners”), Bardin Hill Arbitrage IC Management LP (“Bardin Hill”), Brigade Capital Management, LP (“Brigade”), Crabel Capital Management, LLC (“Crabel”), GQG Partners LLC (“GQG Partners”), Marathon Asset Management, L.P. (“Marathon”), River Canyon Fund Management LLC (“River Canyon”), Russell Investments Commodity Advisor, LLC (“RICA”), Sirios Capital Management L.P. (“Sirios”) and Wellington Management Company LLP (“Wellington”) (the “Underlying Managers”). Crabel also serves as an Underlying Manager for a Subsidiary (as defined below). Pursuant to the terms of the Sub-Advisory Agreements, the Underlying Managers are responsible for making investment decisions and managing the investments of the Fund. GSAM compensates the Underlying Managers directly in accordance with the terms of the Sub-Advisory Agreements. The Fund is not charged any separate or additional investment advisory fees by the Underlying Managers.
As of October 31, 2020, GSAM no longer had a sub-advisory agreement for the Fund with First Pacific Advisors, LLC or Emso Asset Management Limited.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Basis of Consolidation for the Goldman Sachs Multi-Manager Alternatives Fund — The Cayman Commodity — MMA IV, LLC (a “Subsidiary”), a Cayman Islands exempted company and is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of October 31, 2020, the Fund’s net assets were $149,695,817 of which, $2,624,160, or 1.8%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain
37
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 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. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
G. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) from investments on the Consolidated Statement of Operations.
38
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES 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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
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
39
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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. 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 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.
Securities Sold Short — Securities sold short are those securities which a Fund has sold but which it does not own. When the Fund sells a security it does not own, it must borrow the security that was sold and it generally delivers the proceeds from the short sale to the broker through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. The market value of securities pledged as collateral is included in the Consolidated Schedule 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. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated 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
40
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A total return swap is an agreement that gives the Fund the right to receive or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to pay the dollar value of that decline to the counterparty.
41
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
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 and derivatives classified in the fair value hierarchy as of October 31, 2020:
MULTI-MANAGER ALTERNATIVES |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Obligations | $ | — | $ | 7,812,116 | $ | 1,119 | ||||||
Mortgage-Backed Obligations | — | 9,713,519 | — | |||||||||
Asset-Backed Securities | — | 12,488,544 | — | |||||||||
Foreign Debt Obligations | — | 9,423,955 | — | |||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | 2,540,071 | 3,214,808 | — | |||||||||
Australia and Oceania | — | 426,073 | — | |||||||||
Europe | 6,712,794 | 11,418,769 | — | |||||||||
North America | 32,310,480 | — | 5,813 | |||||||||
South America | 292,910 | — | — | |||||||||
Exchange Traded Fund | 5,074,740 | — | — | |||||||||
Investment Company | 40,788,471 | — | — | |||||||||
Preferred Stock | — | 1,053,771 | — | |||||||||
Rights | — | 17,373 | — | |||||||||
Short-term Investments | 6,253,597 | — | — | |||||||||
Total | $ | 93,973,063 | $ | 55,568,928 | $ | 6,932 | ||||||
Liabilities | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | (1,167,500 | ) | $ | (987,948 | ) | $ | — | ||||
Europe | (959,060 | ) | (335,741 | ) | — | |||||||
North America | (277,199 | ) | — | — | ||||||||
Total | $ | (2,403,759 | ) | $ | (1,323,689 | ) | $ | — |
42
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 940,733 | $ | — | ||||||
Futures Contracts(b) | 1,038,195 | — | — | |||||||||
Total Return Swap Contracts(b) | — | 1,025,252 | — | |||||||||
Options Purchased Contracts | 2,099,647 | — | — | |||||||||
Total | $ | 3,137,842 | $ | 1,965,985 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (975,803 | ) | $ | — | |||||
Futures Contracts(b) | (602,931 | ) | — | — | ||||||||
Total Return Swap Contracts(b) | — | (1,064,175 | ) | — | ||||||||
Written Option Contracts | (183,145 | ) | — | — | ||||||||
Total | $ | (786,076 | ) | $ | (2,039,978 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated 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 October 31, 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 tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
Risk | Consolidated Statement of Assets and Liabilities | Assets | Consolidated Statement of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on futures contracts | $ | 5,287 | (a) | Variation margin on futures contracts | $ | (15,386) | (a) | ||||
Equity | Receivable for unrealized gain on swap contracts; Variation margin on futures contracts; and Purchased options, at value | 3,660,230 | (a) | Payable for unrealized loss on swap contracts; Variation margin on futures contracts; and Written option contracts | (1,334,479) | (a)(b) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts; and Variation margin on futures contracts | 940,756 | Payable for unrealized loss on forward foreign currency exchange contracts; and Variation margin on futures contracts | (976,189) | (a) | |||||||
Commodity | Variation margin on futures contracts | 497,554 | (a) | Variation margin on futures contracts | (500,000) | (a) | ||||||
Total | $ | 5,103,827 | $ | (2,826,054) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
(b) | Aggregate of amounts include $1,064,175, which represents the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, their failure to pay on their obligations or failure to pledge collateral. Such amount does not include incremental charges directly associated with the close-out of the agreements. It also does not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Fund is entitled to a full return. |
43
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
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 fiscal year ended October 31, 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 Consolidated Statement of Operations:
Risk | Consolidated Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from swap contracts and futures contracts/Net change in unrealized gain (loss) on swap contracts and futures contracts | $ | 1,111,400 | $ | (171,759 | ) | 261 | |||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (29,224 | ) | 3,218 | 2 | |||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts and futures contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts and futures contracts | (779,270 | ) | 106,075 | 341 | |||||||||
Equity | Net realized gain (loss) from purchased options, futures contracts, swap contracts and written options/Net change in unrealized gain (loss) on purchase options, futures contracts, swaps contracts and written options | (6,069,809 | ) | 363,126 | 1,419 | |||||||||
Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (490,458 | ) | 36,774 | 48 | |||||||||
Total | $ | (6,257,361 | ) | $ | 337,434 | 2,071 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2020. |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Additionally, the Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Underlying Managers believe to be of good standing and by monitoring the financial stability of those counterparties.
44
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
4. INVESTMENTS IN DERIVATIVES (continued) |
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
The following table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of October 31, 2020:
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||
Counterparty | Swaps | Forward Currency Contracts | Total | Swaps | Forward Currency Contracts | Total | Net Derivative Asset (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | |||||||||||||||||||||||||||
Deutsche Bank AG | $ | — | $ | 940,114 | $ | 940,114 | $ | — | $ | (967,036 | ) | $ | (967,036 | ) | $ | (26,922 | ) | $ | 26,922 | $ | — | |||||||||||||||
JPMorgan Securities, Inc. | 130,147 | 619 | 130,766 | (207,019 | ) | (8,767 | ) | (215,786 | ) | (85,020 | ) | — | (85,020 | ) | ||||||||||||||||||||||
MS & Co. Int. PLC | 895,105 | — | 895,105 | (857,156 | ) | — | (857,156 | ) | 37,949 | — | 37,949 | |||||||||||||||||||||||||
Total | $ | 1,025,252 | $ | 940,733 | $ | 1,965,985 | $ | (1,064,175 | ) | $ | (975,803 | ) | $ | (2,039,978 | ) | $ | (73,993 | ) | $ | 26,922 | $ | (47,071 | ) |
(1) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
(2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages 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.
Contractual Management Rate | Effective Net Management Fee Rate*^(a) | |||||||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Fee Rate | ||||||||||||||||||
1.90% | 1.80% | 1.71% | 1.68% | 1.90% | 1.51% |
* | GSAM has agreed to waive a portion of its management fee in order to achieve a net management fee rate of 1.57% as an annual percentage of the average daily net assets of the Fund as defined in the Fund’s most recent prospectus. This arrangement will be effective through at least February 28, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds if any. |
(a) | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreements as defined below after waivers. |
The 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. For the fiscal year ended October 31, 2020, GSAM waived $107,072 of the Fund’s management fee.
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the fiscal year ended October 31, 2020, GSAM waived $18,771 of the Fund’s management fee.
45
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||
Class A* | Class C | Class R* | ||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % |
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2020, Goldman Sachs did not retain any fees.
D. Service Plan — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C Shares of the Fund.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.17% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; and 0.03% of the average daily net assets of Class R6 and Class P Shares.
Goldman Sachs has agreed to waive a portion of the transfer agency fees equal to 0.06% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Fund through at least February 28, 2021 (the “TA Fee Waiver”). Prior to such date, Goldman Sachs may not terminate the arrangement without approval of the Board of Trustees.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, dividends and interest payments on securities sold short, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to 0.194% of the average daily net assets of the Fund and limit the Fund’s total annual operating expenses (excluding acquired fund fees and expenses, dividend and interest payments on securities sold short, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) of Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares to (after the application of the TA Fee Waiver described above) 2.12%, 2.87%, 1.80%, 1.87%, 1.79%, 2.37%, and 1.79%, respectively. These Other Expense limitations will remain in place through at least February 28, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
46
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above. For the fiscal year ended October 31, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Transfer Agency Waivers/Credits | Other Expense | Total Annual Operating Expense Reductions | |||||||||||
$ | 771,896 | $ | 16,159 | $ | 3,461,683 | $ | 4,249,738 |
In addition, subsequent to the reporting period, the Fund will enter into certain offset arrangements with the custodian, which may result in a reduction of the Fund’s gross expenses in subsequent periods.
G. Line of Credit Facility — As of October 31, 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 fiscal year ended October 31, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended October 31, 2020, Goldman Sachs earned $12,708, in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
As of October 31, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% of Class R6 and Class R Shares of the Fund.
The table below shows the transaction in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the fiscal year ended October 31, 2020:
Underlying Fund | Beginning Value as of October 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of | Shares as of October 31, 2020 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 100,493,289 | $ | 482,246,834 | $ | (541,951,652 | ) | $ | 40,788,471 | 40,788,471 | $ | 579,448 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2020, were $263,195,338 and $294,903,504, respectively. In these amounts are the cost of purchases and proceeds from sales and maturities of U.S. Government and agency obligations in the amounts of $3,068,114 and $1,361,050, respectively.
The following table sets forth the Fund’s net exposure for short securities that are subject to enforceable master netting arrangements or similar agreements as of October 31, 2020:
Counterparty | Securities Sold Short(1) | Collateral Pledged | Net Amount(2) | |||||||||
State Street Bank & Trust | $ | (3,727,448 | ) | $ | 3,727,448 | $ | — |
(1) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
(2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
47
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2020 was as follows:
Distribution paid from: | ||||
Ordinary income | $ | 2,553,989 | ||
Net long-term capital gains | — | |||
Total taxable distributions | $ | 2,553,989 |
There were no distributions by the Fund during the fiscal year ended October 31, 2019.
As of October 31, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Capital loss carryforwards:(1) | ||||
Perpetual Short-Term | $ | (53,839,607 | ) | |
Perpetual Long-Term | (1,310,787 | ) | ||
Total Capital loss carryforwards | $ | (55,150,394 | ) | |
Timing differences (Straddle Loss Deferral/Qualified Late Year Ordinary Loss Deferral) | $ | (2,280,189 | ) | |
Unrealized gains (losses) — net | 8,075,928 | |||
Total accumulated earnings (losses) net | $ | (49,354,655 | ) |
(1) | The Fund utilized $5,690,638 of capital losses in the current fiscal year. |
As of October 31, 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 | $ | 143,875,746 | ||
Gross unrealized gain | 11,012,451 | |||
Gross unrealized loss | (2,936,523 | ) | ||
Net unrealized gain | $ | 8,075,928 |
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, net mark to market gains/(losses) on foreign currency contracts, and differences in the tax treatment of underlying fund investments, partnership investments, passive foreign investment company investments, swap transactions, market discount accretion and premium amortization.
The Fund reclassed $68,882 from paid in capital to distributable earnings for the year ending October 31, 2020. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from taxable overdistributions, net operating losses, 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:
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,
48
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
8. 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 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.
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.
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.
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.
49
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
8. OTHER RISKS (continued) |
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“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, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with 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.
Multi-Manager Approach Risk — The Fund’s performance depends on the ability of the Investment Adviser in selecting, overseeing, and allocating Fund assets to the Underlying Managers. The Underlying Managers’ investment styles may not always be complementary. The Fund’s multi-manager approach may result in the Fund investing a significant percentage of its assets in certain types of investments, which could be beneficial or detrimental to the Fund’s performance depending on the performance of those investments and the overall market environment. The Fund’s Underlying Managers may underperform the market generally or underperform other investment managers that could have been selected for the Fund. Because the Fund’s Underlying Managers may trade with counterparties, prime brokers, clearing brokers or futures commission merchants on terms that are different than
50
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
8. OTHER RISKS (continued) |
those on which the Investment Adviser would trade, and because each Underlying Manager applies its own risk analysis in evaluating potential counterparties for the Fund, the Fund may be subject to greater counterparty risk than if it was managed directly by the Investment Adviser.
Short Position Risk — The Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Fund may purchase for investment. Taking short positions involves leverage of the Fund’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which the Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that the Fund uses the proceeds it receives from a short position to take additional long positions, the risks associated with the short position, including leverage risks, may be heightened, because doing so increases the exposure of the Fund to the markets and therefore could magnify changes to the Fund’s NAV.
Tax Risk — The Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes (the “Notes Rulings”) or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Fund has not received a PLR, and is/are not able to rely on PLRs issued to other taxpayers. The IRS recently issued final regulations that, would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Fund’s business of investing in stock, securities, or currencies.
The IRS also issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. In connection with issuing such revenue procedure, the IRS has revoked the Notes Ruling on a prospective basis. In light of the revocation of the Notes Rulings, the Fund has limited its investments in commodity index-linked structured notes. The Fund has obtained an opinion of counsel that the Fund’s income from investments in the Subsidiary should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Fund’s income from such investments was not “qualifying income,” in which case the Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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.
51
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
October 31, 2020
10. OTHER MATTERS |
The Fund has adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Fund has changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Fund applied the amendments on a modified retrospective basis beginning with the fiscal period ended October 31, 2020. This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total distributable earnings (loss) or the net asset value of the Fund.
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. As of the end of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
Effective after the close of business on October 15, 2020, Cayman Commodity - MMA IV, Ltd was converted to and renamed Cayman Commodity - MMA IV, LLC.
11. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
52
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi-Manager Alternatives Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 204,196 | $ | 2,141,779 | 322,978 | $ | 3,321,374 | ||||||||||
Reinvestment of distributions | 5,757 | 60,446 | — | — | ||||||||||||
Shares redeemed | (558,490 | ) | (5,834,302 | ) | (1,156,192 | ) | (11,773,524 | ) | ||||||||
(348,537 | ) | (3,632,077 | ) | (833,214 | ) | (8,452,150 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 11,219 | 115,274 | 81,656 | 788,264 | ||||||||||||
Shares redeemed | (275,915 | ) | (2,787,609 | ) | (606,788 | ) | (5,938,672 | ) | ||||||||
(264,696 | ) | (2,672,335 | ) | (525,132 | ) | (5,150,408 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 4,199,992 | 43,241,517 | 5,084,316 | 51,745,429 | ||||||||||||
Reinvestment of distributions | 147,670 | 1,563,829 | — | — | ||||||||||||
Shares redeemed | (13,067,106 | ) | (138,325,307 | ) | (26,305,071 | ) | (270,636,930 | ) | ||||||||
(8,719,444 | ) | (93,519,961 | ) | (21,220,755 | ) | (218,891,501 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 92,086 | 979,916 | 331,338 | 3,400,610 | ||||||||||||
Reinvestment of distributions | 11,177 | 117,806 | — | — | ||||||||||||
Shares redeemed | (344,523 | ) | (3,664,483 | ) | (2,200,818 | ) | (22,172,449 | ) | ||||||||
(241,260 | ) | (2,566,761 | ) | (1,869,480 | ) | (18,771,839 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Reinvestment of distributions | 11 | 112 | — | — | ||||||||||||
11 | 112 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 14 | 143 | — | — | ||||||||||||
14 | 143 | — | — | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 600,313 | 6,371,356 | 307,174 | 3,192,060 | ||||||||||||
Reinvestment of distributions | 74,633 | 790,366 | — | — | ||||||||||||
Shares redeemed | (2,118,788 | ) | (22,231,331 | ) | (4,244,846 | ) | (43,314,898 | ) | ||||||||
(1,443,842 | ) | (15,069,609 | ) | (3,937,672 | ) | (40,122,838 | ) | |||||||||
NET DECREASE | (11,017,754 | ) | $ | (117,460,488 | ) | (28,386,253 | ) | $ | (291,388,736 | ) |
53
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust II and Shareholders of
Goldman Sachs Multi-Manager Alternatives Fund
Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Goldman Sachs Multi-Manager Alternatives Fund and its subsidiary (one of the funds constituting Goldman Sachs Trust II, referred to hereafter as the “Fund”) as of October 31, 2020, the related consolidated statement of operations for the year ended October 31, 2020, the consolidated statements of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2020 and the consolidated financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
54
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Fund Expenses — Six Month Period Ended October 31, 2020 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P Shares of the Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Investor, Class R6, Class R or Class P Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2020 through October 31, 2020, which represents a period of 184 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 ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. 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.
Multi- Manager Alternatives Fund | ||||||||||||
Share Class | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.90 | $ | 10.94 | ||||||
Hypothetical 5% return | 1,000.00 | 1,014.38 | + | 10.84 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,029.10 | 14.69 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,010.66 | + | 14.56 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,035.50 | 9.31 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.99 | + | 9.22 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,034.70 | 9.62 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.69 | + | 9.53 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,034.50 | 9.26 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,016.04 | + | 9.17 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,031.40 | 12.15 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,013.17 | + | 12.04 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,034.50 | 9.26 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,016.04 | + | 9.17 |
+ | 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 October 31, 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 | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||
Multi-Manager Alternatives Fund | 2.01 | % | 2.76 | % | 1.68 | % | 1.77 | % | 1.70 | % | 2.27 | % | 1.68 | % |
55
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited)
Background
The Goldman Sachs Multi-Manager Alternatives Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust II (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. The Fund employs a “manager of managers” structure, whereby Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) is responsible for selecting sub-advisers (subject to Board approval), allocating the Fund’s assets among them, and overseeing their day-to-day management of Fund assets. The Board determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with the Investment Adviser on behalf of the Fund.
The Management Agreement was most recently approved for continuation until August 31, 2021 by the Board, 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 August 10-11, 2020 (the “Annual Meeting”). At the Annual Meeting, the Board also considered the sub-advisory agreements (each a “Designated Sub-Advisory Agreement” and, together with the Management Agreement, the “Agreements”) between the Investment Adviser and each of Algert Global LLC, Ares Capital Management II LLC, Artisan Partners Limited Partnership, Bardin Hill Arbitrage IC Management LP, Brigade Capital Management, LP, Crabel Capital Management, LLC, First Pacific Advisors, LLC, GQG Partners LLC, Marathon Asset Management, L.P., River Canyon Fund Management LLC, Russell Investments Commodity Advisor, LLC, Sirios Capital Management, L.P., and Wellington Management Company LLP (each a “Designated Sub-Adviser” and collectively, the “Designated Sub-Advisers”).
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 five 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 and the Designated Sub-Advisory Agreements 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, and the Designated Sub-Advisers, including, as applicable, information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and the Designated Sub-Advisers and the Designated Sub-Advisers’ 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”), benchmark performance indices, and commingled investment vehicles with comparable investment strategies managed by the Investment Adviser, as well as 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 |
56
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
(iii) | comparative information on the advisory fees charged and services provided by the Investment Adviser to certain collective investment vehicles that it manages with comparable investment strategies; |
(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, 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, 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) | with respect to the Investment Adviser, portfolio manager ownership of Fund shares and the manner in which portfolio manager compensation is determined; information on the Designated Sub-Advisers’ compensation arrangements; and the number and types of accounts managed by the portfolio managers; |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (as well as the Designated Sub-Advisers), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the services provided under the Management Agreement; and |
(n) | the Investment Adviser’s and Designated Sub-Advisers’ processes and policies addressing various types of potential conflicts of interest; their approaches 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 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 Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Fund and the respective services of the Investment Adviser and its affiliates, and the Designated Sub-Advisers. 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. In addition, the Trustees periodically received written materials and oral presentations from the Designated Sub-Advisers. 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. The Trustees reviewed a written response prepared by each Designated Sub-Adviser to a similar request for information submitted to the Designated Sub-Adviser by the Investment Adviser. 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. They also recalled presentations received during the past year, which described portfolio management changes for the Fund. 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
57
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
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. In addition, the Trustees reviewed the Sub-Adviser oversight process that the Investment Adviser had employed, which included areas such as investment analytics, risk management and compliance.
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, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider. 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 considered the Investment Adviser’s representations that the Fund had significant differences from its Outside Data Provider peer group and benchmark index that caused them to be imperfect bases for comparison. The Trustees also compared the investment performance of the Fund to the performance of comparable unregistered funds for which the Investment Adviser also serves as investment adviser. They considered that the unregistered funds provide an imperfect performance comparison because they are not subject to the requirements of the Investment Company Act of 1940, as amended.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and the Sub-Advisers’ 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 second quartile of the Fund’s performance peer group for the one-year period and the third quartile for the three-year period, and had underperformed the Fund’s U.S. Treasury-based benchmark index for the one-year period ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement, the fee rates payable by the Fund thereunder, and the net amount retained by the Investment Adviser after payment of sub-advisory fees. 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 the analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund, as well as additional information provided by the Investment Adviser throughout the year. 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 also considered comparative fee information for services provided by the Investment Adviser to collective investment vehicles having investment objectives and policies similar to those of the Fund. They also noted that, in some cases, these collective investment vehicles have a compensation structure that includes performance fees and also pay additional asset-based fees and performance fees to the managers of underlying hedge funds. The Trustees considered that services provided to the Fund differed in various significant respects from the services provided to these collective investment vehicles, which generally operated under less stringent regulatory and financial reporting requirements, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-sensitive. The Trustees concluded that the comparisons provided by the Outside Data Provider and the Investment Adviser were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
The Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the aggregate management fees paid to the Investment Adviser as the investment adviser to the Fund’s wholly-owned subsidiaries.
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.
58
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
The Investment Adviser’s 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:
Average Daily Net Assets | Management Fee Annual Rate | |||
First $2 billion | 1.90 | % | ||
Next $3 billion | 1.80 | % | ||
Next $3 billion | 1.71 | % | ||
Over $8 billion | 1.68% |
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. The Trustees also considered the relationship between the advisory and sub-advisory fee rate schedules. 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, 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 transactions (in its capacity as clearing broker) and futures transactions on behalf of the Fund; (c) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of the Investment Adviser’s 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) the Investment Adviser’s ability to negotiate better pricing with the Fund’s custodian on behalf of its other clients, as a result of the relationship with the Fund; (g) 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; (h) the investment in exchange-traded funds (“ETFs”) manged by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the investment Adviser’s ETF advisory business; and (i) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers (including the Sub-Advisers) 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) enhanced servicing from vendors due to the volume of business generated by the Investment
59
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
Adviser and its affiliates; (b) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (c) 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; (d) 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 (e) access to certain affiliated distribution channels.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the investment management fees paid by the Fund were reasonable in light of the factors considered, and that the Management Agreement, and the terms thereof, should be approved and continued with respect to the Fund until August 31, 2021.
Designated Sub-Advisory Agreements
Nature, Extent, and Quality of the Services Provided Under the Designated Sub-Advisory Agreements and Performance
In evaluating the Designated Sub-Advisory Agreements, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and the Designated Sub-Advisers. In evaluating the nature, extent, and quality of services provided by each Designated Sub-Adviser, the Trustees considered information on the services provided to the Fund by each Designated Sub-Adviser, including information about each Designated Sub-Adviser’s (a) personnel and compensation structure; (b) track record in managing the Fund and, if applicable, other funds and/or accounts with investment strategies similar to those employed on behalf of the Fund; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. In this regard, they also considered assessments provided by the Investment Adviser of each Designated Sub-Adviser, the Designated Sub-Adviser’s investment strategies and personnel, and its compliance program. The Trustees also considered information regarding each Designated Sub-Adviser’s business continuity planning and remote operations in the current environment. The Trustees also reviewed the operations and investment performance of each Designated Sub-Adviser’s respective sleeve of the Fund since its inception, including a comparison of each Designated Sub-Adviser to relevant benchmark indices based on various metrics, including realized beta, excess return, alpha, and volatility.
Costs of Services Provided
The Trustees reviewed the terms of each Designated Sub-Advisory Agreement, including the schedule of fees payable to the Designated Sub-Advisers. They considered any breakpoints in the sub-advisory fee rate payable under each Designated Sub-Advisory Agreement. The Trustees noted that the compensation paid to each Designated Sub-Adviser is paid by the Investment Adviser, not by the Fund, and that the retention of the Designated Sub-Advisers does not directly 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 significant differences in cost drivers and risks associated with the respective services offered by the Investment Adviser and each Designated Sub-Adviser. They also considered the management fee waivers and expense limitations that substantially reduce the fees retained by the Investment Adviser. The Trustees considered that certain Designated Sub-Advisers had agreed to reduce their sub-advisory fee rate. The Trustees reviewed the blended average of all sub-advisory fees paid by the Investment Adviser with respect to the Fund in light of the overall management fee paid by the Fund.
Conclusion
In connection with their consideration of the Designated Sub-Advisory Agreements, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees paid by the Investment Adviser to each Designated Sub-Adviser were reasonable in light of the factors considered, and that each Designated Sub-Advisory Agreement should be approved and continued until August 31, 2021.
60
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Cheryl K. Beebe Age: 64 | Chair of the Board of Trustees | Since 2017 (Trustee since 2015) | Ms. Beebe is retired. She is Director, Packaging Corporation of America (2008-Present); Director, The Mosaic Company (2019-Present); and was formerly Director, Convergys Corporation (a global leader in customer experience outsourcing) (2015-2018); and formerly held the position of Executive Vice President, (2010-2014); and Chief Financial Officer, Ingredion, Inc. (a leading global ingredient solutions company) (2004-2014).
Chair of the Board of Trustees — Goldman Sachs Trust II. | 19 | Packaging Corporation of America (producer of container board); The Mosaic Company (producer of phosphate and potash fertilizer) | |||||
Lawrence Hughes Age: 62 | Trustee | Since 2016 | Mr. Hughes is retired. Formerly, he held senior management positions with BNY Mellon Wealth Management, a division of The Bank of New York Mellon Corporation (a financial services company) (1991-2015), most recently as Chief Executive Officer (2010-2015). He serves as a Member of the Board of Directors, (2012-Present) and formerly served as Chairman (2012-2019), Ellis Memorial and Eldredge House (a not-for-profit organization). Previously, Mr. Hughes served as an Advisory Board Member of Goldman Sachs Trust II (February 2016-April 2016).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
John F. Killian Age: 65 | Trustee | Since 2015 | Mr. Killian is retired. He is Director, Consolidated Edison, Inc. (2007-Present); Director, Houghton Mifflin Harcourt Publishing Company (2011-Present); and formerly held senior management positions with Verizon Communications, Inc., including Executive Vice President and Chief Financial Officer (2009-2010); and President, Verizon Business, Verizon Communications, Inc. (2005-2009).
Trustee — Goldman Sachs Trust II. | 19 | Consolidated Edison, Inc. (a utility holding company); Houghton Mifflin Harcourt Publishing Company | |||||
Steven D. Krichmar Age: 62 | Trustee | Since 2018 | Mr. Krichmar is retired. Formerly, he held senior management and governance positions with Putnam Investments, LLC, a financial services company (2001-2016). He was most recently Chief of Operations and a member of the Operating Committee of Putnam Investments, LLC and Principal Financial Officer of The Putnam Funds. Previously, Mr. Krichmar served as an Audit Partner with PricewaterhouseCoopers LLP and its predecessor company (1990-2001).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
61
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | President and Trustee | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 170 | None | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. He holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2020. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2020, Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
62
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 58 | Trustee and President | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust II; Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 52 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer Since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of October 31, 2020. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Multi-Manager Alternatives Fund — Tax Information (Unaudited)
For the year ended October 31, 2020, 54.66% of the dividends paid from net investment company taxable income by the Goldman Sachs Multi-Manager Alternatives Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
For the year ended October 31, 2020, 24.91% of the dividends paid from net investment company taxable income by the Goldman Sachs Multi-Manager Alternatives Fund qualify for the dividends received deduction available to corporations.
63
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.86 trillion in assets under supervision as of September 30, 2020, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
∎ | Financial Square Treasury Solutions Fund1 |
∎ | Financial Square Government Fund1 |
∎ | Financial Square Money Market Fund2 |
∎ | Financial Square Prime Obligations Fund2 |
∎ | Financial Square Treasury Instruments Fund1 |
∎ | Financial Square Treasury Obligations Fund1 |
∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ | Investor Money Market Fund3 |
∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund4 |
∎ | Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Municipal Income Completion Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
∎ | Defensive Equity Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund6 |
∎ | Emerging Markets Equity Fund |
∎ | Imprint Emerging Markets Opportunities Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund7 |
�� | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income Fund |
∎ | Multi-Manager U.S. Dynamic Equity Fund |
∎ | Multi-Manager Global Equity Fund |
∎ | Multi-Manager International Equity Fund |
∎ | Tactical Tilt Overlay Fund |
∎ | Balanced Strategy Portfolio |
∎ | Multi-Manager U.S. Small Cap Equity Fund |
∎ | Multi-Manager Real Assets Strategy Fund |
∎ | Growth and Income Strategy Portfolio |
∎ | Growth Strategy Portfolio |
∎ | Dynamic Global Equity Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio8 |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close of business on August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
7 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
8 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Cheryl K. Beebe, Chair Lawrence Hughes John F. Killian Steven D. Krichmar James A. McNamara | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Fund will file its portfolio holdings for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are unaudited, and may not be representative of current or future investments. Fund holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. 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.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. Past correlations are not indicative of future correlations, which may vary.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail –1-800-526-7384) (institutional – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 224949-OTU-1321585 MMALTAR-20
Goldman Sachs Funds
Annual Report | October 31, 2020 | |||
Strategic Multi-Asset Class Funds | ||||
Multi-Manager Global Equity | ||||
Multi-Manager Non-Core Fixed Income | ||||
Multi-Manager Real Assets Strategy |
It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund 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 a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Strategic
Multi-Asset Class Funds
∎ | MULTI-MANAGER GLOBAL EQUITY |
∎ | MULTI-MANAGER NON-CORE FIXED INCOME |
∎ | MULTI-MANAGER REAL ASSETS STRATEGY |
1 | ||||
3 | ||||
22 | ||||
73 | ||||
77 | ||||
77 | ||||
78 | ||||
79 | ||||
80 | ||||
98 | ||||
99 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Strategic Multi-Asset Class Funds
Market Review
The capital markets produced mixed results during the 12 months ended October 31, 2020 (the “Reporting Period”), with the major influences being the spread of COVID-19, a contraction in global economic growth and historic monetary stimulus by central banks and governments around the world.
In the global equity markets, the first half of the Reporting Period was notable for its stark contrasts — 2019 ended with a strong rally and 2020 started with the onset of the COVID-19 pandemic, leading to a sharp sell-off. The economic concerns associated with COVID-19 caused global equities, represented by the MSCI All Country World Index Investable Market Index, to fall more than 30% between February 20, 2020 and March 23, 2020. Investors anticipated a severe contraction in global Gross Domestic Product (“GDP”), as governments around the world implemented lockdown measures and economic activity came to a virtual halt. For the first quarter of 2020, U.S. real GDP decreased at an annualized rate of 5%, marking the end of the longest economic expansion (128 months) on record and the first economic downturn since end of the last recession in 2009. The second half of the Reporting Period was also a time of contrasts, with a continued rally in the global equity markets during the first four months and a dramatic pullback during the last two months. Risk assets initially found support in unprecedented monetary policy easing and fiscal stimulus, which propelled global equities up more than 10% during April 2020 alone. Investors generally focused on their expectations for a U.S. economic recovery, despite the news that U.S. real GDP fell more than 31%, annualized, during the second quarter of 2020. Most economists anticipated the U.S. recession would be deep but also exceptionally short, as states reopened and economic activity resumed. Indeed, during the third calendar quarter, U.S. real GDP increased more than 33%, annualized. Global equities rallied approximately 20% from May through August 2020, completing a sharp rebound from their lows on March 23rd. However, in September and October, global equity markets pulled back as risk-off investor sentiment, or reduced risk appetite, increased due to an acceleration in COVID-19 infections across the U.S. and Europe and because of rising uncertainty surrounding the then-upcoming U.S. presidential election. Major European countries implemented further lockdown measures after experiencing another wave of infections, though the measures announced were less severe than those applied during February and March. For the Reporting Period overall, global equities were up more than 4%, driven by positive performance across U.S. and emerging markets equities. European and Asia Pacific ex-Japan equities recorded negative returns. From a sector perspective, information technology and consumer discretionary stocks were notably strong performers, while energy and financials stocks were the laggards during the Reporting Period.
Credit markets broadly rallied during the first three months of the Reporting Period. The rally was driven by improved investor sentiment about U.S. and China trade relations, global economic growth, Brexit, and the health of the consumer balance sheet. (Brexit refers to the U.K.’s exit from the European Union.) Investor sentiment deteriorated in March 2020, following the trend that began in February, with the global spread of COVID-19 and government-mandated shutdowns driving a steep sell-off in the credit markets. In response to the pandemic, the U.S. Federal Reserve (“Fed”) and the U.S. federal government, as well as other central banks and governments around the world, announced emergency monetary and fiscal measures to help support the global economy. As a result of these actions, the credit markets largely recovered during the second and third quarters of 2020, with the initial rebound led by higher quality securities and by issuers less affected by COVID-19. Investment grade corporate bonds outperformed nearly all other major fixed income sectors during the Reporting Period as a whole, as the longer duration profile of investment grade corporate bonds benefited from declining interest rates and tightening credit spreads following widening in March 2020. (Duration is a measure of bonds’ sensitivity to changes in interest rates. Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) Toward the end of the Reporting Period, high yield corporate bonds and leveraged loans outperformed the broader fixed income market, as investors’ appetite for risk assets increased. During the Reporting Period overall, emerging markets debt, primarily local currency-denominated bonds, lagged other fixed income asset classes, largely due to investors’ concerns about COVID-19 cases in emerging countries but also because of the limited amount of available fiscal and monetary support in certain countries. Within the emerging markets, investment grade sovereign bonds significantly outperformed lower rated sovereign bonds during the Reporting Period.
Global real estate securities declined during the Reporting Period overall and underperformed the broader global equity markets. Real estate markets faced significant pressure in the first quarter of 2020 as the COVID-19 pandemic spread, economies shut down around the world, and social distancing measures were enacted. Property types such as offices, malls, shopping centers, hotels and student housing, which generally rely on bringing people together, were the weakest performers. Health care real estate investment
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MARKET REVIEW
trusts (“REITs”), particularly senior housing REITs, also performed poorly given the restrictive circumstances of the COVID-19 crisis. Conversely, property types perceived as more insulated from social distancing measures or those that might experience increased demand, such as industrial properties, single-family housing rentals, data centers and self-storage REITs, generally fared better. Global real estate securities rallied during the second calendar quarter and recovered some of their losses by the end of the Reporting Period, but the rebound was modest and trailed that of the broader equity markets. During the Reporting Period overall, there was significant dispersion and volatility across property types and regions driven by uncertainty and developments around COVID-19. The strongest performing property types were data center, industrial, and storage REITs and the weakest performing property types were mall, shopping center, and hotel REITs. Regionally, North American real estate securities performed the worst during the Reporting Period overall, while European real estate securities performed the best.
Global infrastructure securities retreated during the Reporting Period, with positive performance from November 2019 through January 2020 weighed down by the broad-based COVID-19 related sell-off in risk assets during February and March. Global infrastructure securities generally performed in line with global equities during that sell-off but lagged during the rebound amid significant multiples expansion in higher growth companies. Elevated industry-level dispersion resulted from the COVID-19 pandemic, which disproportionately harmed business models reliant on travel (e.g., airports and passenger rails) and supported digitally-oriented infrastructure assets (e.g., cell towers and data centers in the U.S. and Europe) as pre-existing demand tailwinds were pulled forward during government-mandated shutdowns. Midstream energy was an area of significant pain, with one widely-watched midstream energy index losing more than half of its value from peak to trough. The losses were particularly acute among midstream energy companies that had levered balance sheets and more commodity-sensitive business segments. (The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e., energy producers, and the demand side, i.e., energy end-users, for any type of energy commodity. Such midstream businesses can include, but are not limited to, those that process, store, market and transport various energy commodities.) Utilities fell in lockstep with global equities and trailed during the recovery despite stable demand from residential customers and regulated revenue stabilizers. Regionally, infrastructure securities in Europe (ex-U.K.) and Asia (ex-Japan) experienced the most meaningful declines in their market prices during the Reporting Period overall. Smaller emerging markets regions (e.g., those in Latin America and Asia) also experienced notable declines, though they constitute a much smaller portion of the investable universe. North American infrastructure securities posted negative returns but were more resilient than those of Europe and Asia. U.K. and Japanese infrastructure securities generated moderately positive returns during the Reporting Period.
Looking Ahead
The U.S. elections and the COVID-19 crisis dominated the headlines for much of 2020, and at the end of the Reporting Period, investors remained focused on the outcome of the then-upcoming U.S. presidential election as well as on uncertainties around vaccine timelines. The outperformance of growth stocks versus value stocks was another area of focus, with some investors reducing their exposure to the information technology sector as well as to growth stocks broadly in advance of the U.S. elections. These moves were partly driven by valuations and the desire to take profits, but some of the proceeds were redeployed into cyclical stocks, which had been out of favor for much of 2020, in anticipation that a change at the White House could lead to significant fiscal stimulus.
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PORTFOLIO RESULTS
Goldman Sachs Multi-Manager
Global Equity Fund
Investment Objective
The Fund seeks to provide long-term capital growth.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions (“GPS”) and Alternative Investments & Manager Selection (“AIMS”) Groups discuss the Goldman Sachs Multi-Manager Global Equity Fund’s (the “Fund”) performance and positioning for 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class R6 Shares generated an average annual total return of 2.60%. This return compares to the 4.16% average annual total return of the Fund’s benchmark, the MSCI All Country World Index Investable Market Index (“MSCI ACWI IMI”) (Net, USD, 50% Non-U.S. Developed Hedged to USD) (the “Index”), during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund uses a multi-manager approach and generally seeks to achieve its investment objective by dynamically allocating its assets among unaffiliated investment managers (“Underlying Managers”) that employ a mix of international, global and U.S.-focused equity investment strategies. The GPS Group is responsible for the Fund’s asset allocation, wherein it applies a risk-based approach that draws from both fundamental and quantitative disciplines with the intention of dynamically accessing a diversified set of risks and returns in a market cycle aware manner. The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers and applying a multifaceted process for manager due diligence, portfolio construction and risk management. The GPS Group also provides certain risk management services to the Fund. |
During the Reporting Period, the Fund generated a positive absolute return but underperformed the Index. The Fund’s relative underperformance can be attributed to the performance of the Fund’s Underlying Managers overall. Strategic asset allocation also underperformed the Index during the Reporting Period. |
At various points during the Reporting Period, the Fund had capital allocated to 13 Underlying Managers — Axiom International Investors LLC (“Axiom”); Boston Partners Global Investors, Inc. (“Boston Partners”), Causeway Capital Management LLC (“Causeway”), DWS Investment Management Americas, Inc. (“DIMA”), GW&K Investment Management, LLC (“GW&K”), Legal & General Investment Management America, Inc. (“LGIMA”), Massachusetts Financial Services Company, doing business as MFS Investment Management, (“MFS”), Principal Global Investors, LLC (“Principal”), QMA LLC (“QMA”); Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”), Vulcan Value Partners, LLC (“Vulcan”), WCM Investment Management (“WCM”) and Wellington Management Company LLP (“Wellington”). |
These 13 Underlying Managers represented five market segments across global equity as part of the Fund’s top-level strategy allocation — U.S. large cap (QMA, Vaughan Nelson and Vulcan); Europe, Australasia and Far East (“EAFE”) large cap (Causeway, MFS and WCM); U.S. small cap (Boston Partners and GW&K); EAFE small cap (Principal); and emerging markets (Axiom and Wellington). LGIMA managed a diversified beta strategy from the beginning of the Reporting Period until May 21, 2020, when it was fully redeemed and removed as an Underlying Manager of the Fund. DIMA began managing a diversified beta strategy for the Fund during December 2019 and continued to manage it through the end of the Reporting Period. |
Of the 10 Underlying Managers with allocated capital for the entire Reporting Period, six generated positive absolute returns and four recorded negative absolute returns. Axiom generated a positive absolute return between May 6, 2020, when it was allocated capital as an Underlying Manager of the Fund, through the end of the Reporting Period. LGIMA generated negative absolute returns between the beginning of |
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PORTFOLIO RESULTS
the Reporting Period until May 21, 2020 when it was removed as an Underlying Manager of the Fund. DIMA generated negative absolute returns between December 17, 2019, when it was allocated capital as an Underlying Manager of the Fund, and the end of the Reporting Period. |
On a relative basis, seven Underlying Managers underperformed their respective benchmark indices and three outperformed their respective benchmark indices during the Reporting Period. Underlying Manager Axiom outperformed its benchmark index between May 6, 2020, when it was allocated capital, and the end of the Reporting Period. LGIMA underperformed its benchmark index between the beginning of the Reporting Period and May 21, 2020 when it was fully redeemed and removed as an Underlying Manager for the Fund. DIMA modestly underperformed its benchmark index between December 17, 2019, when it was allocated capital as an Underlying Manager of the Fund, and the end of the Reporting Period. |
During the Reporting Period, the GPS Group managed a passive currency overlay, which is designed to hedge exposure to non-U.S. currencies by selling the currencies in which the Fund’s equity securities are traded and investing in the U.S. dollar. The currency overlay seeks to minimize unintended currency exposures for the Fund. Also, in connection with the risk management services it provides, the GPS Group maintained passive equity exposure to the Fund in order to keep the Fund’s beta closer to that of the Index. (Beta refers to the component of the returns that is attributable market risk exposure, rather than manager skill.) |
As mentioned earlier, the Fund’s performance relative to the Index was driven mainly by manager selection, which detracted from returns overall during the Reporting Period. The most significant underperformance came from Underlying Managers with a value bias, including U.S. large-cap manager QMA, which lagged the S&P 500® Index; U.S. small-cap value manager Boston Partners, which underperformed the Russell 2000® Value Index; international value manager Causeway, which trailed the MSCI EAFE Index; and emerging markets manager Wellington, which underperformed the MSCI Emerging Markets Index. These negative results were partially offset by Underlying Managers that were generally growth or core oriented, including EAFE large-cap manager WCM, which outperformed the MSCI ACWI ex-U.S. Index; EAFE large-cap manager MFS, which outperformed the MSCI EAFE Index; and U.S. small-cap manager GW&K, which outperformed the Russell 2000® Index. |
Strategic asset allocation, which reflects a longer-term perspective to diversify and invest across global equity markets, underperformed the Index during the Reporting Period. The underperformance was driven by the Fund’s underweight allocation versus the Index to U.S. large-cap equities and by its overweight allocation to U.S. and EAFE small-cap equities. The Fund’s underweight in U.S. large-cap equities relative to its overweight in EAFE large-cap equities detracted from performance, as U.S. large-cap equities outperformed EAFE large-cap equities driven by positive news in November and December 2019 about a U.S.-China trade deal and subsequently by a faster and stronger than market expected recovery in U.S. economic conditions following COVID-19-related lockdowns. U.S. large-cap equities also benefited from the U.S. Federal Reserve’s (“Fed”) accommodative monetary policies and the U.S. federal government’s fiscal support, along with a strong rally in the stocks of mega-sized U.S. information technology corporations. The Fund’s overweight allocation to U.S. and EAFE small-cap stocks hurt performance given that many small-cap companies were more severely affected by the COVID-19 pandemic than were large-cap companies during the Reporting Period. |
Q | Which global equity asset classes most significantly affected Fund performance? |
A | In U.S. large cap, which we measure relative to the S&P 500® Index, Underlying Manager QMA underperformed the benchmark index primarily due to its exposure to the value factor. Exposure to the quality and growth factors helped pare these losses. Underlying Manager Vulcan lagged the benchmark index as a result of weak stock selection in the consumer discretionary and industrials sectors. As for Underlying Manager Vaughan Nelson, it slightly underperformed the benchmark index mainly because of poor stock selection in energy. Lack of exposure to certain information technology stocks also hurt its relative returns. |
In U.S. small cap, Boston Partners, the value-oriented Underlying Manager, underperformed the Russell 2000® Value Index because of poor stock selection within the financials and consumer staples sectors. GW&K outperformed the Russell 2000® Index due to an overweight position and stock selection in the information technology sector, with a particularly notable contribution from software stocks. In addition, GW&K benefited from its orientation toward U.S. small-cap stocks that were slightly larger than those held by the Russell 2000® Index. |
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PORTFOLIO RESULTS
In EAFE large cap, Underlying Manager WCM outperformed its benchmark index, the MSCI ACWI ex-U.S. Index, due to strong security selection within the information technology and industrials sectors. Underlying Manager MFS outperformed its benchmark index, the MSCI EAFE Index, partly because of an overweight position and stock selection in the industrials sector. Regionally, an allocation to and stock selection within the emerging markets also added to its relative performance. Underlying Manager Causeway underperformed its benchmark index, the MSCI EAFE Index, as a result of poor stock selection in the financials and health care sectors. |
In EAFE small cap, Underlying Manager Principal underperformed its benchmark index, the MSCI World ex-U.S. Small Cap Index, because of weak stock selection within the industrials and health care sectors. On a regional basis, stock selection in continental Europe and Japan was a drag on relative returns. |
In emerging markets, which we measure relative to the MSCI Emerging Markets Index, Underlying Manager Wellington underperformed, mostly due to its exposure to quality and value factors. These negative results were offset somewhat by exposure to the momentum factor and a tilt toward smaller market capitalization companies, which helped. Underlying Manager Axiom outperformed the benchmark index between May 6, 2020, when it was allocated capital as an Underlying Manager of the Fund, and the end of the Reporting Period. Its positive returns were driven by an overweight position and strong stock selection within the consumer discretionary sector as well as by effective stock selection in the communication services sector. |
Diversified beta manager DIMA slightly underperformed its benchmark index, the MSCI World Index, between December 17, 2019, when it was allocated assets as an Underlying Manager of the Fund, and the end of the Reporting Period. Its modest underperformance was driven primarily by exposure to value and size factors, offset somewhat by exposure to momentum and quality factors, which boosted results. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, the GPS Group managed a passive currency overlay that sought to minimize unintended currency exposures for the Fund. As part of this currency overlay, the GPS Group used currency forwards, which had a negative impact on performance. The GPS Group also used equity futures within the Fund’s U.S. large-cap equity allocation in an effort to maintain target exposure relative to the Index and to facilitate the capital required for the currency overlay. This had a positive impact on the Fund’s performance. Underlying Managers LGIMA and QMA used equity index futures to manage exposure and tracking error relative to their respective benchmark indices during certain market events, such as dividend accrual periods or small corporate actions. The use of equity index futures had a positive impact on the Fund’s performance. Other Underlying Managers employed rights and warrants to implement their strategies. The use of warrants and rights did not have a material impact on the Fund’s performance during the Reporting Period overall. |
Q | Were there any notable changes in the Fund’s allocations during the Reporting Period? |
A | In December 2019, we reduced the Fund’s allocation to LGIMA based on our concerns about that Underlying Manager’s index portfolio construction methodology, which took what we considered a simplistic approach to certain factors such as value and did not explicitly target additional factors such as quality. During May 2020, LGIMA was fully redeemed and no longer served as an Underlying Manager of the Fund. |
DIMA, which had been added as an Underlying Manager of the Fund in August 2018, was allocated capital in December 2019. DIMA seeks to passively replicate the FTSE Developed 0.4 Target Exposure Comprehensive Factor Index by investing in all or a sub-set of the securities with the goal of maximizing exposure to five factors — Value, Momentum, Quality, Small Size and Low Volatility — while maintaining a risk profile similar to that of the underlying market cap-weighted parent index. DIMA was funded to fulfill approximately 50% of the Fund’s diversified beta allocation given the reduction and subsequent redemption of LGIMA as an Underlying Manager of the Fund. |
In February 2020, Axiom was added as an Underlying Manager of the Fund and was allocated capital in May. Axiom manages an emerging markets equity strategy, using a bottom-up, growth-oriented investment discipline that relies on detailed fundamental stock analysis to identify companies that are improving more quickly than generally expected. We believe Axiom’s growth-oriented investment philosophy will complement the value investment style of Underlying Manager Wellington, which also manages an emerging markets allocation. In addition to providing balance from a style factor perspective, we believe Axiom’s |
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PORTFOLIO RESULTS
qualitative investment approach contrasts with Wellington’s systematic, factor-based investment methodology. The pairing of the two managers should allow the Fund to achieve diversified, balanced exposure to emerging market equities, in our view. |
In May 2020, we added Fund positions in the iShares® Edge MSCI Multifactor USA ETF and the iShares® Edge MSCI Multifactor International ETF. The combination of the two ETFs aims to passively replicate the exposure of the MSCI World Diversified Multi-Factor Index by investing in all or a sub-set of the securities with the goal of maximizing exposure to four factors — Value, Momentum, Quality and Low Size — while maintaining a risk profile similar to that of the underlying market cap-weighted parent index. The two ETFs were added to the Fund to fulfill approximately 50% of the Fund’s diversified beta allocation given the redemption of LGIMA as an Underlying Manager of the Fund. |
Regarding the Fund’s strategic asset allocation, the Fund’s assets were allocated at the beginning of the Reporting Period 47.6% to U.S. large cap, 27.7% to EAFE large cap, 6.4% to U.S. small cap, 4.8% to EAFE small cap and 14.0% to emerging markets, with the remainder in cash and cash equivalents. At the end of the Reporting Period, the Fund’s assets were allocated 46.2% to U.S. large cap, 29.6% to EAFE large cap, 6.4% to U.S. small cap, 4.8% to EAFE small cap and 12.7% to emerging markets, with the remainder in cash and cash equivalents. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Neill Nuttall, Kate El-Hillow and Betsy Gorton. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | Overall, we intend to continue to position the Fund in alignment with our longer-term strategic views within the equity complex as a complement to additional strategic market exposures. We further intend to continue to monitor allocations and Underlying Manager performance as we seek to generate long-term capital growth. |
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PORTFOLIO RESULTS
Index Definitions
MSCI All Country World Index Investable Market Index captures large- and mid-cap representation across 23 developed markets and 26 emerging markets countries.
MSCI Emerging Markets Index captures large-cap and mid-cap representation across 26 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
S&P 500® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.
Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics.
MSCI ACWI ex-U.S. Index captures large and mid cap representation across 22 of 23 developed markets countries (excluding the U.S.) and 26 emerging markets countries. With 2,217 constituents, the index covers approximately 85% of the global equity opportunity set outside the U.S.
MSCI EAFE Index is a stock market index that is designed to measure the equity market performance of developed markets in Europe, Australasia and the Far East, excluding the U.S. and Canada.
MSCI World ex-U.S. Small Cap Index is an unmanaged index maintained by MSCI and considered representative of small-cap stocks of global developed markets, excluding those of the U.S.
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.
MSCI World Diversified Multiple-Factor Index is based on the MSCI World Index, its parent index, which includes large and mid-cap stocks across 23 developed markets countries. The index aims to maximize exposure to four factors — Value, Momentum, Quality and Low Size — while maintaining a risk profile similar to that of the underlying parent index.
FTSE Developed 0.4 Target Exposure Comprehensive Factor Index is a benchmark designed to maintain a constant level of targeted active factor exposure against the FTSE Developed Index at review date, while minimizing off-target consequential exposures. The factors targeted are: Quality, Value, Momentum, Low Volatility and Size. These factors represent common factor characteristics for which there is a broad academic and practitioner consensus, supported by a body of empirical evidence across different geographies and time periods. The index also seeks to maintain industry and country neutrality.
FTSE Developed Index is a market-capitalization weighted index representing the performance of large- and mid-cap companies in developed markets.
It is not possible to invest directly in an unmanaged index.
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FUND BASICS
Multi-Manager Global Equity Fund
as of October 31, 2020
TOP TEN HOLDINGS AS OF 10/31/201,2 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
iShares MSCI USA Multifactor ETF | 3.7 | % | Exchange Traded Funds | |||||
Microsoft Corp. | 2.1 | Software | ||||||
iShares MSCI International Multifactor ETF | 2.0 | Exchange Traded Funds | ||||||
Amazon.com, Inc. | 1.8 | Internet & Direct Marketing Retail | ||||||
Facebook, Inc. Class A | 1.4 | Interactive Media & Services | ||||||
Tencent Holdings Ltd. | 1.2 | Interactive Media & Services | ||||||
Apple, Inc. | 1.1 | Technology Hardware, Storage & Peripherals | ||||||
Mastercard, Inc. Class A | 1.1 | IT Services | ||||||
Alibaba Group Holding Ltd. ADR | 1.0 | Internet & Direct Marketing Retail | ||||||
Texas Instruments, Inc. | 0.9 | Semiconductors & Semiconductor Equipment |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
2 | The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund, which represents approximately 7.4% of the Fund’s net assets as of 10/31/20. |
FUND COMPOSITION3 |
3 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. Underlying compositions of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
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GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Performance Summary
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on June 24, 2015 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI ACWI IMI (Net, USD, 50% Non-U.S. Developed Hedged to USD) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Multi-Manager Global Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from June 24, 2015 through October 31, 2020.
Average Annual Total Return through October 31, 2020 | One Year | Five Years | Since Inception | |||||||
Class R6 (Commenced June 24, 2015)* | 2.60% | 6.22% | 4.70% | |||||||
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* | Effective January 16, 2018, Institutional Shares were redesignated as Class R6 Shares. These returns assume reinvestment of all distributions at NAV. Because Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Returns. |
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PORTFOLIO RESULTS
Goldman Sachs Multi-Manager Non-Core Fixed Income Fund
Investment Objective
The Fund seeks a total return consisting of income and capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions (“GPS”) and the Goldman Sachs Alternative Investments & Manager Selection (“AIMS”) Groups discuss the Goldman Sachs Multi-Manager Non-Core Fixed Income Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class R6 Shares generated an average annual total return of 1.21%. This return compares to the 1.11% average annual total return of the Fund’s benchmark, the Multi-Manager Non-Core Fixed Income Composite Dynamic Index (the “Index”), during the same time period. |
The Index is comprised of the Bloomberg Barclays Global High Yield Corporate Index (Gross, USD, Unhedged) (the “Bloomberg Barclays Index”), the Credit Suisse Leveraged Loan Index (Gross, USD, Unhedged) (the “Credit Suisse Index”), the J.P. Morgan Emerging Market Bond Index (“EMBISM”) Global Diversified Index (Gross, USD, Unhedged) (the “J.P. Morgan EMBISM Index”) and the J.P. Morgan Government Bond Index — Emerging Markets (“GBI-EMSM”) Global Diversified Index (Gross, USD, Unhedged) (the “J.P. Morgan GBI-EMSM Index”), which are weighted in accordance with the relative market capitalizations of each constituent index (as determined by the constituent index providers) as of the last business day of the previous calendar year. During the Reporting Period, the Bloomberg Barclays Index, the Credit Suisse Index, the J.P. Morgan EMBISM Index and the J.P. Morgan GBI-EMSM Index returned 3.68%, 1.50%, 0.98% and -3.80%, respectively. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund uses a multi-manager approach and generally seeks to achieve its investment objective by dynamically allocating its assets among unaffiliated investment managers (“Underlying Managers”) that employ a non-core fixed income investment strategy. (Non-core fixed income includes non-investment grade securities, bank loans and emerging markets debt). The GPS Group is responsible for the Fund’s asset allocation, wherein it applies a risk-based approach that draws from both fundamental and quantitative disciplines with the intention of dynamically accessing a diversified set of risks and returns in a market cycle aware manner. The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers and applying a multifaceted process for manager due diligence, portfolio construction and risk management. |
During the Reporting Period, the Fund recorded a positive absolute return and outperformed the Index. The Fund’s relative outperformance can be attributed to the performance of the Underlying Managers overall. Strategic asset allocation also outperformed the Index during the Reporting Period. |
At various points during the Reporting Period, the Fund had seven Underlying Managers, though not all were allocated capital. The seven Underlying Managers were Ares Capital Management II LLC (“Ares”), BlueBay Asset Management LLP (“BlueBay”), Brigade Capital Management, LP (“Brigade”), Marathon Asset Management, L.P. (“Marathon”), River Canyon Fund Management LLC (“River Canyon”), Symphony Asset Management LLC (“Symphony”) and TCW Investment Management Company LLC (“TCW”). |
These seven Underlying Managers represented five sectors across non-core fixed income as part of the Fund’s top-level strategy allocation �� high yield (Ares, Blue Bay and Brigade), bank loans (Symphony), external emerging markets debt (Marathon), local emerging markets debt (TCW) and structured credit (River Canyon). |
Of the five Underlying Managers with allocated capital for the entire Reporting Period, three generated positive absolute |
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PORTFOLIO RESULTS
returns and two posted negative absolute returns. River Canyon recorded a positive absolute return between June 4, 2020, when it was allocated capital as an Underlying Manager of the Fund, and the end of the Reporting Period. Underlying Manager Ares did not have allocated capital during the Reporting Period. |
On a relative basis, three of the five Underlying Managers with allocated capital during the entire Reporting Period outperformed their respective benchmark indices and two underperformed its benchmark index. River Canyon underperformed its benchmark index between June 4, 2020, when it was allocated capital, and the end of the Reporting Period. |
Strategic asset allocation, which reflects a longer-term perspective to diversify and invest in non-core fixed income sectors, outperformed the Index during the Reporting Period. An overweight allocation versus the Index in high yield corporate bonds contributed positively, as high yield corporate bonds outperformed other fixed income sectors, including bank loans. High yield credit spreads (or yield differentials versus other bonds of comparable maturity) widened significantly during the first quarter of 2020, largely because of the COVID-19 pandemic, and then recovered during the second and third calendar quarters in the wake of strong financial support by global governments and central banks. Furthermore, the high yield corporate bond market saw record levels of new issuance. In addition, during the Reporting Period, the Fund benefited from its underweight allocation to local emerging markets debt, which generated negative returns due in part to the depreciation of emerging markets currencies. |
Q | Which non-core fixed income Underlying Managers most significantly affected Fund performance? |
A | Blue Bay, a high yield Underlying Manager, outperformed the ICE BofA Global High Yield Investment Grade Country Constrained Index during the Reporting Period largely because of strong selection within the banking, technology and electronics, telecommunications, and transportation market segments. Weak selection within financial services, in particular among aircraft leasing companies, somewhat offset these gains. |
Brigade, the other high yield Underlying Manager, outperformed the ICE BofA BB U.S. High Yield Constrained Index during the Reporting Period. Effective selection within the basic industry, health care, technology and financial market segments added to relative returns. These positive results were partly offset by weak selection within the energy market segment and an overweight to high yield corporate bonds rated CCC and lower, which detracted. |
Symphony, the bank loans Underlying Manager, underperformed the Credit Suisse Leveraged Loan Index during the Reporting Period. Poor selection within the energy, consumer staples and health care market segments detracted from relative performance. Strong credit selection within the utilities and consumer discretionary market segments, as well as among BB-rated credits, partially offset these negative results. |
Marathon, the external emerging markets debt Underlying Manager, outperformed the J.P. Morgan EMBISM Diversified Index during the Reporting Period. Main drivers of positive performance included positioning in Israel and country selection of Panama. Credit selection in the United Arab Emirates, Saudi Arabia and Brazil also contributed positively. Conversely, country selection of Venezuela, Belarus and Lebanon detracted from relative returns. |
TCW, the local emerging markets debt Underlying Manager, underperformed the J.P. Morgan GBI-EMSM Index during the Reporting Period, primarily because of country positioning in Poland, Thailand and the Czech Republic. These negative results were offset somewhat by an out-of-benchmark position in Egypt, strong security selection in Mexico and an underweight in Turkey, all of which contributed positively to relative performance. |
River Canyon, the structured credit Underlying Manager, underperformed the Bloomberg Barclays U.S. CMBS Investment Grade Total Return Index during the Reporting Period, largely because of an underweight in commercial mortgage-backed securities (“CMBS”), which outpaced residential mortgage-backed securities, collateralized loan obligations and asset backed securities during the Reporting Period. A cash position also detracted from its relative returns. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund’s Underlying Managers employed credit default swaps, equity options, warrants, U.S. Treasury futures, interest only securities, forward foreign currency exchange contracts and structured securities to implement their strategies. The use of forward foreign currency exchange contracts and credit default swaps by Underlying Managers had a positive impact on the Fund’s performance, while the |
11
PORTFOLIO RESULTS
use of foreign currency options by Underlying Managers had a negative impact on performance. The use of warrants, U.S. Treasury futures, interest only securities and structured securities by Underlying Managers had a neutral impact on the Fund’s results during the Reporting Period. |
Q | Were there any notable changes in the Fund’s allocations during the Reporting Period? |
A | Effective May 27, 2020, River Canyon was added as an Underlying Manager for the Fund and was allocated capital during June. River Canyon invests across liquid opportunities in structured credit by employing a fundamental, bottom-up investment process aided by a deep team and extensive investment resources. We funded this allocation by reducing the Fund’s allocation to high yield corporate bonds and local emerging markets debt, as we sought to diversify the Fund’s exposure to corporate bonds and also improve its overall risk/return profile. |
In terms of the Fund’s strategic allocation, at the start of the Reporting Period, the Fund’s assets were allocated 45.7% to high yield corporate bonds, 20.0% to bank loans, 19.1% to local emerging markets debt and 13.2% to external emerging markets debt, with the remainder in cash and cash equivalents. At the end of the Reporting Period, the Fund’s assets were allocated 42.2% to high yield corporate bonds, 20.0% to bank loans, 17.6% to local emerging markets debt, 13.2% to external emerging markets debt and 5.0% to structured credit, with the remainder in cash and cash equivalents. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Neill Nuttall, Kate El-Hillow and Betsy Gorton. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | Overall, we intend to continue to position the Fund in alignment with our longer-term strategic views on the non-core fixed income market as a complement to additional strategic market exposures. We further intend to continue to monitor allocations and Underlying Manager performance as we seek to generate total return consisting of income and capital appreciation. |
12
PORTFOLIO RESULTS
Index Definitions
MSCI All Country World Index Investable Market Index captures large- and mid-cap representation across 23 developed markets and 26 emerging markets countries.
ICE BofA BB US High Yield Constrained Index is a modified market capitalization-weighted index of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market.
ICE BofA Global High Yield Investment Grade Country Constrained Index contains all securities in the ICE BofA Global High Yield Index but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face values of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. In the event there are fewer than 50 issuers in the Index, each is equally weighted and the face values of their respective bonds are increased or decreased on a pro-rata basis.
Bloomberg Barclays Global High Yield Corporate Index is a multi-currency measure of the global high yield debt market.
Bloomberg Barclays U.S. High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market.
Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.
J.P. Morgan Emerging Market Bond Index (“EMBISM”) Global Diversified Index tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities.
J.P. Morgan Government Bond Index — Emerging Markets (“GBI-EMSM”) Global Diversified Index is a comprehensive local emerging markets index, consisting of regularly traded, fixed-rate, local currency government bonds.
Bloomberg Barclays U.S. CMBS Investment Grade Total Return Index measures the market for U.S. agency and non-agency conduit and fusion commercial mortgage-backed securities deals with a minimum current deal size of $300 million.
It is not possible to invest directly in an unmanaged index.
13
FUND BASICS
Multi-Manager Non-Core Fixed Income Fund
as of October 31, 2020
TOP TEN HOLDINGS AS OF 10/31/201,2 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Intelsat Jackson Holdings SA | 0.6 | % | Diversified Telecommunication Services | |||||
Thailand Government Bond | 0.6 | Foreign Debt Obligations | ||||||
Republic of South Africa | 0.6 | Foreign Debt Obligations | ||||||
Brazil Notas do Tesouro Nacional | 0.6 | Foreign Debt Obligations | ||||||
Indonesia Treasury Bond | 0.5 | Foreign Debt Obligations | ||||||
United States Treasury Bond | 0.5 | U.S. Treasury Obligations | ||||||
Frontier Communications Corp. | 0.4 | Diversified Telecommunication Services | ||||||
Mineral Resources Ltd. | 0.4 | Metals & Mining | ||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP | 0.4 | Metals & Mining | ||||||
Brazil Notas do Tesouro Nacional | 0.4 | Foreign Debt Obligations |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
2 | The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund, which represents approximately 7.6% of the Fund’s net assets as of 10/31/20. |
FUND COMPOSITION3 |
3 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the 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.
14
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Performance Summary
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on March 31, 2015 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s current benchmark, the Multi-Manager Non-Core Fixed Income Composite Dynamic Index, which is comprised of the Bloomberg Barclays Global High Yield Corporate Index (Gross, USD, Unhedged), the Credit Suisse Leveraged Loan Index (Gross, USD, Unhedged), the J.P. Morgan EMBISM Global Diversified Index (Gross, USD, Unhedged) and the J.P. Morgan GBI-EMSM Global Diversified Index (Gross, USD, Unhedged), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Non-Core Fixed Income Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from March 31, 2015 through October 31, 2020.
Average Annual Total Return through October 31, 2020 | One year | Five Years | Since Inception | |||||||
Class R6 (Commenced March 31, 2015)* | 1.21% | 3.97% | 2.82% | |||||||
|
* | Effective January 16, 2018, Institutional Shares were redesignated as Class R6 Shares. These returns assume reinvestment of all distributions at NAV. Because Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Returns. |
15
PORTFOLIO RESULTS
Goldman Sachs Multi-Manager Real Assets Strategy Fund
Investment Objective
The Fund seeks to provide long-term capital growth through investments related to real assets.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions (“GPS”) and the Goldman Sachs Alternative Investments & Manager Selection (“AIMS”) Groups discuss the Goldman Sachs Multi-Manager Real Assets Strategy Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2020 (the “Reporting Period”).
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Fund’s Class R6 Shares generated an average annual total return of -12.86%. This return compares to the -18.21% average annual total return of the Fund’s benchmark, the Multi-Manager Real Assets Strategy Composite Dynamic Index (the “Index”), during the same time period. |
The Index is comprised of the FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged) (the “FTSE Index”) and the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (the “Dow Jones Brookfield Index”), which are weighted in accordance with the relative market capitalizations of each constituent index (as determined by the constituent index providers) as of the last business day of the previous calendar year. During the Reporting Period, the FTSE Index and the Dow Jones Brookfield Index returned -22.77% and -11.45%, respectively. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund uses a multi-manager approach and generally seeks to achieve its investment objective by dynamically allocating its assets among unaffiliated investment managers (“Underlying Managers”) that invest primarily in real assets. (Real assets are defined broadly by the Fund and include any assets that have physical properties or inflation sensitive characteristics, such as energy, real estate, infrastructure, commodities and inflation linked or floating rate fixed income securities. Inflation is a sustained increase in prices that erodes the purchasing power of money. Assets with inflation sensitive characteristics are assets that benefit from rising real cash flows in times of rising inflation.) The GPS Group is responsible for the Fund’s asset allocation, wherein it applies a risk-based approach that draws from both fundamental and quantitative disciplines with the intention of dynamically accessing a diversified set of risks and returns in a market cycle aware manner. The AIMS Group is responsible for making recommendations with respect to hiring, terminating or replacing the Fund’s Underlying Managers and applying a multifaceted process for manager due diligence, portfolio construction and risk management. |
The Fund posted a negative absolute return during the Reporting Period but outperformed the Index in relative terms. The Fund’s relative outperformance can be attributed to the performance of the Underlying Managers overall. Strategic asset allocation also outperformed the Index during the Reporting Period. |
During the Reporting Period, the Fund allocated capital to four Underlying Managers — Cohen & Steers Capital Management, Inc. (“Cohen & Steers”), PGIM Real Estate, a business unit of PGIM, Inc. (“PGIM Real Estate”), Presima Inc. (“Presima”) and RREEF America L.L.C. (“RREEF”), a wholly-owned subsidiary of DWS Group GmbH & Co. KGaA, an affiliate of Deutsche Bank AG. These four Underlying Managers represented two sectors of real assets as part of the Fund’s top-level strategy allocation — global real estate (PGIM Real Estate and Presima) and global infrastructure (Cohen & Steers and RREEF). |
All four Underlying Managers with allocated capital during the Reporting Period generated negative absolute returns. On a relative basis, all four of the Underlying Managers outperformed their respective benchmark indices. |
Strategic asset allocation, which reflects a longer-term perspective to diversify and invest across real assets, outperformed the Index. During the Reporting Period, the Fund’s strategic allocation to global real estate securities was smaller than that of the Index, while its strategic allocation to global infrastructure securities was larger. The Index |
16
PORTFOLIO RESULTS
generally has a larger weighting in real estate securities than in global infrastructure securities. During the Reporting Period, global equities recovered significantly from their sell-off in the first quarter of 2020, largely because of the strong performance of information technology, consumer discretionary and communication services stocks. However, global infrastructure securities and global real estate securities did not recover to the same extent. Furthermore, global real estate securities lagged global infrastructure securities. Overall, during the Reporting Period, cyclically-oriented global infrastructure securities, mainly those in energy and transportation infrastructure, performed poorly. Among global real estate securities, retail real estate investment trusts (“REITs”), hotel REITs, gaming REITs, and office REITs generated weak results. In addition, during the Reporting Period, the Fund benefited from its allocation to cash, as global infrastructure securities and global real estate securities posted negative returns. |
Q | Which real assets asset classes most significantly affected Fund performance? |
A | In global infrastructure, which we measure against the Dow Jones Brookfield Global Infrastructure Index, Underlying Manager RREEF outperformed the benchmark index. The positive results were driven by strong stock selection and an underweight position in North American midstream1 energy companies. Additionally, strong selection in European utilities, European communications companies and European transportation companies contributed positively to relative performance. On the other hand, stock selection in Japan and positioning in U.S. utilities detracted from returns. |
Underlying Manager Cohen & Steers also outperformed its benchmark index during the Reporting Period. Effective stock selection in North American and European utilities, along with an overweight position in electric utilities and an underweight position in gas utilities, added to relative returns. Additionally, strong stock selection and an overweight position in U.S. and European communications infrastructure companies bolstered performance. Meanwhile, stock selection and an overweight in railways, as well as an overweight position in airports, detracted from relative performance. |
In global real estate, which we measure against the FTSE EPRA/NAREIT Developed Index, Underlying Manager PGIM Real Estate outperformed the benchmark index during the Reporting Period. Overweight positions in U.S. industrial and specialty REITs contributed positively to relative performance. An underweight in U.S. mall and shopping center REITs, in addition to strong stock selection among residential REITs, further added to results. Conversely, stock selection across triple net lease properties and hotel REITs weighed on relative returns. (A triple net lease is a lease agreement whereby the tenant or lessee promises to pay all the expenses of the property including real estate taxes, building insurance and maintenance.) |
Global real estate Underlying Manager Presima also outperformed its benchmark index during the Reporting Period. An overweight position in industrial REITs and underweight positions in retail and lodging REITs led the outperformance. Strong stock selection in residential and industrial REITs further added to relative returns. Regionally, effective stock selection in Australia contributed positively. These results were somewhat offset by weak selection in office and diversified REITs, which detracted. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | Forward foreign currency exchange contracts were used by Underlying Managers to facilitate equity transactions settling in foreign currencies. Rights were employed to give the Fund the opportunity, but not the obligation, to buy additional shares of a specific security at a discount. The use of rights had a positive impact on the Fund’s performance during the Reporting Period, while the use of forward foreign currency exchange contracts had a rather neutral impact. |
Q | Were there any notable changes in the Fund’s allocations during the Reporting Period? |
A | In terms of the Fund’s strategic asset allocation, the Fund’s assets were allocated 54.2% to global real estate and 44.3% to global infrastructure, with the remainder in cash and cash equivalents, at the beginning of the Reporting Period. At the end of the Reporting Period, the Fund’s assets were allocated 49.3% to global real estate and 49.3% to global infrastructure, with the remainder in cash and cash equivalents. |
1 | The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e., energy producers, and the demand side, i.e., energy end-users, for any type of energy commodity. Such midstream businesses can include, but are not limited to, those that process, store, market and transport various energy commodities. |
17
PORTFOLIO RESULTS
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective May 29, 2020, Kent Clark no longer served as a portfolio manager of the Fund. By design, all investment decisions for the Fund leverage the knowledge and expertise of the broader AIMS team and multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Neill Nuttall, Kate El-Hillow, Betsy Gorton and Yvonne Woo. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | Overall, we intend to continue to position the Fund in alignment with our longer-term strategic views on the real assets complex as a complement to additional strategic market exposures. We further intend to continue to monitor allocations and Underlying Manager performance as we seek to generate long-term capital growth through investments related to real assets. |
18
FUND BASICS
Multi-Manager Real Assets Strategy Fund
as of October 31, 2020
TOP TEN EQUITY HOLDINGS AS OF 10/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
American Tower Corp. | 3.8 | % | Equity Real Estate Investment Trusts (REITs) | |||||
Prologis, Inc. | 3.8 | Equity Real Estate Investment Trusts (REITs) | ||||||
SBA Communications Corp. | 2.7 | Equity Real Estate Investment Trusts (REITs) | ||||||
Crown Castle International Corp. | 2.5 | Equity Real Estate Investment Trusts (REITs) | ||||||
Vonovia SE | 2.4 | Real Estate Management & Development | ||||||
Invitation Homes, Inc. | 2.0 | Equity Real Estate Investment Trusts (REITs) | ||||||
Vinci SA | 1.8 | Construction & Engineering | ||||||
Enbridge, Inc. | 1.7 | Oil, Gas & Consumable Fuels | ||||||
The Williams Cos., Inc. | 1.7 | Oil, Gas & Consumable Fuels | ||||||
Cellnex Telecom SA | 1.7 | Diversified Telecommunication Services |
1 | The Fund’s overall top 10 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 approximately 2.8% of the Fund’s net assets as of 10/31/20. The top 10 holdings may not be representative of the Fund’s future investments. |
FUND SECTOR ALLOCATION2 |
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
19
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Performance Summary
October 31, 2020
The following graph shows the value, as of October 31, 2020, of a $1,000,000 investment made on June 30, 2015 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s current benchmark, the Multi-Manager Real Assets Strategy Composite Dynamic Index, which is comprised of the FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged) and the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Multi-Manager Real Assets Strategy Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from June 30, 2015 through October 31, 2020.
Average Annual Total Return through October 31, 2020 | One Year | Five Years | Since Inception | |||||||
Class R6 (Commenced June 30, 2015)* | -12.86% | 1.75% | 0.81% | |||||||
|
* | Effective January 16, 2018, Institutional Shares were redesignated as Class R6 Shares. These returns assume reinvestment of all distributions at NAV. Because Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Returns. |
20
PORTFOLIO RESULTS
Index Definitions
MSCI All Country World Index Investable Market Index captures large- and mid-cap representation across 23 developed markets and 26 emerging markets countries.
FTSE EPRA/NAREIT Developed Index is designed to track the performance of listed real estate companies and real estate investment trusts (“REITs”) worldwide. The index incorporates REITs and real estate holding & development companies.
Dow Jones Brookfield Global Infrastructure Index intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business.
It is not possible to invest directly in an unmanaged index.
21
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 85.0% | ||||||||
Argentina* – 0.1% | ||||||||
1,501 | Globant SA (IT Services) | $ | 271,096 | |||||
|
| |||||||
Australia – 0.7% | ||||||||
1,237 | AGL Energy Ltd. (Multi-Utilities) | 10,842 | ||||||
4,406 | Ampol Ltd. (Oil, Gas & Consumable Fuels) | 80,339 | ||||||
1,028 | Ansell Ltd. (Health Care Equipment & Supplies) | 29,069 | ||||||
1,505 | APA Group (Gas Utilities) | 11,095 | ||||||
5,831 | Appen Ltd. (IT Services) | 132,809 | ||||||
53 | ASX Ltd. (Capital Markets) | 2,968 | ||||||
120,266 | Beach Energy Ltd. (Oil, Gas & Consumable Fuels) | 99,727 | ||||||
22,513 | Charter Hall Group (Equity Real Estate Investment Trusts (REITs)) | 195,200 | ||||||
5,497 | Coles Group Ltd. (Food & Staples Retailing) | 68,670 | ||||||
5,914 | CSL Ltd. (Biotechnology) | 1,197,332 | ||||||
1,227 | Dexus (Equity Real Estate Investment Trusts (REITs)) | 7,423 | ||||||
31,392 | Downer EDI Ltd. (Commercial Services & Supplies) | 97,061 | ||||||
8,215 | Fortescue Metals Group Ltd. (Metals & Mining) | 100,498 | ||||||
7,975 | Goodman Group (Equity Real Estate Investment Trusts (REITs)) | 103,222 | ||||||
21,158 | IGO Ltd. (Metals & Mining) | 66,130 | ||||||
1,310 | JB Hi-Fi Ltd. (Specialty Retail) | 43,774 | ||||||
73 | Magellan Financial Group Ltd. (Capital Markets) | 2,829 | ||||||
2,481 | Mineral Resources Ltd. (Metals & Mining) | 43,566 | ||||||
92,171 | Nine Entertainment Co. Holdings Ltd. (Media) | 134,735 | ||||||
59,599 | NRW Holdings Ltd. (Construction & Engineering) | 91,415 | ||||||
20,783 | OZ Minerals Ltd. (Metals & Mining) | 217,107 | ||||||
31,257 | Reliance Worldwide Corp. Ltd. (Building Products) | 90,231 | ||||||
28,905 | Saracen Mineral Holdings Ltd.* (Metals & Mining) | 115,517 | ||||||
10,368 | Seven Group Holdings Ltd. (Trading Companies & Distributors) | 141,574 | ||||||
64,772 | Silver Lake Resources Ltd.* (Metals & Mining) | 96,998 | ||||||
25,338 | Super Retail Group Ltd. (Specialty Retail) | 199,412 | ||||||
2,073 | The GPT Group (Equity Real Estate Investment Trusts (REITs)) | 5,871 | ||||||
8,832 | Wesfarmers Ltd. (Multiline Retail) | 285,888 | ||||||
1,005 | Woolworths Group Ltd. (Food & Staples Retailing) | 27,035 | ||||||
|
| |||||||
3,698,337 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
3,917 | BAWAG Group AG*(a) (Banks) | 143,853 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Austria – (continued) | ||||||||
2,709 | CA Immobilien Anlagen AG (Real Estate Management & Development) | 74,412 | ||||||
165 | OMV AG (Oil, Gas & Consumable Fuels) | 3,814 | ||||||
5,977 | S&T AG* (IT Services) | 108,149 | ||||||
715 | Vienna Insurance Group AG Wiener Versicherung Gruppe (Insurance) | 14,506 | ||||||
5,397 | Wienerberger AG (Construction Materials) | 136,147 | ||||||
|
| |||||||
480,881 | ||||||||
|
| |||||||
Belgium – 0.2% | ||||||||
701 | Cofinimmo SA (Equity Real Estate Investment Trusts (REITs)) | 95,271 | ||||||
121 | Elia Group SA (Electric Utilities) | 11,703 | ||||||
131 | Etablissements Franz Colruyt NV (Food & Staples Retailing) | 7,753 | ||||||
12,875 | KBC Group NV (Banks) | 636,113 | ||||||
5,985 | Proximus SADP (Diversified Telecommunication Services) | 116,350 | ||||||
283 | Sofina SA (Diversified Financial Services) | 73,551 | ||||||
100 | UCB SA (Pharmaceuticals) | 9,877 | ||||||
|
| |||||||
950,618 | ||||||||
|
| |||||||
Brazil – 0.6% | ||||||||
64,264 | Ambev SA ADR (Beverages) | 137,525 | ||||||
28,800 | B3 SA – Brasil Bolsa Balcao (Capital Markets) | 256,231 | ||||||
9,257 | Banco do Brasil SA (Banks) | 48,076 | ||||||
12,000 | Centrais Eletricas Brasileiras SA (Electric Utilities) | 64,957 | ||||||
15,500 | Cia Energetica de Sao Paulo (Independent Power and Renewable Electricity Producers) | 72,071 | ||||||
7,200 | Cia Paranaense de Energia (Electric Utilities) | 77,497 | ||||||
15,000 | Even Construtora e Incorporadora SA (Household Durables) | 26,952 | ||||||
43,989 | JBS SA (Food Products) | 149,110 | ||||||
89,600 | Magazine Luiza SA (Multiline Retail) | 384,606 | ||||||
31,000 | Marfrig Global Foods SA* (Food Products) | 74,394 | ||||||
15,900 | Minerva SA* (Food Products) | 27,627 | ||||||
12,600 | Notre Dame Intermedica Participacoes SA (Health Care Providers & Services) | 144,381 | ||||||
9,400 | SLC Agricola SA (Food Products) | 41,889 | ||||||
4,525 | StoneCo Ltd. Class A* (IT Services) | 237,744 | ||||||
50,100 | TIM SA (Diversified Telecommunication Services) | 103,466 | ||||||
22,500 | TOTVS SA (Software) | 105,874 | ||||||
50,000 | Vale SA (Metals & Mining) | 527,627 | ||||||
40,200 | WEG SA (Electrical Equipment) | 531,264 | ||||||
|
| |||||||
3,011,291 | ||||||||
|
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Cambodia – 0.0% | ||||||||
44,000 | NagaCorp Ltd. (Hotels, Restaurants & Leisure) | $ | 45,511 | |||||
|
| |||||||
Canada – 2.4% | ||||||||
54,900 | Air Canada* (Airlines) | 606,978 | ||||||
3,150 | Allied Properties Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 76,392 | ||||||
6,400 | ATS Automation Tooling Systems, Inc.* (Machinery) | 79,261 | ||||||
4,625 | BCE, Inc. (Diversified Telecommunication Services) | 185,861 | ||||||
2,700 | Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs)) | 86,798 | ||||||
11,150 | Canadian National Railway Co. (Road & Rail) | 1,108,848 | ||||||
3,595 | Canadian Pacific Railway Ltd. (Road & Rail) | 1,075,367 | ||||||
6,600 | Capital Power Corp. (Independent Power and Renewable Electricity Producers) | 145,445 | ||||||
122 | CGI, Inc.* (IT Services) | 7,570 | ||||||
4,600 | Empire Co. Ltd. Class A (Food & Staples Retailing) | 125,505 | ||||||
200 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 5,511 | ||||||
12,500 | Equinox Gold Corp.* (Metals & Mining) | 133,510 | ||||||
17 | Fairfax Financial Holdings Ltd. (Insurance) | 4,469 | ||||||
171 | Fortis, Inc. (Electric Utilities) | 6,755 | ||||||
1,331 | George Weston Ltd. (Food & Staples Retailing) | 93,339 | ||||||
2,520 | Granite Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 141,292 | ||||||
2,388 | Hydro One Ltd.(a) (Electric Utilities) | 52,176 | ||||||
6,800 | Keyera Corp. (Oil, Gas & Consumable Fuels) | 96,516 | ||||||
1,080 | Kinaxis, Inc.* (Software) | 164,865 | ||||||
731 | Loblaw Cos. Ltd. (Food & Staples Retailing) | 36,388 | ||||||
20,200 | Lundin Mining Corp. (Metals & Mining) | 122,052 | ||||||
3,155 | Magna International, Inc. (Auto Components) | 161,101 | ||||||
1,683 | Manulife Financial Corp. (Insurance) | 22,814 | ||||||
686 | Metro, Inc. (Food & Staples Retailing) | 32,001 | ||||||
6,800 | Northland Power, Inc. (Independent Power and Renewable Electricity Producers) | 219,929 | ||||||
2,730 | Novanta, Inc.* (Electronic Equipment, Instruments & Components) | 296,806 | ||||||
40,700 | Nutrien Ltd. (Chemicals) | 1,655,676 | ||||||
1,377 | Nuvei Corp.* (IT Services) | 51,169 | ||||||
10,700 | Parex Resources, Inc.* (Oil, Gas & Consumable Fuels) | 104,165 | ||||||
10,032 | Power Corp. of Canada (Insurance) | 191,032 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Canada – (continued) | ||||||||
7,921 | Ritchie Bros. Auctioneers, Inc. (Commercial Services & Supplies) | 480,250 | ||||||
207 | Rogers Communications, Inc. Class B (Wireless Telecommunication Services) | 8,409 | ||||||
76 | Royal Bank of Canada (Banks) | 5,314 | ||||||
850 | Shopify, Inc. Class A* (IT Services) | 786,615 | ||||||
6,508 | SSR Mining, Inc.* (Metals & Mining) | 120,459 | ||||||
4,850 | Stantec, Inc. (Professional Services) | 139,279 | ||||||
11,600 | Summit Industrial Income REIT (Equity Real Estate Investment Trusts (REITs)) | 117,280 | ||||||
15,881 | Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 179,157 | ||||||
1,127 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 44,359 | ||||||
2,278 | TELUS Corp. (Diversified Telecommunication Services) | 38,950 | ||||||
4,080 | TFI International, Inc. (Road & Rail) | 181,660 | ||||||
6,209 | The Descartes Systems Group, Inc.* (Software) | 333,353 | ||||||
2,054 | The Toronto-Dominion Bank (Banks) | 90,621 | ||||||
1,731 | Thomson Reuters Corp. (Professional Services) | 134,577 | ||||||
2,337 | Toromont Industries Ltd. (Trading Companies & Distributors) | 145,503 | ||||||
6,300 | Tourmaline Oil Corp. (Oil, Gas & Consumable Fuels) | 81,617 | ||||||
15,300 | Wesdome Gold Mines Ltd.* (Metals & Mining) | 151,473 | ||||||
49,650 | Wheaton Precious Metals Corp. (Metals & Mining) | 2,289,361 | ||||||
|
| |||||||
12,417,828 | ||||||||
|
| |||||||
China – 5.8% | ||||||||
22,000 | A-Living Services Co Ltd. Class H(a) (Commercial Services & Supplies) | 92,648 | ||||||
1,045,224 | Agricultural Bank of China Ltd. Class H (Banks) | 355,602 | ||||||
27,900 | Aier Eye Hospital Group Co. Ltd. Class A (Health Care Providers & Services) | 259,886 | ||||||
18,000 | Airtac International Group (Machinery) | 484,575 | ||||||
17,264 | Alibaba Group Holding Ltd. ADR* (Internet & Direct Marketing Retail) | 5,260,168 | ||||||
47,700 | Alibaba Health Information Technology Ltd.* (Health Care Technology) | 125,090 | ||||||
50,989 | Anhui Conch Cement Co. Ltd. Class H (Construction Materials) | 318,961 | ||||||
9,787 | Baidu, Inc. ADR* (Interactive Media & Services) | 1,302,160 | ||||||
1,888,037 | Bank of China Ltd. Class H (Banks) | 596,357 | ||||||
205,363 | Bank of Communications Co. Ltd. Class H (Banks) | 101,035 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
468,000 | Beijing Capital International Airport Co. Ltd. Class H (Transportation Infrastructure) | $ | 285,952 | |||||
7,400 | Beijing Chunlizhengda Medical Instruments Co. Ltd. Class H (Health Care Equipment & Supplies) | 30,730 | ||||||
25,700 | Beijing Oriental Yuhong Waterproof Technology Co. Ltd. Class A (Construction Materials) | 142,709 | ||||||
13,600 | BYD Co. Ltd. Class H (Automobiles) | 274,921 | ||||||
50,600 | Centre Testing International Group Co. Ltd. Class A (Professional Services) | 204,041 | ||||||
363,011 | China Cinda Asset Management Co. Ltd. Class H (Capital Markets) | 68,099 | ||||||
269,000 | China CITIC Bank Corp. Ltd. Series H (Banks) | 109,485 | ||||||
231,515 | China Construction Bank Corp. Class H (Banks) | 159,540 | ||||||
262,709 | China Everbright Bank Co. Ltd. Class H (Banks) | 91,042 | ||||||
124,000 | China Feihe Ltd.(a) (Food Products) | 282,129 | ||||||
218,162 | China Galaxy Securities Co. Ltd. Class H (Capital Markets) | 119,732 | ||||||
125,200 | China International Capital Corp. Ltd. Class H*(a) (Capital Markets) | 292,541 | ||||||
34,000 | China Lesso Group Holdings Ltd. (Building Products) | 55,122 | ||||||
119,033 | China Life Insurance Co. Ltd. Class H (Insurance) | 259,721 | ||||||
120,532 | China Medical System Holdings Ltd. (Pharmaceuticals) | 126,749 | ||||||
26,000 | China Meidong Auto Holdings Ltd. (Specialty Retail) | 106,469 | ||||||
53,000 | China Merchants Bank Co. Ltd. Class H (Banks) | 276,073 | ||||||
827,733 | China Minsheng Banking Corp. Ltd. Class H (Banks) | 453,008 | ||||||
265,383 | China National Building Material Co. Ltd. Class H (Construction Materials) | 305,472 | ||||||
88,000 | China Railway Group Ltd. Class H (Construction & Engineering) | 40,508 | ||||||
76,000 | China Resources Cement Holdings Ltd. (Construction Materials) | 99,517 | ||||||
80,500 | China Shenhua Energy Co. Ltd. Class H (Oil, Gas & Consumable Fuels) | 139,478 | ||||||
41,245 | China Shineway Pharmaceutical Group Ltd. (Pharmaceuticals) | 25,960 | ||||||
632,000 | China Telecom Corp. Ltd. Class H (Diversified Telecommunication Services) | 198,391 | ||||||
9,300 | Contemporary Amperex Technology Co. Ltd. Class A (Electrical Equipment) | 341,552 | ||||||
70,000 | Cosco Shipping Energy Transportation Co. Ltd. Class H (Oil, Gas & Consumable Fuels) | 27,613 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
211,500 | Cosco Shipping Holdings Co. Ltd.* (Marine) | 135,336 | ||||||
118,136 | Country Garden Services Holdings Co. Ltd. (Commercial Services & Supplies) | 743,985 | ||||||
28,000 | CSC Financial Co Ltd.(a) (Capital Markets) | 33,953 | ||||||
2,500 | ENN Energy Holdings Ltd. (Gas Utilities) | 31,640 | ||||||
56,000 | Ever Sunshine Lifestyle Services Group Ltd. (Commercial Services & Supplies) | 96,833 | ||||||
2,145 | Futu Holdings Ltd. ADR* (Capital Markets) | 63,771 | ||||||
38,400 | GF Securities Co. Ltd. Class H (Capital Markets) | 49,655 | ||||||
13,000 | Glodon Co. Ltd. Class A (Software) | 138,408 | ||||||
199,000 | Great Wall Motor Co. Ltd. Class H (Automobiles) | 322,195 | ||||||
31,000 | Greentown China Holdings Ltd. (Real Estate Management & Development) | 50,382 | ||||||
1,476 | GSX Techedu, Inc. ADR* (Diversified Consumer Services) | 98,036 | ||||||
83,518 | Haitong Securities Co. Ltd. Class H* (Capital Markets) | 70,752 | ||||||
45,200 | Huatai Securities Co. Ltd. Class H(a) (Capital Markets) | 73,206 | ||||||
41,011 | Industrial & Commercial Bank of China Ltd. Class H (Banks) | 23,289 | ||||||
13,804 | JD.com, Inc. ADR* (Internet & Direct Marketing Retail) | 1,125,302 | ||||||
27,900 | Jiangsu Hengli Hydraulic Co. Ltd. Class A (Machinery) | 315,840 | ||||||
11,400 | Jiangsu Hengrui Medicine Co. Ltd. Class A (Pharmaceuticals) | 151,626 | ||||||
602 | JOYY, Inc. ADR (Interactive Media & Services) | 55,011 | ||||||
109,000 | Kaisa Group Holdings Ltd.* (Real Estate Management & Development) | 50,838 | ||||||
6,371 | Kerry Logistics Network Ltd. (Air Freight & Logistics) | 13,306 | ||||||
1,140 | Kweichow Moutai Co. Ltd. Class A (Beverages) | 284,826 | ||||||
65,000 | KWG Group Holdings Ltd. (Real Estate Management & Development) | 86,196 | ||||||
23,750 | KWG Living Group Holdings Ltd.* (Real Estate Management & Development) | 18,626 | ||||||
59,500 | Li Ning Co. Ltd. (Textiles, Apparel & Luxury Goods) | 310,110 | ||||||
8,400 | Livzon Pharmaceutical Group, Inc. Class H (Pharmaceuticals) | 37,229 | ||||||
48,100 | Meituan Class B* (Internet & Direct Marketing Retail) | 1,793,127 | ||||||
14,000 | Midea Group Co. Ltd. Class A (Household Durables) | 163,383 | ||||||
2,519 | NetEase, Inc. ADR (Entertainment) | 218,624 | ||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
930 | New Oriental Education & Technology Group, Inc. ADR* (Diversified Consumer Services) | $ | 149,153 | |||||
6,512 | NIO, Inc. ADR* (Automobiles) | 199,137 | ||||||
3,443 | Pinduoduo, Inc. ADR* (Internet & Direct Marketing Retail) | 309,801 | ||||||
10,700 | Ping An Healthcare & Technology Co. Ltd.*(a) (Health Care Technology) | 138,069 | ||||||
38,000 | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | 392,908 | ||||||
2,200 | Silergy Corp. (Semiconductors & Semiconductor Equipment) | 135,636 | ||||||
53,215 | Sinotruk Hong Kong Ltd. (Machinery) | 136,116 | ||||||
5,539 | TAL Education Group ADR* (Diversified Consumer Services) | 368,122 | ||||||
81,000 | TCL Electronics Holdings Ltd. (Household Durables) | 55,021 | ||||||
81,638 | Tencent Holdings Ltd. (Interactive Media & Services) | 6,237,601 | ||||||
760,119 | The People’s Insurance Co. Group of China Ltd. Class H (Insurance) | 226,179 | ||||||
91,996 | Tianneng Power International Ltd. (Auto Components) | 149,877 | ||||||
66,000 | Tingyi Cayman Islands Holding Corp. (Food Products) | 120,775 | ||||||
8,403 | Vipshop Holdings Ltd. ADR* (Internet & Direct Marketing Retail) | 179,824 | ||||||
96,137 | Weichai Power Co. Ltd. Class H (Machinery) | 182,303 | ||||||
16,800 | Wuxi Biologics Cayman, Inc.*(a) (Life Sciences Tools & Services) | 471,806 | ||||||
43,000 | Xiaomi Corp.*(a) (Technology Hardware, Storage & Peripherals) | 122,293 | ||||||
28,000 | Yadea Group Holdings Ltd.(a) (Automobiles) | 40,091 | ||||||
26,000 | Yihai International Holding Ltd.* (Food Products) | 345,386 | ||||||
19,000 | Yonyou Network Technology Co. Ltd. Class A (Software) | 122,962 | ||||||
89,000 | Zhongsheng Group Holdings Ltd. (Specialty Retail) | 634,592 | ||||||
97,800 | Zoomlion Heavy Industry Science & Technology Co. Ltd. Class H (Machinery) | 86,349 | ||||||
|
| |||||||
30,772,522 | ||||||||
|
| |||||||
Denmark – 0.7% | ||||||||
354 | ALK-Abello A/S* (Pharmaceuticals) | 118,446 | ||||||
3,231 | Ambu A/S Class B (Health Care Equipment & Supplies) | 97,997 | ||||||
3,125 | Carlsberg AS Class B (Beverages) | 395,690 | ||||||
61 | Coloplast A/S Class B (Health Care Equipment & Supplies) | 8,921 | ||||||
7,723 | DSV PANALPINA A/S (Air Freight & Logistics) | 1,252,991 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Denmark – (continued) | ||||||||
1,873 | GN Store Nord A/S (Health Care Equipment & Supplies) | 134,850 | ||||||
16,880 | Novo Nordisk A/S Class B (Pharmaceuticals) | 1,076,364 | ||||||
140 | Orsted A/S(a) (Electric Utilities) | 22,220 | ||||||
505 | ROCKWOOL International A/S Class B (Building Products) | 197,666 | ||||||
2,017 | Royal Unibrew A/S (Beverages) | 196,676 | ||||||
1,481 | Vestas Wind Systems A/S (Electrical Equipment) | 254,086 | ||||||
|
| |||||||
3,755,907 | ||||||||
|
| |||||||
Finland – 0.1% | ||||||||
259 | Elisa Oyj (Diversified Telecommunication Services) | 12,735 | ||||||
2,082 | Kesko Oyj Class B (Food & Staples Retailing) | 53,425 | ||||||
9,705 | Kojamo Oyj (Real Estate Management & Development) | 200,046 | ||||||
144 | Kone Oyj Class B (Machinery) | 11,464 | ||||||
571 | Neste Oyj (Oil, Gas & Consumable Fuels) | 29,780 | ||||||
|
| |||||||
307,450 | ||||||||
|
| |||||||
France – 3.8% | ||||||||
11,462 | Air Liquide SA (Chemicals) | 1,676,183 | ||||||
198 | Alstom SA* (Machinery) | 8,847 | ||||||
1,499 | Arkema SA (Chemicals) | 146,812 | ||||||
64,387 | AXA SA (Insurance) | 1,034,010 | ||||||
788 | BioMerieux (Health Care Equipment & Supplies) | 117,332 | ||||||
34,749 | BNP Paribas SA* (Banks) | 1,211,863 | ||||||
1,221 | Bollore SA (Entertainment) | 4,377 | ||||||
1,733 | Bouygues SA (Construction & Engineering) | 56,831 | ||||||
6,116 | Capgemini SE (IT Services) | 706,201 | ||||||
51,077 | Carrefour SA (Food & Staples Retailing) | 793,833 | ||||||
84 | Cie de Saint-Gobain* (Building Products) | 3,272 | ||||||
453 | Cie Generale des Etablissements Michelin SCA (Auto Components) | 48,924 | ||||||
164 | CNP Assurances* (Insurance) | 1,850 | ||||||
528 | Covivio (Equity Real Estate Investment Trusts (REITs)) | 31,443 | ||||||
492 | Credit Agricole SA* (Banks) | 3,892 | ||||||
26,501 | Danone SA (Food Products) | 1,469,883 | ||||||
2,190 | Dassault Systemes SE (Software) | 373,418 | ||||||
365 | Eiffage SA* (Construction & Engineering) | 26,491 | ||||||
42,393 | Engie SA* (Multi-Utilities) | 512,724 | ||||||
6,852 | EssilorLuxottica SA* (Textiles, Apparel & Luxury Goods) | 845,940 | ||||||
11,169 | Eutelsat Communications SA (Media) | 112,338 | ||||||
89 | Gecina SA (Equity Real Estate Investment Trusts (REITs)) | 11,049 | ||||||
166 | Hermes International (Textiles, Apparel & Luxury Goods) | 154,563 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
1,978 | ICADE (Equity Real Estate Investment Trusts (REITs)) | $ | 100,029 | |||||
293 | Iliad SA (Diversified Telecommunication Services) | 56,646 | ||||||
64 | Imerys SA (Construction Materials) | 1,913 | ||||||
9 | Kering SA (Textiles, Apparel & Luxury Goods) | 5,439 | ||||||
3,566 | Korian SA* (Health Care Providers & Services) | 100,463 | ||||||
2,263 | L’Oreal SA (Personal Products) | 731,368 | ||||||
6,526 | Legrand SA (Electrical Equipment) | 483,050 | ||||||
4,286 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 2,009,053 | ||||||
6,542 | Orange SA (Diversified Telecommunication Services) | 73,464 | ||||||
8,700 | Pernod Ricard SA (Beverages) | 1,401,591 | ||||||
791 | Peugeot SA* (Automobiles) | 14,210 | ||||||
2,731 | Renault SA* (Automobiles) | 67,635 | ||||||
11,164 | Rexel SA* (Trading Companies & Distributors) | 117,542 | ||||||
3,193 | Rubis SCA (Gas Utilities) | 104,985 | ||||||
10,222 | Sanofi (Pharmaceuticals) | 922,979 | ||||||
441 | Sartorius Stedim Biotech (Life Sciences Tools & Services) | 167,232 | ||||||
15,405 | Schneider Electric SE (Electrical Equipment) | 1,871,806 | ||||||
1,025 | Sopra Steria Group* (IT Services) | 121,884 | ||||||
7,269 | SPIE SA* (Commercial Services & Supplies) | 114,390 | ||||||
572 | Suez SA (Multi-Utilities) | 10,472 | ||||||
41 | Teleperformance (Professional Services) | 12,308 | ||||||
32,490 | TOTAL SE (Oil, Gas & Consumable Fuels) | 984,340 | ||||||
12,498 | Valeo SA (Auto Components) | 378,082 | ||||||
7,706 | Veolia Environnement SA (Multi-Utilities) | 143,429 | ||||||
9,950 | Vinci SA (Construction & Engineering) | 785,901 | ||||||
|
| |||||||
20,132,287 | ||||||||
|
| |||||||
Germany – 2.5% | ||||||||
355 | Allianz SE (Insurance) | 62,535 | ||||||
9,789 | alstria office REIT AG (Equity Real Estate Investment Trusts (REITs)) | 124,610 | ||||||
32,096 | BASF SE (Chemicals) | 1,757,519 | ||||||
23,909 | Bayer AG (Pharmaceuticals) | 1,123,496 | ||||||
99 | Bayerische Motoren Werke AG (Automobiles) | 6,765 | ||||||
495 | Bechtle AG (IT Services) | 85,000 | ||||||
8,525 | Beiersdorf AG (Personal Products) | 892,646 | ||||||
307 | Brenntag AG (Trading Companies & Distributors) | 19,622 | ||||||
1,364 | CompuGroup Medical SE & Co KgaA (Health Care Technology) | 117,195 | ||||||
54 | Covestro AG(a) (Chemicals) | 2,577 | ||||||
4,741 | Deutsche Boerse AG (Capital Markets) | 698,603 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Germany – (continued) | ||||||||
18,591 | Deutsche Post AG (Air Freight & Logistics) | 824,287 | ||||||
5,160 | Deutsche Telekom AG (Diversified Telecommunication Services) | 78,425 | ||||||
846 | Deutsche Wohnen SE (Real Estate Management & Development) | 42,700 | ||||||
3,118 | DWS Group GmbH & Co. KGaA*(a) (Capital Markets) | 105,873 | ||||||
349 | Evonik Industries AG (Chemicals) | 8,403 | ||||||
5,070 | Evotec SE* (Life Sciences Tools & Services) | 133,986 | ||||||
53 | Fresenius Medical Care AG & Co. KGaA (Health Care Providers & Services) | 4,047 | ||||||
1,822 | GEA Group AG (Machinery) | 60,679 | ||||||
220 | Hannover Rueck SE (Insurance) | 31,971 | ||||||
3,646 | HelloFresh SE* (Internet & Direct Marketing Retail) | 194,831 | ||||||
34,108 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 949,607 | ||||||
2,704 | Jungheinrich AG (Machinery) | 98,310 | ||||||
1,980 | KION Group AG (Machinery) | 154,283 | ||||||
957 | LEG Immobilien AG (Real Estate Management & Development) | 129,341 | ||||||
5,251 | Merck KGaA (Pharmaceuticals) | 777,837 | ||||||
1,501 | MTU Aero Engines AG (Aerospace & Defense) | 256,553 | ||||||
1,633 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance) | 382,738 | ||||||
12,292 | ProSiebenSat.1 Media SE* (Media) | 137,185 | ||||||
1,846 | Rheinmetall AG (Industrial Conglomerates) | 134,913 | ||||||
8,676 | RWE AG (Multi-Utilities) | 321,079 | ||||||
17,721 | SAP SE (Software) | 1,890,557 | ||||||
239 | Sartorius AG (Health Care Equipment & Supplies) | 101,164 | ||||||
1,452 | Scout24 AG(a) (Interactive Media & Services) | 117,141 | ||||||
10,760 | Siemens AG (Industrial Conglomerates) | 1,262,320 | ||||||
1,798 | Stroeer SE & Co. KGaA* (Media) | 129,973 | ||||||
88 | Symrise AG (Chemicals) | 10,851 | ||||||
1,053 | Talanx AG* (Insurance) | 31,044 | ||||||
866 | Traton SE (Machinery) | 16,825 | ||||||
1,980 | Uniper SE (Independent Power and Renewable Electricity Producers) | 59,141 | ||||||
26 | Volkswagen AG (Automobiles) | 4,045 | ||||||
69 | Vonovia SE (Real Estate Management & Development) | 4,407 | ||||||
|
| |||||||
13,345,084 | ||||||||
|
| |||||||
Hong Kong – 1.1% | ||||||||
262,325 | AIA Group Ltd. (Insurance) | 2,496,593 | ||||||
994 | Cafe de Coral Holdings Ltd. (Hotels, Restaurants & Leisure) | 2,055 | ||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Hong Kong – (continued) | ||||||||
141,500 | China Mobile Ltd. (Wireless Telecommunication Services) | $ | 865,490 | |||||
74,000 | China Overseas Land & Investment Ltd. (Real Estate Management & Development) | 185,872 | ||||||
404,892 | China South City Holdings Ltd. (Real Estate Management & Development) | 40,856 | ||||||
615,363 | China Unicom Hong Kong Ltd. (Diversified Telecommunication Services) | 379,303 | ||||||
268,322 | CITIC Ltd. (Industrial Conglomerates) | 191,834 | ||||||
26,739 | CK Hutchison Holdings Ltd. (Industrial Conglomerates) | 161,503 | ||||||
2,457 | CLP Holdings Ltd. (Electric Utilities) | 22,640 | ||||||
664,560 | CNOOC Ltd. (Oil, Gas & Consumable Fuels) | 608,043 | ||||||
5,990 | Dah Sing Banking Group Ltd. (Banks) | 5,154 | ||||||
2,318 | Dah Sing Financial Holdings Ltd. (Banks) | 5,774 | ||||||
9,710 | First Pacific Co. Ltd. (Diversified Financial Services) | 3,017 | ||||||
4,363 | Hang Lung Group Ltd. (Real Estate Management & Development) | 9,685 | ||||||
6,075 | Hong Kong Exchanges & Clearing Ltd. (Capital Markets) | 291,106 | ||||||
22,000 | Hysan Development Co. Ltd. (Real Estate Management & Development) | 70,138 | ||||||
4,771 | Kerry Properties Ltd. (Real Estate Management & Development) | 11,706 | ||||||
238,000 | Lenovo Group Ltd. (Technology Hardware, Storage & Peripherals) | 149,434 | ||||||
1,871 | Link REIT (Equity Real Estate Investment Trusts (REITs)) | 14,279 | ||||||
127,200 | Man Wah Holdings Ltd. (Household Durables) | 177,525 | ||||||
82,217 | PCCW Ltd. (Diversified Telecommunication Services) | 49,465 | ||||||
52 | RenaissanceRe Holdings Ltd. (Insurance) | 8,409 | ||||||
17,000 | Shimao Group Holdings Ltd. (Real Estate Management & Development) | 60,219 | ||||||
33,011 | Shun Tak Holdings Ltd. (Industrial Conglomerates) | 9,689 | ||||||
1,948 | Swire Pacific Ltd. Class A (Real Estate Management & Development) | 8,883 | ||||||
9,714 | Swire Pacific Ltd. Class B (Real Estate Management & Development) | 7,910 | ||||||
8,738 | Techtronic Industries Co. Ltd. (Machinery) | 117,695 | ||||||
20,616 | Vinda International Holdings Ltd. (Household Products) | 54,710 | ||||||
|
| |||||||
6,008,987 | ||||||||
|
| |||||||
Hungary – 0.0% | ||||||||
3,211 | OTP Bank Nyrt* (Banks) | 100,166 | ||||||
5,838 | Richter Gedeon Nyrt (Pharmaceuticals) | 119,197 | ||||||
|
| |||||||
219,363 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
India – 1.5% | ||||||||
2,507 | Aarti Drugs Ltd. (Pharmaceuticals) | 23,019 | ||||||
7,180 | Amara Raja Batteries. Ltd. (Electrical Equipment) | 74,158 | ||||||
9,711 | Asian Paints Ltd. (Chemicals) | 289,649 | ||||||
7,842 | Aurobindo Pharma Ltd. (Pharmaceuticals) | 81,724 | ||||||
4,925 | Avanti Feeds Ltd. (Food Products) | 31,982 | ||||||
1,759 | Bajaj Auto Ltd. (Automobiles) | 68,523 | ||||||
9,609 | Balkrishna Industries Ltd. (Auto Components) | 174,378 | ||||||
4,207 | Deepak Nitrite Ltd. (Chemicals) | 42,106 | ||||||
757 | Dixon Technologies India Ltd. (Household Durables) | 95,053 | ||||||
4,278 | Dr Reddy’s Laboratories Ltd. (Pharmaceuticals) | 281,800 | ||||||
14,089 | Escorts Ltd. (Machinery) | 228,104 | ||||||
23,546 | HCL Technologies Ltd. (IT Services) | 267,897 | ||||||
35,208 | HDFC Bank Ltd.* (Banks) | 562,270 | ||||||
16,714 | HDFC Bank Ltd. ADR* (Banks) | 960,052 | ||||||
8,582 | Hindustan Unilever Ltd. (Household Products) | 239,956 | ||||||
25,923 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 672,526 | ||||||
30,900 | Indiabulls Housing Finance Ltd. (Thrifts & Mortgage Finance) | 58,324 | ||||||
34,775 | Infosys Ltd. (IT Services) | 498,226 | ||||||
21,000 | Infosys Ltd. ADR (IT Services) | 299,670 | ||||||
6,499 | IOL Chemicals & Pharmaceuticals Ltd. (Pharmaceuticals) | 58,157 | ||||||
8,356 | Mahanagar Gas Ltd. (Gas Utilities) | 91,860 | ||||||
2,814 | Maruti Suzuki India Ltd. (Automobiles) | 264,302 | ||||||
24,062 | Muthoot Finance Ltd. (Consumer Finance) | 399,497 | ||||||
192,082 | Oil & Natural Gas Corp. Ltd. (Oil, Gas & Consumable Fuels) | 168,170 | ||||||
28,257 | Petronet LNG Ltd. (Oil, Gas & Consumable Fuels) | 88,024 | ||||||
69,592 | Power Finance Corp. Ltd. (Diversified Financial Services) | 81,757 | ||||||
95,944 | REC Ltd. (Diversified Financial Services) | 133,079 | ||||||
19,674 | Reliance Industries Ltd. (Oil, Gas & Consumable Fuels) | 545,457 | ||||||
26,732 | Sun TV Network Ltd. (Media) | 152,127 | ||||||
21,189 | Tata Consultancy Services Ltd. (IT Services) | 763,661 | ||||||
7,771 | Tata Consumer Products Ltd. (Food Products) | 51,635 | ||||||
|
| |||||||
7,747,143 | ||||||||
|
| |||||||
Indonesia – 0.1% | ||||||||
1,457,300 | Bank Rakyat Indonesia Persero Tbk PT (Banks) | 329,892 | ||||||
90,500 | Indofood Sukses Makmur Tbk PT (Food Products) | 42,871 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Indonesia – (continued) | ||||||||
96,800 | United Tractors Tbk PT (Oil, Gas & Consumable Fuels) | $ | 138,297 | |||||
|
| |||||||
511,060 | ||||||||
|
| |||||||
Ireland – 2.1% | ||||||||
18,659 | Accenture PLC Class A (IT Services) | 4,047,324 | ||||||
13,555 | Aon PLC Class A (Insurance) | 2,494,256 | ||||||
1,640 | DCC PLC (Industrial Conglomerates) | 106,570 | ||||||
1,665 | Eaton Corp. PLC (Electrical Equipment) | 172,810 | ||||||
4 | Flutter Entertainment PLC* (Hotels, Restaurants & Leisure) | 699 | ||||||
14,681 | Grafton Group PLC* (Trading Companies & Distributors) | 127,629 | ||||||
2,993 | ICON PLC* (Life Sciences Tools & Services) | 539,638 | ||||||
363 | Johnson Controls International PLC (Building Products) | 15,322 | ||||||
179 | Kerry Group PLC Class A (Food Products) | 21,427 | ||||||
95 | Kingspan Group PLC* (Building Products) | 8,282 | ||||||
3,922 | Linde PLC (Chemicals) | 859,565 | ||||||
289 | Medtronic PLC (Health Care Equipment & Supplies) | 29,065 | ||||||
3,500 | nVent Electric PLC (Electrical Equipment) | 63,175 | ||||||
1,100 | Pentair PLC (Machinery) | 54,736 | ||||||
4,488 | Ryanair Holdings PLC* (Airlines) | 61,841 | ||||||
18,751 | Ryanair Holdings PLC ADR* (Airlines) | 1,511,331 | ||||||
4,140 | STERIS PLC (Health Care Equipment & Supplies) | 733,567 | ||||||
175 | Trane Technologies PLC (Building Products) | 23,231 | ||||||
13 | Willis Towers Watson PLC (Insurance) | 2,372 | ||||||
|
| |||||||
10,872,840 | ||||||||
|
| |||||||
Israel – 0.2% | ||||||||
1,573 | Bank Leumi Le-Israel BM (Banks) | 7,414 | ||||||
140,162 | Bezeq The Israeli Telecommunication Corp. Ltd.* (Diversified Telecommunication Services) | 158,041 | ||||||
6,206 | Check Point Software Technologies Ltd.* (Software) | 704,753 | ||||||
1,183 | CyberArk Software Ltd.* (Software) | 117,294 | ||||||
17 | Electra Ltd. (Construction & Engineering) | 7,387 | ||||||
3,183 | Energix-Renewable Energies Ltd.* (Independent Power and Renewable Electricity Producers) | 13,491 | ||||||
38,759 | Israel Discount Bank Ltd. Class A (Banks) | 108,489 | ||||||
3,872 | Mizrahi Tefahot Bank Ltd. (Banks) | 75,505 | ||||||
35 | Nice Ltd.* (Software) | 7,960 | ||||||
110 | Paz Oil Co. Ltd. (Oil, Gas & Consumable Fuels) | 10,169 | ||||||
399 | Shapir Engineering & Industry Ltd.* (Construction & Engineering) | 2,686 | ||||||
|
| |||||||
1,213,189 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Italy – 0.8% | ||||||||
1,309 | Assicurazioni Generali SpA (Insurance) | 17,559 | ||||||
13,200 | Autogrill SpA* (Hotels, Restaurants & Leisure) | 49,478 | ||||||
17,707 | Banca Mediolanum SpA (Diversified Financial Services) | 120,976 | ||||||
8,116 | Buzzi Unicem SpA (Construction Materials) | 175,612 | ||||||
108,613 | Enel SpA (Electric Utilities) | 863,528 | ||||||
30,285 | Eni SpA (Oil, Gas & Consumable Fuels) | 212,148 | ||||||
35,938 | Hera SpA (Multi-Utilities) | 112,886 | ||||||
240,490 | Intesa Sanpaolo SpA* (Banks) | 399,238 | ||||||
44,486 | Iren SpA (Multi-Utilities) | 100,955 | ||||||
14,769 | Mediobanca Banca di Credito Finanziario SpA (Banks) | 104,856 | ||||||
2,356 | Poste Italiane SpA(a) (Insurance) | 19,234 | ||||||
5,490 | Prysmian SpA (Electrical Equipment) | 149,396 | ||||||
26,448 | Snam SpA (Gas Utilities) | 128,963 | ||||||
1,694 | Terna Rete Elettrica Nazionale SpA (Electric Utilities) | 11,437 | ||||||
237,136 | UniCredit SpA* (Banks) | 1,776,003 | ||||||
|
| |||||||
4,242,269 | ||||||||
|
| |||||||
Japan – 4.7% | ||||||||
12,900 | Aeon Co. Ltd. (Food & Staples Retailing) | 329,571 | ||||||
300 | Air Water, Inc. (Chemicals) | 4,286 | ||||||
1,500 | Aisin Seiki Co. Ltd. (Auto Components) | 45,447 | ||||||
1,600 | Alfresa Holdings Corp. (Health Care Providers & Services) | 29,296 | ||||||
300 | ANA Holdings, Inc.* (Airlines) | 6,543 | ||||||
8,300 | Anritsu Corp. (Electronic Equipment, Instruments & Components) | 181,707 | ||||||
400 | Azbil Corp. (Electronic Equipment, Instruments & Components) | 16,233 | ||||||
6,200 | Canon Marketing Japan, Inc. (Electronic Equipment, Instruments & Components) | 132,079 | ||||||
1,100 | Canon, Inc. (Technology Hardware, Storage & Peripherals) | 19,147 | ||||||
2,300 | Chubu Electric Power Co., Inc. (Electric Utilities) | 25,764 | ||||||
1,700 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals) | 65,620 | ||||||
2,000 | cocokara fine, Inc. (Food & Staples Retailing) | 131,393 | ||||||
1,100 | Cosmos Pharmaceutical Corp. (Food & Staples Retailing) | 186,823 | ||||||
300 | Daiichi Sankyo Co. Ltd. (Pharmaceuticals) | 7,918 | ||||||
6,400 | Daikin Industries Ltd. (Building Products) | 1,197,653 | ||||||
4,800 | DCM Holdings Co. Ltd. (Specialty Retail) | 59,475 | ||||||
5,800 | Denka Co. Ltd (Chemicals) | 178,685 | ||||||
5,500 | Denso Corp. (Auto Components) | 256,281 | ||||||
700 | Electric Power Development Co. Ltd. (Independent Power and Renewable Electricity Producers) | 9,460 | ||||||
|
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
33,600 | ENEOS Holdings, Inc. (Oil, Gas & Consumable Fuels) | $ | 113,376 | |||||
7,200 | FANUC Corp. (Machinery) | 1,520,818 | ||||||
4,200 | FCC Co. Ltd. (Auto Components) | 80,596 | ||||||
100 | Fujitsu General Ltd. (Household Durables) | 2,776 | ||||||
200 | Fujitsu Ltd. (IT Services) | 23,663 | ||||||
101 | GLP J-REIT (Equity Real Estate Investment Trusts (REITs)) | 155,706 | ||||||
20,100 | Hazama Ando Corp. (Construction & Engineering) | 124,874 | ||||||
24,600 | Hitachi Ltd. (Electronic Equipment, Instruments & Components) | 829,126 | ||||||
3,500 | Hokuriku Electric Power Co. (Electric Utilities) | 24,962 | ||||||
600 | Honda Motor Co. Ltd. (Automobiles) | 14,192 | ||||||
12,000 | Hoya Corp. (Health Care Equipment & Supplies) | 1,354,283 | ||||||
24,900 | ITOCHU Corp. (Trading Companies & Distributors) | 598,061 | ||||||
1,200 | Itoham Yonekyu Holdings, Inc. (Food Products) | 8,034 | ||||||
2,200 | Jafco Group Co. Ltd. (Capital Markets) | 99,497 | ||||||
228 | Japan Hotel REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 110,412 | ||||||
24,400 | Japan Tobacco, Inc. (Tobacco) | 459,383 | ||||||
6,600 | JGC Holdings Corp. (Construction & Engineering) | 54,268 | ||||||
3,300 | K’s Holdings Corp. (Specialty Retail) | 42,144 | ||||||
12,600 | Kajima Corp. (Construction & Engineering) | 134,636 | ||||||
7,200 | Kamigumi Co. Ltd. (Transportation Infrastructure) | 128,814 | ||||||
1,700 | Kandenko Co. Ltd. (Construction & Engineering) | 12,757 | ||||||
1,200 | KAWADA TECHNOLOGIES, Inc. (Construction & Engineering) | 50,095 | ||||||
200 | KDDI Corp. (Wireless Telecommunication Services) | 5,411 | ||||||
100 | Keihan Holdings Co. Ltd. (Industrial Conglomerates) | 3,799 | ||||||
20 | Kenedix Office Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 115,675 | ||||||
39 | Kenedix Residential Next Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 63,703 | ||||||
1,820 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 825,957 | ||||||
600 | Kinden Corp. (Construction & Engineering) | 9,408 | ||||||
900 | Koei Tecmo Holdings Co. Ltd. (Entertainment) | 43,971 | ||||||
7,400 | Koito Manufacturing Co. Ltd. (Auto Components) | 356,856 | ||||||
2,800 | Kose Corp. (Personal Products) | 356,931 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
44,500 | Kubota Corp. (Machinery) | 773,324 | ||||||
11,700 | Kyocera Corp. (Electronic Equipment, Instruments & Components) | 644,348 | ||||||
7,200 | Kyowa Exeo Corp. (Construction & Engineering) | 166,010 | ||||||
8,700 | Kyushu Electric Power Co., Inc. (Electric Utilities) | 72,936 | ||||||
400 | Kyushu Railway Co. (Road & Rail) | 8,508 | ||||||
5,700 | Lintec Corp. (Chemicals) | 126,357 | ||||||
100 | Makita Corp. (Machinery) | 4,420 | ||||||
6,500 | Marubeni Corp. (Trading Companies & Distributors) | 33,938 | ||||||
11,700 | MCJ Co. Ltd. (Technology Hardware, Storage & Peripherals) | 107,826 | ||||||
101 | MCUBS MidCity Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 72,446 | ||||||
2,800 | Medipal Holdings Corp. (Health Care Providers & Services) | 49,912 | ||||||
4,600 | Mirait Holdings Corp. (Construction & Engineering) | 65,486 | ||||||
23,500 | Mitsubishi Chemical Holdings Corp. (Chemicals) | 132,262 | ||||||
3,400 | Mitsubishi Corp. (Trading Companies & Distributors) | 75,859 | ||||||
1,400 | Mitsubishi Gas Chemical Co., Inc. (Chemicals) | 25,521 | ||||||
200 | Mitsubishi Heavy Industries Ltd. (Machinery) | 4,297 | ||||||
200 | Mitsubishi Shokuhin Co. Ltd. (Food & Staples Retailing) | 5,212 | ||||||
23,800 | Mitsubishi UFJ Lease & Finance Co. Ltd. (Diversified Financial Services) | 100,840 | ||||||
2,600 | Mitsui & Co. Ltd. (Trading Companies & Distributors) | 40,725 | ||||||
200 | Mitsui Chemicals, Inc. (Chemicals) | 5,122 | ||||||
15,200 | Mitsui E&S Holdings Co. Ltd.* (Machinery) | 48,132 | ||||||
31 | Mitsui Fudosan Logistics Park, Inc. (Equity Real Estate Investment Trusts (REITs)) | 148,114 | ||||||
3,500 | Morinaga Milk Industry Co. Ltd. (Food Products) | 168,744 | ||||||
17,000 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 1,192,187 | ||||||
1,900 | Nagase & Co. Ltd. (Trading Companies & Distributors) | 24,776 | ||||||
600 | Nagoya Railroad Co. Ltd. (Road & Rail) | 15,993 | ||||||
100 | NEC Corp. (IT Services) | 5,037 | ||||||
8,000 | NEC Networks & System Integration Corp. (IT Services) | 138,723 | ||||||
3,900 | NH Foods Ltd. (Food Products) | 159,756 | ||||||
6,600 | Nichi-iko Pharmaceutical Co. Ltd. (Pharmaceuticals) | 65,342 | ||||||
900 | Nippo Corp. (Construction & Engineering) | 23,118 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
2,000 | Nippon Express Co. Ltd. (Road & Rail) | $ | 112,159 | |||||
1,600 | Nippon Paper Industries Co. Ltd. (Paper & Forest Products) | 18,068 | ||||||
1,500 | Nippon Shinyaku Co. Ltd. (Pharmaceuticals) | 107,184 | ||||||
500 | Nippon Steel Corp.* (Metals & Mining) | 4,850 | ||||||
1,400 | Nippon Telegraph & Telephone Corp. (Diversified Telecommunication Services) | 29,450 | ||||||
1,900 | Nippon Yusen KK (Marine) | 35,069 | ||||||
3,800 | Nishio Rent All Co. Ltd. (Trading Companies & Distributors) | 73,751 | ||||||
5,500 | Nissan Motor Co. Ltd.* (Automobiles) | 19,473 | ||||||
200 | Nomura Research Institute Ltd. (IT Services) | 5,895 | ||||||
5,300 | NSD Co. Ltd. (IT Services) | 93,093 | ||||||
200 | NTT DOCOMO, Inc. (Wireless Telecommunication Services) | 7,447 | ||||||
7,200 | Obayashi Corp. (Construction & Engineering) | 60,252 | ||||||
900 | Oji Holdings Corp. (Paper & Forest Products) | 3,793 | ||||||
2,900 | OKUMA Corp. (Machinery) | 140,760 | ||||||
47,000 | Olympus Corp. (Health Care Equipment & Supplies) | 899,772 | ||||||
500 | ORIX Corp. (Diversified Financial Services) | 5,848 | ||||||
600 | Osaka Gas Co. Ltd. (Gas Utilities) | 11,394 | ||||||
26,700 | Penta-Ocean Construction Co. Ltd. (Construction & Engineering) | 169,310 | ||||||
4,200 | Rengo Co. Ltd. (Containers & Packaging) | 32,315 | ||||||
15,400 | Ricoh Co. Ltd. (Technology Hardware, Storage & Peripherals) | 101,135 | ||||||
100 | Rinnai Corp. (Household Durables) | 9,854 | ||||||
9,600 | Ryohin Keikaku Co. Ltd. (Multiline Retail) | 201,497 | ||||||
5,300 | Saizeriya Co. Ltd. (Hotels, Restaurants & Leisure) | 91,995 | ||||||
3,600 | Sankyu, Inc. (Road & Rail) | 128,958 | ||||||
3,400 | Sato Holdings Corp. (Commercial Services & Supplies) | 64,742 | ||||||
3,000 | Sawai Pharmaceutical Co. Ltd. (Pharmaceuticals) | 144,599 | ||||||
5,200 | Seiko Holdings Corp. (Textiles, Apparel & Luxury Goods) | 65,498 | ||||||
600 | Seino Holdings Co. Ltd. (Road & Rail) | 7,753 | ||||||
10,500 | Sekisui House Ltd. (Household Durables) | 174,440 | ||||||
3,200 | Seria Co. Ltd. (Multiline Retail) | 123,293 | ||||||
400 | SG Holdings Co. Ltd. (Air Freight & Logistics) | 9,648 | ||||||
2,500 | Shikoku Electric Power Co. Inc. (Electric Utilities) | 17,969 | ||||||
1,100 | Shimizu Corp. (Construction & Engineering) | 7,638 | ||||||
2,700 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 360,630 | ||||||
9,800 | Shinsei Bank Ltd. (Banks) | 117,909 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
2,500 | Ship Healthcare Holdings, Inc. (Health Care Providers & Services) | 118,631 | ||||||
400 | SMC Corp. (Machinery) | 212,762 | ||||||
400 | SoftBank Corp. (Wireless Telecommunication Services) | 4,655 | ||||||
21,400 | Sojitz Corp. (Trading Companies & Distributors) | 47,089 | ||||||
11,500 | Sompo Holdings, Inc. (Insurance) | 429,363 | ||||||
500 | Sony Corp. (Household Durables) | 41,683 | ||||||
200 | Sugi Holdings Co. Ltd. (Food & Staples Retailing) | 13,207 | ||||||
3,300 | Sumitomo Bakelite Co. Ltd. (Chemicals) | 93,399 | ||||||
1,400 | Sumitomo Corp. (Trading Companies & Distributors) | 15,317 | ||||||
200 | Sumitomo Electric Industries Ltd. (Auto Components) | 2,208 | ||||||
11,200 | Sumitomo Forestry Co. Ltd. (Household Durables) | 176,429 | ||||||
28,000 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 775,093 | ||||||
6,400 | Sushiro Global Holdings Ltd. (Hotels, Restaurants & Leisure) | 173,737 | ||||||
200 | Suzuken Co. Ltd. (Health Care Providers & Services) | 7,220 | ||||||
900 | Takashimaya Co. Ltd. (Multiline Retail) | 6,727 | ||||||
44,100 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 1,362,804 | ||||||
5,300 | TBS Holdings, Inc. (Media) | 81,845 | ||||||
2,000 | Teijin Ltd. (Chemicals) | 30,636 | ||||||
23,800 | Terumo Corp. (Health Care Equipment & Supplies) | 875,935 | ||||||
24,200 | The Chiba Bank Ltd. (Banks) | 125,000 | ||||||
5,300 | The Chugoku Electric Power Co., Inc. (Electric Utilities) | 66,588 | ||||||
700 | The Kansai Electric Power Co., Inc. (Electric Utilities) | 6,370 | ||||||
5,600 | TIS, Inc. (IT Services) | 107,101 | ||||||
800 | Tobu Railway Co. Ltd. (Road & Rail) | 22,701 | ||||||
3,000 | Toda Corp. (Construction & Engineering) | 17,137 | ||||||
8,400 | Tohoku Electric Power Co., Inc. (Electric Utilities) | 74,114 | ||||||
4,200 | Tokyo Electric Power Co. Holdings, Inc.* (Electric Utilities) | 10,838 | ||||||
2,300 | Tokyotokeiba Co. Ltd. (Hotels, Restaurants & Leisure) | 114,495 | ||||||
1,700 | Toppan Printing Co. Ltd. (Commercial Services & Supplies) | 21,618 | ||||||
3,900 | Towa Pharmaceutical Co. Ltd. (Pharmaceuticals) | 72,231 | ||||||
1,700 | Toyo Suisan Kaisha Ltd. (Food Products) | 84,602 | ||||||
1,400 | Toyobo Co. Ltd. (Chemicals) | 18,665 | ||||||
6,300 | Toyoda Gosei Co. Ltd. (Auto Components) | 160,114 | ||||||
900 | Toyota Boshoku Corp. (Auto Components) | 13,073 | ||||||
400 | Toyota Motor Corp. (Automobiles) | 26,259 | ||||||
|
|
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
500 | Toyota Tsusho Corp. (Trading Companies & Distributors) | $ | 13,953 | |||||
4,700 | TS Tech Co. Ltd. (Auto Components) | 130,090 | ||||||
1,000 | Tsuruha Holdings, Inc. (Food & Staples Retailing) | 140,025 | ||||||
1,800 | Ube Industries Ltd. (Chemicals) | 30,902 | ||||||
300 | Welcia Holdings Co. Ltd. (Food & Staples Retailing) | 11,748 | ||||||
1,300 | Yamada Holdings Co. Ltd. (Specialty Retail) | 6,339 | ||||||
200 | Yamato Holdings Co. Ltd. (Air Freight & Logistics) | 5,294 | ||||||
400 | Yaoko Co. Ltd. (Food & Staples Retailing) | 28,313 | ||||||
13,800 | Z Holdings Corp. (Interactive Media & Services) | 96,228 | ||||||
3,100 | Zenkoku Hosho Co. Ltd. (Diversified Financial Services) | 122,258 | ||||||
11,000 | Zeon Corp. (Chemicals) | 133,831 | ||||||
|
| |||||||
24,698,904 | ||||||||
|
| |||||||
Luxembourg – 0.1% | ||||||||
21,710 | ArcelorMittal SA* (Metals & Mining) | 294,388 | ||||||
616 | Aroundtown SA* (Real Estate Management & Development) | 2,955 | ||||||
35,769 | B&M European Value Retail SA (Multiline Retail) | 224,483 | ||||||
11 | Eurofins Scientific SE* (Life Sciences Tools & Services) | 8,759 | ||||||
131 | RTL Group SA* (Media) | 4,978 | ||||||
|
| |||||||
535,563 | ||||||||
|
| |||||||
Macau – 0.1% | ||||||||
130,800 | Sands China Ltd. (Hotels, Restaurants & Leisure) | 459,056 | ||||||
|
| |||||||
Malaysia – 0.1% | ||||||||
42,500 | Hartalega Holdings Bhd (Health Care Equipment & Supplies) | 184,358 | ||||||
32,200 | Kossan Rubber Industries (Health Care Equipment & Supplies) | 58,181 | ||||||
53,354 | RHB Bank Bhd (Banks) | 54,302 | ||||||
156,400 | Top Glove Corp. Bhd (Health Care Equipment & Supplies) | 322,578 | ||||||
|
| |||||||
619,419 | ||||||||
|
| |||||||
Mexico – 0.3% | ||||||||
111,122 | Fibra Uno Administracion SA de CV (Equity Real Estate Investment Trusts (REITs)) | 84,187 | ||||||
21,260 | Gruma SAB de CV Class B (Food Products) | 226,126 | ||||||
14,300 | Grupo Aeroportuario del Centro Norte SAB de CV* (Transportation Infrastructure) | 64,531 | ||||||
27,400 | Grupo Bimbo SAB de CV Series A (Food Products) | 52,949 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Mexico – (continued) | ||||||||
116,778 | Grupo Financiero Banorte SAB de CV Class O* (Banks) | 520,261 | ||||||
136,900 | Grupo Mexico SAB de CV Series B (Metals & Mining) | 388,856 | ||||||
78,400 | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | 189,426 | ||||||
|
| |||||||
1,526,336 | ||||||||
|
| |||||||
Netherlands – 2.0% | ||||||||
4,423 | Aalberts NV (Machinery) | 148,388 | ||||||
320 | Adyen NV*(a) (IT Services) | 537,838 | ||||||
14,753 | Airbus SE* (Aerospace & Defense) | 1,079,419 | ||||||
18,474 | Akzo Nobel NV (Chemicals) | 1,776,982 | ||||||
1,748 | ASM International NV (Semiconductors & Semiconductor Equipment) | 249,668 | ||||||
2,371 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 856,450 | ||||||
5,884 | ASR Nederland NV (Insurance) | 178,553 | ||||||
1,244 | Euronext NV(a) (Capital Markets) | 129,527 | ||||||
1,356 | EXOR NV (Diversified Financial Services) | 70,548 | ||||||
2,828 | Ferrari NV (Automobiles) | 504,492 | ||||||
67 | Heineken Holding NV (Beverages) | 5,163 | ||||||
300,253 | ING Groep NV* (Banks) | 2,056,648 | ||||||
12,901 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 353,691 | ||||||
268 | Koninklijke DSM NV (Chemicals) | 42,861 | ||||||
16,462 | Koninklijke Philips NV* (Health Care Equipment & Supplies) | 762,466 | ||||||
2,392 | Koninklijke Vopak NV (Oil, Gas & Consumable Fuels) | 124,332 | ||||||
4,200 | LyondellBasell Industries NV Class A (Chemicals) | 287,490 | ||||||
900 | Mylan NV* (Pharmaceuticals) | 13,086 | ||||||
1,833 | NN Group NV (Insurance) | 63,790 | ||||||
43,404 | PostNL NV* (Air Freight & Logistics) | 143,959 | ||||||
7,195 | QIAGEN NV* (Life Sciences Tools & Services) | 341,639 | ||||||
9,422 | Randstad NV* (Professional Services) | 470,125 | ||||||
937 | Shop Apotheke Europe NV*(a) (Internet & Direct Marketing Retail) | 155,480 | ||||||
4,166 | Signify NV*(a) (Electrical Equipment) | 147,873 | ||||||
136 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 4,149 | ||||||
143 | Unilever NV (Personal Products) | 8,061 | ||||||
|
| |||||||
10,512,678 | ||||||||
|
| |||||||
New Zealand – 0.0% | ||||||||
2,085 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Supplies) | 48,235 | ||||||
40,753 | Spark New Zealand Ltd. (Diversified Telecommunication Services) | 120,941 | ||||||
|
| |||||||
169,176 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Norway – 0.1% | ||||||||
6,888 | Entra ASA(a) (Real Estate Management & Development) | $ | 90,047 | |||||
372 | Equinor ASA (Oil, Gas & Consumable Fuels) | 4,747 | ||||||
22,965 | LINK Mobility Group Holding ASA* (Software) | 122,683 | ||||||
7,711 | Orkla ASA (Food Products) | 72,790 | ||||||
153 | Tomra Systems ASA (Commercial Services & Supplies) | 6,179 | ||||||
|
| |||||||
296,446 | ||||||||
|
| |||||||
Pakistan – 0.0% | ||||||||
20,141 | Oil & Gas Development Co. Ltd. (Oil, Gas & Consumable Fuels) | 11,877 | ||||||
|
| |||||||
Philippines – 0.0% | ||||||||
52,950 | BDO Unibank, Inc. (Banks) | 96,960 | ||||||
5,320 | SM Investments Corp. (Industrial Conglomerates) | 104,331 | ||||||
|
| |||||||
201,291 | ||||||||
|
| |||||||
Poland – 0.1% | ||||||||
3,220 | CD Projekt SA* (Entertainment) | 273,414 | ||||||
9,899 | KGHM Polska Miedz SA* (Metals & Mining) | 296,199 | ||||||
2,749 | Polski Koncern Naftowy ORLEN SA (Oil, Gas & Consumable Fuels) | 26,495 | ||||||
|
| |||||||
596,108 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
4,649 | EDP – Energias de Portugal SA (Electric Utilities) | 22,932 | ||||||
36,577 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | 297,048 | ||||||
120,767 | Sonae SGPS SA (Food & Staples Retailing) | 71,184 | ||||||
|
| |||||||
391,164 | ||||||||
|
| |||||||
Puerto Rico – 0.0% | ||||||||
3,149 | EVERTEC, Inc. (IT Services) | 104,799 | ||||||
700 | Popular, Inc. (Banks) | 29,540 | ||||||
|
| |||||||
134,339 | ||||||||
|
| |||||||
Qatar – 0.1% | ||||||||
�� | 143,264 | Barwa Real Estate Co. (Real Estate Management & Development) | 131,216 | |||||
51,176 | Ooredoo QPSC (Diversified Telecommunication Services) | 92,874 | ||||||
43,539 | The Commercial Bank PQSC (Banks) | 51,027 | ||||||
178,724 | United Development Co. QSC (Real Estate Management & Development) | 72,534 | ||||||
|
| |||||||
347,651 | ||||||||
|
| |||||||
Russia – 0.3% | ||||||||
2,956 | LUKOIL PJSC ADR (Oil, Gas & Consumable Fuels) | 151,238 | ||||||
10,097 | Magnit PJSC GDR (Food & Staples Retailing) | 139,238 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Russia – (continued) | ||||||||
21,493 | MMC Norilsk Nickel PJSC ADR (Metals & Mining) | 510,459 | ||||||
455 | Polymetal International PLC (Metals & Mining) | 9,671 | ||||||
15,538 | Sberbank of Russia PJSC (Banks) | 156,956 | ||||||
22,600 | Sberbank of Russia PJSC ADR (Banks) | 228,486 | ||||||
15,500 | Surgutneftegas PJSC ADR (Oil, Gas & Consumable Fuels) | 65,022 | ||||||
205,076 | VTB Bank PJSC GDR (Banks) | 159,242 | ||||||
3,858 | X5 Retail Group NV GDR (Food & Staples Retailing) | 135,607 | ||||||
2,657 | Yandex NV Class A* (Interactive Media & Services) | 152,963 | ||||||
|
| |||||||
1,708,882 | ||||||||
|
| |||||||
Singapore – 0.2% | ||||||||
836 | BOC Aviation Ltd.(a) (Trading Companies & Distributors) | 5,177 | ||||||
83,900 | ComfortDelGro Corp. Ltd. (Road & Rail) | 82,982 | ||||||
32,700 | DBS Group Holdings Ltd. (Banks) | 487,094 | ||||||
145,900 | Frasers Logistics & Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 131,563 | ||||||
52,100 | Keppel DC REIT (Equity Real Estate Investment Trusts (REITs)) | 110,620 | ||||||
2,400 | Mapletree Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 3,026 | ||||||
93,700 | Mapletree Industrial Trust (Equity Real Estate Investment Trusts (REITs)) | 208,825 | ||||||
13,700 | Mapletree Logistics Trust (Equity Real Estate Investment Trusts (REITs)) | 19,570 | ||||||
8,500 | Olam International Ltd. (Food & Staples Retailing) | 7,974 | ||||||
16,100 | Sembcorp Industries Ltd. (Industrial Conglomerates) | 18,635 | ||||||
1,300 | Singapore Airlines Ltd. (Airlines) | 3,226 | ||||||
21,200 | UOL Group Ltd. (Real Estate Management & Development) | 96,634 | ||||||
24,000 | Wilmar International Ltd. (Food Products) | 71,053 | ||||||
|
| |||||||
1,246,379 | ||||||||
|
| |||||||
South Africa – 0.4% | ||||||||
10,773 | African Rainbow Minerals Ltd. (Metals & Mining) | 151,529 | ||||||
1,608 | Anglo American Platinum Ltd. (Metals & Mining) | 106,474 | ||||||
5,576 | AngloGold Ashanti Ltd. (Metals & Mining) | 128,501 | ||||||
31,822 | Clicks Group Ltd. (Food & Staples Retailing) | 461,381 | ||||||
5,271 | Exxaro Resources Ltd. (Oil, Gas & Consumable Fuels) | 35,559 | ||||||
19,300 | Gold Fields Ltd. ADR (Metals & Mining) | 210,949 | ||||||
|
|
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
South Africa – (continued) | ||||||||
17,505 | Investec Ltd. (Capital Markets) | $ | 32,232 | |||||
3,276 | Kumba Iron Ore Ltd. (Metals & Mining) | 97,262 | ||||||
15,573 | MTN Group Ltd. (Wireless Telecommunication Services) | 55,604 | ||||||
2,862 | Naspers Ltd. Class N (Internet & Direct Marketing Retail) | 558,741 | ||||||
33,792 | Shoprite Holdings Ltd. (Food & Staples Retailing) | 267,678 | ||||||
|
| |||||||
2,105,910 | ||||||||
|
| |||||||
South Korea – 2.2% | ||||||||
11,298 | BNK Financial Group, Inc. (Banks) | 55,191 | ||||||
160 | CJ CheilJedang Corp. (Food Products) | 47,559 | ||||||
216 | CJ Corp. (Industrial Conglomerates) | 14,523 | ||||||
1,168 | Daelim Industrial Co. Ltd. (Construction & Engineering) | 80,726 | ||||||
1,737 | DB HiTek Co. Ltd. (Semiconductors & Semiconductor Equipment) | 49,318 | ||||||
593 | DB Insurance Co. Ltd. (Insurance) | 23,184 | ||||||
2,319 | DGB Financial Group, Inc. (Banks) | 12,735 | ||||||
226 | E-MART, Inc. (Food & Staples Retailing) | 28,453 | ||||||
902 | GS Holdings Corp. (Oil, Gas & Consumable Fuels) | 26,364 | ||||||
6,956 | Hana Financial Group, Inc. (Banks) | 187,899 | ||||||
499 | Hanssem Co. Ltd. (Household Durables) | 41,719 | ||||||
1,082 | Hanwha Corp. (Industrial Conglomerates) | 19,675 | ||||||
1,058 | Hyundai Marine & Fire Insurance Co. Ltd. (Insurance) | 21,791 | ||||||
1,224 | Hyundai Mobis Co. Ltd. (Auto Components) | 245,245 | ||||||
3,926 | Hyundai Motor Co. (Automobiles) | 574,672 | ||||||
3,117 | Industrial Bank of Korea (Banks) | 22,631 | ||||||
1,106 | Kakao Corp. (Interactive Media & Services) | 322,500 | ||||||
12,864 | KB Financial Group, Inc. (Banks) | 460,142 | ||||||
11,492 | Kia Motors Corp. (Automobiles) | 515,406 | ||||||
12,055 | KT Corp. ADR (Diversified Telecommunication Services) | 115,969 | ||||||
1,165 | LG Chem Ltd. (Chemicals) | 635,252 | ||||||
4,036 | LG Electronics, Inc. (Household Durables) | 286,094 | ||||||
90 | LG Household & Health Care Ltd. (Personal Products) | 119,329 | ||||||
753 | LG Innotek Co. Ltd. (Electronic Equipment, Instruments & Components) | 102,082 | ||||||
3,923 | NAVER Corp. (Interactive Media & Services) | 1,003,781 | ||||||
257 | NCSoft Corp. (Entertainment) | 176,580 | ||||||
172 | POSCO (Metals & Mining) | 31,752 | ||||||
162 | Samsung Biologics Co. Ltd.*(a) (Life Sciences Tools & Services) | 97,896 | ||||||
51,188 | Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals) | 2,571,927 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
South Korea – (continued) | ||||||||
1,218 | Samsung Electronics Co. Ltd. GDR (Technology Hardware, Storage & Peripherals) | 1,536,593 | ||||||
525 | Seegene, Inc. (Biotechnology) | 120,231 | ||||||
16,838 | Shinhan Financial Group Co. Ltd. (Banks) | 456,853 | ||||||
550 | SK Holdings Co. Ltd. (Industrial Conglomerates) | 89,567 | ||||||
22,361 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 1,586,353 | ||||||
43 | SK Innovation Co. Ltd. (Oil, Gas & Consumable Fuels) | 4,806 | ||||||
62 | SK Telecom Co. Ltd. (Wireless Telecommunication Services) | 11,757 | ||||||
499 | Soulbrain Co. Ltd. (Chemicals) | 19,022 | ||||||
8,205 | Woori Financial Group, Inc. (Banks) | 64,783 | ||||||
|
| |||||||
11,780,360 | ||||||||
|
| |||||||
Spain – 1.0% | ||||||||
4,345 | Aena SME SA*(a) (Transportation Infrastructure) | 585,427 | ||||||
38,903 | Amadeus IT Group SA (IT Services) | 1,853,578 | ||||||
327,090 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 943,704 | ||||||
452,020 | CaixaBank SA (Banks) | 824,751 | ||||||
266 | Cellnex Telecom SA(a) (Diversified Telecommunication Services) | 17,075 | ||||||
2,639 | Enagas SA (Gas Utilities) | 56,960 | ||||||
16,305 | Iberdrola SA (Electric Utilities) | 192,523 | ||||||
17,877 | Indra Sistemas SA* (IT Services) | 107,211 | ||||||
10,727 | Inmobiliaria Colonial Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 76,361 | ||||||
329,695 | International Consolidated Airlines Group SA (Airlines) | 412,314 | ||||||
465 | Siemens Gamesa Renewable Energy SA (Electrical Equipment) | 13,196 | ||||||
1,632 | Telefonica SA (Diversified Telecommunication Services) | 5,309 | ||||||
|
| |||||||
5,088,409 | ||||||||
|
| |||||||
Sweden – 0.6% | ||||||||
8,097 | AAK AB* (Food Products) | 157,585 | ||||||
14,747 | Atlas Copco AB Class A (Machinery) | 650,950 | ||||||
15,837 | Betsson AB* (Hotels, Restaurants & Leisure) | 120,670 | ||||||
9,923 | Castellum AB (Real Estate Management & Development) | 206,603 | ||||||
15,116 | Essity AB Class B (Household Products) | 437,507 | ||||||
271 | Fastighets AB Balder* (Real Estate Management & Development) | 12,754 | ||||||
15,171 | Husqvarna AB Class B (Household Durables) | 156,437 | ||||||
52 | ICA Gruppen AB (Food & Staples Retailing) | 2,462 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Sweden – (continued) | ||||||||
337 | Industrivarden AB Class A* (Diversified Financial Services) | $ | 9,053 | |||||
161 | Industrivarden AB Class C* (Diversified Financial Services) | 4,111 | ||||||
226 | Investor AB (Diversified Financial Services) | 13,514 | ||||||
948 | Investor AB Class B (Diversified Financial Services) | 56,822 | ||||||
7,751 | Kinnevik AB (Diversified Financial Services) | 317,395 | ||||||
305 | L E Lundbergforetagen AB Class B* (Diversified Financial Services) | 13,709 | ||||||
5,151 | Loomis AB* (Commercial Services & Supplies) | 115,021 | ||||||
7,416 | Mycronic AB (Electronic Equipment, Instruments & Components) | 156,467 | ||||||
763 | Nibe Industrier AB Class B* (Building Products) | 18,372 | ||||||
203 | Skanska AB Class B (Construction & Engineering) | 3,807 | ||||||
514 | Svenska Cellulosa AB SCA Class B* (Paper & Forest Products) | 6,953 | ||||||
1,384 | Swedish Match AB (Tobacco) | 104,053 | ||||||
10,668 | Trelleborg AB Class B* (Machinery) | 177,513 | ||||||
29,624 | Volvo AB Class B* (Machinery) | 575,807 | ||||||
|
| |||||||
3,317,565 | ||||||||
|
| |||||||
Switzerland – 3.5% | ||||||||
53,755 | ABB Ltd. (Electrical Equipment) | 1,304,366 | ||||||
424 | Adecco Group AG (Professional Services) | 20,790 | ||||||
14,540 | Alcon, Inc.* (Health Care Equipment & Supplies) | 826,644 | ||||||
146 | Baloise Holding AG (Insurance) | 19,966 | ||||||
177 | Banque Cantonale Vaudoise (Banks) | 17,151 | ||||||
1 | Barry Callebaut AG (Food Products) | 2,065 | ||||||
490 | Bucher Industries AG (Machinery) | 188,906 | ||||||
1,737 | Cembra Money Bank AG (Consumer Finance) | 192,987 | ||||||
23,904 | Cie Financiere Richemont SA (Textiles, Apparel & Luxury Goods) | 1,494,090 | ||||||
634 | DKSH Holding AG (Professional Services) | 40,792 | ||||||
10 | EMS-Chemie Holding AG (Chemicals) | 8,796 | ||||||
20 | Geberit AG (Building Products) | 11,383 | ||||||
42 | Givaudan SA (Chemicals) | 171,273 | ||||||
8,234 | Julius Baer Group Ltd. (Capital Markets) | 366,456 | ||||||
329 | Kuehne & Nagel International AG (Marine) | 65,755 | ||||||
1,137 | Logitech International SA (Technology Hardware, Storage & Peripherals) | 95,652 | ||||||
1,382 | Lonza Group AG (Life Sciences Tools & Services) | 837,368 | ||||||
27,308 | Nestle SA (Food Products) | 3,071,546 | ||||||
28,514 | Novartis AG (Pharmaceuticals) | 2,221,884 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | ||||||||
1,828 | PSP Swiss Property AG (Real Estate Management & Development) | 221,053 | ||||||
9,049 | Roche Holding AG (Pharmaceuticals) | 2,907,766 | ||||||
30 | Schindler Holding AG (Machinery) | 7,693 | ||||||
11,440 | SIG Combibloc Group AG* (Containers & Packaging) | 235,307 | ||||||
5,435 | Sika AG (Chemicals) | 1,337,036 | ||||||
23 | Swiss Life Holding AG (Insurance) | 7,737 | ||||||
340 | Swiss Prime Site AG (Real Estate Management & Development) | 28,604 | ||||||
471 | Swisscom AG (Diversified Telecommunication Services) | 239,551 | ||||||
68,153 | UBS Group AG (Capital Markets) | 793,435 | ||||||
1,556 | Wizz Air Holdings PLC*(a) (Airlines) | 64,416 | ||||||
4,961 | Zurich Insurance Group AG (Insurance) | 1,647,774 | ||||||
|
| |||||||
18,448,242 | ||||||||
|
| |||||||
Taiwan – 2.2% | ||||||||
76,000 | Cathay Financial Holding Co. Ltd. (Insurance) | 102,124 | ||||||
15,000 | Dyaco International, Inc. (Leisure Products) | 69,460 | ||||||
14,000 | Elan Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 66,132 | ||||||
278,000 | Evergreen Marine Corp. Taiwan Ltd.* (Marine) | 183,930 | ||||||
40,394 | Foxconn Technology Co. Ltd. (Electronic Equipment, Instruments & Components) | 70,842 | ||||||
344,217 | Fubon Financial Holding Co. Ltd. (Insurance) | 490,356 | ||||||
23,300 | Giant Manufacturing Co. Ltd. (Leisure Products) | 230,178 | ||||||
14,000 | Gigabyte Technology Co. Ltd. (Technology Hardware, Storage & Peripherals) | 35,227 | ||||||
10,000 | Global Lighting Technologies, Inc. (Semiconductors & Semiconductor Equipment) | 35,382 | ||||||
277,000 | Hon Hai Precision Industry Co. Ltd. (Electronic Equipment, Instruments & Components) | 751,260 | ||||||
2,948 | International Games System Co. Ltd. (Entertainment) | 77,576 | ||||||
30,000 | Kindom Development Co. Ltd. (Real Estate Management & Development) | 36,561 | ||||||
12,000 | Lotes Co. Ltd. (Electronic Equipment, Instruments & Components) | 183,463 | ||||||
27,000 | Makalot Industrial Co. Ltd. (Textiles, Apparel & Luxury Goods) | 178,974 | ||||||
29,267 | MediaTek, Inc. (Semiconductors & Semiconductor Equipment) | 695,684 | ||||||
7,000 | Merida Industry Co. Ltd. (Leisure Products) | 68,246 | ||||||
|
|
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Taiwan – (continued) | ||||||||
18,000 | Micro-Star International Co. Ltd. (Technology Hardware, Storage & Peripherals) | $ | 72,557 | |||||
3,000 | momo.com, Inc. (Internet & Direct Marketing Retail) | 71,794 | ||||||
5,000 | Nan Liu Enterprise Co. Ltd. (Textiles, Apparel & Luxury Goods) | 40,619 | ||||||
7,000 | Nien Made Enterprise Co. Ltd. (Household Durables) | 78,919 | ||||||
10,000 | Novatek Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 93,451 | ||||||
42,000 | Pegatron Corp. (Technology Hardware, Storage & Peripherals) | 90,511 | ||||||
58,488 | Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment) | 230,444 | ||||||
46,096 | Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 574,238 | ||||||
28,000 | Ruentex Development Co. Ltd. (Real Estate Management & Development) | 38,719 | ||||||
2,462 | Sea Ltd. ADR* (Entertainment) | 388,257 | ||||||
23,000 | Sino-American Silicon Products, Inc. (Semiconductors & Semiconductor Equipment) | 80,354 | ||||||
120,305 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 1,820,175 | ||||||
48,498 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 4,067,527 | ||||||
402,435 | United Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 432,517 | ||||||
23,500 | Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment) | 256,369 | ||||||
4,500 | Wiwynn Corp. (Technology Hardware, Storage & Peripherals) | 114,504 | ||||||
|
| |||||||
11,726,350 | ||||||||
|
| |||||||
Thailand – 0.2% | ||||||||
8,900 | Carabao Group PCL Class F (Beverages) | 31,238 | ||||||
276,500 | Charoen Pokphand Foods PCL (Food Products) | 223,819 | ||||||
149,100 | Com7 PCL Class F (Specialty Retail) | 195,331 | ||||||
31,200 | Hana Microelectronics PCL (Electronic Equipment, Instruments & Components) | 45,010 | ||||||
44,700 | KCE Electronics PCL (Electronic Equipment, Instruments & Components) | 55,847 | ||||||
223,586 | Krung Thai Bank PCL (Banks) | 61,976 | ||||||
62,300 | Polyplex Thailand PCL (Containers & Packaging) | 48,133 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Thailand – (continued) | ||||||||
161,100 | Thai Union Group PCL Class F (Food Products) | 78,521 | ||||||
32,600 | Thai Vegetable Oil PCL (Food Products) | 35,538 | ||||||
198,900 | Thanachart Capital PCL (Banks) | 175,384 | ||||||
|
| |||||||
950,797 | ||||||||
|
| |||||||
Turkey – 0.1% | ||||||||
15,305 | BIM Birlesik Magazalar AS (Food & Staples Retailing) | 121,008 | ||||||
17,970 | Migros Ticaret AS* (Food & Staples Retailing) | 80,334 | ||||||
83,282 | Turkiye Halk Bankasi AS* (Banks) | 46,743 | ||||||
82,530 | Turkiye Is Bankasi AS Class C* (Banks) | 50,440 | ||||||
527,895 | Yapi ve Kredi Bankasi A/S* (Banks) | 135,542 | ||||||
|
| |||||||
434,067 | ||||||||
|
| |||||||
United Arab Emirates – 0.1% | ||||||||
150,062 | Emirates NBD Bank PJSC (Banks) | 384,626 | ||||||
|
| |||||||
United Kingdom – 3.8% | ||||||||
261 | 3i Group PLC (Capital Markets) | 3,260 | ||||||
576 | Admiral Group PLC (Insurance) | 20,519 | ||||||
220,478 | Aviva PLC (Insurance) | 735,420 | ||||||
2,225 | BAE Systems PLC (Aerospace & Defense) | 11,437 | ||||||
150,757 | Balfour Beatty PLC* (Construction & Engineering) | 416,642 | ||||||
894,475 | Barclays PLC* (Banks) | 1,239,808 | ||||||
264 | BHP Group PLC (Metals & Mining) | 5,114 | ||||||
46,429 | Boohoo Group PLC* (Internet & Direct Marketing Retail) | 162,720 | ||||||
208,834 | BP PLC (Oil, Gas & Consumable Fuels) | 532,669 | ||||||
37,006 | British American Tobacco PLC (Tobacco) | 1,172,919 | ||||||
6,788 | BT Group PLC (Diversified Telecommunication Services) | 8,915 | ||||||
7,469 | Clinigen Group PLC (Life Sciences Tools & Services) | 58,271 | ||||||
7,826 | Coca-Cola European Partners PLC (Beverages) | 279,466 | ||||||
125,516 | Compass Group PLC (Hotels, Restaurants & Leisure) | 1,718,030 | ||||||
5,736 | Computacenter PLC (IT Services) | 169,424 | ||||||
49,198 | ConvaTec Group PLC(a) (Health Care Equipment & Supplies) | 115,171 | ||||||
333 | Croda International PLC (Chemicals) | 26,027 | ||||||
4,473 | Dechra Pharmaceuticals PLC (Pharmaceuticals) | 202,348 | ||||||
23,621 | Diageo PLC (Beverages) | 763,380 | ||||||
33,193 | Direct Line Insurance Group PLC (Insurance) | 113,434 | ||||||
34,696 | DS Smith PLC* (Containers & Packaging) | 127,272 | ||||||
3,234 | Endava PLC ADR* (IT Services) | 206,653 | ||||||
51,298 | Experian PLC (Professional Services) | 1,879,245 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
2,025 | Ferguson PLC (Trading Companies & Distributors) | $ | 201,125 | |||||
5,634 | Future PLC (Media) | 144,853 | ||||||
17,800 | Gates Industrial Corp. PLC* (Machinery) | 197,580 | ||||||
2,599 | Genus PLC (Biotechnology) | 138,123 | ||||||
354 | GlaxoSmithKline PLC (Pharmaceuticals) | 5,911 | ||||||
13,366 | GVC Holdings PLC* (Hotels, Restaurants & Leisure) | 167,436 | ||||||
2,195 | Halma PLC (Electronic Equipment, Instruments & Components) | 67,359 | ||||||
4,812 | Hikma Pharmaceuticals PLC (Pharmaceuticals) | 156,455 | ||||||
41,155 | Ibstock PLC*(a) (Construction Materials) | 85,589 | ||||||
15,373 | IG Group Holdings PLC (Capital Markets) | 151,708 | ||||||
20,601 | Inchcape PLC* (Distributors) | 132,150 | ||||||
9,929 | Intermediate Capital Group PLC (Capital Markets) | 150,815 | ||||||
4,646 | International Game Technology PLC (Hotels, Restaurants & Leisure) | 38,144 | ||||||
61,083 | J Sainsbury PLC (Food & Staples Retailing) | 159,440 | ||||||
12,516 | JD Sports Fashion PLC (Specialty Retail) | 120,410 | ||||||
2,999 | Johnson Matthey PLC (Chemicals) | 83,483 | ||||||
5,047 | Keywords Studios PLC (IT Services) | 138,352 | ||||||
109,253 | Legal & General Group PLC (Insurance) | 261,945 | ||||||
382 | Linde PLC (Chemicals) | 84,170 | ||||||
46,186 | M&G PLC (Diversified Financial Services) | 87,853 | ||||||
9,882 | Micro Focus International PLC* (Software) | 27,729 | ||||||
1,535 | National Grid PLC (Multi-Utilities) | 18,260 | ||||||
4,379 | Nomad Foods Ltd.* (Food Products) | 106,191 | ||||||
16,199 | Paragon Banking Group PLC (Thrifts & Mortgage Finance) | 62,158 | ||||||
648 | Pennon Group PLC (Water Utilities) | 8,339 | ||||||
26 | Persimmon PLC (Household Durables) | 787 | ||||||
21,362 | Phoenix Group Holdings PLC (Insurance) | 183,441 | ||||||
51,806 | Prudential PLC (Insurance) | 633,613 | ||||||
35,518 | QinetiQ Group PLC (Aerospace & Defense) | 108,785 | ||||||
7,602 | Reckitt Benckiser Group PLC (Household Products) | 669,649 | ||||||
22,578 | Redrow PLC* (Household Durables) | 121,732 | ||||||
41,841 | RELX PLC (Professional Services) | 827,851 | ||||||
11,902 | Rentokil Initial PLC* (Commercial Services & Supplies) | 81,031 | ||||||
9,041 | Rio Tinto PLC (Metals & Mining) | 511,371 | ||||||
460,111 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 425,863 | ||||||
56 | Royal Dutch Shell PLC Class A (Oil, Gas & Consumable Fuels) | 704 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
21,906 | Segro PLC (Equity Real Estate Investment Trusts (REITs)) | 255,965 | ||||||
158 | Severn Trent PLC (Water Utilities) | 4,973 | ||||||
36,412 | Smith & Nephew PLC (Health Care Equipment & Supplies) | 632,263 | ||||||
18,565 | Smiths Group PLC (Industrial Conglomerates) | 319,875 | ||||||
7,259 | Softcat PLC (IT Services) | 105,819 | ||||||
40 | Spirax-Sarco Engineering PLC (Machinery) | 5,848 | ||||||
4,130 | SSE PLC (Electric Utilities) | 67,730 | ||||||
16,100 | TechnipFMC PLC (Energy Equipment & Services) | 89,033 | ||||||
220,360 | Tesco PLC (Food & Staples Retailing) | 586,498 | ||||||
522 | The Sage Group PLC (Software) | 4,295 | ||||||
25,663 | TP ICAP PLC (Capital Markets) | 63,549 | ||||||
3,948 | Ultra Electronics Holdings PLC (Aerospace & Defense) | 96,327 | ||||||
6,069 | Unilever PLC (Personal Products) | 345,865 | ||||||
15,265 | Vesuvius PLC (Machinery) | 78,959 | ||||||
31,706 | WH Smith PLC (Specialty Retail) | 409,859 | ||||||
24,301 | Whitbread PLC* (Hotels, Restaurants & Leisure) | 676,607 | ||||||
25,461 | Wm Morrison Supermarkets PLC (Food & Staples Retailing) | 53,745 | ||||||
|
| |||||||
20,125,759 | ||||||||
|
| |||||||
United States – 39.9% | ||||||||
3,100 | 3M Co. (Industrial Conglomerates) | 495,876 | ||||||
7,649 | Abbott Laboratories (Health Care Equipment & Supplies) | 803,986 | ||||||
5,754 | AbbVie, Inc. (Biotechnology) | 489,665 | ||||||
6,894 | ABM Industries, Inc. (Commercial Services & Supplies) | 239,360 | ||||||
11,412 | ACCO Brands Corp. (Commercial Services & Supplies) | 60,141 | ||||||
5,669 | Activision Blizzard, Inc. (Entertainment) | 429,313 | ||||||
1,800 | Acuity Brands, Inc. (Electrical Equipment) | 160,452 | ||||||
4,151 | Adobe, Inc.* (Software) | 1,855,912 | ||||||
2,157 | AECOM* (Construction & Engineering) | 96,720 | ||||||
5,530 | Aegion Corp.* (Construction & Engineering) | 78,028 | ||||||
8,411 | AES Corp. (Independent Power and Renewable Electricity Producers) | 164,015 | ||||||
2,100 | Affiliated Managers Group, Inc. (Capital Markets) | 158,277 | ||||||
5,078 | Aflac, Inc. (Insurance) | 172,398 | ||||||
1,000 | AGCO Corp. (Machinery) | 77,030 | ||||||
50 | Agilent Technologies, Inc. (Life Sciences Tools & Services) | 5,105 | ||||||
3,145 | Agree Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 195,210 | ||||||
3,445 | Air Lease Corp. (Trading Companies & Distributors) | 93,842 | ||||||
|
|
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,108 | Air Products & Chemicals, Inc. (Chemicals) | $ | 306,074 | |||||
2,365 | Alamo Group, Inc. (Machinery) | 284,580 | ||||||
1,560 | Allegiant Travel Co. (Airlines) | 210,226 | ||||||
74 | Alliant Energy Corp. (Electric Utilities) | 4,091 | ||||||
364 | Ally Financial, Inc. (Consumer Finance) | 9,712 | ||||||
754 | Alphabet, Inc. Class A* (Interactive Media & Services) | 1,218,547 | ||||||
1,501 | Alphabet, Inc. Class C* (Interactive Media & Services) | 2,433,136 | ||||||
11,812 | Altria Group, Inc. (Tobacco) | 426,177 | ||||||
3,078 | Amazon.com, Inc.* (Internet & Direct Marketing Retail) | 9,345,270 | ||||||
4,340 | Amdocs Ltd. (IT Services) | 244,689 | ||||||
102 | Ameren Corp. (Multi-Utilities) | 8,274 | ||||||
1,000 | American Financial Group, Inc. (Insurance) | 74,940 | ||||||
81 | American Water Works Co., Inc. (Water Utilities) | 12,191 | ||||||
2,500 | Ameriprise Financial, Inc. (Capital Markets) | 402,075 | ||||||
9,610 | Ameris Bancorp (Banks) | 281,573 | ||||||
4,271 | AMERISAFE, Inc. (Insurance) | 251,904 | ||||||
2,653 | AmerisourceBergen Corp. (Health Care Providers & Services) | 254,874 | ||||||
105 | AMETEK, Inc. (Electrical Equipment) | 10,311 | ||||||
148 | Amgen, Inc. (Biotechnology) | 32,107 | ||||||
102 | Amphenol Corp. Class A (Electronic Equipment, Instruments & Components) | 11,510 | ||||||
33,600 | Annaly Capital Management, Inc. (Mortgage Real Estate Investment Trusts (REITs)) | 238,224 | ||||||
1,568 | ANSYS, Inc.* (Software) | 477,252 | ||||||
6,920 | Anthem, Inc. (Health Care Providers & Services) | 1,887,776 | ||||||
53,086 | Apple, Inc. (Technology Hardware, Storage & Peripherals) | 5,778,942 | ||||||
7,001 | Applied Materials, Inc. (Semiconductors & Semiconductor Equipment) | 414,669 | ||||||
114 | Aramark (Hotels, Restaurants & Leisure) | 3,162 | ||||||
339 | Arch Capital Group Ltd.* (Insurance) | 10,241 | ||||||
3,200 | Archer-Daniels-Midland Co. (Food Products) | 147,968 | ||||||
3,355 | Ares Commercial Real Estate Corp. (Mortgage Real Estate Investment Trusts (REITs)) | 31,235 | ||||||
322 | Arrow Electronics, Inc.* (Electronic Equipment, Instruments & Components) | 25,081 | ||||||
699 | Arthur J. Gallagher & Co. (Insurance) | 72,493 | ||||||
2,972 | ASGN, Inc.* (Professional Services) | 198,173 | ||||||
8,123 | Assured Guaranty Ltd. (Insurance) | 207,380 | ||||||
28,483 | AT&T, Inc. (Diversified Telecommunication Services) | 769,611 | ||||||
6,533 | AtriCure, Inc.* (Health Care Equipment & Supplies) | 225,780 | ||||||
400 | Autodesk, Inc.* (Software) | 94,216 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
138 | Automatic Data Processing, Inc. (IT Services) | 21,798 | ||||||
300 | AutoNation, Inc.* (Specialty Retail) | 17,019 | ||||||
272 | Avery Dennison Corp. (Containers & Packaging) | 37,642 | ||||||
11,896 | Avient Corp. (Chemicals) | 369,609 | ||||||
4,593 | Axis Capital Holdings Ltd. (Insurance) | 196,075 | ||||||
2,631 | Balchem Corp. (Chemicals) | 262,968 | ||||||
200 | Ball Corp. (Containers & Packaging) | 17,800 | ||||||
5,540 | BankUnited, Inc. (Banks) | 139,885 | ||||||
1,894 | Baxter International, Inc. (Health Care Equipment & Supplies) | 146,918 | ||||||
1,986 | Becton Dickinson & Co. (Health Care Equipment & Supplies) | 459,024 | ||||||
4,624 | Belden, Inc. (Electronic Equipment, Instruments & Components) | 142,789 | ||||||
3,178 | Berkshire Hathaway, Inc. Class B* (Diversified Financial Services) | 641,638 | ||||||
1,973 | Best Buy Co., Inc. (Specialty Retail) | 220,088 | ||||||
386 | Bio-Rad Laboratories, Inc. Class A* (Life Sciences Tools & Services) | 226,358 | ||||||
1,098 | Biogen, Inc.* (Biotechnology) | 276,773 | ||||||
12 | BlackRock, Inc. (Capital Markets) | 7,191 | ||||||
6,158 | Blackstone Mortgage Trust, Inc. Class A (Mortgage Real Estate Investment Trusts (REITs)) | 133,629 | ||||||
4,396 | BMC Stock Holdings, Inc.* (Trading Companies & Distributors) | 174,038 | ||||||
5,023 | Boot Barn Holdings, Inc.* (Specialty Retail) | 160,836 | ||||||
111 | Boston Scientific Corp.* (Health Care Equipment & Supplies) | 3,804 | ||||||
9,800 | Bristol-Myers Squibb Co. (Pharmaceuticals) | 572,810 | ||||||
680 | Broadcom, Inc. (Semiconductors & Semiconductor Equipment) | 237,748 | ||||||
13,706 | Broadridge Financial Solutions, Inc. (IT Services) | 1,885,946 | ||||||
4,319 | Brown & Brown, Inc. (Insurance) | 187,920 | ||||||
111 | Brown-Forman Corp. Class B (Beverages) | 7,738 | ||||||
900 | BWX Technologies, Inc. (Aerospace & Defense) | 49,509 | ||||||
77 | C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 6,809 | ||||||
398 | Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 7,080 | ||||||
1,725 | CACI International, Inc. Class A* (IT Services) | 359,714 | ||||||
2,999 | Cactus, Inc. Class A (Energy Equipment & Services) | 50,983 | ||||||
5,042 | Cadence Design Systems, Inc.* (Software) | 551,444 | ||||||
120 | Campbell Soup Co. (Food Products) | 5,600 | ||||||
70 | Capital One Financial Corp. (Consumer Finance) | 5,116 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,609 | Cardinal Health, Inc. (Health Care Providers & Services) | $ | 73,676 | |||||
30 | CarMax, Inc.* (Specialty Retail) | 2,593 | ||||||
3,300 | Carrier Global Corp. (Building Products) | 110,187 | ||||||
9,389 | Cathay General Bancorp (Banks) | 220,923 | ||||||
1,900 | Cboe Global Markets, Inc. (Capital Markets) | 154,451 | ||||||
522 | CDW Corp. (Electronic Equipment, Instruments & Components) | 63,997 | ||||||
85 | Centene Corp.* (Health Care Providers & Services) | 5,024 | ||||||
1,845 | Central Garden & Pet Co.* (Household Products) | 71,881 | ||||||
8,881 | Central Garden & Pet Co. Class A* (Household Products) | 314,299 | ||||||
58 | Cerner Corp. (Health Care Technology) | 4,065 | ||||||
11,916 | ChampionX Corp.* (Energy Equipment & Services) | 104,027 | ||||||
21,790 | Change Healthcare, Inc.* (Health Care Technology) | 308,328 | ||||||
17 | Charter Communications, Inc. Class A* (Media) | 10,265 | ||||||
24,305 | Chevron Corp. (Oil, Gas & Consumable Fuels) | 1,689,197 | ||||||
714 | Church & Dwight Co., Inc. (Household Products) | 63,110 | ||||||
1,382 | Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 206,125 | ||||||
4,747 | Chuy’s Holdings, Inc.* (Hotels, Restaurants & Leisure) | 99,640 | ||||||
3,061 | Cigna Corp. (Health Care Providers & Services) | 511,095 | ||||||
3,400 | Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 86,258 | ||||||
96 | Cincinnati Financial Corp. (Insurance) | 6,791 | ||||||
494 | Cintas Corp. (Commercial Services & Supplies) | 155,388 | ||||||
18,194 | Cisco Systems, Inc. (Communications Equipment) | 653,165 | ||||||
11,300 | Citigroup, Inc. (Banks) | 468,046 | ||||||
305 | Citrix Systems, Inc. (Software) | 34,547 | ||||||
1,166 | CMC Materials, Inc. (Semiconductors & Semiconductor Equipment) | 165,794 | ||||||
80 | CMS Energy Corp. (Multi-Utilities) | 5,066 | ||||||
18,975 | Cogent Communications Holdings, Inc. (Diversified Telecommunication Services) | 1,058,805 | ||||||
7,000 | Cognizant Technology Solutions Corp. Class A (IT Services) | 499,940 | ||||||
3,913 | Cohen & Steers, Inc. (Capital Markets) | 220,341 | ||||||
549 | Colgate-Palmolive Co. (Household Products) | 43,311 | ||||||
2,517 | Columbia Banking System, Inc. (Banks) | 71,508 | ||||||
2,200 | Columbia Property Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 23,276 | ||||||
6,232 | Comcast Corp. Class A (Media) | 263,240 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
2,918 | Compass Minerals International, Inc. (Metals & Mining) | 176,189 | ||||||
5,701 | Conagra Brands, Inc. (Food Products) | 200,048 | ||||||
577 | Copart, Inc.* (Commercial Services & Supplies) | 63,678 | ||||||
1,700 | CoreCivic, Inc. (Equity Real Estate Investment Trusts (REITs)) | 10,897 | ||||||
120 | Corning, Inc. (Electronic Equipment, Instruments & Components) | 3,836 | ||||||
6,000 | Corteva, Inc. (Chemicals) | 197,880 | ||||||
1,564 | CoStar Group, Inc.* (Professional Services) | 1,288,126 | ||||||
1,563 | Costco Wholesale Corp. (Food & Staples Retailing) | 558,960 | ||||||
6,153 | Cousins Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 156,778 | ||||||
4,088 | Covanta Holding Corp. (Commercial Services & Supplies) | 37,119 | ||||||
10,350 | Covetrus, Inc.* (Health Care Providers & Services) | 255,542 | ||||||
3,215 | Credit Acceptance Corp.* (Consumer Finance) | 958,456 | ||||||
1,100 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 171,820 | ||||||
10,766 | CryoLife, Inc.* (Health Care Equipment & Supplies) | 180,438 | ||||||
6,321 | CryoPort, Inc.* (Health Care Equipment & Supplies) | 253,725 | ||||||
3,500 | CSX Corp. (Road & Rail) | 276,290 | ||||||
1,448 | Cummins, Inc. (Machinery) | 318,401 | ||||||
1,500 | Curtiss-Wright Corp. (Aerospace & Defense) | 126,540 | ||||||
17,161 | CVS Health Corp. (Health Care Providers & Services) | 962,560 | ||||||
425 | D.R. Horton, Inc. (Household Durables) | 28,394 | ||||||
5,297 | Danaher Corp. (Health Care Equipment & Supplies) | 1,215,873 | ||||||
1,800 | Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 165,456 | ||||||
1,431 | Datadog, Inc.* (Software) | 129,863 | ||||||
1,521 | DaVita, Inc.* (Health Care Providers & Services) | 131,186 | ||||||
2,355 | Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 61,136 | ||||||
1,206 | Discover Financial Services (Consumer Finance) | 78,402 | ||||||
55 | Dollar General Corp. (Multiline Retail) | 11,479 | ||||||
1,700 | Dollar Tree, Inc.* (Multiline Retail) | 153,544 | ||||||
356 | Domino’s Pizza, Inc. (Hotels, Restaurants & Leisure) | 134,682 | ||||||
600 | Dover Corp. (Machinery) | 66,426 | ||||||
70 | Dow, Inc. (Chemicals) | 3,184 | ||||||
58 | Duke Energy Corp. (Electric Utilities) | 5,342 | ||||||
110 | Duke Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 4,179 | ||||||
9,233 | DXC Technology Co. (IT Services) | 170,072 | ||||||
|
|
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
7,965 | eBay, Inc. (Internet & Direct Marketing Retail) | $ | 379,373 | |||||
267 | Ecolab, Inc. (Chemicals) | 49,019 | ||||||
400 | Edwards Lifesciences Corp.* (Health Care Equipment & Supplies) | 28,676 | ||||||
32,751 | Electronic Arts, Inc.* (Entertainment) | 3,924,552 | ||||||
4,739 | Eli Lilly & Co. (Pharmaceuticals) | 618,250 | ||||||
2,132 | EMCOR Group, Inc. (Construction & Engineering) | 145,381 | ||||||
3,299 | Emergent BioSolutions, Inc.* (Biotechnology) | 296,811 | ||||||
6,453 | Energizer Holdings, Inc. (Household Products) | 253,926 | ||||||
4,564 | EnerSys (Electrical Equipment) | 326,782 | ||||||
21,725 | Entegris, Inc. (Semiconductors & Semiconductor Equipment) | 1,624,378 | ||||||
50 | Entergy Corp. (Electric Utilities) | 5,061 | ||||||
5,985 | Envista Holdings Corp.* (Health Care Equipment & Supplies) | 158,124 | ||||||
579 | EPAM Systems, Inc.* (IT Services) | 178,882 | ||||||
308 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 225,222 | ||||||
4,600 | Equitable Holdings, Inc. (Diversified Financial Services) | 98,854 | ||||||
5,517 | Essent Group Ltd. (Thrifts & Mortgage Finance) | 219,852 | ||||||
2,048 | Evercore, Inc. Class A (Capital Markets) | 162,898 | ||||||
24 | Everest Re Group Ltd. (Insurance) | 4,730 | ||||||
60 | Eversource Energy (Electric Utilities) | 5,236 | ||||||
10,705 | Exelon Corp. (Electric Utilities) | 427,022 | ||||||
1,375 | Expeditors International of Washington, Inc. (Air Freight & Logistics) | 121,509 | ||||||
7,770 | Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 88,190 | ||||||
2,086 | Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 68,045 | ||||||
9,700 | F.N.B. Corp. (Banks) | 73,332 | ||||||
27,773 | Facebook, Inc. Class A* (Interactive Media & Services) | 7,307,354 | ||||||
47 | FactSet Research Systems, Inc. (Capital Markets) | 14,406 | ||||||
2,266 | Fastenal Co. (Trading Companies & Distributors) | 97,959 | ||||||
659 | Federal Agricultural Mortgage Corp. Class C (Thrifts & Mortgage Finance) | 42,565 | ||||||
3,100 | Federated Hermes, Inc. (Capital Markets) | 74,090 | ||||||
221 | FedEx Corp. (Air Freight & Logistics) | 57,343 | ||||||
2,014 | First American Financial Corp. (Insurance) | 89,804 | ||||||
187 | First Citizens BancShares, Inc. Class A (Banks) | 86,525 | ||||||
8,837 | First Hawaiian, Inc. (Banks) | 152,527 | ||||||
10,686 | First Horizon National Corp. (Banks) | 111,241 | ||||||
2,863 | First Merchants Corp. (Banks) | 74,753 | ||||||
2,720 | FirstCash, Inc. (Consumer Finance) | 141,549 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
118 | Fiserv, Inc.* (IT Services) | 11,265 | ||||||
2,469 | Five Below, Inc.* (Specialty Retail) | 329,216 | ||||||
3,954 | Foot Locker, Inc. (Specialty Retail) | 145,824 | ||||||
30,744 | Ford Motor Co. (Automobiles) | 237,651 | ||||||
1,630 | Fortune Brands Home & Security, Inc. (Building Products) | 131,818 | ||||||
2,887 | Fresh Del Monte Produce, Inc. (Food Products) | 62,157 | ||||||
3,688 | frontdoor, Inc.* (Diversified Consumer Services) | 146,119 | ||||||
2,068 | FTI Consulting, Inc.* (Professional Services) | 203,615 | ||||||
7,193 | Gaming & Leisure Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 261,466 | ||||||
89 | Garmin Ltd. (Household Durables) | 9,258 | ||||||
183,315 | General Electric Co. (Industrial Conglomerates) | 1,360,197 | ||||||
5,123 | General Mills, Inc. (Food Products) | 302,872 | ||||||
22,691 | General Motors Co. (Automobiles) | 783,520 | ||||||
893 | Gentex Corp. (Auto Components) | 24,709 | ||||||
252 | Genuine Parts Co. (Distributors) | 22,788 | ||||||
7,600 | Gilead Sciences, Inc. (Biotechnology) | 441,940 | ||||||
8,373 | Glacier Bancorp, Inc. (Banks) | 299,753 | ||||||
592 | Globe Life, Inc. (Insurance) | 48,005 | ||||||
6,784 | Globus Medical, Inc. Class A* (Health Care Equipment & Supplies) | 353,582 | ||||||
4,767 | Grand Canyon Education, Inc.* (Diversified Consumer Services) | 373,590 | ||||||
30,354 | Graphic Packaging Holding Co. (Containers & Packaging) | 403,405 | ||||||
2,147 | Haemonetics Corp.* (Health Care Equipment & Supplies) | 217,040 | ||||||
6,000 | Halozyme Therapeutics, Inc.* (Biotechnology) | 168,000 | ||||||
8,001 | Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 128,576 | ||||||
4,245 | Harley-Davidson, Inc. (Automobiles) | 139,576 | ||||||
6,806 | Harsco Corp.* (Commercial Services & Supplies) | 87,797 | ||||||
12,255 | HCA Healthcare, Inc. (Health Care Providers & Services) | 1,518,885 | ||||||
2,902 | HD Supply Holdings, Inc.* (Trading Companies & Distributors) | 115,674 | ||||||
4,950 | HealthEquity, Inc.* (Health Care Providers & Services) | 254,876 | ||||||
11,460 | Heartland Express, Inc. (Road & Rail) | 209,833 | ||||||
8,316 | HEICO Corp. Class A (Aerospace & Defense) | 777,546 | ||||||
1,471 | Helen of Troy Ltd.* (Household Durables) | 278,902 | ||||||
6,280 | Helios Technologies, Inc. (Machinery) | 262,755 | ||||||
1,485 | Henry Schein, Inc.* (Health Care Providers & Services) | 94,416 | ||||||
2,098 | Hillenbrand, Inc. (Machinery) | 61,367 | ||||||
13,761 | Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 1,208,353 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
118 | Honeywell International, Inc. (Industrial Conglomerates) | $ | 19,464 | |||||
8,096 | Horace Mann Educators Corp. (Insurance) | 274,535 | ||||||
336 | Hormel Foods Corp. (Food Products) | 16,360 | ||||||
4,650 | Houlihan Lokey, Inc. (Capital Markets) | 291,555 | ||||||
3,686 | HP, Inc. (Technology Hardware, Storage & Peripherals) | 66,201 | ||||||
1,773 | Humana, Inc. (Health Care Providers & Services) | 707,923 | ||||||
200 | Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 29,496 | ||||||
2,621 | Huntsman Corp. (Chemicals) | 63,664 | ||||||
799 | IAA, Inc.* (Commercial Services & Supplies) | 45,215 | ||||||
3,656 | ICF International, Inc. (Professional Services) | 239,066 | ||||||
1,498 | ICU Medical, Inc.* (Health Care Equipment & Supplies) | 266,329 | ||||||
2,925 | IDACORP, Inc. (Electric Utilities) | 256,610 | ||||||
32 | IDEX Corp. (Machinery) | 5,452 | ||||||
18 | IDEXX Laboratories, Inc.* (Health Care Equipment & Supplies) | 7,647 | ||||||
1,910 | IHS Markit Ltd. (Professional Services) | 154,462 | ||||||
555 | Illinois Tool Works, Inc. (Machinery) | 108,713 | ||||||
1,709 | Ingevity Corp.* (Chemicals) | 93,790 | ||||||
62 | Ingredion, Inc. (Food Products) | 4,395 | ||||||
4,626 | Insight Enterprises, Inc.* (Electronic Equipment, Instruments & Components) | 246,797 | ||||||
4,776 | Integra LifeSciences Holdings Corp.* (Health Care Equipment & Supplies) | 210,622 | ||||||
14,866 | Intel Corp. (Semiconductors & Semiconductor Equipment) | 658,266 | ||||||
2,420 | InterDigital, Inc. (Communications Equipment) | 135,472 | ||||||
4,785 | International Business Machines Corp. (IT Services) | 534,293 | ||||||
184 | International Paper Co. (Containers & Packaging) | 8,050 | ||||||
969 | Intuit, Inc. (Software) | 304,925 | ||||||
6 | Intuitive Surgical, Inc.* (Health Care Equipment & Supplies) | 4,002 | ||||||
705 | J.B. Hunt Transport Services, Inc. (Road & Rail) | 85,827 | ||||||
2,900 | Jabil, Inc. (Electronic Equipment, Instruments & Components) | 96,106 | ||||||
54 | Jack Henry & Associates, Inc. (IT Services) | 8,006 | ||||||
4,586 | Johnson & Johnson (Pharmaceuticals) | 628,786 | ||||||
14,874 | Jones Lang LaSalle, Inc. (Real Estate Management & Development) | 1,678,680 | ||||||
3,300 | JPMorgan Chase & Co. (Banks) | 323,532 | ||||||
269 | Kansas City Southern (Road & Rail) | 47,382 | ||||||
10,974 | KAR Auction Services, Inc. (Commercial Services & Supplies) | 159,781 | ||||||
3,100 | KBR, Inc. (IT Services) | 69,099 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
75 | Kellogg Co. (Food Products) | 4,717 | ||||||
9,900 | Keurig Dr Pepper, Inc. (Beverages) | 266,310 | ||||||
2,247 | Kimberly-Clark Corp. (Household Products) | 297,930 | ||||||
28,300 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 336,770 | ||||||
43,875 | KKR & Co., Inc. Class A (Capital Markets) | 1,498,331 | ||||||
1,832 | KLA Corp. (Semiconductors & Semiconductor Equipment) | 361,234 | ||||||
1,330 | Korn Ferry (Professional Services) | 40,153 | ||||||
540,575 | Kosmos Energy Ltd. (Oil, Gas & Consumable Fuels) | 537,494 | ||||||
100 | L3Harris Technologies, Inc. (Aerospace & Defense) | 16,111 | ||||||
38 | Laboratory Corp. of America Holdings* (Health Care Providers & Services) | 7,591 | ||||||
677 | Lam Research Corp. (Semiconductors & Semiconductor Equipment) | 231,588 | ||||||
24,968 | Lamb Weston Holdings, Inc. (Food Products) | 1,584,220 | ||||||
837 | Landstar System, Inc. (Road & Rail) | 104,374 | ||||||
1,379 | LCI Industries (Auto Components) | 151,221 | ||||||
157 | Lear Corp. (Auto Components) | 18,967 | ||||||
892 | Leidos Holdings, Inc. (IT Services) | 74,036 | ||||||
1,482 | Lennar Corp. Class A (Household Durables) | 104,081 | ||||||
1,486 | LHC Group, Inc.* (Health Care Providers & Services) | 321,793 | ||||||
3,366 | Lithia Motors, Inc. Class A (Specialty Retail) | 772,733 | ||||||
58,800 | LKQ Corp.* (Distributors) | 1,881,012 | ||||||
1,608 | Lockheed Martin Corp. (Aerospace & Defense) | 563,009 | ||||||
698 | Loews Corp. (Insurance) | 24,207 | ||||||
4,025 | Lowe’s Cos., Inc. (Specialty Retail) | 636,352 | ||||||
2,746 | Lululemon Athletica, Inc.* (Textiles, Apparel & Luxury Goods) | 876,770 | ||||||
8,343 | MACOM Technology Solutions Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 304,520 | ||||||
452 | ManpowerGroup, Inc. (Professional Services) | 30,677 | ||||||
668 | Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 19,706 | ||||||
9 | Markel Corp.* (Insurance) | 8,395 | ||||||
569 | Marsh & McLennan Cos., Inc. (Insurance) | 58,869 | ||||||
7,447 | Masco Corp. (Building Products) | 399,159 | ||||||
8,330 | Masimo Corp.* (Health Care Equipment & Supplies) | 1,864,421 | ||||||
1,167 | MasTec, Inc.* (Construction & Engineering) | 57,930 | ||||||
19,389 | Mastercard, Inc. Class A (IT Services) | 5,596,441 | ||||||
2,001 | MAXIMUS, Inc. (IT Services) | 135,228 | ||||||
280 | McCormick & Co., Inc. (Food Products) | 50,543 | ||||||
|
|
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,652 | McDonald’s Corp. (Hotels, Restaurants & Leisure) | $ | 351,876 | |||||
986 | McKesson Corp. (Health Care Providers & Services) | 145,425 | ||||||
4,800 | MDU Resources Group, Inc. (Multi-Utilities) | 114,048 | ||||||
1,550 | Medpace Holdings, Inc.* (Life Sciences Tools & Services) | 171,957 | ||||||
1,452 | MercadoLibre, Inc.* (Internet & Direct Marketing Retail) | 1,762,801 | ||||||
9,410 | Merck & Co., Inc. (Pharmaceuticals) | 707,726 | ||||||
9,314 | Meridian Bancorp, Inc. (Thrifts & Mortgage Finance) | 115,959 | ||||||
4,517 | MetLife, Inc. (Insurance) | 170,968 | ||||||
712 | Mettler-Toledo International, Inc.* (Life Sciences Tools & Services) | 710,512 | ||||||
54,439 | Microsoft Corp. (Software) | 11,022,264 | ||||||
3,561 | Minerals Technologies, Inc. (Chemicals) | 194,751 | ||||||
1,200 | MKS Instruments, Inc. (Semiconductors & Semiconductor Equipment) | 130,068 | ||||||
883 | Mondelez International, Inc. Class A (Food Products) | 46,905 | ||||||
2,068 | Monster Beverage Corp.* (Beverages) | 158,347 | ||||||
316 | Moody’s Corp. (Capital Markets) | 83,076 | ||||||
43,985 | Morgan Stanley (Capital Markets) | 2,117,878 | ||||||
14,109 | Motorola Solutions, Inc. (Communications Equipment) | 2,230,069 | ||||||
4,743 | Mr Cooper Group, Inc.* (Thrifts & Mortgage Finance) | 99,982 | ||||||
1,491 | MSCI, Inc. (Capital Markets) | 521,611 | ||||||
146 | Nasdaq, Inc. (Capital Markets) | 17,665 | ||||||
7,188 | National General Holdings Corp. (Insurance) | 244,176 | ||||||
3,880 | National Health Investors, Inc. (Equity Real Estate Investment Trusts (REITs)) | 217,474 | ||||||
18,952 | Navient Corp. (Consumer Finance) | 151,806 | ||||||
6,600 | NCR Corp.* (Technology Hardware, Storage & Peripherals) | 134,112 | ||||||
1,389 | Nelnet, Inc. Class A (Consumer Finance) | 84,785 | ||||||
6,600 | Newmont Corp. (Metals & Mining) | 414,744 | ||||||
1,311 | Nexstar Media Group, Inc. Class A (Media) | 108,026 | ||||||
924 | NextEra Energy, Inc. (Electric Utilities) | 67,646 | ||||||
616 | NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 73,969 | ||||||
5,969 | NMI Holdings, Inc. Class A* (Thrifts & Mortgage Finance) | 128,274 | ||||||
1,310 | Northrop Grumman Corp. (Aerospace & Defense) | 379,664 | ||||||
5,571 | NorthWestern Corp. (Multi-Utilities) | 290,416 | ||||||
14,958 | NortonlifeLock, Inc. (Software) | 307,686 | ||||||
8,800 | NRG Energy, Inc. (Electric Utilities) | 278,256 | ||||||
502 | NVIDIA Corp. (Semiconductors & Semiconductor Equipment) | 251,683 | ||||||
13 | NVR, Inc.* (Household Durables) | 51,390 | ||||||
790 | O’Reilly Automotive, Inc.* (Specialty Retail) | 344,914 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
8,863 | OceanFirst Financial Corp. (Banks) | 132,679 | ||||||
1,435 | Old Dominion Freight Line, Inc. (Road & Rail) | 273,181 | ||||||
10,100 | Old Republic International Corp. (Insurance) | 164,428 | ||||||
3,000 | Ollie’s Bargain Outlet Holdings, Inc.* (Multiline Retail) | 261,270 | ||||||
67 | Omnicom Group, Inc. (Media) | 3,162 | ||||||
127,000 | ON Semiconductor Corp.* (Semiconductors & Semiconductor Equipment) | 3,186,430 | ||||||
2,200 | OneMain Holdings, Inc. (Consumer Finance) | 76,758 | ||||||
10,092 | Oracle Corp. (Software) | 566,262 | ||||||
1,900 | Oshkosh Corp. (Machinery) | 127,984 | ||||||
2,913 | Oxford Industries, Inc. (Textiles, Apparel & Luxury Goods) | 119,928 | ||||||
1,670 | PACCAR, Inc. (Machinery) | 142,585 | ||||||
10,607 | Pacific Premier Bancorp, Inc. (Banks) | 270,479 | ||||||
5,200 | PacWest Bancorp. (Banks) | 100,048 | ||||||
3,848 | Parsley Energy, Inc. Class A (Oil, Gas & Consumable Fuels) | 38,518 | ||||||
5,717 | Patrick Industries, Inc. (Auto Components) | 318,723 | ||||||
404 | Paychex, Inc. (IT Services) | 33,229 | ||||||
2,374 | Paylocity Holding Corp.* (Software) | 440,424 | ||||||
5,132 | PayPal Holdings, Inc.* (IT Services) | 955,219 | ||||||
1,162 | PennyMac Financial Services, Inc. (Thrifts & Mortgage Finance) | 59,053 | ||||||
2,178 | PepsiCo, Inc. (Beverages) | 290,306 | ||||||
9,384 | Performance Food Group Co.* (Food & Staples Retailing) | 315,396 | ||||||
1,200 | Perspecta, Inc. (IT Services) | 21,516 | ||||||
20,637 | Pfizer, Inc. (Pharmaceuticals) | 732,201 | ||||||
184 | Philip Morris International, Inc. (Tobacco) | 13,068 | ||||||
2,129 | Phillips 66 (Oil, Gas & Consumable Fuels) | 99,339 | ||||||
7,962 | Phreesia, Inc.* (Health Care Technology) | 294,355 | ||||||
3,800 | Pilgrim’s Pride Corp.* (Food Products) | 63,612 | ||||||
1,400 | Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 111,384 | ||||||
5,616 | PQ Group Holdings, Inc.* (Chemicals) | 64,921 | ||||||
2,815 | PRA Group, Inc.* (Consumer Finance) | 96,076 | ||||||
11,324 | Primoris Services Corp. (Construction & Engineering) | 213,684 | ||||||
400 | Principal Financial Group, Inc. (Insurance) | 15,688 | ||||||
2,886 | ProAssurance Corp. (Insurance) | 44,531 | ||||||
6,800 | Progyny, Inc.* (Health Care Providers & Services) | 165,716 | ||||||
1,797 | Proofpoint, Inc.* (Software) | 172,045 | ||||||
3,572 | Prudential Financial, Inc. (Insurance) | 228,679 | ||||||
6,400 | Public Service Enterprise Group, Inc. (Multi-Utilities) | 372,160 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,542 | PulteGroup, Inc. (Household Durables) | $ | 62,852 | |||||
10,384 | Qorvo, Inc.* (Semiconductors & Semiconductor Equipment) | 1,322,506 | ||||||
5,376 | QTS Realty Trust, Inc. Class A (Equity Real Estate Investment Trusts (REITs)) | 330,678 | ||||||
2,300 | Quanta Services, Inc. (Construction & Engineering) | 143,589 | ||||||
308 | Quest Diagnostics, Inc. (Health Care Providers & Services) | 37,619 | ||||||
873 | Quidel Corp.* (Health Care Equipment & Supplies) | 234,217 | ||||||
4,958 | R1 RCM, Inc.* (Health Care Providers & Services) | 88,847 | ||||||
3,900 | Rapid7, Inc.* (Software) | 241,527 | ||||||
6,600 | Raytheon Technologies Corp. (Aerospace & Defense) | 358,512 | ||||||
2,162 | RBC Bearings, Inc.* (Machinery) | 257,386 | ||||||
568 | Regeneron Pharmaceuticals, Inc.* (Biotechnology) | 308,742 | ||||||
945 | Reinsurance Group of America, Inc. (Insurance) | 95,464 | ||||||
3,252 | Republic Services, Inc. (Commercial Services & Supplies) | 286,729 | ||||||
5,982 | ResMed, Inc. (Health Care Equipment & Supplies) | 1,148,185 | ||||||
269 | Robert Half International, Inc. (Professional Services) | 13,636 | ||||||
80 | Rockwell Automation, Inc. (Electrical Equipment) | 18,970 | ||||||
835 | Rogers Corp.* (Electronic Equipment, Instruments & Components) | 101,219 | ||||||
1,304 | Rollins, Inc. (Commercial Services & Supplies) | 75,436 | ||||||
2,811 | Roper Technologies, Inc. (Industrial Conglomerates) | 1,043,837 | ||||||
700 | RPM International, Inc. (Chemicals) | 59,269 | ||||||
2,632 | Ryman Hospitality Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 104,885 | ||||||
1,924 | S&P Global, Inc. (Capital Markets) | 620,933 | ||||||
5,628 | salesforce.com, Inc.* (Software) | 1,307,216 | ||||||
4,624 | Schweitzer-Mauduit International, Inc. (Paper & Forest Products) | 153,517 | ||||||
2,706 | Science Applications International Corp. (IT Services) | 206,657 | ||||||
13,247 | Seacoast Banking Corp. of Florida* (Banks) | 284,546 | ||||||
3,100 | Sempra Energy (Multi-Utilities) | 388,616 | ||||||
900 | Semtech Corp.* (Semiconductors & Semiconductor Equipment) | 49,401 | ||||||
750 | ServiceNow, Inc.* (Software) | 373,177 | ||||||
4,291 | Silgan Holdings, Inc. (Containers & Packaging) | 147,825 | ||||||
3,298 | Silicon Laboratories, Inc.* (Semiconductors & Semiconductor Equipment) | 337,913 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,600 | Simmons First National Corp. Class A (Banks) | 27,184 | ||||||
2,179 | SiteOne Landscape Supply, Inc.* (Trading Companies & Distributors) | 260,369 | ||||||
5,177 | Skechers U.S.A., Inc. Class A* (Textiles, Apparel & Luxury Goods) | 164,163 | ||||||
11,712 | Skyline Champion Corp.* (Household Durables) | 300,413 | ||||||
11,981 | Skyworks Solutions, Inc. (Semiconductors & Semiconductor Equipment) | 1,692,795 | ||||||
31,083 | SLM Corp. (Consumer Finance) | 285,653 | ||||||
28 | Snap-on, Inc. (Machinery) | 4,411 | ||||||
828 | South State Corp. (Banks) | 50,839 | ||||||
2,135 | Spectrum Brands Holdings, Inc. (Household Products) | 121,417 | ||||||
1,620 | Spirit Realty Capital, Inc. (Equity Real Estate Investment Trusts (REITs)) | 48,681 | ||||||
400 | Spotify Technology SA* (Entertainment) | 95,956 | ||||||
7,367 | SS&C Technologies Holdings, Inc. (Software) | 436,274 | ||||||
11,801 | STAG Industrial, Inc. (Equity Real Estate Investment Trusts (REITs)) | 367,247 | ||||||
1,178 | Standard Motor Products, Inc. (Auto Components) | 53,952 | ||||||
3,246 | Starbucks Corp. (Hotels, Restaurants & Leisure) | 282,272 | ||||||
16,385 | Starwood Property Trust, Inc. (Mortgage Real Estate Investment Trusts (REITs)) | 228,898 | ||||||
500 | Steel Dynamics, Inc. (Metals & Mining) | 15,740 | ||||||
4,416 | Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | 106,028 | ||||||
8,815 | Stifel Financial Corp. (Capital Markets) | 515,325 | ||||||
242 | Stryker Corp. (Health Care Equipment & Supplies) | 48,886 | ||||||
7,830 | Supernus Pharmaceuticals, Inc.* (Pharmaceuticals) | 143,759 | ||||||
6,503 | Sykes Enterprises, Inc.* (IT Services) | 222,663 | ||||||
296 | Synchrony Financial (Consumer Finance) | 7,406 | ||||||
10,093 | Syneos Health, Inc.* (Life Sciences Tools & Services) | 535,736 | ||||||
2,891 | SYNNEX Corp. (Electronic Equipment, Instruments & Components) | 380,571 | ||||||
2,739 | Synopsys, Inc.* (Software) | 585,763 | ||||||
4,693 | Synovus Financial Corp. (Banks) | 122,018 | ||||||
260 | Sysco Corp. (Food & Staples Retailing) | 14,381 | ||||||
49 | T-Mobile US, Inc.* (Wireless Telecommunication Services) | 5,369 | ||||||
1,438 | T. Rowe Price Group, Inc. (Capital Markets) | 182,137 | ||||||
3,350 | Target Corp. (Multiline Retail) | 509,937 | ||||||
14 | Teledyne Technologies, Inc.* (Aerospace & Defense) | 4,328 | ||||||
8 | Teleflex, Inc. (Health Care Equipment & Supplies) | 2,546 | ||||||
|
|
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
740 | Tempur Sealy International, Inc.* (Household Durables) | $ | 65,860 | |||||
2,648 | Teradyne, Inc. (Semiconductors & Semiconductor Equipment) | 232,627 | ||||||
2,388 | Terex Corp. (Machinery) | 58,960 | ||||||
32,186 | Texas Instruments, Inc. (Semiconductors & Semiconductor Equipment) | 4,653,774 | ||||||
6,669 | Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 467,030 | ||||||
6,009 | The Allstate Corp. (Insurance) | 533,299 | ||||||
3,900 | The Bank of New York Mellon Corp. (Capital Markets) | 134,004 | ||||||
60,704 | The Carlyle Group, Inc. (Capital Markets) | 1,512,744 | ||||||
2,295 | The Clorox Co. (Household Products) | 475,639 | ||||||
863 | The Coca-Cola Co. (Beverages) | 41,476 | ||||||
300 | The Estee Lauder Cos., Inc. Class A (Personal Products) | 65,898 | ||||||
2,700 | The Geo Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 23,922 | ||||||
1,879 | The Hanover Insurance Group, Inc. (Insurance) | 179,745 | ||||||
176 | The Hartford Financial Services Group, Inc. (Insurance) | 6,780 | ||||||
204 | The Hershey Co. (Food Products) | 28,042 | ||||||
15,936 | The Home Depot, Inc. (Specialty Retail) | 4,250,291 | ||||||
58 | The J.M. Smucker Co. (Food Products) | 6,508 | ||||||
11,318 | The Kraft Heinz Co. (Food Products) | 346,218 | ||||||
24,223 | The Kroger Co. (Food & Staples Retailing) | 780,223 | ||||||
10,255 | The Procter & Gamble Co. (Household Products) | 1,405,960 | ||||||
10,713 | The Progressive Corp. (Insurance) | 984,525 | ||||||
5,592 | The Sherwin-Williams Co. (Chemicals) | 3,847,184 | ||||||
322 | The Southern Co. (Electric Utilities) | 18,499 | ||||||
148 | The TJX Cos., Inc. (Specialty Retail) | 7,518 | ||||||
70 | The Travelers Cos., Inc. (Insurance) | 8,450 | ||||||
3,025 | The Western Union Co. (IT Services) | 58,806 | ||||||
7,728 | Thermo Fisher Scientific, Inc. (Life Sciences Tools & Services) | 3,656,271 | ||||||
1,334 | Toll Brothers, Inc. (Household Durables) | 56,402 | ||||||
2,008 | Tractor Supply Co. (Specialty Retail) | 267,486 | ||||||
4,024 | TransDigm Group, Inc. (Aerospace & Defense) | 1,921,098 | ||||||
4,098 | TTEC Holdings, Inc. (IT Services) | 224,488 | ||||||
10,875 | UFP Industries, Inc. (Building Products) | 542,771 | ||||||
7,300 | UGI Corp. (Gas Utilities) | 236,082 | ||||||
3,382 | Ultra Clean Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 72,003 | ||||||
4,500 | Umpqua Holdings Corp. (Banks) | 56,520 | ||||||
21,175 | Union Pacific Corp. (Road & Rail) | 3,751,998 | ||||||
8,362 | Unisys Corp.* (IT Services) | 109,877 | ||||||
164 | United Parcel Service, Inc. Class B (Air Freight & Logistics) | 25,766 | ||||||
13,227 | UnitedHealth Group, Inc. (Health Care Providers & Services) | 4,036,087 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
2,529 | Universal Corp. (Tobacco) | 100,781 | ||||||
200 | Universal Health Services, Inc. Class B (Health Care Providers & Services) | 21,910 | ||||||
4,958 | US Ecology, Inc. (Commercial Services & Supplies) | 151,318 | ||||||
1,390 | Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 53,668 | ||||||
6,300 | Valley National Bancorp (Banks) | 48,132 | ||||||
13,373 | Valvoline, Inc. (Chemicals) | 263,047 | ||||||
220 | Varian Medical Systems, Inc.* (Health Care Equipment & Supplies) | 38,016 | ||||||
18 | Veeva Systems, Inc. Class A* (Health Care Technology) | 4,861 | ||||||
8,158 | Veracyte, Inc.* (Biotechnology) | 282,756 | ||||||
374 | VeriSign, Inc.* (IT Services) | 71,322 | ||||||
191 | Verisk Analytics, Inc. (Professional Services) | 33,992 | ||||||
12,335 | Verizon Communications, Inc. (Diversified Telecommunication Services) | 702,972 | ||||||
820 | Vertex Pharmaceuticals, Inc.* (Biotechnology) | 170,855 | ||||||
1,532 | ViacomCBS, Inc. Class B (Media) | 43,769 | ||||||
21,450 | Viavi Solutions, Inc.* (Communications Equipment) | 264,908 | ||||||
4,550 | Virtu Financial, Inc. Class A (Capital Markets) | 97,279 | ||||||
6,908 | Virtusa Corp.* (IT Services) | 347,472 | ||||||
7,878 | Visa, Inc. Class A (IT Services) | 1,431,511 | ||||||
12,200 | Vistra Corp. (Independent Power and Renewable Electricity Producers) | 211,914 | ||||||
794 | W.R. Berkley Corp. (Insurance) | 47,735 | ||||||
875 | Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 29,785 | ||||||
3,867 | Walker & Dunlop, Inc. (Thrifts & Mortgage Finance) | 243,157 | ||||||
5,622 | Walmart, Inc. (Food & Staples Retailing) | 780,052 | ||||||
3,767 | Washington Federal, Inc. (Thrifts & Mortgage Finance) | 80,199 | ||||||
2,073 | Waste Management, Inc. (Commercial Services & Supplies) | 223,697 | ||||||
2,690 | Wayfair, Inc. Class A* (Internet & Direct Marketing Retail) | 667,201 | ||||||
21,400 | Wells Fargo & Co. (Banks) | 459,030 | ||||||
4,000 | Werner Enterprises, Inc. (Road & Rail) | 152,080 | ||||||
3,692 | WESCO International, Inc.* (Trading Companies & Distributors) | 152,258 | ||||||
2,338 | West Pharmaceutical Services, Inc. (Health Care Equipment & Supplies) | 636,100 | ||||||
12,100 | Weyerhaeuser Co. (Equity Real Estate Investment Trusts (REITs)) | 330,209 | ||||||
120 | Whirlpool Corp. (Household Durables) | 22,195 | ||||||
210 | White Mountains Insurance Group Ltd. (Insurance) | 190,749 | ||||||
8,314 | WillScot Mobile Mini Holdings Corp.* (Construction & Engineering) | 154,474 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
6,012 | Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | $ | 160,340 | |||||
11,792 | World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 248,222 | ||||||
300 | WP Carey, Inc. (Equity Real Estate Investment Trusts (REITs)) | 18,783 | ||||||
21,400 | WPX Energy, Inc.* (Oil, Gas & Consumable Fuels) | 98,654 | ||||||
1,506 | Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 49,141 | ||||||
258 | Xcel Energy, Inc. (Electric Utilities) | 18,068 | ||||||
4,991 | Yelp, Inc.* (Interactive Media & Services) | 98,173 | ||||||
9,892 | Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 526,551 | ||||||
1,237 | Zoetis, Inc. (Pharmaceuticals) | 196,126 | ||||||
|
| |||||||
210,276,178 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $395,575,433) | $ | 448,097,195 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 0.5% | ||||||||
Brazil – 0.1% | ||||||||
Cia de Transmissao de Energia Eletrica Paulista (Electric Utilities) | ||||||||
16,400 | 3.920% | $ | 67,195 | |||||
Gerdau SA (Metals & Mining) | ||||||||
13,500 | 0.910 | 51,314 | ||||||
Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) | ||||||||
85,800 | 2.700 | 283,211 | ||||||
|
| |||||||
401,720 | ||||||||
|
| |||||||
Germany – 0.4% | ||||||||
Henkel AG & Co. KGaA (Household Products) | ||||||||
45 | 2.030 | 4,379 | ||||||
Volkswagen AG (Automobiles) | ||||||||
14,727 | 3.250 | 2,145,195 | ||||||
|
| |||||||
2,149,574 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $2,290,302) | $ | 2,551,294 | ||||||
|
|
Units | Description | Expiration Date | Value | |||||||||||
Rights* – 0.1% | ||||||||||||||
Singapore – 0.0% | ||||||||||||||
| Mapletree Logistics Trust (Equity Real Estate Investment Trusts | | ||||||||||||
260 | 11/10/20 | $ | — | |||||||||||
|
| |||||||||||||
United Kingdom – 0.1% | ||||||||||||||
Rolls-Royce Holdings PLC (Aerospace & Defense) | ||||||||||||||
1,533,703 | 11/11/20 | 774,896 | ||||||||||||
|
| |||||||||||||
TOTAL RIGHTS | ||||||||||||||
(Cost $1,955,814) | $ | 774,896 | ||||||||||||
|
| |||||||||||||
Shares | Description | Value | ||||||||||||
Exchange Traded Funds – 5.9% | ||||||||||||||
15,200 | iShares Core MSCI Emerging Markets ETF | $ | 812,744 | |||||||||||
9,213 | iShares MSCI Emerging Markets ETF | 411,913 | ||||||||||||
445,000 | iShares MSCI International Multifactor ETF | 10,377,400 | ||||||||||||
594,000 | iShares MSCI USA Multifactor ETF | 19,506,960 | ||||||||||||
|
| |||||||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||||||||
(Cost $27,635,004) | $ | 31,109,017 | ||||||||||||
|
| |||||||||||||
Shares | Dividend Rate | Value | ||||||||||||
Investment Companies(b) – 7.4% | ||||||||||||||
Goldman Sachs Financial Square Government Fund – Class R6 | ||||||||||||||
31,021,110 | 0.028% | $ | 31,021,110 | |||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||||||
7,928,047 | 0.028 | 7,928,047 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENT COMPANIES | ||||||||||||||
(Cost $38,949,157) | $ | 38,949,157 | ||||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT | | ||||||||||||
(Cost $466,405,710) | $ | 521,481,559 | ||||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Short-term Investment(c) – 0.0% | ||||||||||||
U.S. Treasury Obligation – 0.0% | ||||||||||||
United States Treasury Bills | ||||||||||||
$ | 200,000 | 0.000% | 12/17/20 | $ | 199,978 | |||||||
(Cost $199,975) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 98.9% | ||||||||||||
(Cost $466,605,685) | $ | 521,681,537 | ||||||||||
|
| |||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1% |
| 5,767,303 | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $ | 527,448,840 | ||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Represents an affiliated issuer. | |
(c) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
| ||
Currency Abbreviations: | ||
AED | —United Arab Emirates Dirham | |
AUD | —Australian Dollar | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
ILS | —Israeli Shekel | |
JPY | —Japanese Yen | |
MXN | —Mexican Peso | |
MYR | —Malaysian Ringgit | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
ETF | —Exchange Traded Fund | |
GDR | —Global Depository Receipt | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 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 | ||||||||||||||||
BNP Paribas SA | USD | 5,140,639 | AUD | 7,290,000 | 11/03/20 | $ | 16,401 | |||||||||||||
USD | 5,202,822 | AUD | 7,290,000 | 12/02/20 | 77,813 | |||||||||||||||
USD | 8,208,451 | CHF | 7,440,000 | 12/02/20 | 86,865 | |||||||||||||||
USD | 311,957 | DKK | 1,980,000 | 11/03/20 | 2,175 | |||||||||||||||
USD | 1,998,888 | DKK | 12,570,000 | 12/02/20 | 30,932 | |||||||||||||||
USD | 2,627,937 | EUR | 2,240,000 | 11/03/20 | 18,948 | |||||||||||||||
USD | 25,227,636 | EUR | 21,320,000 | 12/02/20 | 379,375 | |||||||||||||||
USD | 10,470,193 | GBP | 8,025,000 | 12/02/20 | 71,643 | |||||||||||||||
USD | 2,370,948 | HKD | 18,380,000 | 11/03/20 | 113 | |||||||||||||||
USD | 2,371,126 | HKD | 18,380,000 | 12/02/20 | 328 | |||||||||||||||
USD | 224,870 | ILS | 760,000 | 12/02/20 | 2,066 | |||||||||||||||
USD | 20,667,792 | JPY | 2,154,000,000 | 12/02/20 | 85,802 | |||||||||||||||
USD | 85,764 | NOK | 800,000 | 11/03/20 | 1,965 | |||||||||||||||
USD | 447,245 | NOK | 4,100,000 | 12/02/20 | 17,842 | |||||||||||||||
USD | 19,846 | NZD | 30,000 | 11/03/20 | 10 | |||||||||||||||
USD | 241,810 | NZD | 360,000 | 12/02/20 | 3,770 | |||||||||||||||
USD | 2,675,196 | SEK | 23,325,000 | 12/02/20 | 53,005 | |||||||||||||||
USD | 43,952 | SGD | 60,000 | 11/03/20 | 27 | |||||||||||||||
USD | 816,908 | SGD | 1,110,000 | 12/02/20 | 4,274 |
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
JPMorgan Securities, Inc. | USD | 1,681,837 | AUD | 2,390,000 | 11/03/20 | $ | 1,875 | |||||||||||||
USD | 1,705,726 | AUD | 2,390,000 | 12/02/20 | 25,511 | |||||||||||||||
USD | 2,416,197 | CHF | 2,190,000 | 12/02/20 | 25,569 | |||||||||||||||
USD | 451,618 | DKK | 2,840,000 | 12/02/20 | 6,989 | |||||||||||||||
USD | 7,738,684 | EUR | 6,540,000 | 12/02/20 | 116,375 | |||||||||||||||
USD | 3,998,896 | GBP | 3,065,000 | 12/02/20 | 27,363 | |||||||||||||||
USD | 825,569 | HKD | 6,400,000 | 11/03/20 | 33 | |||||||||||||||
USD | 825,637 | HKD | 6,400,000 | 12/02/20 | 114 | |||||||||||||||
USD | 82,847 | ILS | 280,000 | 12/02/20 | 761 | |||||||||||||||
USD | 5,699,470 | JPY | 594,000,000 | 12/02/20 | 23,657 | |||||||||||||||
USD | 147,264 | NOK | 1,350,000 | 12/02/20 | 5,875 | |||||||||||||||
USD | 60,452 | NZD | 90,000 | 12/02/20 | 943 | |||||||||||||||
USD | 645,144 | SEK | 5,625,000 | 12/02/20 | 12,783 | |||||||||||||||
USD | 309,100 | SGD | 420,000 | 12/02/20 | 1,617 | |||||||||||||||
State Street Bank and Trust | USD | 12,544 | JPY | 1,310,384 | 11/04/20 | 27 | ||||||||||||||
TOTAL |
| $ | 1,102,846 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
BNP Paribas SA | AUD | 7,290,000 | USD | 5,202,148 | 11/03/20 | $ | (77,912 | ) | ||||||||||||
CHF | 7,440,000 | USD | 8,201,632 | 11/03/20 | (87,057 | ) | ||||||||||||||
DKK | 12,570,000 | USD | 1,997,616 | 11/03/20 | (30,970 | ) | ||||||||||||||
EUR | 21,320,000 | USD | 25,211,795 | 11/03/20 | (379,811 | ) | ||||||||||||||
GBP | 8,025,000 | USD | 10,468,484 | 11/03/20 | (71,894 | ) | ||||||||||||||
HKD | 18,380,000 | USD | 2,371,310 | 11/03/20 | (475 | ) | ||||||||||||||
ILS | 760,000 | USD | 224,828 | 11/03/20 | (2,084 | ) | ||||||||||||||
JPY | 2,154,000,000 | USD | 20,661,542 | 11/04/20 | (86,426 | ) | ||||||||||||||
NOK | 4,100,000 | USD | 447,283 | 11/03/20 | (17,813 | ) | ||||||||||||||
NZD | 360,000 | USD | 241,813 | 11/03/20 | (3,781 | ) | ||||||||||||||
SEK | 23,325,000 | USD | 2,674,374 | 11/03/20 | (53,027 | ) | ||||||||||||||
SGD | 1,110,000 | USD | 816,901 | 11/03/20 | (4,282 | ) | ||||||||||||||
USD | 8,030,434 | CHF | 7,440,000 | 11/03/20 | (84,143 | ) | ||||||||||||||
USD | 1,655,979 | DKK | 10,590,000 | 11/03/20 | (885 | ) | ||||||||||||||
USD | 22,220,263 | EUR | 19,080,000 | 11/03/20 | (2,732 | ) | ||||||||||||||
USD | 10,229,911 | GBP | 8,025,000 | 11/03/20 | (166,679 | ) | ||||||||||||||
USD | 218,389 | ILS | 760,000 | 11/03/20 | (4,354 | ) | ||||||||||||||
USD | 20,431,469 | JPY | 2,154,000,000 | 11/04/20 | (143,647 | ) | ||||||||||||||
USD | 344,399 | NOK | 3,300,000 | 11/03/20 | (1,272 | ) | ||||||||||||||
USD | 216,271 | NZD | 330,000 | 11/03/20 | (1,925 | ) | ||||||||||||||
USD | 2,561,352 | SEK | 23,325,000 | 11/03/20 | (59,995 | ) | ||||||||||||||
USD | 762,213 | SGD | 1,050,000 | 11/03/20 | (6,480 | ) | ||||||||||||||
Brown Brothers Harriman & Co. | HKD | 106,480 | USD | 13,739 | 11/03/20 | (4 | ) | |||||||||||||
MXN | 913,547 | USD | 43,112 | 11/04/20 | (65 | ) | ||||||||||||||
JPMorgan Securities, Inc. | AUD | 4,780,000 | USD | 3,411,010 | 11/03/20 | (51,086 | ) | |||||||||||||
CHF | 2,190,000 | USD | 2,414,190 | 11/03/20 | (25,625 | ) | ||||||||||||||
DKK | 2,840,000 | USD | 451,331 | 11/03/20 | (6,997 | ) | ||||||||||||||
EUR | 6,540,000 | USD | 7,733,825 | 11/03/20 | (116,509 | ) | ||||||||||||||
GBP | 3,065,000 | USD | 3,998,243 | 11/03/20 | (27,458 | ) | ||||||||||||||
HKD | 6,400,000 | USD | 825,701 | 11/03/20 | (165 | ) | ||||||||||||||
ILS | 280,000 | USD | 82,831 | 11/03/20 | (768 | ) |
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
JPMorgan Securities, Inc. (continued) | JPY | 594,000,000 | USD | 5,697,750 | 11/04/20 | $ | (23,833 | ) | ||||||||||||
NOK | 1,350,000 | USD | 147,276 | 11/03/20 | (5,865 | ) | ||||||||||||||
NZD | 90,000 | USD | 60,453 | 11/03/20 | (945 | ) | ||||||||||||||
SEK | 5,625,000 | USD | 644,946 | 11/03/20 | (12,788 | ) | ||||||||||||||
SGD | 420,000 | USD | 309,098 | 11/03/20 | (1,620 | ) | ||||||||||||||
USD | 2,361,606 | CHF | 2,190,000 | 11/03/20 | (26,959 | ) | ||||||||||||||
USD | 444,096 | DKK | 2,840,000 | 11/03/20 | (237 | ) | ||||||||||||||
USD | 7,616,379 | EUR | 6,540,000 | 11/03/20 | (937 | ) | ||||||||||||||
USD | 3,903,010 | GBP | 3,065,000 | 11/03/20 | (67,775 | ) | ||||||||||||||
USD | 80,387 | ILS | 280,000 | 11/03/20 | (1,676 | ) | ||||||||||||||
USD | 5,634,360 | JPY | 594,000,000 | 11/04/20 | (39,558 | ) | ||||||||||||||
USD | 140,890 | NOK | 1,350,000 | 11/03/20 | (520 | ) | ||||||||||||||
USD | 58,983 | NZD | 90,000 | 11/03/20 | (525 | ) | ||||||||||||||
USD | 615,470 | SEK | 5,625,000 | 11/03/20 | (16,688 | ) | ||||||||||||||
USD | 304,885 | SGD | 420,000 | 11/03/20 | (2,592 | ) | ||||||||||||||
State Street Bank and Trust | USD | 565 | ILS | 1,927 | 11/02/20 | — | ||||||||||||||
TOTAL |
| $ | (1,718,839 | ) |
FUTURES CONTRACTS – At October 31, 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 | 239 | 12/18/20 | $ | 39,013,165 | $ | (1,020,961 | ) |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – 27.6% | ||||||||||||||
Sovereign – 27.6% | ||||||||||||||
Abu Dhabi Government International Bond(a) | ||||||||||||||
$ | 1,183,000 | 2.500 | % | 04/16/25 | $ | 1,252,797 | ||||||||
708,000 | 2.700 | 09/02/70 | 644,280 | |||||||||||
702,000 | 3.125 | 09/30/49 | 739,513 | |||||||||||
Agricultural Development Bank of China | ||||||||||||||
CNY | 25,870,000 | 3.750 | 01/25/29 | 3,858,662 | ||||||||||
Bahamas Government International Bond(a)(b) | ||||||||||||||
$ | 250,000 | 8.950 | 10/15/32 | 238,203 | ||||||||||
Bonos de la Tesoreria de la Republica en Pesos(a) | ||||||||||||||
CLP | 775,000,000 | 4.700 | 09/01/30 | 1,178,599 | ||||||||||
Bonos de la Tesoreria de la Republica en Pesos | ||||||||||||||
660,000,000 | 5.000 | 03/01/35 | 1,022,972 | |||||||||||
585,000,000 | 6.000 | 01/01/43 | 1,043,155 | |||||||||||
Brazil Notas do Tesouro Nacional | ||||||||||||||
BRL | 3,940,329 | 6.000 | 05/15/35 | 838,869 | ||||||||||
21,131,000 | 10.000 | 01/01/23 | 4,034,210 | |||||||||||
28,344,000 | 10.000 | 01/01/25 | 5,530,909 | |||||||||||
20,291,000 | 10.000 | 01/01/27 | 3,983,466 | |||||||||||
11,250,000 | 10.000 | 01/01/29 | 2,224,802 | |||||||||||
China Development Bank | ||||||||||||||
CNY | 9,000,000 | 3.230 | 01/10/25 | 1,330,248 | ||||||||||
22,450,000 | 3.480 | 01/08/29 | 3,284,702 | |||||||||||
China Government Bond | ||||||||||||||
21,600,000 | 1.990 | 04/09/25 | 3,085,044 | |||||||||||
11,900,000 | 3.290 | 05/23/29 | 1,785,818 | |||||||||||
China Government International Bond | ||||||||||||||
$ | 918,000 | 0.400 | (a) | 10/21/23 | 919,122 | |||||||||
1,384,000 | 0.550 | (a) | 10/21/25 | 1,377,454 | ||||||||||
626,000 | 1.875 | 12/03/22 | 645,562 | |||||||||||
787,000 | 3.250 | 10/19/23 | 852,665 | |||||||||||
Czech Republic Government Bond | ||||||||||||||
CZK | 24,610,000 | 0.950 | 05/15/30 | 1,048,394 | ||||||||||
11,510,000 | 2.500 | 08/25/28 | 553,610 | |||||||||||
47,640,000 | 2.000 | 10/13/33 | 2,261,018 | |||||||||||
Dominican Republic | ||||||||||||||
$ | 1,565,000 | 4.500 | (a) | 01/30/30 | 1,579,183 | |||||||||
1,050,000 | 4.875 | (a) | 09/23/32 | 1,070,016 | ||||||||||
1,014,000 | 5.875 | (a) | 01/30/60 | 973,123 | ||||||||||
449,000 | 6.400 | 06/05/49 | 456,857 | |||||||||||
Egypt Treasury Bills(c) | ||||||||||||||
EGP | 14,500,000 | 0.000 | 12/01/20 | 913,962 | ||||||||||
6,800,000 | 0.000 | 12/15/20 | 426,377 | |||||||||||
9,425,000 | 0.000 | 12/22/20 | 589,477 | |||||||||||
27,075,000 | 0.000 | 12/29/20 | 1,689,118 | |||||||||||
10,000,000 | 0.000 | 01/12/21 | 620,573 | |||||||||||
37,100,000 | 0.000 | 01/19/21 | 2,294,883 | |||||||||||
9,600,000 | 0.000 | 01/26/21 | 592,754 | |||||||||||
El Salvador Government International Bond | ||||||||||||||
$ | 726,000 | 5.875 | 01/30/25 | 599,857 | ||||||||||
537,000 | 9.500 | (b) | 07/15/52 | 466,351 | ||||||||||
Export-Import Bank of India(a) | ||||||||||||||
580,000 | 3.250 | 01/15/30 | 589,969 | |||||||||||
Government of Jamaica | ||||||||||||||
419,000 | 7.875 | 07/28/45 | 543,260 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Hungary Government Bond | ||||||||||||||
HUF | 432,160,000 | 1.000 | 11/26/25 | 1,336,205 | ||||||||||
512,050,000 | 2.500 | 10/24/24 | 1,696,853 | |||||||||||
680,600,000 | 2.750 | 12/22/26 | 2,286,646 | |||||||||||
304,000,000 | 3.000 | 10/27/27 | 1,040,483 | |||||||||||
370,330,000 | 3.000 | 08/21/30 | 1,260,969 | |||||||||||
$ | 1,400,000 | 6.375 | 03/29/21 | 1,435,000 | ||||||||||
Indonesia Treasury Bond | ||||||||||||||
IDR | 6,456,000,000 | 6.500 | 02/15/31 | 438,222 | ||||||||||
2,559,000,000 | 6.625 | 05/15/33 | 168,675 | |||||||||||
18,090,000,000 | 7.000 | 05/15/27 | 1,282,071 | |||||||||||
12,544,000,000 | 7.000 | 09/15/30 | 882,583 | |||||||||||
31,166,000,000 | 7.500 | 08/15/32 | 2,193,873 | |||||||||||
18,487,000,000 | 8.125 | 05/15/24 | 1,375,306 | |||||||||||
33,578,000,000 | 8.375 | 03/15/24 | 2,507,157 | |||||||||||
61,144,000,000 | 8.375 | 09/15/26 | 4,667,848 | |||||||||||
21,543,000,000 | 8.375 | 03/15/34 | 1,610,754 | |||||||||||
43,972,000,000 | 9.000 | 03/15/29 | 3,439,588 | |||||||||||
Islamic Republic of Pakistan | ||||||||||||||
$ | 568,000 | 6.875 | 12/05/27 | 551,847 | ||||||||||
Kingdom of Bahrain | ||||||||||||||
1,525,000 | 5.450 | (a) | 09/16/32 | 1,491,164 | ||||||||||
263,000 | 5.625 | (a) | 09/30/31 | 260,041 | ||||||||||
274,000 | 5.625 | 09/30/31 | 270,917 | |||||||||||
Kingdom of Jordan | ||||||||||||||
316,000 | 4.950 | (a) | 07/07/25 | 320,740 | ||||||||||
514,000 | 7.375 | 10/10/47 | 529,902 | |||||||||||
Kuwait International Government Bond | ||||||||||||||
345,000 | 2.750 | 03/20/22 | 354,164 | |||||||||||
200,000 | 3.500 | 03/20/27 | 226,000 | |||||||||||
Malaysia Government Bond | ||||||||||||||
MYR | 5,649,000 | 3.480 | 03/15/23 | 1,412,471 | ||||||||||
1,926,000 | 3.844 | 04/15/33 | 497,191 | |||||||||||
5,643,000 | 3.885 | 08/15/29 | 1,487,484 | |||||||||||
1,790,000 | 3.899 | 11/16/27 | 471,194 | |||||||||||
3,236,000 | 3.900 | 11/30/26 | 848,953 | |||||||||||
1,240,000 | 3.955 | 09/15/25 | 324,414 | |||||||||||
7,124,000 | 4.181 | 07/15/24 | 1,849,582 | |||||||||||
3,766,000 | 4.232 | 06/30/31 | 1,022,649 | |||||||||||
1,423,000 | 4.498 | 04/15/30 | 392,044 | |||||||||||
2,440,000 | 4.893 | 06/08/38 | 686,850 | |||||||||||
Oman Government International Bond | ||||||||||||||
$ | 411,000 | 4.875 | (a) | 02/01/25 | 395,074 | |||||||||
1,180,000 | 6.750 | (a) | 10/28/27 | 1,144,600 | ||||||||||
1,806,000 | 6.750 | 01/17/48 | 1,475,276 | |||||||||||
235,000 | 7.375 | (a) | 10/28/32 | 225,012 | ||||||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||||||||
554,000 | 4.325 | 05/28/25 | 622,904 | |||||||||||
Republic of Angola | ||||||||||||||
336,000 | 8.000 | (a) | 11/26/29 | 258,300 | ||||||||||
940,000 | 8.000 | 11/26/29 | 722,625 | |||||||||||
200,000 | 9.125 | 11/26/49 | 151,750 | |||||||||||
Republic of Argentina(b) | ||||||||||||||
4,887,571 | 1.000 | 07/09/29 | 2,003,904 | |||||||||||
Republic of Azerbaijan | ||||||||||||||
850,000 | 5.125 | 09/01/29 | 903,121 | |||||||||||
135,000 | 5.125 | 09/01/29 | 143,437 | |||||||||||
|
|
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of Belarus Ministry of Finance | ||||||||||||||
$ | 200,000 | 5.875 | % | 02/24/26 | $ | 189,562 | ||||||||
240,000 | 5.875 | (a) | 02/24/26 | 227,475 | ||||||||||
Republic of Brazil | ||||||||||||||
2,479,000 | 3.875 | 06/12/30 | 2,509,987 | |||||||||||
350,000 | 4.750 | (b) | 01/14/50 | 343,437 | ||||||||||
Republic of Chile(b) | ||||||||||||||
1,850,000 | 2.450 | 01/31/31 | 1,920,531 | |||||||||||
305,000 | 2.550 | 01/27/32 | 317,867 | |||||||||||
1,175,000 | 3.500 | 01/25/50 | 1,294,336 | |||||||||||
Republic of Colombia | ||||||||||||||
985,000 | 3.000 | (b) | 01/30/30 | 1,005,623 | ||||||||||
2,698,000 | 3.125 | (b) | 04/15/31 | 2,768,148 | ||||||||||
COP | 12,405,400,000 | 6.000 | 04/28/28 | 3,337,841 | ||||||||||
13,592,600,000 | 7.500 | 08/26/26 | 4,004,819 | |||||||||||
5,052,500,000 | 7.750 | 09/18/30 | 1,488,329 | |||||||||||
Republic of Costa Rica | ||||||||||||||
$ | 519,000 | 6.125 | 02/19/31 | 428,662 | ||||||||||
607,000 | 7.158 | 03/12/45 | 479,151 | |||||||||||
Republic of Croatia | ||||||||||||||
800,000 | 6.375 | 03/24/21 | 817,250 | |||||||||||
Republic of Ecuador | ||||||||||||||
313,811 | 0.000 | (a)(c) | 07/31/30 | 141,313 | ||||||||||
604,493 | 0.000 | (c) | 07/31/30 | 272,211 | ||||||||||
595,263 | 0.500 | (a)(d) | 07/31/30 | 392,874 | ||||||||||
1,343,253 | 0.500 | (a)(d) | 07/31/35 | 738,789 | ||||||||||
532,929 | 0.500 | (a)(d) | 07/31/40 | 263,966 | ||||||||||
Republic of Egypt | ||||||||||||||
795,000 | 5.250 | (a) | 10/06/25 | 792,019 | ||||||||||
2,138,000 | 7.625 | (a) | 05/29/32 | 2,164,057 | ||||||||||
200,000 | 7.625 | 05/29/32 | 202,437 | |||||||||||
Republic of Gabon | ||||||||||||||
400,000 | 6.375 | 12/12/24 | 380,500 | |||||||||||
Republic of Ghana | ||||||||||||||
806,000 | 6.375 | (a) | 02/11/27 | 747,061 | ||||||||||
1,328,000 | 7.875 | 02/11/35 | 1,178,185 | |||||||||||
Republic of Guatemala(b) | ||||||||||||||
293,000 | 4.900 | 06/01/30 | 332,097 | |||||||||||
400,000 | 5.375 | 04/24/32 | 471,375 | |||||||||||
Republic of Indonesia | ||||||||||||||
1,368,000 | 2.850 | 02/14/30 | 1,439,392 | |||||||||||
1,536,000 | 3.500 | 01/11/28 | 1,677,120 | |||||||||||
707,000 | 4.625 | 04/15/43 | 825,864 | |||||||||||
Republic of Ivory Coast(b)(d) | ||||||||||||||
510,410 | 5.750 | 12/31/32 | 497,331 | |||||||||||
183,470 | 5.750 | 12/31/32 | 178,769 | |||||||||||
Republic of Kenya | ||||||||||||||
1,083,000 | 7.000 | 05/22/27 | 1,122,936 | |||||||||||
Republic of Korea | ||||||||||||||
937,000 | 1.000 | 09/16/30 | 910,669 | |||||||||||
726,000 | 2.000 | 06/19/24 | 756,753 | |||||||||||
Republic of Lebanon(e) | ||||||||||||||
535,000 | 6.000 | 01/27/23 | 73,730 | |||||||||||
628,000 | 6.000 | 01/27/23 | 86,546 | |||||||||||
1,254,000 | 6.100 | 10/04/22 | 171,994 | |||||||||||
325,000 | 6.600 | 11/27/26 | 44,789 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of Mongolia | ||||||||||||||
724,000 | 5.625 | % | 05/01/23 | $ | 753,865 | |||||||||
Republic of Morocco | ||||||||||||||
200,000 | 5.500 | 12/11/42 | 240,250 | |||||||||||
Republic of Namibia | ||||||||||||||
255,000 | 5.250 | 10/29/25 | 257,072 | |||||||||||
Republic of Nigeria | ||||||||||||||
400,000 | 7.143 | 02/23/30 | 386,375 | |||||||||||
1,351,000 | 8.747 | 01/21/31 | 1,400,396 | |||||||||||
Republic of Panama(b) | ||||||||||||||
1,079,000 | 3.750 | 03/16/25 | 1,180,493 | |||||||||||
1,128,000 | 3.870 | 07/23/60 | 1,269,352 | |||||||||||
2,000,000 | 4.500 | 04/01/56 | 2,466,000 | |||||||||||
Republic of Peru | ||||||||||||||
824,000 | 2.392 | (b) | 01/23/26 | 865,200 | ||||||||||
1,110,000 | 2.783 | (b) | 01/23/31 | 1,202,130 | ||||||||||
791,000 | 2.844 | 06/20/30 | 860,707 | |||||||||||
PEN | 1,410,000 | 5.400 | 08/12/34 | 410,240 | ||||||||||
$ | 235,000 | 5.625 | 11/18/50 | 374,752 | ||||||||||
PEN | 7,325,000 | 6.150 | 08/12/32 | 2,332,393 | ||||||||||
4,559,000 | 6.900 | 08/12/37 | 1,488,327 | |||||||||||
Republic of Philippines | ||||||||||||||
$ | 740,000 | 2.457 | 05/05/30 | 790,875 | ||||||||||
400,000 | 2.950 | 05/05/45 | 420,250 | |||||||||||
1,483,000 | 3.750 | 01/14/29 | 1,717,036 | |||||||||||
Republic of Poland | ||||||||||||||
PLN | 8,031,000 | 2.500 | 07/25/27 | 2,252,316 | ||||||||||
10,528,000 | 2.750 | 10/25/29 | 3,032,259 | |||||||||||
$ | 1,392,000 | 5.000 | 03/23/22 | 1,485,525 | ||||||||||
Republic of Qatar | ||||||||||||||
697,000 | 3.400 | 04/16/25 | 765,611 | |||||||||||
2,191,000 | 3.750 | (a) | 04/16/30 | 2,545,668 | ||||||||||
284,000 | 4.000 | 03/14/29 | 332,280 | |||||||||||
400,000 | 4.400 | 04/16/50 | 508,000 | |||||||||||
Republic of Romania | ||||||||||||||
710,000 | 3.000 | (a) | 02/14/31 | 733,741 | ||||||||||
RON | 10,860,000 | 3.250 | 04/29/24 | 2,626,401 | ||||||||||
750,000 | 3.650 | 07/28/25 | 183,898 | |||||||||||
4,125,000 | 3.650 | 09/24/31 | 998,998 | |||||||||||
$ | 784,000 | 4.000 | (a) | 02/14/51 | 796,250 | |||||||||
RON | 2,625,000 | 4.250 | 06/28/23 | 650,197 | ||||||||||
870,000 | 4.750 | 02/24/25 | 221,486 | |||||||||||
2,750,000 | 5.000 | 02/12/29 | 740,424 | |||||||||||
$ | 366,000 | 5.125 | 06/15/48 | 441,602 | ||||||||||
RON | 3,430,000 | 5.850 | 04/26/23 | 879,164 | ||||||||||
Republic of Senegal | ||||||||||||||
$ | 497,000 | 6.250 | 07/30/24 | 522,161 | ||||||||||
Republic of Serbia | ||||||||||||||
200,000 | 7.250 | 09/28/21 | 211,062 | |||||||||||
Republic of South Africa | ||||||||||||||
798,000 | 4.850 | 09/30/29 | 790,519 | |||||||||||
1,943,000 | 5.750 | 09/30/49 | 1,751,129 | |||||||||||
ZAR | 33,494,087 | 6.250 | 03/31/36 | 1,349,651 | ||||||||||
103,130,000 | 8.000 | 01/31/30 | 5,828,010 | |||||||||||
41,550,000 | 8.250 | 03/31/32 | 2,192,017 | |||||||||||
70,725,000 | 8.500 | 01/31/37 | 3,404,344 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of South Africa – (continued) | ||||||||||||||
ZAR | 27,428,506 | 8.750 | % | 01/31/44 | $ | 1,284,153 | ||||||||
18,109,475 | 8.750 | 02/28/48 | 843,968 | |||||||||||
13,495,150 | 8.875 | 02/28/35 | 693,709 | |||||||||||
17,000,000 | 9.000 | 01/31/40 | 834,770 | |||||||||||
Republic of Sri Lanka | ||||||||||||||
$ | 1,160,000 | 5.750 | 04/18/23 | 667,000 | ||||||||||
565,000 | 6.350 | (a) | 06/28/24 | 319,578 | ||||||||||
485,000 | 6.750 | 04/18/28 | 259,930 | |||||||||||
Republic of Turkey | ||||||||||||||
1,700,000 | 4.875 | 04/16/43 | 1,243,125 | |||||||||||
1,155,000 | 5.125 | 03/25/22 | 1,146,698 | |||||||||||
570,000 | 5.750 | 03/22/24 | 553,078 | |||||||||||
450,000 | 6.375 | 10/14/25 | 438,750 | |||||||||||
Republic of Uruguay(b) | ||||||||||||||
2,597,389 | 4.375 | 01/23/31 | 3,137,159 | |||||||||||
Republic of Venezuela(e) | ||||||||||||||
85,000 | 6.000 | 12/09/20 | 7,438 | |||||||||||
190,000 | 7.000 | 03/31/38 | 16,625 | |||||||||||
199,000 | 7.650 | 04/21/25 | 17,413 | |||||||||||
110,000 | 7.750 | 10/13/19 | 9,625 | |||||||||||
175,000 | 8.250 | 10/13/24 | 15,313 | |||||||||||
203,000 | 9.000 | 05/07/23 | 17,763 | |||||||||||
165,000 | 9.250 | 09/15/27 | 14,438 | |||||||||||
145,000 | 9.250 | 05/07/28 | 12,688 | |||||||||||
152,000 | 9.375 | 01/13/34 | 13,300 | |||||||||||
205,000 | 11.750 | 10/21/26 | 17,937 | |||||||||||
205,000 | 11.950 | 08/05/31 | 17,938 | |||||||||||
140,000 | 12.750 | 08/23/22 | 12,250 | |||||||||||
Republic of Zambia | ||||||||||||||
675,000 | 5.375 | 09/20/22 | 294,469 | |||||||||||
Russian Federation Bond | ||||||||||||||
RUB | 166,521,000 | 6.500 | 02/28/24 | 2,187,267 | ||||||||||
116,000,000 | 6.900 | 05/23/29 | 1,548,127 | |||||||||||
132,700,000 | 7.050 | 01/19/28 | 1,793,971 | |||||||||||
185,850,000 | 7.100 | 10/16/24 | 2,501,558 | |||||||||||
20,800,000 | 7.400 | 12/07/22 | 276,142 | |||||||||||
51,000,000 | 7.700 | 03/23/33 | 715,148 | |||||||||||
169,400,000 | 8.150 | 02/03/27 | 2,413,772 | |||||||||||
79,200,000 | 8.500 | 09/17/31 | 1,171,106 | |||||||||||
Russian Foreign Bond – Eurobond | ||||||||||||||
$ | 2,600,000 | 4.375 | 03/21/29 | 2,977,812 | ||||||||||
800,000 | 5.100 | 03/28/35 | 970,500 | |||||||||||
200,000 | 5.625 | 04/04/42 | 262,625 | |||||||||||
Saudi Government International Bond | ||||||||||||||
534,000 | 2.750 | (a) | 02/03/32 | 557,362 | ||||||||||
764,000 | 2.750 | 02/03/32 | 797,425 | |||||||||||
994,000 | 3.250 | (a) | 10/22/30 | 1,082,217 | ||||||||||
200,000 | 3.250 | 10/22/30 | 217,750 | |||||||||||
State of Israel | ||||||||||||||
461,000 | 3.875 | 07/03/50 | 534,472 | |||||||||||
2,275,000 | 4.500 | (f) | 04/03/20 | 2,966,031 | ||||||||||
Thailand Government Bond | ||||||||||||||
THB | 16,000,000 | 1.585 | 12/17/35 | 509,872 | ||||||||||
155,012,000 | 3.300 | 06/17/38 | 6,023,941 | |||||||||||
Ukraine Government Bond | ||||||||||||||
$ | 496,000 | 7.375 | 09/25/32 | 474,920 | ||||||||||
769,000 | 7.750 | 09/01/21 | 792,839 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Ukraine Government Bond – (continued) | ||||||||||||||
918,000 | 7.750 | 09/01/22 | 960,687 | |||||||||||
113,000 | 7.750 | 09/01/26 | 114,201 | |||||||||||
372,000 | 8.994 | 02/01/24 | 397,296 | |||||||||||
United Mexican States | ||||||||||||||
MXN | 78,970,000 | 5.750 | 03/05/26 | 3,783,479 | ||||||||||
55,550,000 | 7.500 | 06/03/27 | 2,877,475 | |||||||||||
29,829,600 | 7.750 | 05/29/31 | 1,562,744 | |||||||||||
43,520,000 | 7.750 | 11/13/42 | 2,176,744 | |||||||||||
27,770,000 | 8.000 | 09/05/24 | 1,445,434 | |||||||||||
40,063,900 | 8.500 | 05/31/29 | 2,201,021 | |||||||||||
53,700,000 | 10.000 | 12/05/24 | 2,990,506 | |||||||||||
Uruguay Monetary Regulation Bills(c) | ||||||||||||||
UYU | 16,567,000 | 0.000 | 01/22/21 | 379,582 | ||||||||||
43,247,000 | 0.000 | 05/07/21 | 968,254 | |||||||||||
11,329,000 | 0.000 | 05/28/21 | 252,829 | |||||||||||
|
| |||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $263,622,072) | $ | 259,234,122 | ||||||||||||
|
| |||||||||||||
Corporate Obligations – 40.0% | ||||||||||||||
Advertising(b) – 0.5% | ||||||||||||||
Summer BC Holdco B S.a.r.l. | ||||||||||||||
$ | 727,000 | 5.750 | % | 10/31/26 | $ | 833,602 | ||||||||
Terrier Media Buyer, Inc.(a) | ||||||||||||||
3,448,000 | 8.875 | 12/15/27 | 3,525,580 | |||||||||||
|
| |||||||||||||
4,359,182 | ||||||||||||||
|
| |||||||||||||
Aerospace & Defense – 0.6% | ||||||||||||||
Embraer Netherlands Finance B.V.(a) | ||||||||||||||
1,170,000 | 6.950 | 01/17/28 | 1,169,364 | |||||||||||
F-Brasile SpA/F-Brasile US LLC(a)(b) | ||||||||||||||
611,000 | 7.375 | 08/15/26 | 530,043 | |||||||||||
TransDigm, Inc.(b) | ||||||||||||||
914,000 | 5.500 | 11/15/27 | 892,292 | |||||||||||
1,382,000 | 6.250 | (a) | 03/15/26 | 1,440,735 | ||||||||||
Triumph Group, Inc.(b) | ||||||||||||||
65,000 | 6.250 | (a) | 09/15/24 | 56,225 | ||||||||||
915,000 | 7.750 | 08/15/25 | 594,750 | |||||||||||
920,000 | 8.875 | (a) | 06/01/24 | 979,800 | ||||||||||
|
| |||||||||||||
5,663,209 | ||||||||||||||
|
| |||||||||||||
Agriculture(a)(b) – 0.3% | ||||||||||||||
Vector Group Ltd. | ||||||||||||||
1,825,000 | 6.125 | 02/01/25 | 1,813,594 | |||||||||||
1,150,000 | 10.500 | 11/01/26 | 1,184,500 | |||||||||||
|
| |||||||||||||
2,998,094 | ||||||||||||||
|
| |||||||||||||
Airlines – 0.6% | ||||||||||||||
Air Canada(a) | ||||||||||||||
140,000 | 4.000 | 07/01/25 | 152,698 | |||||||||||
Delta Air Lines, Inc. | ||||||||||||||
1,625,000 | 7.000 | (a) | 05/01/25 | 1,772,712 | ||||||||||
750,000 | 7.375 | (b) | 01/15/26 | 775,313 | ||||||||||
| Mileage Plus Holdings LLC/Mileage Plus Intellectual Property | | ||||||||||||
1,975,000 | 6.500 | 06/20/27 | 2,058,937 | |||||||||||
|
|
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Airlines – (continued) | ||||||||||||||
Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd.(a)(b) | ||||||||||||||
$ | 520,000 | 8.000 | % | 09/20/25 | $ | 551,200 | ||||||||
|
| |||||||||||||
5,310,860 | ||||||||||||||
|
| |||||||||||||
Automotive – 1.0% | ||||||||||||||
Adient US LLC(a)(b) | ||||||||||||||
760,000 | 7.000 | 05/15/26 | 809,400 | |||||||||||
Dealer Tire LLC/DT Issuer LLC(a)(b) | ||||||||||||||
1,117,000 | 8.000 | 02/01/28 | 1,142,132 | |||||||||||
Ford Motor Co. | ||||||||||||||
650,000 | 8.500 | 04/21/23 | 716,795 | |||||||||||
1,470,000 | 9.000 | (b) | 04/22/25 | 1,728,876 | ||||||||||
225,000 | 9.625 | (b) | 04/22/30 | 300,323 | ||||||||||
Ford Motor Credit Co. LLC | ||||||||||||||
50,000 | 3.810 | (b) | 01/09/24 | 49,928 | ||||||||||
100,000 | 4.063 | (b) | 11/01/24 | 100,220 | ||||||||||
824,000 | 4.125 | (b) | 08/17/27 | 810,877 | ||||||||||
140,000 | 4.140 | (b) | 02/15/23 | 141,381 | ||||||||||
460,000 | 5.125 | (b) | 06/16/25 | 477,715 | ||||||||||
435,000 | 5.584 | (b) | 03/18/24 | 457,045 | ||||||||||
50,000 | 5.596 | 01/07/22 | 51,197 | |||||||||||
General Motors Financial Co., Inc.(b)(g)(5 year CMT + 4.997%) | ||||||||||||||
1,061,000 | 5.700 | 09/30/49 | 1,089,129 | |||||||||||
IHO Verwaltungs GmbH(a)(b)(h) | ||||||||||||||
(PIK 6.750%, Cash 6.000%) | ||||||||||||||
685,000 | 6.000 | 05/15/27 | 705,550 | |||||||||||
(PIK 7.125%, Cash 6.375%) | ||||||||||||||
535,000 | 6.375 | 05/15/29 | 565,763 | |||||||||||
Nissan Motor Co. Ltd.(a)(b) | ||||||||||||||
505,000 | 4.810 | 09/17/30 | 505,995 | |||||||||||
|
| |||||||||||||
9,652,326 | ||||||||||||||
|
| |||||||||||||
Banks – 3.0% | ||||||||||||||
| Banca Monte dei Paschi di Siena SpA(b)(g)(5 Year EUR Swap + | | ||||||||||||
EUR | 1,569,000 | 5.375 | 01/18/28 | 1,409,333 | ||||||||||
Banco Santander SA(b)(g)(-1X 5 year EUR Swap + 4.534%) | ||||||||||||||
800,000 | 4.375 | 01/14/49 | 808,267 | |||||||||||
Barclays PLC(b)(g) | ||||||||||||||
(5 year CMT + 5.867%) | ||||||||||||||
$ | 2,950,000 | 6.125 | 12/15/49 | 3,056,938 | ||||||||||
(5 year UK Government Bond + 6.016%) | ||||||||||||||
GBP | 460,000 | 6.375 | 12/15/49 | 595,787 | ||||||||||
(5 Year USD Swap + 4.842%) | ||||||||||||||
$ | 2,255,000 | 7.750 | 09/15/49 | 2,325,469 | ||||||||||
BBVA Bancomer SA(a)(b)(g)(5 Year CMT + 4.308%) | ||||||||||||||
900,000 | 5.875 | 09/13/34 | 937,125 | |||||||||||
Commerzbank AG(b)(g) | ||||||||||||||
(-1X 5 year EUR Swap + 6.363%) | ||||||||||||||
EUR | 400,000 | 6.125 | 10/09/49 | 454,195 | ||||||||||
(5 year USD Swap + 5.228%) | ||||||||||||||
$ | 1,000,000 | 7.000 | 04/09/49 | 1,005,000 | ||||||||||
Deutsche Bank AG(b)(g) | ||||||||||||||
(5 Year CMT + 4.524%) | ||||||||||||||
1,200,000 | 6.000 | 10/30/49 | 1,068,000 | |||||||||||
(5 Year USD ICE Swap + 2.553%) | ||||||||||||||
712,000 | 4.875 | 12/01/32 | 688,860 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Banks – (continued) | ||||||||||||||
Freedom Mortgage Corp.(a)(b) | ||||||||||||||
480,000 | 7.625 | 05/01/26 | 475,200 | |||||||||||
1,855,000 | 8.125 | 11/15/24 | 1,871,231 | |||||||||||
1,565,000 | 8.250 | 04/15/25 | 1,580,650 | |||||||||||
Ibercaja Banco SA(b)(g)(-1X 5 year EUR Swap + 2.882%) | ||||||||||||||
EUR | 800,000 | 2.750 | 07/23/30 | 847,651 | ||||||||||
Intesa Sanpaolo SpA | ||||||||||||||
$ | 1,300,000 | 5.710 | (a) | 01/15/26 | 1,413,750 | |||||||||
(5 Year EUR Swap + 7.192%) | ||||||||||||||
EUR | 582,000 | 7.750 | (b)(g) | 01/11/49 | 755,776 | |||||||||
(5 Year USD Swap + 5.462%) | ||||||||||||||
$ | 500,000 | 7.700 | (a)(b)(g) | 09/17/49 | 527,500 | |||||||||
Lloyds Banking Group PLC(b)(g) (5 Year USD Swap + 4.496%) | ||||||||||||||
1,140,000 | 7.500 | 09/27/49 | 1,225,500 | |||||||||||
Novo Banco SA/Luxembourg | ||||||||||||||
EUR | 95,000 | 3.500 | 01/02/43 | 90,696 | ||||||||||
1,015,000 | 3.500 | 01/23/43 | 967,151 | |||||||||||
UniCredit SpA | ||||||||||||||
$ | 1,000,000 | 6.572 | (a) | 01/14/22 | 1,057,470 | |||||||||
(5 Year USD ICE Swap + 3.703%) | ||||||||||||||
3,300,000 | 5.861 | (a)(b)(g) | 06/19/32 | 3,489,750 | ||||||||||
(5 Year USD Swap + 5.180%) | ||||||||||||||
1,270,000 | 8.000 | (b)(g) | 06/03/49 | 1,333,500 | ||||||||||
|
| |||||||||||||
27,984,799 | ||||||||||||||
|
| |||||||||||||
Building Materials – 0.9% | ||||||||||||||
Builders FirstSource, Inc.(a)(b) | ||||||||||||||
930,000 | 5.000 | 03/01/30 | 976,500 | |||||||||||
CEMEX Materials LLC(a) | ||||||||||||||
1,290,000 | 7.700 | 07/21/25 | 1,389,975 | |||||||||||
Cemex SAB de CV(a)(b) | ||||||||||||||
3,075,000 | 5.200 | 09/17/30 | 3,259,930 | |||||||||||
Griffon Corp.(b) | ||||||||||||||
809,000 | 5.750 | 03/01/28 | 845,405 | |||||||||||
SRM Escrow Issuer LLC(a) | ||||||||||||||
1,650,000 | 6.000 | 11/01/28 | 1,660,313 | |||||||||||
|
| |||||||||||||
8,132,123 | ||||||||||||||
|
| |||||||||||||
Chemicals(a)(b) – 1.3% | ||||||||||||||
Atotech Alpha 3 B.V./Alpha US Bidco, Inc. | ||||||||||||||
1,645,000 | 6.250 | 02/01/25 | 1,653,225 | |||||||||||
Cornerstone Chemical Co. | ||||||||||||||
2,830,000 | 6.750 | 08/15/24 | 2,656,662 | |||||||||||
Hexion, Inc. | ||||||||||||||
685,000 | 7.875 | 07/15/27 | 710,688 | |||||||||||
Innophos Holdings, Inc. | ||||||||||||||
965,000 | 9.375 | 02/15/28 | 1,032,550 | |||||||||||
Neon Holdings, Inc. | ||||||||||||||
850,000 | 10.125 | 04/01/26 | 901,000 | |||||||||||
Nouryon Holding B.V. | ||||||||||||||
1,650,000 | 8.000 | 10/01/26 | 1,724,250 | |||||||||||
Rain CII Carbon LLC/CII Carbon Corp. | ||||||||||||||
3,260,000 | 7.250 | 04/01/25 | 3,215,175 | |||||||||||
|
| |||||||||||||
11,893,550 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Commercial Services(b) – 0.8% | ||||||||||||||
AA Bond Co. Ltd. | ||||||||||||||
GBP | 680,000 | 4.875 | % | 07/31/24 | $ | 887,520 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.(a) | ||||||||||||||
$ | 439,000 | 5.250 | 03/15/25 | 417,050 | ||||||||||
Capitol Investment Merger Sub 2 LLC(a) | ||||||||||||||
2,284,000 | 10.000 | 08/01/24 | 2,421,040 | |||||||||||
| GEMS MENASA Cayman Ltd./GEMS Education Delaware | | ||||||||||||
1,460,000 | 7.125 | 07/31/26 | 1,445,856 | |||||||||||
Herc Holdings, Inc.(a) | ||||||||||||||
600,000 | 5.500 | 07/15/27 | 613,500 | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(a) | ||||||||||||||
965,000 | 6.250 | 01/15/28 | 973,444 | |||||||||||
Team Health Holdings, Inc.(a) | ||||||||||||||
650,000 | 6.375 | 02/01/25 | 399,750 | |||||||||||
|
| |||||||||||||
7,158,160 | ||||||||||||||
|
| |||||||||||||
Computers(b) – 0.3% | ||||||||||||||
Banff Merger Sub, Inc. | ||||||||||||||
EUR | 1,150,000 | 8.375 | 09/01/26 | 1,361,835 | ||||||||||
$ | 375,000 | 9.750 | (a) | 09/01/26 | 393,750 | |||||||||
Flexential Intermediate Corp.(a) | ||||||||||||||
935,000 | 11.250 | 08/01/24 | 956,038 | |||||||||||
Unisys Corp.(a) | ||||||||||||||
550,000 | 6.875 | 11/01/27 | 567,875 | |||||||||||
|
| |||||||||||||
3,279,498 | ||||||||||||||
|
| |||||||||||||
Distribution & Wholesale(b) – 0.2% | ||||||||||||||
Avient Corp.(a) | ||||||||||||||
705,000 | 5.750 | 05/15/25 | 742,013 | |||||||||||
G-III Apparel Group Ltd.(a) | ||||||||||||||
1,350,000 | 7.875 | 08/15/25 | 1,373,625 | |||||||||||
Parts Europe SA | ||||||||||||||
EUR | 157,000 | 6.500 | 07/16/25 | 179,085 | ||||||||||
|
| |||||||||||||
2,294,723 | ||||||||||||||
|
| |||||||||||||
Diversified Financial Services – 1.4% | ||||||||||||||
AG Issuer LLC(a)(b) | ||||||||||||||
$ | 1,000,000 | 6.250 | 03/01/28 | 976,250 | ||||||||||
Avation Capital SA(a)(b) | ||||||||||||||
1,172,000 | 6.500 | 05/15/21 | 714,920 | |||||||||||
FS Energy & Power Fund(a)(b) | ||||||||||||||
720,000 | 7.500 | 08/15/23 | 648,000 | |||||||||||
| Global Aircraft Leasing Co. Ltd.(a)(b)(h) (PIK 7.250%, Cash | | ||||||||||||
2,323,272 | 6.500 | 09/15/24 | 1,556,592 | |||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.(b) | ||||||||||||||
585,000 | 4.750 | 09/15/24 | 595,238 | |||||||||||
815,000 | 5.250 | 05/15/27 | 843,525 | |||||||||||
Nationstar Mortgage Holdings, Inc.(a)(b) | ||||||||||||||
1,113,000 | 6.000 | 01/15/27 | 1,113,000 | |||||||||||
1,400,000 | 9.125 | 07/15/26 | 1,498,000 | |||||||||||
OneMain Finance Corp. | ||||||||||||||
2,040,000 | 7.125 | 03/15/26 | 2,261,850 | |||||||||||
OneMain Finance Corp. | ||||||||||||||
400,000 | 5.375 | (b) | 11/15/29 | 411,000 | ||||||||||
190,000 | 6.875 | 03/15/25 | 209,000 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Diversified Financial Services – (continued) | ||||||||||||||
PRA Group, Inc.(a)(b) | ||||||||||||||
540,000 | 7.375 | 09/01/25 | 566,325 | |||||||||||
SLM Corp.(b) | ||||||||||||||
700,000 | 4.200 | 10/29/25 | 710,500 | |||||||||||
Voyager Aviation Holdings LLC/Voyager Finance Co.(a)(b) | ||||||||||||||
1,351,000 | 9.000 | 08/15/21 | 661,990 | |||||||||||
|
| |||||||||||||
12,766,190 | ||||||||||||||
|
| |||||||||||||
Electrical – 1.3% | ||||||||||||||
Calpine Corp.(a)(b) | ||||||||||||||
222,000 | 4.625 | 02/01/29 | 224,220 | |||||||||||
Drax Finco PLC(a)(b) | ||||||||||||||
742,000 | 6.625 | 11/01/25 | 774,463 | |||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||||
542,000 | 6.750 | 08/06/23 | 512,529 | |||||||||||
Infraestructura Energetica Nova SAB de CV(a)(b) | ||||||||||||||
867,000 | 4.750 | 01/15/51 | 808,586 | |||||||||||
NRG Energy, Inc.(b) | ||||||||||||||
685,000 | 7.250 | 05/15/26 | 720,106 | |||||||||||
Pacific Gas & Electric Co. | ||||||||||||||
2,083,437 | 3.150 | 01/01/26 | 2,129,815 | |||||||||||
2,083,437 | 4.500 | 07/01/40 | 2,140,065 | |||||||||||
PG&E Corp.(b) | ||||||||||||||
1,214,000 | 5.000 | 07/01/28 | 1,210,965 | |||||||||||
Talen Energy Supply LLC(a)(b) | ||||||||||||||
1,430,000 | 6.625 | 01/15/28 | 1,358,500 | |||||||||||
1,321,000 | 7.250 | 05/15/27 | 1,301,185 | |||||||||||
Vistra Operations Co. LLC(a)(b) | ||||||||||||||
815,000 | 5.500 | 09/01/26 | 845,562 | |||||||||||
|
| |||||||||||||
12,025,996 | ||||||||||||||
|
| |||||||||||||
Engineering & Construction – 0.5% | ||||||||||||||
Bioceanico Sovereign Certificate Ltd.(c) | ||||||||||||||
1,306,647 | 0.000 | 06/05/34 | 953,852 | |||||||||||
New Enterprise Stone & Lime Co., Inc.(a)(b) | ||||||||||||||
1,520,000 | 6.250 | 03/15/26 | 1,550,400 | |||||||||||
PowerTeam Services LLC(a)(b) | ||||||||||||||
548,000 | 9.033 | 12/04/25 | 580,880 | |||||||||||
Tutor Perini Corp.(a)(b) | ||||||||||||||
1,610,000 | 6.875 | 05/01/25 | 1,529,500 | |||||||||||
|
| |||||||||||||
4,614,632 | ||||||||||||||
|
| |||||||||||||
Entertainment(b) – 1.4% | ||||||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||||||
130,000 | 5.750 | 06/15/25 | 4,550 | |||||||||||
235,000 | 6.125 | 05/15/27 | 8,225 | |||||||||||
Banijay Entertainment SASU(a) | ||||||||||||||
1,137,000 | 5.375 | 03/01/25 | 1,152,634 | |||||||||||
Banijay Group SAS | ||||||||||||||
1,204,000 | 6.500 | 03/01/26 | 1,360,129 | |||||||||||
Caesars Entertainment, Inc.(a) | ||||||||||||||
1,700,000 | 6.250 | 07/01/25 | 1,738,250 | |||||||||||
500,000 | 8.125 | 07/01/27 | 521,875 | |||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||||||||||||
1,342,000 | 5.250 | 10/15/25 | 1,274,900 | |||||||||||
|
|
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Entertainment(b) – (continued) | ||||||||||||||
Cirsa Finance International S.a.r.l. | ||||||||||||||
EUR | 860,000 | 4.750 | % | 05/22/25 | $ | 837,587 | ||||||||
$ | 1,159,000 | 7.875 | (a) | 12/20/23 | 1,053,241 | |||||||||
International Game Technology PLC(a) | ||||||||||||||
840,000 | 6.250 | 01/15/27 | 892,500 | |||||||||||
Scientific Games International, Inc.(a) | ||||||||||||||
639,000 | 7.000 | 05/15/28 | 630,214 | |||||||||||
1,184,000 | 8.250 | 03/15/26 | 1,195,840 | |||||||||||
Twin River Worldwide Holdings, Inc.(a) | ||||||||||||||
765,000 | 6.750 | 06/01/27 | 778,388 | |||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(a) | ||||||||||||||
1,580,000 | 7.750 | 04/15/25 | 1,659,000 | |||||||||||
|
| |||||||||||||
13,107,333 | ||||||||||||||
|
| |||||||||||||
Environmental(b) – 0.1% | ||||||||||||||
Covanta Holding Corp. | ||||||||||||||
705,000 | 5.000 | 09/01/30 | 720,863 | |||||||||||
GFL Environmental, Inc.(a) | ||||||||||||||
300,000 | 8.500 | 05/01/27 | 327,765 | |||||||||||
|
| |||||||||||||
1,048,628 | ||||||||||||||
|
| |||||||||||||
Food & Drug Retailing – 0.5% | ||||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/ | |||||||||||||
771,000 | 4.625 | 01/15/27 | 799,912 | |||||||||||
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, | | ||||||||||||
565,000 | 5.500 | 01/15/30 | 615,850 | |||||||||||
New Albertsons LP | ||||||||||||||
645,000 | 8.700 | 05/01/30 | 786,900 | |||||||||||
Post Holdings, Inc.(a)(b) | ||||||||||||||
695,000 | 5.000 | 08/15/26 | 718,456 | |||||||||||
Ulker Biskuvi Sanayi AS(a) | ||||||||||||||
1,612,000 | 6.950 | 10/30/25 | 1,592,354 | |||||||||||
|
| |||||||||||||
4,513,472 | ||||||||||||||
|
| |||||||||||||
Food Service(a)(b) – 0.1% | ||||||||||||||
Aramark Services, Inc. | ||||||||||||||
750,000 | 6.375 | 05/01/25 | 783,750 | |||||||||||
|
| |||||||||||||
Forest Products&Paper(b) – 0.4% | ||||||||||||||
Resolute Forest Products, Inc. | ||||||||||||||
1,891,000 | 5.875 | 05/15/23 | 1,846,089 | |||||||||||
Schweitzer-Mauduit International, Inc.(a) | ||||||||||||||
1,900,000 | 6.875 | 10/01/26 | 2,002,125 | |||||||||||
|
| |||||||||||||
3,848,214 | ||||||||||||||
|
| |||||||||||||
Gaming(b) – 0.5% | ||||||||||||||
Inn of the Mountain Gods Resort & Casino | ||||||||||||||
1,028,302 | 9.250 | 11/30/20 | 987,170 | |||||||||||
Station Casinos LLC(a) | ||||||||||||||
930,000 | 5.000 | 10/01/25 | 923,025 | |||||||||||
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP | | ||||||||||||
2,304,000 | 5.875 | 05/15/25 | 2,220,480 | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(a) | ||||||||||||||
60,000 | 4.250 | 05/30/23 | 57,225 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Gaming(b) – (continued) | ||||||||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital | | ||||||||||||
325,000 | 5.250 | 05/15/27 | 301,031 | |||||||||||
140,000 | 5.500 | 03/01/25 | 134,050 | |||||||||||
|
| |||||||||||||
4,622,981 | ||||||||||||||
|
| |||||||||||||
Healthcare Providers & Services(b) – 0.8% | ||||||||||||||
Akumin, Inc.(a) | ||||||||||||||
1,838,000 | 7.000 | 11/01/25 | 1,815,025 | |||||||||||
Centene Corp. | ||||||||||||||
545,000 | 4.625 | 12/15/29 | 593,418 | |||||||||||
Charles River Laboratories International, Inc.(a) | ||||||||||||||
555,000 | 5.500 | 04/01/26 | 579,281 | |||||||||||
CHS/Community Health Systems, Inc.(a) | ||||||||||||||
796,000 | 8.000 | 03/15/26 | 797,990 | |||||||||||
Prime Healthcare Services, Inc.(a) | ||||||||||||||
806,000 | 7.250 | 11/01/25 | 814,060 | |||||||||||
| RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, | | ||||||||||||
756,000 | 9.750 | 12/01/26 | 814,590 | |||||||||||
Tenet Healthcare Corp. | ||||||||||||||
1,100,000 | 6.125 | (a) | 10/01/28 | 1,067,000 | ||||||||||
655,000 | 7.000 | 08/01/25 | 669,738 | |||||||||||
The Providence Service Corp.(a) | ||||||||||||||
560,000 | 5.875 | 11/15/25 | 571,900 | |||||||||||
|
| |||||||||||||
7,723,002 | ||||||||||||||
|
| |||||||||||||
Home Builders(a)(b) – 0.3% | ||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. | ||||||||||||||
1,600,000 | 6.625 | 01/15/28 | 1,614,000 | |||||||||||
| Brookfield Residential Properties, Inc./Brookfield Residential US | | ||||||||||||
832,000 | 4.875 | 02/15/30 | 790,400 | |||||||||||
Mattamy Group Corp. | ||||||||||||||
605,000 | 4.625 | 03/01/30 | 616,344 | |||||||||||
|
| |||||||||||||
3,020,744 | ||||||||||||||
|
| |||||||||||||
Housewares(a)(b) – 0.1% | ||||||||||||||
American Greetings Corp. | ||||||||||||||
1,410,000 | 8.750 | 04/15/25 | 1,374,750 | |||||||||||
|
| |||||||||||||
Insurance – 0.4% | ||||||||||||||
| Highlands Holdings Bond Issuer, Ltd./Highlands Holdings Bond | | ||||||||||||
1,000,000 | 7.625 | 10/15/25 | 997,500 | |||||||||||
MGIC Investment Corp. | ||||||||||||||
740,000 | 5.250 | (b) | 08/15/28 | 764,975 | ||||||||||
1,275,000 | 9.000 | (a) | 04/01/63 | 1,641,562 | ||||||||||
NMI Holdings, Inc.(a)(b) | ||||||||||||||
340,000 | 7.375 | 06/01/25 | 370,600 | |||||||||||
|
| |||||||||||||
3,774,637 | ||||||||||||||
|
| |||||||||||||
Internet – 0.4% | ||||||||||||||
Cablevision Lightpath LLC(a)(b) | ||||||||||||||
795,000 | 5.625 | 09/15/28 | 802,950 | |||||||||||
Getty Images, Inc.(a)(b) | ||||||||||||||
845,000 | 9.750 | 03/01/27 | 853,450 | |||||||||||
Netflix, Inc. | ||||||||||||||
EUR | 1,224,000 | 3.875 | 11/15/29 | 1,579,689 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Internet – (continued) | ||||||||||||||
TripAdvisor, Inc.(a)(b) | ||||||||||||||
$ | 900,000 | 7.000 | % | 07/15/25 | $ | 933,750 | ||||||||
|
| |||||||||||||
4,169,839 | ||||||||||||||
|
| |||||||||||||
Iron/Steel(b) – 1.1% | ||||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP(a) | ||||||||||||||
3,890,000 | 8.750 | 07/15/26 | 4,084,500 | |||||||||||
Big River Steel LLC/BRS Finance Corp.(a) | ||||||||||||||
225,000 | 6.625 | 01/31/29 | 231,750 | |||||||||||
Carpenter Technology Corp. | ||||||||||||||
707,000 | 6.375 | 07/15/28 | 744,068 | |||||||||||
Cleveland-Cliffs, Inc.(a) | ||||||||||||||
776,000 | 6.750 | 03/15/26 | 814,800 | |||||||||||
Mineral Resources Ltd.(a) | ||||||||||||||
3,770,000 | 8.125 | 05/01/27 | 4,109,300 | |||||||||||
|
| |||||||||||||
9,984,418 | ||||||||||||||
|
| |||||||||||||
Leisure Time(a) – 0.2% | ||||||||||||||
Carnival Corp.(b) | ||||||||||||||
1,000,000 | 9.875 | 08/01/27 | 1,045,000 | |||||||||||
550,000 | 10.500 | 02/01/26 | 596,750 | |||||||||||
550,000 | 11.500 | 04/01/23 | 607,750 | |||||||||||
Royal Caribbean Cruises Ltd. | ||||||||||||||
130,000 | 4.250 | 06/15/23 | 133,778 | |||||||||||
|
| |||||||||||||
2,383,278 | ||||||||||||||
|
| |||||||||||||
Lodging(a)(b) – 0.2% | ||||||||||||||
Diamond Resorts International, Inc. | ||||||||||||||
350,000 | 7.750 | 09/01/23 | 329,000 | |||||||||||
1,235,000 | 10.750 | 09/01/24 | 1,120,763 | |||||||||||
Wyndham Destinations, Inc. | ||||||||||||||
599,000 | 6.625 | 07/31/26 | 637,186 | |||||||||||
|
| |||||||||||||
2,086,949 | ||||||||||||||
|
| |||||||||||||
Media – 4.4% | ||||||||||||||
Altice Financing SA(a)(b) | ||||||||||||||
2,805,000 | 7.500 | 05/15/26 | 2,927,719 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(a)(b) | ||||||||||||||
150,000 | 5.375 | 06/01/29 | 161,625 | |||||||||||
Cengage Learning, Inc.(a)(b) | ||||||||||||||
1,040,000 | 9.500 | 06/15/24 | 839,800 | |||||||||||
CSC Holdings LLC(a)(b) | ||||||||||||||
150,000 | 6.500 | 02/01/29 | 166,313 | |||||||||||
1,695,000 | 7.500 | 04/01/28 | 1,856,025 | |||||||||||
Cumulus Media New Holdings, Inc.(a)(b) | ||||||||||||||
735,000 | 6.750 | 07/01/26 | 679,875 | |||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.(a)(b) | ||||||||||||||
1,555,000 | 5.375 | 08/15/26 | 901,900 | |||||||||||
2,020,000 | 6.625 | 08/15/27 | 838,300 | |||||||||||
DISH DBS Corp. | ||||||||||||||
615,000 | 5.000 | 03/15/23 | 619,613 | |||||||||||
180,000 | 5.875 | 11/15/24 | 181,575 | |||||||||||
1,119,000 | 7.375 | (b) | 07/01/28 | 1,124,595 | ||||||||||
275,000 | 7.750 | 07/01/26 | 291,500 | |||||||||||
Entercom Media Corp.(a)(b) | ||||||||||||||
1,455,000 | 7.250 | 11/01/24 | 1,214,925 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Media – (continued) | ||||||||||||||
Gray Television, Inc.(a)(b) | ||||||||||||||
575,000 | 4.750 | 10/15/30 | 566,375 | |||||||||||
1,186,000 | 7.000 | 05/15/27 | 1,271,985 | |||||||||||
Houghton Mifflin Harcourt Publishers, Inc.(a)(b) | ||||||||||||||
1,810,000 | 9.000 | 02/15/25 | 1,755,700 | |||||||||||
iHeartCommunications, Inc.(b) | ||||||||||||||
137,309 | 8.375 | 05/01/27 | 133,876 | |||||||||||
LCPR Senior Secured Financing DAC(a)(b) | ||||||||||||||
1,809,000 | 6.750 | 10/15/27 | 1,920,492 | |||||||||||
Liberty Interactive LLC | ||||||||||||||
311,485 | 3.750 | (b) | 02/15/30 | 228,941 | ||||||||||
3,981,765 | 4.000 | (b) | 11/15/29 | 2,876,825 | ||||||||||
375,000 | 8.250 | 02/01/30 | 404,531 | |||||||||||
| McGraw-Hill Global Education Holdings LLC/McGraw-Hill | | ||||||||||||
1,215,000 | 7.875 | 05/15/24 | 899,100 | |||||||||||
Nexstar Broadcasting, Inc.(a)(b) | ||||||||||||||
1,150,000 | 5.625 | 07/15/27 | 1,198,875 | |||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(a)(b) | ||||||||||||||
1,250,000 | 6.500 | 09/15/28 | 1,287,500 | |||||||||||
Salem Media Group, Inc.(a)(b) | ||||||||||||||
1,810,000 | 6.750 | 06/01/24 | 1,574,700 | |||||||||||
Sinclair Television Group, Inc.(a)(b) | ||||||||||||||
1,000,000 | 5.500 | 03/01/30 | 940,000 | |||||||||||
600,000 | 5.625 | 08/01/24 | 597,000 | |||||||||||
986,000 | 5.875 | 03/15/26 | 976,140 | |||||||||||
Sirius XM Radio, Inc.(a)(b) | ||||||||||||||
475,000 | 5.500 | 07/01/29 | 517,156 | |||||||||||
TEGNA, Inc.(b) | ||||||||||||||
1,549,000 | 4.625(a) | 03/15/28 | 1,525,765 | |||||||||||
1,132,000 | 5.000 | 09/15/29 | 1,143,320 | |||||||||||
Telenet Finance Luxembourg Notes S.a.r.l.(a)(b) | ||||||||||||||
1,400,000 | 5.500 | 03/01/28 | 1,468,250 | |||||||||||
Univision Communications, Inc.(a)(b) | ||||||||||||||
1,613,000 | 6.625 | 06/01/27 | 1,629,130 | |||||||||||
UPC Holding B.V.(b) | ||||||||||||||
EUR | 770,000 | 3.875 | 06/15/29 | 865,546 | ||||||||||
Urban One, Inc.(a)(b) | ||||||||||||||
$ | 2,665,000 | 7.375 | 04/15/22 | 2,485,112 | ||||||||||
VTR Finance NV(a)(b) | ||||||||||||||
1,000,000 | 6.375 | 07/15/28 | 1,065,938 | |||||||||||
Ziggo B.V.(a)(b) | ||||||||||||||
1,942,000 | 5.500 | 01/15/27 | 2,009,970 | |||||||||||
|
| |||||||||||||
41,145,992 | ||||||||||||||
|
| |||||||||||||
Mining(b) – 2.2% | ||||||||||||||
Antofagasta PLC(a) | ||||||||||||||
3,000,000 | 2.375 | 10/14/30 | 2,948,703 | |||||||||||
Eldorado Gold Corp.(a) | ||||||||||||||
2,754,000 | 9.500 | 06/01/24 | 2,974,320 | |||||||||||
First Quantum Minerals Ltd.(a) | ||||||||||||||
1,560,000 | 6.500 | 03/01/24 | 1,548,300 | |||||||||||
735,000 | 7.250 | 04/01/23 | 738,905 | |||||||||||
3,242,000 | 7.500 | 04/01/25 | 3,242,810 | |||||||||||
Freeport-McMoRan, Inc. | ||||||||||||||
247,000 | 3.875 | 03/15/23 | 254,719 | |||||||||||
|
|
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Mining(b) – (continued) | ||||||||||||||
Freeport-McMoRan, Inc. – (continued) | ||||||||||||||
$ | 190,000 | 5.250 | % | 09/01/29 | $ | 205,200 | ||||||||
2,100,000 | 5.450 | 03/15/43 | 2,388,750 | |||||||||||
Hecla Mining Co. | ||||||||||||||
1,550,000 | 7.250 | 02/15/28 | 1,662,375 | |||||||||||
Hudbay Minerals, Inc.(a) | ||||||||||||||
725,000 | 6.125 | 04/01/29 | 743,125 | |||||||||||
Indonesia Asahan Aluminium Persero PT(a) | ||||||||||||||
800,000 | 4.750 | 05/15/25 | 869,000 | |||||||||||
KME SE | ||||||||||||||
EUR | 564,000 | 6.750 | 02/01/23 | 453,590 | ||||||||||
Mountain Province Diamonds, Inc.(a) | ||||||||||||||
$ | 2,050,000 | 8.000 | 12/15/22 | 1,627,187 | ||||||||||
New Gold, Inc.(a) | ||||||||||||||
945,000 | 6.375 | 05/15/25 | 973,350 | |||||||||||
Northwest Acquisitions ULC/Dominion Finco, Inc.(a) | ||||||||||||||
1,260,000 | 7.125 | 11/01/22 | 12,600 | |||||||||||
|
| |||||||||||||
20,642,934 | ||||||||||||||
|
| |||||||||||||
Miscellaneous Manufacturing(a)(b) – 0.4% | ||||||||||||||
Bombardier, Inc. | ||||||||||||||
295,000 | 6.000 | 10/15/22 | 264,762 | |||||||||||
410,000 | 7.500 | 12/01/24 | 307,500 | |||||||||||
340,000 | 7.500 | 03/15/25 | 246,500 | |||||||||||
545,000 | 7.875 | 04/15/27 | 395,125 | |||||||||||
LSB Industries, Inc. | ||||||||||||||
3,055,000 | 9.625 | 05/01/23 | 2,997,719 | |||||||||||
|
| |||||||||||||
4,211,606 | ||||||||||||||
|
| |||||||||||||
Oil Field Services – 3.9% | ||||||||||||||
Apache Corp.(b) | ||||||||||||||
1,200,000 | 4.875 | 11/15/27 | 1,122,000 | |||||||||||
Cenovus Energy, Inc.(b) | ||||||||||||||
559,000 | 5.375 | 07/15/25 | 589,259 | |||||||||||
Chesapeake Energy Corp.(b)(e) | ||||||||||||||
195,000 | 7.000 | 10/01/24 | 9,263 | |||||||||||
935,000 | 7.500 | 10/01/26 | 44,413 | |||||||||||
195,000 | 11.500 | (a) | 01/01/25 | 30,225 | ||||||||||
CITGO Petroleum Corp.(a)(b) | ||||||||||||||
656,000 | 7.000 | 06/15/25 | 608,440 | |||||||||||
CNX Resources Corp.(a) | ||||||||||||||
535,000 | 2.250 | 05/01/26 | 564,622 | |||||||||||
415,000 | 7.250 | (b) | 03/14/27 | 436,269 | ||||||||||
CVR Energy, Inc.(a)(b) | ||||||||||||||
690,000 | 5.750 | 02/15/28 | 476,100 | |||||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(a)(b) | ||||||||||||||
2,182,000 | 5.500 | 01/30/26 | 2,198,365 | |||||||||||
EQT Corp.(b) | ||||||||||||||
660,000 | 7.875 | 02/01/25 | 734,250 | |||||||||||
800,000 | 8.750 | 02/01/30 | 992,000 | |||||||||||
Extraction Oil & Gas, Inc.(a)(b)(e) | ||||||||||||||
1,940,000 | 5.625 | 02/01/26 | 465,600 | |||||||||||
Gazprom PJSC via Gaz Finance PLC(a)(b)(g) | ||||||||||||||
1,300,000 | 4.599 | 10/26/49 | 1,294,215 | |||||||||||
KazMunayGas National Co. JSC(a)(b) | ||||||||||||||
1,123,000 | 3.500 | 04/14/33 | 1,157,925 | |||||||||||
MEG Energy Corp.(a)(b) | ||||||||||||||
2,677,000 | 7.125 | 02/01/27 | 2,397,923 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Oil Field Services – (continued) | ||||||||||||||
Noble Holding International Ltd.(b)(e) | ||||||||||||||
895,000 | 7.750 | 01/15/24 | 5,594 | |||||||||||
670,000 | 8.950 | 04/01/45 | 4,610 | |||||||||||
Occidental Petroleum Corp. | ||||||||||||||
930,000 | 2.700 | 08/15/22 | 859,087 | |||||||||||
410,000 | 2.700 | (b) | 02/15/23 | 366,950 | ||||||||||
450,000 | 4.400 | (b) | 04/15/46 | 302,625 | ||||||||||
650,000 | 4.500 | (b) | 07/15/44 | 445,250 | ||||||||||
505,000 | 4.625 | (b) | 06/15/45 | 342,137 | ||||||||||
1,225,000 | 5.550 | (b) | 03/15/26 | 1,068,812 | ||||||||||
813,000 | 6.375 | (b) | 09/01/28 | 711,375 | ||||||||||
840,000 | 8.500 | (b) | 07/15/27 | 802,200 | ||||||||||
Parkland Corp.(a)(b) | ||||||||||||||
890,000 | 5.875 | 07/15/27 | 917,812 | |||||||||||
Petrobras Global Finance B.V. | ||||||||||||||
1,535,000 | 5.600 | (b) | 01/03/31 | 1,651,046 | ||||||||||
695,000 | 6.900 | 03/19/49 | 786,490 | |||||||||||
Petroleos de Venezuela SA(e) | ||||||||||||||
700,000 | 6.000 | 11/15/26 | 19,950 | |||||||||||
Petroleos Mexicanos | ||||||||||||||
1,262,000 | 5.950 | (b) | 01/28/31 | 1,054,716 | ||||||||||
1,400,000 | 6.500 | 03/13/27 | 1,292,375 | |||||||||||
534,000 | 6.875 | (a)(b) | 10/16/25 | 523,854 | ||||||||||
4,384,000 | 6.950 | (b) | 01/28/60 | 3,428,288 | ||||||||||
1,233,000 | 7.690 | (b) | 01/23/50 | 1,023,328 | ||||||||||
Petronas Capital Ltd.(b) | ||||||||||||||
1,243,000 | 3.500 | (a) | 04/21/30 | 1,384,130 | ||||||||||
200,000 | 3.500 | 04/21/30 | 222,708 | |||||||||||
400,000 | 4.550 | 04/21/50 | 499,066 | |||||||||||
Shelf Drilling Holdings Ltd.(a)(b) | ||||||||||||||
430,000 | 8.250 | 02/15/25 | 137,600 | |||||||||||
Southwestern Energy Co.(b) | ||||||||||||||
1,055,000 | 7.500 | 04/01/26 | 1,076,100 | |||||||||||
70,000 | 7.750 | 10/01/27 | 72,275 | |||||||||||
Tengizchevroil Finance Co. International Ltd.(a)(b) | ||||||||||||||
954,000 | 2.625 | 08/15/25 | 956,683 | |||||||||||
Transocean Pontus Ltd.(a)(b) | ||||||||||||||
1,582,620 | 6.125 | 08/01/25 | 1,392,706 | |||||||||||
Transocean, Inc. | ||||||||||||||
480,000 | 7.500 | 04/15/31 | 62,400 | |||||||||||
| USA Compression Partners LP/USA Compression Finance | | ||||||||||||
1,755,000 | 6.875 | 04/01/26 | 1,755,000 | |||||||||||
Valaris PLC(b)(e) | ||||||||||||||
350,000 | 5.850 | 01/15/44 | 25,375 | |||||||||||
591,000 | 7.375 | 06/15/25 | 42,848 | |||||||||||
Viper Energy Partners LP(a)(b) | ||||||||||||||
666,000 | 5.375 | 11/01/27 | 675,990 | |||||||||||
|
| |||||||||||||
37,030,249 | ||||||||||||||
|
| |||||||||||||
Packaging(b) – 0.5% | ||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(a) | ||||||||||||||
565,000 | 4.125 | 08/15/26 | 579,125 | |||||||||||
895,000 | 5.250 | 08/15/27 | 920,731 | |||||||||||
Cascades Inc/Cascades USA, Inc.(a) | ||||||||||||||
942,000 | 5.125 | 01/15/26 | 983,212 | |||||||||||
334,000 | 5.375 | 01/15/28 | 350,700 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Packaging(b) – (continued) | ||||||||||||||
| Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. | | ||||||||||||
$ | 1,030,000 | 6.000 | % | 09/15/28 | $ | 1,048,025 | ||||||||
Intertape Polymer Group, Inc.(a) | ||||||||||||||
735,000 | 7.000 | 10/15/26 | 773,588 | |||||||||||
Trivium Packaging Finance BV | ||||||||||||||
EUR | 408,000 | 3.750 | 08/15/26 | 468,758 | ||||||||||
|
| |||||||||||||
5,124,139 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals – 1.2% | ||||||||||||||
Bausch Health Americas, Inc.(a)(b) | ||||||||||||||
$ | 973,000 | 8.500 | 01/31/27 | 1,064,219 | ||||||||||
Bausch Health Cos., Inc.(a)(b) | ||||||||||||||
487,000 | 5.000 | 01/30/28 | 480,304 | |||||||||||
1,500,000 | 5.250 | 01/30/30 | 1,477,500 | |||||||||||
1,320,000 | 6.250 | 02/15/29 | 1,362,900 | |||||||||||
Cheplapharm Arzneimittel GmbH(a)(b) | ||||||||||||||
482,000 | 5.500 | 01/15/28 | 488,025 | |||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(a)(b) | ||||||||||||||
946,000 | 6.000 | 06/30/28 | 730,785 | |||||||||||
738,000 | 9.500 | 07/31/27 | 795,195 | |||||||||||
Nidda Healthcare Holding GmbH(a)(b) | ||||||||||||||
EUR | 665,000 | 3.500 | 09/30/24 | 753,008 | ||||||||||
Par Pharmaceutical, Inc.(a)(b) | ||||||||||||||
$ | 1,474,000 | 7.500 | 04/01/27 | 1,564,282 | ||||||||||
Teva Pharmaceutical Finance Co. B.V. | ||||||||||||||
1,800,000 | 2.950 | 12/18/22 | 1,723,500 | |||||||||||
Teva Pharmaceutical Finance Netherlands III B.V. | ||||||||||||||
1,308,000 | 3.150 | 10/01/26 | 1,152,675 | |||||||||||
|
| |||||||||||||
11,592,393 | ||||||||||||||
|
| |||||||||||||
Pipelines – 2.1% | ||||||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp.(a)(b) | ||||||||||||||
55,000 | 6.625 | 07/15/26 | 49,363 | |||||||||||
Cheniere Energy Partners LP(b) | ||||||||||||||
455,000 | 4.500 | 10/01/29 | 463,531 | |||||||||||
440,000 | 5.625 | 10/01/26 | 449,900 | |||||||||||
CNX Midstream Partners LP/CNX Midstream Finance Corp.(a)(b) | ||||||||||||||
1,895,000 | 6.500 | 03/15/26 | 1,913,950 | |||||||||||
| Crestwood Midstream Partners LP/Crestwood Midstream Finance | | ||||||||||||
1,360,000 | 5.750 | 04/01/25 | 1,230,800 | |||||||||||
275,000 | 6.250 | 04/01/23 | 266,063 | |||||||||||
DCP Midstream Operating LP | ||||||||||||||
970,000 | 5.625 | (b) | 07/15/27 | 1,006,375 | ||||||||||
425,000 | 8.125 | 08/16/30 | 476,000 | |||||||||||
Energy Transfer Operating LP(b) | ||||||||||||||
295,000 | 5.250 | 04/15/29 | 319,284 | |||||||||||
EnLink Midstream LLC(b) | ||||||||||||||
1,665,000 | 5.375 | 06/01/29 | 1,423,575 | |||||||||||
EnLink Midstream Partners LP(b) | ||||||||||||||
165,000 | 4.850 | 07/15/26 | 140,663 | |||||||||||
EQM Midstream Partners LP(a)(b) | ||||||||||||||
724,000 | 6.500 | 07/01/27 | 763,820 | |||||||||||
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||||||||||||
2,700,000 | 2.625 | 03/31/36 | 2,679,723 | |||||||||||
747,000 | 3.250 | 09/30/40 | 733,927 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Pipelines – (continued) | ||||||||||||||
Global Partners LP/GLP Finance Corp.(b) | ||||||||||||||
533,000 | 6.875 | (a) | 01/15/29 | 548,324 | ||||||||||
942,000 | 7.000 | 08/01/27 | 967,905 | |||||||||||
KazTransGas JSC | ||||||||||||||
540,000 | 4.375 | 09/26/27 | 589,106 | |||||||||||
New Fortress Energy, Inc.(a)(b) | ||||||||||||||
358,000 | 6.750 | 09/15/25 | 369,187 | |||||||||||
NuStar Logistics LP(b) | ||||||||||||||
801,000 | 6.375 | 10/01/30 | 805,005 | |||||||||||
Rockies Express Pipeline LLC(a)(b) | ||||||||||||||
1,100,000 | 4.950 | 07/15/29 | 1,061,500 | |||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a)(b) | ||||||||||||||
967,000 | 6.000 | 03/01/27 | 908,980 | |||||||||||
680,000 | 7.500 | 10/01/25 | 683,400 | |||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance | | ||||||||||||
1,250,000 | 5.375 | 02/01/27 | 1,256,250 | |||||||||||
Western Midstream Operating LP(b) | ||||||||||||||
509,000 | 5.500 | 08/15/48 | 409,745 | |||||||||||
|
| |||||||||||||
19,516,376 | ||||||||||||||
|
| |||||||||||||
Real Estate – 1.4% | ||||||||||||||
China Evergrande Group | ||||||||||||||
1,890,000 | 8.250 | (b) | 03/23/22 | 1,588,781 | ||||||||||
2,000,000 | 9.500 | 04/11/22 | 1,705,625 | |||||||||||
Haya Real Estate SA(b) | ||||||||||||||
EUR | 569,000 | 5.250 | 11/15/22 | 514,138 | ||||||||||
Kaisa Group Holdings Ltd.(b) | ||||||||||||||
$ | 650,000 | 9.375 | 06/30/24 | 588,148 | ||||||||||
1,000,000 | 11.950 | (a) | 10/22/22 | 1,023,438 | ||||||||||
720,000 | 11.950 | 10/22/22 | 736,875 | |||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp.(a)(b) | ||||||||||||||
521,000 | 7.625 | 06/15/25 | 550,306 | |||||||||||
Saracen Development LLC(a)(b)(h) (PIK 3.000%, Cash 11.000%) | ||||||||||||||
1,509,316 | 11.000 | 10/15/25 | 1,727,412 | |||||||||||
Sunac China Holdings Ltd.(b) | ||||||||||||||
457,000 | 7.875 | 02/15/22 | 463,998 | |||||||||||
1,620,000 | 8.350 | 04/19/23 | 1,659,488 | |||||||||||
WeWork Cos., Inc.(a) | ||||||||||||||
1,440,000 | 7.875 | 05/01/25 | 914,400 | |||||||||||
Yuzhou Group Holdings Co. Ltd.(b) | ||||||||||||||
880,000 | 7.700 | 02/20/25 | 875,875 | |||||||||||
Zhenro Properties Group, Ltd.(b) | ||||||||||||||
837,000 | 7.350 | 02/05/25 | 814,244 | |||||||||||
|
| |||||||||||||
13,162,728 | ||||||||||||||
|
| |||||||||||||
Real Estate Investment Trust(b) – 0.9% | ||||||||||||||
Diversified Healthcare Trust | ||||||||||||||
1,000,000 | 9.750 | 06/15/25 | 1,098,318 | |||||||||||
Iron Mountain, Inc.(a) | ||||||||||||||
720,000 | 4.875 | 09/15/29 | 723,600 | |||||||||||
831,000 | 5.625 | 07/15/32 | 855,930 | |||||||||||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance | | ||||||||||||
1,430,000 | 5.250 | 03/15/22 | 1,388,887 | |||||||||||
130,000 | 5.250 | 10/01/25 | 118,788 | |||||||||||
|
|
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Real Estate Investment Trust(b) – (continued) | ||||||||||||||
New Residential Investment Corp.(a) | ||||||||||||||
$ | 3,770,000 | 6.250 | % | 10/15/25 | $ | 3,609,775 | ||||||||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC(a) | ||||||||||||||
125,000 | 6.000 | 04/15/23 | 126,562 | |||||||||||
180,000 | 7.125 | 12/15/24 | 171,900 | |||||||||||
|
| |||||||||||||
8,093,760 | ||||||||||||||
|
| |||||||||||||
Retailing – 1.0% | ||||||||||||||
1011778 BC ULC/New Red Finance, Inc.(a)(b) | ||||||||||||||
1,153,000 | 5.000 | 10/15/25 | 1,181,825 | |||||||||||
Beacon Roofing Supply, Inc.(a)(b) | ||||||||||||||
806,000 | 4.875 | 11/01/25 | 790,887 | |||||||||||
Carvana Co.(a)(b) | ||||||||||||||
1,278,000 | 5.875 | 10/01/28 | 1,258,830 | |||||||||||
Golden Nugget, Inc.(a)(b) | ||||||||||||||
730,000 | 6.750 | 10/15/24 | 617,763 | |||||||||||
Guitar Center, Inc.(a)(b) | ||||||||||||||
330,000 | 9.500 | (e) | 10/15/21 | 286,275 | ||||||||||
65,000 | 10.000 | (i) | 05/15/22 | 65,325 | ||||||||||
(PIK 8.000%, Cash 5.000%) | ||||||||||||||
1,999,438 | 13.000 | (e)(h) | 04/15/22 | 899,747 | ||||||||||
IRB Holding Corp.(a)(b) | ||||||||||||||
815,000 | 7.000 | 06/15/25 | 865,937 | |||||||||||
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America | | ||||||||||||
820,000 | 4.750 | 06/01/27 | 846,650 | |||||||||||
215,000 | 5.250 | 06/01/26 | 221,988 | |||||||||||
Mariposa Borrower, Inc.(a)(i) | ||||||||||||||
605,000 | 8.000 | 10/15/21 | 365,269 | |||||||||||
Rite Aid Corp. | ||||||||||||||
125,000 | 6.875 | (a) | 12/15/28 | 90,469 | ||||||||||
230,000 | 7.700 | 02/15/27 | 178,250 | |||||||||||
836,000 | 8.000 | (a)(b) | 11/15/26 | 838,090 | ||||||||||
Yum! Brands, Inc. | ||||||||||||||
615,000 | 6.875 | 11/15/37 | 741,075 | |||||||||||
|
| |||||||||||||
9,248,380 | ||||||||||||||
|
| |||||||||||||
Semiconductors(a)(b) – 0.1% | ||||||||||||||
Microchip Technology, Inc. | ||||||||||||||
655,000 | 4.250 | 09/01/25 | 677,925 | |||||||||||
|
| |||||||||||||
Software(a)(b) – 0.2% | ||||||||||||||
Logan Merger Sub, Inc. | ||||||||||||||
794,000 | 5.500 | 09/01/27 | 803,925 | |||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | ||||||||||||||
880,000 | 7.500 | 09/01/25 | 888,800 | |||||||||||
|
| |||||||||||||
1,692,725 | ||||||||||||||
|
| |||||||||||||
Sovereign – 0.3% | ||||||||||||||
1MDB Global Investments Ltd. | ||||||||||||||
400,000 | 4.400 | 03/09/23 | 398,000 | |||||||||||
CBB International Sukuk Programme Co. SPC(a) | ||||||||||||||
1,186,000 | 3.950 | 09/16/27 | 1,177,105 | |||||||||||
Malaysia Sukuk Global Bhd | ||||||||||||||
806,000 | 3.179 | 04/27/26 | 895,163 | |||||||||||
The Third Pakistan International Sukuk Co. Ltd. | ||||||||||||||
255,000 | 5.500 | 10/13/21 | 254,044 | |||||||||||
|
| |||||||||||||
2,724,312 | ||||||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Telecommunication Services – 1.9% | ||||||||||||||
Altice France Holding SA(b) | ||||||||||||||
707,000 | 6.000 | (a) | 02/15/28 | 676,069 | ||||||||||
EUR | 414,000 | 8.000 | 05/15/27 | 504,837 | ||||||||||
$ | 1,520,000 | 10.500 | (a) | 05/15/27 | 1,675,800 | |||||||||
Altice France SA(a)(b) | ||||||||||||||
2,875,000 | 7.375 | 05/01/26 | 3,000,781 | |||||||||||
CommScope, Inc.(a)(b) | ||||||||||||||
265,000 | 6.000 | 03/01/26 | 274,275 | |||||||||||
1,000,000 | 7.125 | 07/01/28 | 1,002,500 | |||||||||||
2,675,000 | 8.250 | 03/01/27 | 2,768,625 | |||||||||||
Consolidated Communications, Inc.(a)(b) | ||||||||||||||
435,000 | 6.500 | 10/01/28 | 446,962 | |||||||||||
Digicel Ltd.(a)(b) | ||||||||||||||
210,000 | 6.750 | 03/01/23 | 130,200 | |||||||||||
Frontier Communications Corp.(e) | ||||||||||||||
915,000 | 6.875 | (b) | 01/15/25 | 356,850 | ||||||||||
665,000 | 7.125 | 01/15/23 | 259,350 | |||||||||||
575,000 | 10.500 | (b) | 09/15/22 | 237,906 | ||||||||||
Intelsat Jackson Holdings SA(b)(e) | ||||||||||||||
350,000 | 5.500 | 08/01/23 | 208,687 | |||||||||||
135,000 | 9.750 | (a) | 07/15/25 | 83,869 | ||||||||||
Intelsat Luxembourg SA(b)(e) | ||||||||||||||
255,000 | 8.125 | 06/01/23 | 8,288 | |||||||||||
T-Mobile USA, Inc.(b) | ||||||||||||||
440,000 | 4.750 | 02/01/28 | 469,700 | |||||||||||
Telecom Italia Capital SA | ||||||||||||||
376,000 | 6.000 | 09/30/34 | 435,690 | |||||||||||
Telecom Italia Finance SA | ||||||||||||||
EUR | 475,000 | 7.750 | 01/24/33 | 791,426 | ||||||||||
Telecom Italia SpA(a) | ||||||||||||||
$ | 1,745,000 | 5.303 | 05/30/24 | 1,882,518 | ||||||||||
Telesat Canada/Telesat LLC(a)(b) | ||||||||||||||
1,376,000 | 6.500 | 10/15/27 | 1,369,120 | |||||||||||
| Trilogy International Partners LLC/Trilogy International Finance, | | ||||||||||||
90,000 | 8.875 | 05/01/22 | 82,350 | |||||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.(a)(b) | ||||||||||||||
1,100,000 | 7.750 | 08/15/28 | 1,062,875 | |||||||||||
|
| |||||||||||||
17,728,678 | ||||||||||||||
|
| |||||||||||||
Transportation(a)(b) – 0.1% | ||||||||||||||
Western Global Airlines LLC | ||||||||||||||
610,000 | 10.375 | 08/15/25 | 629,825 | |||||||||||
|
| |||||||||||||
Trucking & Leasing(a)(b) – 0.2% | ||||||||||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||||||||
370,000 | 6.500 | 10/01/25 | 363,525 | |||||||||||
735,000 | 6.750 | 03/15/22 | 730,406 | |||||||||||
1,000,000 | 9.750 | 08/01/27 | 1,060,000 | |||||||||||
|
| |||||||||||||
2,153,931 | ||||||||||||||
|
| |||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $381,744,680) | $ | 375,951,290 | ||||||||||||
|
| |||||||||||||
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(j) – 20.7% | ||||||||||||||
Advertising(g) – 0.4% | ||||||||||||||
BidFair MergerRight, Inc. (1M LIBOR + 5.500%) | ||||||||||||||
$ | 323,249 | 6.500 | % | 01/15/27 | $ | 320,285 | ||||||||
Clear Channel Outdoor Holdings, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
2,971,241 | 3.714 | 08/21/26 | 2,699,580 | |||||||||||
ExGen Renewables IV LLC (3M LIBOR + 3.000%) | ||||||||||||||
394,615 | 4.000 | 11/28/24 | 391,655 | |||||||||||
|
| |||||||||||||
3,411,520 | ||||||||||||||
|
| |||||||||||||
Aerospace & Defense(g) – 0.2% | ||||||||||||||
Blackstone CQP Holding Co. LP (3M LIBOR + 3.500%) | ||||||||||||||
493,750 | 3.725 | 09/30/24 | 482,147 | |||||||||||
TransDigm, Inc. | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
748,116 | 2.398 | 08/22/24 | 702,563 | |||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
496,250 | 2.398 | 12/09/25 | 466,103 | |||||||||||
|
| |||||||||||||
1,650,813 | ||||||||||||||
|
| |||||||||||||
Airlines(g) – 0.2% | ||||||||||||||
Allegiant Travel Co. (3M LIBOR + 3.000%) | ||||||||||||||
497,475 | 3.254 | 02/05/24 | 465,552 | |||||||||||
American Airlines, Inc. | ||||||||||||||
(1M LIBOR + 2.000%) | ||||||||||||||
414,299 | 2.145 | 04/28/23 | 341,796 | |||||||||||
(1M LIBOR + 2.000%) | ||||||||||||||
190,544 | 2.148 | 12/15/23 | 157,502 | |||||||||||
Kestrel Bidco, Inc. (6M LIBOR + 3.000%) | ||||||||||||||
488,530 | 4.000 | 12/11/26 | 427,923 | |||||||||||
| Mileage Plus Holdings LLC/Mileage Plus Intellectual Property | | ||||||||||||
250,000 | 6.250 | 06/25/27 | 253,703 | |||||||||||
United Airlines, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
488,608 | 1.902 | 04/01/24 | 454,102 | |||||||||||
|
| |||||||||||||
2,100,578 | ||||||||||||||
|
| |||||||||||||
Automotive(g) – 0.1% | ||||||||||||||
Adient US LLC (1M LIBOR + 4.250%) | ||||||||||||||
795,970 | 4.398 | 05/06/24 | 783,632 | |||||||||||
|
| |||||||||||||
Automotive – Parts(g) – 0.7% | ||||||||||||||
Gates Global LLC (1M LIBOR + 2.750%) | ||||||||||||||
262,027 | 3.750 | 04/01/24 | 256,569 | |||||||||||
Jaguar Holding Company II (1M LIBOR + 2.500%) | ||||||||||||||
3,533,100 | 3.500 | 08/18/22 | 3,503,775 | |||||||||||
Navistar International Corp. (1M LIBOR + 3.500%) | ||||||||||||||
486,250 | 3.650 | 11/06/24 | 480,780 | |||||||||||
Panther BF Aggregator 2 LP (1M LIBOR + 3.500%) | ||||||||||||||
1,555,429 | 3.648 | 04/30/26 | 1,508,377 | |||||||||||
SkillSoft Corp. (3M LIBOR + 7.500%) | ||||||||||||||
986,442 | 8.500 | 12/27/24 | 988,089 | |||||||||||
|
| |||||||||||||
6,737,590 | ||||||||||||||
|
| |||||||||||||
Building Materials(g) – 0.1% | ||||||||||||||
Ingersoll-Rand Services Co. (1M LIBOR + 1.750%) | ||||||||||||||
597,000 | 1.898 | 03/01/27 | 576,105 | |||||||||||
Quikrete Holdings, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
744,375 | 2.648 | 02/01/27 | 728,929 | |||||||||||
|
| |||||||||||||
1,305,034 | ||||||||||||||
|
| |||||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Chemicals(g) – 0.1% | ||||||||||||||
H.B. Fuller Co. (1M LIBOR + 2.000%) | ||||||||||||||
$ | 312,835 | 2.151 | % | 10/20/24 | $ | 306,969 | ||||||||
PQ Corp. (3M LIBOR + 3.000%) | ||||||||||||||
997,500 | 4.000 | 02/07/27 | 986,777 | |||||||||||
|
| |||||||||||||
1,293,746 | ||||||||||||||
|
| |||||||||||||
Commercial Services(g) – 0.1% | ||||||||||||||
Garda World Security Corp. (1M LIBOR + 4.750%) | ||||||||||||||
171,766 | 4.900 | 10/30/26 | 170,822 | |||||||||||
Monitronics International, Inc. (1M LIBOR + 6.500%) | ||||||||||||||
164,923 | 7.750 | 03/29/24 | 129,121 | |||||||||||
The Hertz Corp. (1M LIBOR + 2.750%) | ||||||||||||||
326,284 | 3.500 | 06/30/23 | 303,376 | |||||||||||
Wand NewCo 3, Inc. (1M LIBOR + 3.000%) | ||||||||||||||
496,250 | 3.148 | 02/05/26 | 477,333 | |||||||||||
|
| |||||||||||||
1,080,652 | ||||||||||||||
|
| |||||||||||||
Computers(g) – 0.1% | ||||||||||||||
NCR Corp. (1M LIBOR + 2.500%) | ||||||||||||||
633,290 | 2.650 | 08/28/26 | 612,182 | |||||||||||
|
| |||||||||||||
Consumer Cyclical Services(g) – 0.1% | ||||||||||||||
Equinox Holdings, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
1,230,964 | 4.000 | 03/08/24 | 892,609 | |||||||||||
|
| |||||||||||||
Consumer Discretionary(g) – 0.1% | ||||||||||||||
CWGS Group LLC (1M LIBOR + 2.750%) | ||||||||||||||
1,034,790 | 3.500 | 11/08/23 | 1,009,023 | |||||||||||
|
| |||||||||||||
Consumer Noncyclical(g) – 0.5% | ||||||||||||||
Coty, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
564,258 | 1.890 | 04/05/23 | 512,064 | |||||||||||
Jacobs Douwe Egberts International B.V. (1M LIBOR + 2.000%) | ||||||||||||||
1,055,853 | 2.188 | 11/01/25 | 1,051,894 | |||||||||||
Lifescan Global Corp. (3M LIBOR + 6.000%) | ||||||||||||||
2,859,166 | 6.234 | 10/01/24 | 2,671,890 | |||||||||||
NeuStar, Inc. (1M LIBOR + 8.000%) | ||||||||||||||
223,680 | 9.000 | 08/08/25 | 189,918 | |||||||||||
|
| |||||||||||||
4,425,766 | ||||||||||||||
|
| |||||||||||||
Consumer Products – Household & Leisure(g) – 0.1% | ||||||||||||||
Coty, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
130,998 | 2.390 | 04/07/25 | 114,378 | |||||||||||
Revlon Consumer Products Corp. (3M LIBOR + 3.500%) | ||||||||||||||
2,742,928 | 4.250 | 09/07/23 | 685,732 | |||||||||||
|
| |||||||||||||
800,110 | ||||||||||||||
|
| |||||||||||||
Consumer Products – Non Durable(g) – 0.2% | ||||||||||||||
Alphabet Holding Co., Inc. (1M LIBOR + 3.500%) | ||||||||||||||
740,496 | 3.648 | 09/26/24 | 714,208 | |||||||||||
Kronos Acquisition Holdings, Inc. (3M LIBOR + 4.000%) | ||||||||||||||
1,165,452 | 5.000 | 05/15/23 | 1,096,282 | |||||||||||
|
| |||||||||||||
1,810,490 | ||||||||||||||
|
| |||||||||||||
Distribution & Wholesale(g) – 0.1% | ||||||||||||||
American Tire Distributors Holdings, Inc. (1M LIBOR + 7.500%) | ||||||||||||||
850,886 | 8.500 | 09/02/24 | 718,395 | |||||||||||
|
| |||||||||||||
Diversified Financial Services(g) – 0.1% | ||||||||||||||
Milano Acquisition Corp. (3M LIBOR + 4.000%) | ||||||||||||||
500,000 | 4.750 | 10/01/27 | 490,835 | |||||||||||
|
|
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Electrical(g) – 0.1% | ||||||||||||||
Pacific Gas & Electric Co. (3M LIBOR + 4.500%) | ||||||||||||||
$ | 246,250 | 5.500 | % | 06/23/25 | $ | 243,172 | ||||||||
Vistra Operations Co. LLC (1M LIBOR + 1.750%) | ||||||||||||||
991,783 | 1.895 | 12/31/25 | 967,613 | |||||||||||
|
| |||||||||||||
1,210,785 | ||||||||||||||
|
| |||||||||||||
Energy(g) – 0.1% | ||||||||||||||
Epic Y-Grade Services LP (3M LIBOR + 6.000%) | ||||||||||||||
1,136,406 | 7.000 | 07/30/27 | 894,920 | |||||||||||
Peabody Energy Corp. (1M LIBOR + 2.750%) | ||||||||||||||
198,473 | 2.898 | 03/31/25 | 60,818 | |||||||||||
|
| |||||||||||||
955,738 | ||||||||||||||
|
| |||||||||||||
Energy – Exploration & Production – 0.1% | ||||||||||||||
Fieldwood Energy LLC | ||||||||||||||
2,970,133 | 0.000 | (i) | 04/11/22 | 623,728 | ||||||||||
425,300 | 0.000 | 04/11/23 | 98 | |||||||||||
|
| |||||||||||||
623,826 | ||||||||||||||
|
| |||||||||||||
Entertainment(g) – 0.6% | ||||||||||||||
AMC Entertainment Holdings, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
1,061,899 | 3.220 | 04/22/26 | 591,499 | |||||||||||
Crown Finance US, Inc. (6M LIBOR + 2.500%) | ||||||||||||||
770,779 | 2.769 | 02/28/25 | 428,615 | |||||||||||
Delta 2 (LUX) S.a.r.l. (1M LIBOR + 2.500%) | ||||||||||||||
1,785,000 | 3.500 | 02/01/24 | 1,709,137 | |||||||||||
| East Valley Tourist Development Authority(i) (3M LIBOR + | | ||||||||||||
731,223 | 9.000 | 03/07/22 | 672,725 | |||||||||||
Life Time Fitness, Inc. (3M LIBOR + 2.750%) | ||||||||||||||
959,057 | 3.750 | 06/10/22 | 883,416 | |||||||||||
The Stars Group Holdings B.V. (3M LIBOR + 3.500%) | ||||||||||||||
1,617,240 | 3.720 | 07/10/25 | 1,615,073 | |||||||||||
|
| |||||||||||||
5,900,465 | ||||||||||||||
|
| |||||||||||||
Environmental(g) – 0.3% | ||||||||||||||
GFL Environmental, Inc. (1M LIBOR + 3.000%) | ||||||||||||||
3,163,974 | 4.000 | 05/30/25 | 3,131,448 | |||||||||||
|
| |||||||||||||
Finance(g) – 0.0% | ||||||||||||||
Clarke Holdings Corp. (3M LIBOR + 4.750%) | ||||||||||||||
136,452 | 5.750 | 11/03/23 | 106,320 | |||||||||||
|
| |||||||||||||
Financial Services – 0.1% | ||||||||||||||
Delos Finance S.a.r.l.(g) (3M LIBOR + 1.750%) | ||||||||||||||
130,000 | 1.970 | 10/06/23 | 125,585 | |||||||||||
Ditech Holding Corp. (i) | ||||||||||||||
283,670 | 0.000 | 06/30/22 | 83,683 | |||||||||||
Mega Broadband Investments LLC(k) | ||||||||||||||
1,000,000 | 0.000 | 10/08/27 | 991,000 | |||||||||||
|
| |||||||||||||
1,200,268 | ||||||||||||||
|
| |||||||||||||
Food & Beverage(g) – 0.4% | ||||||||||||||
8th Avenue Food & Provisions, Inc. (1M LIBOR + 3.500%) | ||||||||||||||
491,250 | 3.647 | 10/01/25 | 483,778 | |||||||||||
BellRing Brands LLC (1M LIBOR + 5.000%) | ||||||||||||||
1,332,692 | 6.000 | 10/21/24 | 1,335,691 | |||||||||||
US Foods, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
2,009,507 | 1.898 | 06/27/23 | 1,918,577 | |||||||||||
|
| |||||||||||||
3,738,046 | ||||||||||||||
|
| |||||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Food & Drug Retailing(g) – 0.0% | ||||||||||||||
B&G Foods, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
412,917 | 2.648 | 10/10/26 | 409,923 | |||||||||||
|
| |||||||||||||
Gaming(g) – 0.8% | ||||||||||||||
Affinity Gaming LLC (3M LIBOR + 3.250%) | ||||||||||||||
516,790 | 4.250 | 07/01/23 | 474,413 | |||||||||||
Caesars Resort Collection LLC (1M LIBOR + 2.750%) | ||||||||||||||
2,875,790 | 2.898 | 12/23/24 | 2,689,669 | |||||||||||
CCM Merger, Inc. (3M LIBOR + 1.250%) | ||||||||||||||
994,681 | 4.500 | 08/08/21 | 985,669 | |||||||||||
CityCenter Holdings LLC (1M LIBOR + 2.250%) | ||||||||||||||
1,170,923 | 3.000 | 04/18/24 | 1,099,204 | |||||||||||
Mashantucket (Western) Pequot Tribe (1M LIBOR + 7.1250%) | ||||||||||||||
1,484,127 | 8.375 | 12/31/20 | 1,432,183 | |||||||||||
Scientific Games International, Inc. (1M LIBOR + 2.750%) | ||||||||||||||
768,443 | 2.898 | 08/14/24 | 713,453 | |||||||||||
|
| |||||||||||||
7,394,591 | ||||||||||||||
|
| |||||||||||||
Health Care – Medical Products(g) – 0.4% | ||||||||||||||
Carestream Dental Equiment, Inc (3M LIBOR + 3.250%) | ||||||||||||||
339,500 | 4.250 | 09/01/24 | 312,907 | |||||||||||
Carestream Health, Inc. (3M LIBOR + 6.750%) | ||||||||||||||
2,042,550 | 7.000 | 02/28/21 | 1,919,997 | |||||||||||
Viant Medical Holdings, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
735,073 | 3.898 | 07/02/25 | 672,901 | |||||||||||
Vyaire Medical, Inc. (3M LIBOR + 4.750%) | ||||||||||||||
587,342 | 5.750 | 04/16/25 | 430,962 | |||||||||||
|
| |||||||||||||
3,336,767 | ||||||||||||||
|
| |||||||||||||
Health Care – Pharmaceuticals – 0.9% | ||||||||||||||
Bausch Health Co., Inc.(g) (1M LIBOR + 3.000%) | ||||||||||||||
3,784,904 | 3.149 | 06/02/25 | 3,691,871 | |||||||||||
Bausch Health Cos., Inc.(g) (1M LIBOR + 2.750%) | ||||||||||||||
630,588 | 2.899 | 11/27/25 | 615,088 | |||||||||||
Concordia International Corp. | ||||||||||||||
1,236,480 | 0.000 | 09/06/24 | 1,199,386 | |||||||||||
| Grifols Worldwide Operations USA, Inc.(g) (1 Week LIBOR + | | ||||||||||||
1,985,000 | 2.094 | 11/15/27 | 1,933,648 | |||||||||||
Mallinckrodt International Finance S.A.(g) | ||||||||||||||
(3M LIBOR + 2.750%) | ||||||||||||||
1,250,443 | 5.500 | 09/24/24 | 1,151,032 | |||||||||||
(3M LIBOR + 5.000%) | ||||||||||||||
210,992 | 5.750 | 02/24/25 | 193,982 | |||||||||||
|
| |||||||||||||
8,785,007 | ||||||||||||||
|
| |||||||||||||
Health Care – Services(g) – 2.1% | ||||||||||||||
AHP Health Partners, Inc. (1M LIBOR + 4.500%) | ||||||||||||||
1,727,081 | 5.500 | 06/30/25 | 1,717,375 | |||||||||||
Air Methods Corp. (3M LIBOR + 3.500%) | ||||||||||||||
273,400 | 4.500 | 04/22/24 | 232,879 | |||||||||||
Athenahealth, Inc. (3M LIBOR + 4.500%) | ||||||||||||||
248,111 | 4.750 | 02/11/26 | 242,528 | |||||||||||
ATI Holdings Acquisition, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
373,026 | 4.500 | 05/10/23 | 349,152 | |||||||||||
BW NHHC Holdco, Inc. (3M LIBOR + 5.000%) | ||||||||||||||
249,362 | 5.270 | 05/15/25 | 211,594 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Health Care – Services(g) – (continued) | ||||||||||||||
Change Healthcare Holdings LLC (3M LIBOR + 2.500%) | ||||||||||||||
$ | 1,694,514 | 3.500 | % | 03/01/24 | $ | 1,651,948 | ||||||||
DaVita, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
595,500 | 1.898 | 08/12/26 | 581,803 | |||||||||||
Gentiva Health Services, Inc. (1M LIBOR + 3.250%) | ||||||||||||||
1,990,000 | 3.438 | 07/02/25 | 1,945,225 | |||||||||||
IQVIA, Inc. (3M LIBOR + 1.750%) | ||||||||||||||
487,503 | 1.970 | 06/11/25 | 478,158 | |||||||||||
MED ParentCo. LP | ||||||||||||||
(1M LIBOR + 4.250%) | ||||||||||||||
198,934 | 4.398 | 08/31/26 | 188,822 | |||||||||||
(1M LIBOR + 4.250%) | ||||||||||||||
34,904 | 4.398 | 08/31/26 | 34,193 | |||||||||||
Parexel International Corp. (1M LIBOR + 2.750%) | ||||||||||||||
2,982,553 | 2.898 | 09/27/24 | 2,856,868 | |||||||||||
Phoenix Guarantor, Inc. (1M LIBOR + 3.250%) | ||||||||||||||
347,375 | 3.397 | 03/05/26 | 335,797 | |||||||||||
Quorum Health Corp. (3M LIBOR + 8.250%) | ||||||||||||||
62,204 | 9.250 | 04/29/25 | 57,176 | |||||||||||
| RegionalCare Hospital Partners Holdings, Inc. (1M LIBOR + | | ||||||||||||
2,495,465 | 3.898 | 11/16/25 | 2,417,881 | |||||||||||
Select Medical Corp. (3M LIBOR + 2.500%) | ||||||||||||||
729,077 | 2.780 | 03/06/25 | 709,253 | |||||||||||
Surgery Center Holdings, Inc. (1M LIBOR + 3.250%) | ||||||||||||||
1,617,053 | 4.250 | 09/03/24 | 1,529,878 | |||||||||||
Team Health Holdings, Inc. (1M LIBOR + 2.750%) | ||||||||||||||
3,789,520 | 3.750 | 02/06/24 | 3,078,985 | |||||||||||
Verscend Holding Corp. (1M LIBOR + 4.500%) | ||||||||||||||
1,013,646 | 4.648 | 08/27/25 | 993,059 | |||||||||||
|
| |||||||||||||
19,612,574 | ||||||||||||||
|
| |||||||||||||
Health Care Providers & Services(g) – 0.2% | ||||||||||||||
Envision Healthcare Corp. (1M LIBOR + 3.750%) | ||||||||||||||
3,211,318 | 3.898 | 10/10/25 | 2,282,380 | |||||||||||
|
| |||||||||||||
Hotels, Restaurants & Leisure(g) – 0.0% | ||||||||||||||
Carnival Corp. (1M LIBOR + 7.500%) | ||||||||||||||
149,625 | 8.500 | 06/30/25 | 150,523 | |||||||||||
|
| |||||||||||||
Insurance(g) – 0.2% | ||||||||||||||
Acrisure LLC (1M LIBOR + 3.500%) | ||||||||||||||
497,500 | 3.648 | 02/15/27 | 478,575 | |||||||||||
Alliant Holdings Intermediate LLC (1M LIBOR + 2.750%) | ||||||||||||||
493,687 | 2.898 | 05/09/25 | 474,724 | |||||||||||
HUB International Ltd. (3M LIBOR + 3.000%) | ||||||||||||||
496,193 | 3.215 | 04/25/25 | 476,489 | |||||||||||
USI, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
496,164 | 3.220 | 05/16/24 | 477,454 | |||||||||||
|
| |||||||||||||
1,907,242 | ||||||||||||||
|
| |||||||||||||
Internet(k) – 0.1% | ||||||||||||||
Cablevision Lightpath LLC | ||||||||||||||
1,000,000 | 0.000 | 09/15/27 | 985,000 | |||||||||||
|
| |||||||||||||
Leisure Time(g) – 0.1% | ||||||||||||||
ClubCorp Holdings, Inc. (3M LIBOR + 2.750%) | ||||||||||||||
836,864 | 2.970 | 09/18/24 | 701,008 | |||||||||||
|
| |||||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Lodging(g) – 0.2% | ||||||||||||||
Boyd Gaming Corp. (1 Week LIBOR + 2.250%) | ||||||||||||||
1,443,858 | 2.344 | 09/15/23 | 1,400,990 | |||||||||||
Station Casinos LLC (1M LIBOR + 2.250%) | ||||||||||||||
97,439 | 2.500 | 02/08/27 | 93,135 | |||||||||||
|
| |||||||||||||
1,494,125 | ||||||||||||||
|
| |||||||||||||
Machinery(g) – 0.1% | ||||||||||||||
Apex Tool Group LLC (1M LIBOR + 5.250%) | ||||||||||||||
490,506 | 6.500 | 08/01/24 | 463,249 | |||||||||||
NN, Inc. | ||||||||||||||
(1M LIBOR + 5.750%) | ||||||||||||||
18,980 | 5.898 | 10/19/22 | 18,736 | |||||||||||
(1M LIBOR + 5.750%) | ||||||||||||||
56,226 | 6.500 | 10/19/22 | 55,503 | |||||||||||
|
| |||||||||||||
537,488 | ||||||||||||||
|
| |||||||||||||
Media – 1.1% | ||||||||||||||
CSC Holdings LLC(g) | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
884,084 | 2.398 | 07/17/25 | 851,718 | |||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
179,543 | 2.398 | 01/15/26 | 173,203 | |||||||||||
Gray Television, Inc.(g) (1M LIBOR + 2.500%) | ||||||||||||||
1,742,742 | 2.649 | 01/02/26 | 1,694,381 | |||||||||||
iHeartCommunications, Inc.(g) (1M LIBOR + 3.000%) | ||||||||||||||
3,883,963 | 3.148 | 05/01/26 | 3,640,516 | |||||||||||
Sinclair Television Group, Inc.(g) | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
1,275,446 | 2.400 | 01/03/24 | 1,233,089 | |||||||||||
(1M LIBOR + 2.500%) | ||||||||||||||
16,306 | 2.650 | 09/30/26 | 15,776 | |||||||||||
The McClatchy Co.(i) | ||||||||||||||
1,766,000 | 10.000 | 07/15/26 | 1,748,340 | |||||||||||
WideOpenWest Finance LLC(g) (1M LIBOR + 3.250%) | ||||||||||||||
897,686 | 4.250 | 08/18/23 | 877,865 | |||||||||||
Ziggo Financing Partnership B.V.(g) (1M LIBOR + 2.500%) | ||||||||||||||
240,000 | 2.648 | 04/30/28 | 229,963 | |||||||||||
|
| |||||||||||||
10,464,851 | ||||||||||||||
|
| |||||||||||||
Media – Broadcasting & Radio(g) – 0.4% | ||||||||||||||
Meredith Corp. (1M LIBOR + 4.250%) | ||||||||||||||
498,750 | 5.250 | 01/31/25 | 487,114 | |||||||||||
Metro-Goldwyn-Mayer, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
1,229,934 | 2.645 | 07/03/25 | 1,173,566 | |||||||||||
Nexstar Broadcasting, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
1,250,176 | 2.402 | 01/17/24 | 1,215,597 | |||||||||||
Univision Communications, Inc. (1M LIBOR + 2.750%) | ||||||||||||||
181,712 | 3.750 | 03/15/24 | 175,494 | |||||||||||
Urban One, Inc. (1M LIBOR + 4.000%) | ||||||||||||||
495,170 | 5.000 | 04/18/23 | 429,560 | |||||||||||
|
| |||||||||||||
3,481,331 | ||||||||||||||
|
| |||||||||||||
Media – Non Cable(g) – 0.8% | ||||||||||||||
Cengage Learning, Inc. (6M LIBOR + 4.250%) | ||||||||||||||
1,888,257 | 5.250 | 06/07/23 | 1,684,098 | |||||||||||
Entercom Media Corp. (1M LIBOR + 2.500%) | ||||||||||||||
483,547 | 2.652 | 11/18/24 | 466,019 | |||||||||||
|
|
60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Media – Non Cable(g) – (continued) | ||||||||||||||
Lions Gate Capital Holdings LLC (1M LIBOR + 2.250%) | ||||||||||||||
$ | 1,389,555 | 2.398 | % | 03/24/25 | $ | 1,338,322 | ||||||||
| McGraw-Hill Global Education Holdings LLC(1 Week LIBOR + | | ||||||||||||
2,631,726 | 5.000 | 05/04/22 | 2,373,159 | |||||||||||
Nielsen Finance LLC (1M LIBOR + 2.000%) | ||||||||||||||
1,477,670 | 2.147 | 10/04/23 | 1,441,290 | |||||||||||
| William Morris Endeavor Entertainment LLC (1M LIBOR + | | ||||||||||||
248,673 | 2.900 | 05/18/25 | 210,661 | |||||||||||
|
| |||||||||||||
7,513,549 | ||||||||||||||
|
| |||||||||||||
Metal Fabricate/Hardware(g) – 0.0% | ||||||||||||||
Advanced Drainage Systems, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
96,964 | 2.438 | 07/31/26 | 96,075 | |||||||||||
|
| |||||||||||||
Noncaptive – Financial(g) – 0.1% | ||||||||||||||
Avolon TLB Borrower 1 (US) LLC (1M LIBOR + 1.750%) | ||||||||||||||
554,569 | 2.500 | 01/15/25 | 532,802 | |||||||||||
|
| |||||||||||||
Oil & Gas Services(g) – 0.2% | ||||||||||||||
Citgo Petroleum Corp. (3M LIBOR + 5.000%) | ||||||||||||||
827,625 | 6.000 | 03/28/24 | 770,378 | |||||||||||
Delek US Holdings, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
492,453 | 2.398 | 03/31/25 | 459,562 | |||||||||||
EG America LLC (3M LIBOR + 4.000%) | ||||||||||||||
538,718 | 4.220 | 02/07/25 | 514,815 | |||||||||||
EG Group Ltd. (3M LIBOR + 4.000%) | ||||||||||||||
397,959 | 4.220 | 02/07/25 | 380,302 | |||||||||||
|
| |||||||||||||
2,125,057 | ||||||||||||||
|
| |||||||||||||
Oil Field Services – 0.0% | ||||||||||||||
California Resources Corp. | ||||||||||||||
250,000 | 0.000 | 12/31/22 | 89,793 | |||||||||||
250,000 | 0.000 | 12/31/21 | 4,075 | |||||||||||
Valaris PLC(i)(k) | ||||||||||||||
182,221 | 0.000 | 08/17/21 | 182,221 | |||||||||||
|
| |||||||||||||
276,089 | ||||||||||||||
|
| |||||||||||||
Packaging(g) – 0.3% | ||||||||||||||
Berry Global, Inc. (1M LIBOR + 2.000%) | ||||||||||||||
496,231 | 2.147 | 07/01/26 | 479,741 | |||||||||||
Klockner-Pentaplast of America, Inc. (6M LIBOR + 4.250%) | ||||||||||||||
855,593 | 5.250 | 06/30/22 | 828,394 | |||||||||||
Reynolds Group Holdings, Inc. | ||||||||||||||
(1M LIBOR + 2.750%) | ||||||||||||||
540,831 | 2.898 | 02/05/23 | 530,090 | |||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
1,000,000 | 3.398 | 02/05/26 | 975,000 | |||||||||||
|
| |||||||||||||
2,813,225 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals(g) – 0.4% | ||||||||||||||
Alphabet Holding Co., Inc. (1M LIBOR + 7.750%) | ||||||||||||||
350,000 | 7.898 | 09/26/25 | 336,249 | |||||||||||
Amneal Pharmaceuticals LLC (1M LIBOR + 3.500%) | ||||||||||||||
248,096 | 3.688 | 05/04/25 | 236,207 | |||||||||||
Catalent Pharma Solutions, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
397,980 | 3.250 | 05/18/26 | 395,492 | |||||||||||
|
| |||||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Pharmaceuticals(g) – (continued) | ||||||||||||||
Endo Finance Co. (Luxembourg) S.a.r.l. (3M LIBOR + 4.250%) | ||||||||||||||
2,573,655 | 5.000 | 04/29/24 | 2,438,538 | |||||||||||
Patterson Medical Holdings, Inc. (3M LIBOR + 4.750%) | ||||||||||||||
782,731 | 5.750 | 08/29/22 | 744,377 | |||||||||||
|
| |||||||||||||
4,150,863 | ||||||||||||||
|
| |||||||||||||
Pipelines(g) – 0.0% | ||||||||||||||
Traverse Midstream Partners LLC (1M LIBOR + 5.500%) | ||||||||||||||
443,675 | 6.500 | 09/27/24 | 408,021 | |||||||||||
|
| |||||||||||||
Real Estate(g) – 0.2% | ||||||||||||||
Fly Funding II S.a.r.l. (3M LIBOR + 1.750%) | ||||||||||||||
956,398 | 1.990 | 08/11/25 | 824,491 | |||||||||||
Realogy Group LLC | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
295,497 | 2.398 | 02/08/23 | 285,341 | |||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
486,250 | 3.000 | 02/08/25 | 465,152 | |||||||||||
|
| |||||||||||||
1,574,984 | ||||||||||||||
|
| |||||||||||||
Restaurants(g) – 0.2% | ||||||||||||||
1011778 B.C. Unlimited Liability Co. (1M LIBOR + 1.750%) | ||||||||||||||
2,069,300 | 1.898 | 11/19/26 | 1,982,224 | |||||||||||
|
| |||||||||||||
Retail(k) – 0.1% | ||||||||||||||
Midas Intermediate Holdco II LLC | ||||||||||||||
1,130,000 | 0.000 | 08/18/21 | 1,062,980 | |||||||||||
|
| |||||||||||||
Retailers – 0.8% | ||||||||||||||
Academy Ltd.(g) (1M LIBOR + 4.000%) | ||||||||||||||
1,951,637 | 5.000 | 07/01/22 | 1,943,909 | |||||||||||
Belk, Inc.(g)(i) (3M LIBOR + 4.750%) | ||||||||||||||
676,689 | 5.750 | 12/12/22 | 290,976 | |||||||||||
J.C. Penney Co., Inc. (1M LIBOR + 11.750%) | ||||||||||||||
550,000 | 13.000 | 11/16/20 | 742,500 | |||||||||||
Petco Animal Supplies, Inc.(g) (3M LIBOR + 3.250%) | ||||||||||||||
267,080 | 4.250 | 01/26/23 | 247,783 | |||||||||||
PetSmart, Inc.(g) (3M LIBOR + 3.500%) | ||||||||||||||
4,034,801 | 4.500 | 03/11/22 | 3,986,625 | |||||||||||
Serta Simmons Bedding LLC(g) | ||||||||||||||
(3M LIBOR + 3.500%) | ||||||||||||||
85,221 | 4.500 | (i) | 11/08/23 | 42,611 | ||||||||||
(3M LIBOR + 8.000%) | ||||||||||||||
156,560 | 9.000 | 11/08/24 | 53,622 | |||||||||||
|
| |||||||||||||
7,308,026 | ||||||||||||||
|
| |||||||||||||
Retailing(g) – 0.0% | ||||||||||||||
Golden Nugget, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
248,654 | 3.250 | 10/04/23 | 218,505 | |||||||||||
|
| |||||||||||||
Semiconductors(g) – 0.1% | ||||||||||||||
Bright Bidco B.V. (6M LIBOR + 3.500%) | ||||||||||||||
1,402,126 | 4.500 | 06/30/24 | 652,928 | |||||||||||
| MACOM Technology Solutions Holdings, Inc. (1M LIBOR + | | ||||||||||||
496,154 | 2.398 | 05/17/24 | 478,540 | |||||||||||
Microchip Technology, Inc. (1M LIBOR + 2.000%) | ||||||||||||||
103,828 | 2.150 | 05/29/25 | 102,574 | |||||||||||
|
| |||||||||||||
1,234,042 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Services Cyclical – Business Services – 0.3% | ||||||||||||||
Asurion LLC(g) (1M LIBOR + 3.000%) | ||||||||||||||
$ | 493,687 | 3.148 | % | 11/03/24 | $ | 483,902 | ||||||||
SeaWorld Parks & Entertainment, Inc.(g) (1M LIBOR + 3.000%) | ||||||||||||||
1,489,247 | 3.750 | 03/31/24 | 1,388,455 | |||||||||||
Tempo Acquisition LLC(g) (1M LIBOR + 2.750%) | ||||||||||||||
733,106 | 2.898 | 05/01/24 | 708,136 | |||||||||||
Travelport Finance (Luxembourg) S.a.r.l.(k) | ||||||||||||||
500,000 | 0.000 | 02/28/25 | 470,715 | |||||||||||
|
| |||||||||||||
3,051,208 | ||||||||||||||
|
| |||||||||||||
Software(g) – 0.4% | ||||||||||||||
Rackspace Hosting, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
3,467,808 | 4.000 | 11/03/23 | 3,385,899 | |||||||||||
|
| |||||||||||||
Technology – Hardware(g) – 0.2% | ||||||||||||||
CommScope, Inc. (1M LIBOR + 3.250%) | ||||||||||||||
2,374,229 | 3.398 | 04/06/26 | 2,287,308 | |||||||||||
|
| |||||||||||||
Technology – Software(g) – 0.2% | ||||||||||||||
Informatica LLC (1M LIBOR + 3.250%) | ||||||||||||||
995,000 | 3.398 | 02/25/27 | 959,677 | |||||||||||
The Dun & Bradstreet Corp. (1M LIBOR + 3.750%) | ||||||||||||||
179,549 | 3.906 | 02/06/26 | 176,594 | |||||||||||
The Ultimate Software Group, Inc. (3M LIBOR + 4.000%) | ||||||||||||||
1,000,000 | 4.750 | 05/04/26 | 993,130 | |||||||||||
|
| |||||||||||||
2,129,401 | ||||||||||||||
|
| |||||||||||||
Technology – Software/Services – 2.2% | ||||||||||||||
Ahead Data Blue LLC(g) (3M LIBOR + 5.000%) | ||||||||||||||
500,000 | 6.000 | 10/13/27 | 478,750 | |||||||||||
Ancestry.com Operations, Inc.(g) (1M LIBOR + 3.750%) | ||||||||||||||
496,192 | 4.750 | 10/19/23 | 494,704 | |||||||||||
Banff Merger Sub, Inc.(g) (1M LIBOR + 4.250%) | ||||||||||||||
207,259 | 4.398 | 10/02/25 | 201,116 | |||||||||||
Blackboard, Inc.(g) (3M LIBOR + 6.000%) | ||||||||||||||
495,620 | 7.000 | 06/30/24 | 478,120 | |||||||||||
Ceridian HCM Holding, Inc.(g) (1 Week LIBOR + 2.500%) | ||||||||||||||
992,405 | 2.594 | 04/30/25 | 957,979 | |||||||||||
Conduent Business Services LLC(g) (1M LIBOR + 1.750%) | ||||||||||||||
986,486 | 1.898 | 12/07/22 | 935,515 | |||||||||||
Dynatrace LLC(g) (1M LIBOR + 2.250%) | ||||||||||||||
353,946 | 2.398 | 08/22/25 | 347,090 | |||||||||||
Epicor Software Corp.(g) (1M LIBOR + 4.250%) | ||||||||||||||
1,000,000 | 5.250 | 07/30/27 | 995,250 | |||||||||||
Finastra USA, Inc.(g) (3M LIBOR + 3.500%) | ||||||||||||||
2,412,080 | 4.500 | 06/13/24 | 2,272,710 | |||||||||||
Greeneden U.S. Holdings II, LLC(k) | ||||||||||||||
500,000 | 0.000 | 10/08/27 | 491,565 | |||||||||||
MA FinanceCo. LLC(g) (1M LIBOR + 2.500%) | ||||||||||||||
243,641 | 2.648 | 06/21/24 | 229,022 | |||||||||||
Mavenir Systems, Inc.(g) (3M LIBOR + 6.000%) | ||||||||||||||
587,970 | 7.000 | 05/08/25 | 583,560 | |||||||||||
McAfee LLC(g) (1M LIBOR + 3.750%) | ||||||||||||||
1,981,852 | 3.895 | 09/30/24 | 1,959,814 | |||||||||||
Perforce Software, Inc.(g) (1M LIBOR + 3.750%) | ||||||||||||||
248,125 | 3.898 | 07/01/26 | 241,257 | |||||||||||
Pitney Bowes, Inc.(g) (1M LIBOR + 5.500%) | ||||||||||||||
61,729 | 5.650 | 01/07/25 | 60,772 | |||||||||||
|
| |||||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Technology – Software/Services – (continued) | ||||||||||||||
Refinitiv US Holdings, Inc.(g) (1M LIBOR + 3.250%) | ||||||||||||||
3,029,945 | 3.398 | 10/01/25 | 2,981,193 | |||||||||||
Seattle SpinCo, Inc.(g) (1M LIBOR + 2.500%) | ||||||||||||||
1,645,366 | 2.648 | 06/21/24 | 1,546,644 | |||||||||||
SS&C Holdings Europe S.a.r.l.(g) (1M LIBOR + 1.750%) | ||||||||||||||
581,118 | 1.898 | 04/16/25 | 564,050 | |||||||||||
SS&C Technologies, Inc.(g) (1M LIBOR + 1.750%) | ||||||||||||||
827,132 | 1.898 | 04/16/25 | 802,839 | |||||||||||
Syniverse Holdings, Inc.(g) (3M LIBOR + 5.000%) | ||||||||||||||
3,603,641 | 6.000 | 03/09/23 | 2,792,822 | |||||||||||
Tibco Software, Inc.(g) (1M LIBOR + 3.750%) | ||||||||||||||
362,339 | 3.900 | 06/30/26 | 350,563 | |||||||||||
TTM Technologies, Inc.(g) (1M LIBOR + 2.500%) | ||||||||||||||
125,912 | 2.649 | 09/28/24 | 123,394 | |||||||||||
Western Digital Corp.(g) (1M LIBOR + 1.750%) | ||||||||||||||
315,095 | 1.898 | 04/29/23 | 312,180 | |||||||||||
Zelis Healthcare Corp.(g) (1M LIBOR + 4.750%) | ||||||||||||||
248,125 | 4.898 | 09/30/26 | 246,309 | |||||||||||
|
| |||||||||||||
20,447,218 | ||||||||||||||
|
| |||||||||||||
Telecommunication Services – 1.6% | ||||||||||||||
Altice France SA(g) (3M LIBOR + 4.000%) | ||||||||||||||
982,462 | 4.237 | 08/14/26 | 952,065 | |||||||||||
CenturyLink, Inc.(g) (1M LIBOR + 2.250%) | ||||||||||||||
1,488,750 | 2.398 | 03/15/27 | 1,430,555 | |||||||||||
Connect Finco S.a.r.l.(g) (1M LIBOR + 4.500%) | ||||||||||||||
248,750 | 5.500 | 12/11/26 | 243,277 | |||||||||||
Frontier Communications Corp.(g) (3M LIBOR + 2.750%) | ||||||||||||||
4,281,201 | 6.000 | 06/15/24 | 4,196,562 | |||||||||||
GTT Communications, Inc.(k) | ||||||||||||||
185,000 | 0.000 | 05/31/25 | 157,413 | |||||||||||
Intelsat Jackson Holdings Ltd.(k) | ||||||||||||||
500,000 | 0.000 | 01/02/24 | 502,220 | |||||||||||
Intelsat Jackson Holdings SA(g) (1M LIBOR + 4.750%) | ||||||||||||||
6,077,000 | 8.000 | 11/27/23 | 6,098,938 | |||||||||||
IQOR US Inc.(c)(g) | ||||||||||||||
374,994 | 0.000 | 04/01/21 | 238,871 | |||||||||||
MLN US Holding Co. LLC(g) (1M LIBOR + 4.500%) | ||||||||||||||
246,859 | 4.648 | 11/30/25 | 201,217 | |||||||||||
Plantronics, Inc.(g) (1M LIBOR + 2.500%) | ||||||||||||||
500,321 | 2.648 | 07/02/25 | 478,017 | |||||||||||
Riverbed Technology, Inc.(g) (3M LIBOR + 3.250%) | ||||||||||||||
794,223 | 4.250 | 04/24/22 | 707,684 | |||||||||||
West Corp.(g) (1M LIBOR + 3.500%) | ||||||||||||||
105,025 | 4.500 | 10/10/24 | 97,269 | |||||||||||
|
| |||||||||||||
15,304,088 | ||||||||||||||
|
| |||||||||||||
Telecommunications(g) – 0.1% | ||||||||||||||
Maxar Technologies Ltd. (1M LIBOR + 2.750%) | ||||||||||||||
984,737 | 2.900 | 10/04/24 | 947,602 | |||||||||||
|
| |||||||||||||
Telecommunications – Internet & Data – 0.3% | ||||||||||||||
Avaya, Inc.(g) | ||||||||||||||
(1M LIBOR + 4.250%) | ||||||||||||||
2,182,286 | 4.398 | 12/15/24 | 2,141,368 | |||||||||||
(1M LIBOR + 4.250%) | ||||||||||||||
500,000 | 4.398 | 12/15/27 | 482,250 | |||||||||||
|
| |||||||||||||
2,623,618 | ||||||||||||||
|
|
62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(j) – (continued) | ||||||||||||||
Telecommunications – Satellites(g) – 0.2% | ||||||||||||||
West Corp. (1M LIBOR + 4.000%) | ||||||||||||||
$ | 1,605,564 | 5.000 | % | 10/10/24 | $ | 1,491,425 | ||||||||
Windstream Services LLC(12M LIBOR + 5.000%) | ||||||||||||||
318,733 | 5.000 | 03/29/21 | 191,240 | |||||||||||
|
| |||||||||||||
1,682,665 | ||||||||||||||
|
| |||||||||||||
Textiles(g) – 0.0% | ||||||||||||||
Boardriders, Inc. (3M LIBOR + 8.000%) | ||||||||||||||
450,230 | 7.500 | 04/23/24 | 157,581 | |||||||||||
|
| |||||||||||||
Transportation(g) – 0.2% | ||||||||||||||
CEVA Logistics Finance B.V. (3M LIBOR + 5.000%) | ||||||||||||||
493,750 | 5.220 | 08/04/25 | 463,355 | |||||||||||
HGIM Corp. (3M LIBOR + 6.000%) | ||||||||||||||
185,537 | 7.000 | 07/02/23 | 88,362 | |||||||||||
Uber Technologies (1M LIBOR + 3.500%) | ||||||||||||||
1,225,141 | 3.648 | 07/13/23 | 1,202,868 | |||||||||||
|
| |||||||||||||
1,754,585 | ||||||||||||||
|
| |||||||||||||
Wireless(g) – 0.1% | ||||||||||||||
Liberty Latin America Ltd. (1M LIBOR + 5.000%) | ||||||||||||||
550,000 | 5.148 | 10/15/26 | 549,313 | |||||||||||
|
| |||||||||||||
Wirelines Telecommunications(g) – 0.2% | ||||||||||||||
Flexential Intermediate Corp. (3M LIBOR + 3.500%) | ||||||||||||||
837,158 | 3.720 | 08/01/24 | 724,141 | |||||||||||
Greenway Health LLC (3M LIBOR + 3.750%) | ||||||||||||||
88,548 | 4.750 | 02/16/24 | 78,698 | |||||||||||
Level 3 Financing, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
1,000,000 | 1.898 | 03/01/27 | 963,500 | |||||||||||
|
| |||||||||||||
1,766,339 | ||||||||||||||
|
| |||||||||||||
TOTAL BANK LOANS | ||||||||||||||
(Cost $206,244,167) | $ | 194,915,948 | ||||||||||||
|
| |||||||||||||
Mortgage-Backed Obligations – 1.8% | ||||||||||||||
Collateralized Mortgage Obligations – 1.3% | ||||||||||||||
Interest Only(l) – 1.0% | ||||||||||||||
GNMA REMIC Series 2020-104, Class HI | ||||||||||||||
$ | 8,437,580 | 3.000 | % | 07/20/50 | $ | 880,324 | ||||||||
GNMA REMIC Series 2020-123, Class IN | ||||||||||||||
8,167,771 | 2.500 | 08/20/50 | 1,065,541 | |||||||||||
GNMA REMIC Series 2020-133, Class GI | ||||||||||||||
3,992,551 | 2.500 | 09/20/50 | 487,759 | |||||||||||
GNMA REMIC Series 2020-51, Class IO | ||||||||||||||
15,443,563 | 3.000 | 04/20/50 | 1,866,920 | |||||||||||
GNMA REMIC Series 2020-62, Class MI | ||||||||||||||
2,481,522 | 3.000 | 05/20/50 | 254,014 | |||||||||||
| GNMA REMIC Series 2020-65, Class ES(g) (-1X 1M USD | | ||||||||||||
5,652,768 | 5.899 | 05/20/50 | 1,381,674 | |||||||||||
| GNMA REMIC Series 2020-78, Class AS(g) (-1x1M USD LIBOR | | ||||||||||||
7,879,820 | 5.999 | 06/20/50 | 1,889,245 | |||||||||||
| GNMA REMIC Series 2020-78, Class SQ(g) (-1x1M USD LIBOR | | ||||||||||||
2,074,871 | 5.999 | 06/20/50 | 470,860 | |||||||||||
|
| |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Collateralized Mortgage Obligations – (continued) | ||||||||||||||
Interest Only(l) – (continued) | ||||||||||||||
GNMA REMIC Series 2020-81, Class IO | ||||||||||||||
5,079,838 | 0.938 | 02/16/61 | 405,844 | |||||||||||
|
| |||||||||||||
8,702,181 | ||||||||||||||
|
| |||||||||||||
Regular Floater(a)(g) – 0.2% | ||||||||||||||
| CHL GMSR Issuer Trust Series 2018-GT1, Class A (1M USD | | ||||||||||||
1,975,000 | 2.899 | 05/25/23 | 1,898,225 | |||||||||||
|
| |||||||||||||
Sequential Fixed Rate(a) – 0.1% | ||||||||||||||
L1C LLC Series 2020-1 | ||||||||||||||
1,000,000 | 5.290 | 08/25/51 | 1,000,667 | |||||||||||
|
| |||||||||||||
11,601,073 | ||||||||||||||
|
| |||||||||||||
Commercial Mortgage-Backed Securities(g) – 0.5% | ||||||||||||||
Sequential Floating Rate – 0.5% | ||||||||||||||
| CSMC Trust Series 2020-LOTS, Class A(a) (1M USD LIBOR + | | ||||||||||||
2,955,000 | 4.725 | 07/15/22 | 2,970,988 | |||||||||||
GNMA REMIC Series 2019-156, Class IO | ||||||||||||||
13,173,763 | 0.776 | 11/16/61 | 972,974 | |||||||||||
GNMA REMIC Series 2020-52, Class IO | ||||||||||||||
10,444,079 | 0.890 | 10/16/62 | 892,852 | |||||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL MORTGAGE- BACKED SECURITIES | $ | 4,836,814 | |||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $16,147,961) | $ | 16,437,887 | ||||||||||||
|
| |||||||||||||
Asset-Backed Securities – 1.9% | ||||||||||||||
Automotive(a) – 0.2% | ||||||||||||||
Hertz Vehicle Financing II LP Series 19-3A, Class A | ||||||||||||||
$ | 502,050 | 2.670 | % | 12/26/25 | $ | 502,793 | ||||||||
Hertz Vehicle Financing II LP Series 2016-4A, Class A | ||||||||||||||
586,532 | 2.650 | 07/25/22 | 587,641 | |||||||||||
Hertz Vehicle Financing II LP Series 2017-1A, Class A | ||||||||||||||
620,004 | 2.960 | 10/25/21 | 620,898 | |||||||||||
|
| |||||||||||||
1,711,332 | ||||||||||||||
|
| |||||||||||||
Collateralized Loan Obligations(a)(g) – 1.2% | ||||||||||||||
| Carlyle U.S. CLO Ltd. Series 2020-1A, Class D | | ||||||||||||
500,000 | 7.976 | 07/20/31 | 488,280 | |||||||||||
| Dryden 36 Senior Loan Fund Series 2014-36A, Class DR2 | |||||||||||||
1,500,000 | 3.937 | 04/15/29 | 1,458,630 | |||||||||||
| ICG U.S. CLO Ltd. Series 2020-1A, Class C | |||||||||||||
1,000,000 | 1.000 | 10/22/31 | 999,492 | |||||||||||
| Mountain View CLO XIV Ltd. Series 2019-1A, Class D | |||||||||||||
1,040,000 | 4.287 | 04/15/29 | 959,695 | |||||||||||
| Octagon Investment Partners 48 Ltd. Series 20-3A, Class D | |||||||||||||
1,400,000 | 4.232 | 10/20/31 | 1,383,722 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||
Collateralized Loan Obligations(a)(g) – (continued) | ||||||||||||||
| Sound Point CLO XXIII Series 2019-2A, Class D | |||||||||||||
$ | 2,629,000 | 4.097 | % | 04/15/32 | $ | 2,491,059 | ||||||||
| Stratus CLO Ltd. Series 2020-2A, Class D | |||||||||||||
1,000,000 | 3.918 | 10/15/28 | 991,253 | |||||||||||
| Stratus CLO Ltd. Series 2020-2A, Class E | |||||||||||||
500,000 | 7.368 | 10/15/28 | 480,102 | |||||||||||
| Symphony CLO XVIII Ltd. Series 2016-18A, Class D | |||||||||||||
1,100,000 | 4.209 | 01/23/28 | 1,049,415 | |||||||||||
| Voya CLO Ltd. Series 2017-1A, Class C | |||||||||||||
1,000,000 | 3.548 | 04/17/30 | 918,687 | |||||||||||
|
| |||||||||||||
11,220,335 | ||||||||||||||
|
| |||||||||||||
Home Equity(g) – 0.1% | ||||||||||||||
| Countrywide Asset-Backed Certificates Series 2007-BC3, | | ||||||||||||
$ | 530,965 | 0.329 | 11/25/47 | 511,410 | ||||||||||
Nationstar HECM Loan Trust Series 2020-1A, Class M3(a) | ||||||||||||||
1,000,000 | 2.820 | 09/25/30 | 1,001,257 | |||||||||||
|
| |||||||||||||
1,512,667 | ||||||||||||||
|
| |||||||||||||
Other(a) – 0.4% | ||||||||||||||
AASET U.S. Ltd. Series 2018-2A, Class A | ||||||||||||||
1,739,088 | 4.454 | 11/18/38 | 1,622,140 | |||||||||||
Business Jet Securities LLC Series 2019-1, Class A | ||||||||||||||
544,569 | 4.212 | 07/15/34 | 549,144 | |||||||||||
Vericrest Opportunity Loan Trust Series 2019-NPL2, Class A1(d) | ||||||||||||||
1,522,262 | 3.967 | 02/25/49 | 1,532,991 | |||||||||||
|
| |||||||||||||
3,704,275 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $17,971,636) | $ | 18,148,609 | ||||||||||||
|
| |||||||||||||
U.S. Treasury Obligation – 0.5% | ||||||||||||||
United States Treasury Bond | ||||||||||||||
$ | 4,700,000 | 1.375 | % | 08/15/50 | $ | 4,379,813 | ||||||||
(Cost $4,461,755) | ||||||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks(e) – 0.2% | ||||||||
Automobiles – 0.0% | ||||||||
65,182 | Monitronics International, Inc. | $ | 221,619 | |||||
|
| |||||||
Chemicals – 0.1% | ||||||||
42,218 | Hexion Holdings Corp. Class B | 424,291 | ||||||
|
| |||||||
Commercial Services & Supplies – 0.0% | ||||||||
10,879 | Cenveo, Inc. | 149,586 | ||||||
|
| |||||||
Distributors – 0.0% | ||||||||
542 | ATD New Holdings, Inc. | 7,724 | ||||||
|
| |||||||
Diversified Consumer Services(i) – 0.0% | ||||||||
7,679 | Premier Brands Group Holdings LLC | 24,319 | ||||||
|
| |||||||
Common Stocks(e) – (continued) | ||||||||
Energy Equipment & Services – 0.0% | ||||||||
17,981 | Parker Drilling Co. | 53,943 | ||||||
|
| |||||||
Health Care Technology(i) – 0.0% | ||||||||
2,776 | MModal, Inc. | 5,552 | ||||||
|
| |||||||
Media – 0.1% | ||||||||
123,364 | Clear Channel Outdoor Holdings, Inc. | 110,288 | ||||||
18,970 | Cumulus Media, Inc. Class A | 95,988 | ||||||
52,092 | iHeartMedia, Inc. Class A | 428,196 | ||||||
|
| |||||||
634,472 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.0% | ||||||||
117,847 | Jupiter Resources, Inc. | 88,385 | ||||||
|
| |||||||
Software – 0.0% | ||||||||
8,422 | Avaya Holdings Corp. | 144,858 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.0% | ||||||||
322 | Neiman Marcus Group, Inc | 19,588 | ||||||
16,319 | Windstream Corp. | 145,038 | ||||||
|
| |||||||
164,626 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $5,543,373) | $ | 1,919,375 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||||||||
Preferred Stock – 0.0% | ||||||||||||||
Pipelines – 0.0% | ||||||||||||||
Crestwood Equity Partners LP | ||||||||||||||
70,040 | 9.250 | % | $ | 430,746 | ||||||||||
(Cost $642,337) | ||||||||||||||
|
| |||||||||||||
Units | Description | Expiration Date | Value | |||||||||||
Warrant(e) – 0.0% | ||||||||||||||
Wireless Telecommunication Services – 0.0% | ||||||||||||||
Windstream Corp. | ||||||||||||||
27,213 | $ | 277,175 | ||||||||||||
(Cost $246,691) | ||||||||||||||
|
| |||||||||||||
Shares | Dividend Rate | Value | ||||||||||||
Investment Company(m) – 7.6% | ||||||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||||||
70,980,616 | 0.028 | % | $ | 70,980,616 | ||||||||||
(Cost $70,980,616) | ||||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 100.3% | ||||||||||||||
(Cost $967,605,288) | $ | 942,675,581 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.3)% |
| (2,651,498 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 940,024,083 | ||||||||||||
|
|
64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(c) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on October 31, 2020. | |
(e) | Security is currently in default and/or non-income producing. | |
(f) | Actual maturity date is April 03, 2120. | |
(g) | 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 October 31, 2020. | |
(h) | Pay-in-kind securities. | |
(i) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(j) | Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. As bank loan positions may involve multiple underlying tranches for which the aggregate position is presented, the stated interest rate represents the weighted average interest rate of all contracts on October 31, 2020. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. | |
(k) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. | |
(l) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(m) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CLP | —Chilean Peso | |
CNY | —Chinese Yuan Renminbi | |
COP | —Colombian Peso | |
CZK | —Czech Koruna | |
EGP | —Egyptian Pound | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
INR | —Indian Rupee | |
MXN | —Mexican Peso | |
MYR | —Malaysian Ringgit | |
PEN | —Peruvian Nuevo Sol | |
PLN | —Polish Zloty | |
RON | —New Romanian Leu | |
RUB | —Russian Ruble | |
THB | —Thai Baht | |
TRY | —Turkish Lira | |
TWD | —Taiwan Dollar | |
USD | —U.S. Dollar | |
UYU | —Uruguayan Peso | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
CLO | —Collateralized Loan Obligation | |
CMT | —Constant Maturity Treasury Indexes | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PLC | —Public Limited Company | |
REMIC | —Real Estate Mortgage Investment Conduit | |
|
The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
October 31, 2020
ADDITIONAL INVESTMENT INFORMATION |
UNFUNDED LOAN COMMITMENTS — At October 31, 2020, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
MED ParentCo. LP, due 08/31/26 | $ | 14,982 | $ | 13,157 | $ | (705 | ) | |||||
The Hertz Corp., due 06/30/21 | 340,000 | 313,650 | 14,450 | |||||||||
TOTAL | $ | 13,745 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 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 | ||||||||||||||||
Barclays Bank PLC | THB | 255,300,000 | USD | 8,174,308 | 01/08/21 | $ | 14,701 | |||||||||||||
USD | 1,329,050 | CZK | 29,692,600 | 12/08/20 | 59,332 | |||||||||||||||
USD | 667,000 | PLN | 2,590,041 | 01/07/21 | 12,599 | |||||||||||||||
BNP Paribas SA | COP | 3,002,550,630 | USD | 774,452 | 11/12/20 | 891 | ||||||||||||||
USD | 790,000 | COP | 3,002,550,630 | 11/12/20 | 14,657 | |||||||||||||||
USD | 840,000 | PLN | 3,267,810 | 01/07/21 | 14,353 | |||||||||||||||
BofA Securities LLC | USD | 1,290,000 | CZK | 29,718,762 | 12/08/20 | 19,163 | ||||||||||||||
USD | 1,585,000 | RUB | 117,735,227 | 11/18/20 | 105,985 | |||||||||||||||
JPMorgan Securities, Inc. | USD | 393,950 | CZK | 8,844,175 | 12/08/20 | 15,754 | ||||||||||||||
USD | 673,000 | PLN | 2,577,590 | 01/07/21 | 21,745 | |||||||||||||||
ZAR | 3,131,913 | USD | 185,000 | 12/01/20 | 6,754 | |||||||||||||||
TOTAL |
| $ | 285,934 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Barclays Bank PLC | EUR | 37,730,000 | USD | 44,592,231 | 12/04/20 | $ | (615,603 | ) | ||||||||||||
GBP | 3,180,000 | USD | 4,201,087 | 12/04/20 | (80,445 | ) | ||||||||||||||
MYR | 13,017,232 | USD | 3,129,000 | 12/02/20 | (7,486 | ) | ||||||||||||||
USD | 1,000,000 | MYR | 4,183,581 | 12/02/20 | (3,216 | ) | ||||||||||||||
USD | 855,000 | TWD | 24,515,415 | 12/22/20 | (13,644 | ) | ||||||||||||||
USD | 831,000 | ZAR | 13,848,615 | 12/01/20 | (16,894 | ) | ||||||||||||||
BNP Paribas SA | CZK | 137,100,000 | USD | 6,147,569 | 12/08/20 | (284,884 | ) | |||||||||||||
RUB | 48,050,695 | USD | 628,000 | 11/18/20 | (24,377 | ) | ||||||||||||||
USD | 2,326,392 | ZAR | 38,923,260 | 12/01/20 | (56,720 | ) | ||||||||||||||
BofA Securities LLC | INR | 123,932,449 | USD | 1,678,000 | 12/01/20 | (20,131 | ) | |||||||||||||
PLN | 40,712,180 | USD | 10,480,000 | 01/07/21 | (193,640 | ) | ||||||||||||||
Citibank NA (London) | CAD | 872,881 | USD | 665,400 | 02/10/21 | (9,947 | ) | |||||||||||||
EUR | 14,922,421 | USD | 17,723,106 | 02/10/21 | (301,185 | ) | ||||||||||||||
GBP | 1,312,256 | USD | 1,719,865 | 02/10/21 | (18,621 | ) | ||||||||||||||
JPMorgan Securities, Inc. | RUB | 69,684,532 | USD | 882,618 | 11/18/20 | (7,226 | ) | |||||||||||||
TRY | 15,509,610 | USD | 1,860,000 | 01/27/21 | (88,643 | ) | ||||||||||||||
USD | 395,000 | CLP | 311,299,500 | 11/12/20 | (7,515 | ) | ||||||||||||||
USD | 833,000 | MXN | 18,023,721 | 01/13/21 | (9,714 | ) | ||||||||||||||
USD | 2,053,773 | ZAR | 34,362,691 | 12/01/20 | (50,113 | ) | ||||||||||||||
TOTAL |
| $ | (1,810,004 | ) |
66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At October 31, 2020, the Fund had the following futures contracts:
Type | Number of Contracts Long (Short) | Expiration Date | Values | Unrealized Gain (Loss) | ||||||||||||
Short position contracts: | ||||||||||||||||
10 Year U.S. Treasury Notes | (4 | ) | 12/21/20 | $ | (552,875 | ) | $ | 5,618 |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Referenced Obligation/Index | Financing Rate Paid by the Fund(a) | Credit Spread at October 31, 2020(b) | Termination Date | Notional Amount (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||||
CDX.NA.HY Index 35 | (5.000)% | 4.240 | % | 12/20/25 | $ | 5,963 | $ | (244,151 | ) | $ | (236,040 | ) | $ | (8,111 | ) |
(a) | Payments made quarterly. |
(b) | Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
PURCHASED OPTION CONTRACTS — At October 31, 2020, the Fund had the following purchased options:
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put USD/Call ZAR | BNP Paribas SA | $15.650 | 01/06/2021 | 3,385,000 | $ | 3,385,000 | $ | 35,377 | $ | 30,567 | $ | 4,810 |
The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 97.9% | ||||||||
Australia – 3.8% | ||||||||
245,589 | Goodman Group (Equity Real Estate Investment Trusts (REITs)) | $ | 3,178,696 | |||||
745,145 | Ingenia Communities Group (Equity Real Estate Investment Trusts (REITs)) | 2,417,505 | ||||||
1,342,493 | Mirvac Group (Equity Real Estate Investment Trusts (REITs)) | 1,990,879 | ||||||
101,939 | NEXTDC Ltd.* (IT Services) | 912,746 | ||||||
695,183 | Stockland (Equity Real Estate Investment Trusts (REITs)) | 1,879,832 | ||||||
735,412 | Transurban Group (Transportation Infrastructure) | 6,964,112 | ||||||
|
| |||||||
17,343,770 | ||||||||
|
| |||||||
Belgium – 1.4% | ||||||||
13,616 | Aedifica SA (Equity Real Estate Investment Trusts (REITs)) | 1,372,218 | ||||||
17,945 | Elia Group SA (Electric Utilities) | 1,735,659 | ||||||
9,355 | VGP NV (Real Estate Management & Development) | 1,219,039 | ||||||
67,852 | Warehouses De Pauw CVA (Equity Real Estate Investment Trusts (REITs)) | 2,273,264 | ||||||
|
| |||||||
6,600,180 | ||||||||
|
| |||||||
Canada – 7.7% | ||||||||
57,800 | Allied Properties Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 1,401,725 | ||||||
34,919 | Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs)) | 1,122,556 | ||||||
10,410 | Canadian National Railway Co. (Road & Rail) | 1,034,124 | ||||||
221,200 | Dream Industrial Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 1,964,119 | ||||||
291,973 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 8,044,981 | ||||||
58,100 | Gibson Energy, Inc. (Oil, Gas & Consumable Fuels) | 855,605 | ||||||
225,162 | Hydro One Ltd.(a) (Electric Utilities) | 4,919,662 | ||||||
223,177 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 4,671,926 | ||||||
336,536 | Summit Industrial Income REIT (Equity Real Estate Investment Trusts (REITs)) | 3,402,492 | ||||||
187,402 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 7,376,237 | ||||||
6,960 | Waste Connections, Inc. (Commercial Services & Supplies) | 691,267 | ||||||
|
| |||||||
35,484,694 | ||||||||
|
| |||||||
China – 1.8% | ||||||||
5,470,000 | China Tower Corp. Ltd. Class H(a) (Diversified Telecommunication Services) | 856,025 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
406,697 | ENN Energy Holdings Ltd. (Gas Utilities) | 5,147,198 | ||||||
4,584 | GDS Holdings Ltd. ADR* (IT Services) | 385,239 | ||||||
139,642 | GDS Holdings Ltd. Class A* (IT Services) | 1,456,852 | ||||||
784,000 | Zhejiang Expressway Co. Ltd. Class H (Transportation Infrastructure) | 535,223 | ||||||
|
| |||||||
8,380,537 | ||||||||
|
| |||||||
Denmark(a) – 0.8% | ||||||||
23,108 | Orsted A/S (Electric Utilities) | 3,667,564 | ||||||
|
| |||||||
Finland – 0.4% | ||||||||
83,025 | Kojamo Oyj (Real Estate Management & Development) | 1,711,371 | ||||||
|
| |||||||
France – 3.1% | ||||||||
15,072 | Covivio (Equity Real Estate Investment Trusts (REITs)) | 897,546 | ||||||
7,586 | Eiffage SA* (Construction & Engineering) | 550,573 | ||||||
20,100 | Gecina SA (Equity Real Estate Investment Trusts (REITs)) | 2,495,275 | ||||||
170,916 | Getlink SE* (Transportation Infrastructure) | 2,298,858 | ||||||
104,308 | Vinci SA (Construction & Engineering) | 8,238,774 | ||||||
|
| |||||||
14,481,026 | ||||||||
|
| |||||||
Germany – 3.2% | ||||||||
71,501 | alstria office REIT AG (Equity Real Estate Investment Trusts (REITs)) | 910,181 | ||||||
24,839 | Deutsche Wohnen SE (Real Estate Management & Development) | 1,253,697 | ||||||
11,875 | LEG Immobilien AG (Real Estate Management & Development) | 1,604,940 | ||||||
170,953 | Vonovia SE (Real Estate Management & Development) | 10,917,654 | ||||||
|
| |||||||
14,686,472 | ||||||||
|
| |||||||
Hong Kong – 4.1% | ||||||||
324,000 | China Gas Holdings Ltd. (Gas Utilities) | 995,668 | ||||||
686,500 | CK Asset Holdings Ltd. (Real Estate Management & Development) | 3,187,756 | ||||||
594,000 | Guangdong Investment Ltd. (Water Utilities) | 880,967 | ||||||
523,326 | Hang Lung Properties Ltd. (Real Estate Management & Development) | 1,274,031 | ||||||
1,580,000 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 2,279,628 | ||||||
212,700 | Hongkong Land Holdings Ltd. (Real Estate Management & Development) | 780,855 | ||||||
353,161 | Link REIT (Equity Real Estate Investment Trusts (REITs)) | 2,695,274 | ||||||
|
|
68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Hong Kong – (continued) | ||||||||
482,668 | New World Development Co. Ltd. (Real Estate Management & Development) | $ | 2,304,444 | |||||
176,020 | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | 2,265,696 | ||||||
1,259,000 | Towngas China Co. Ltd.* (Gas Utilities) | 571,869 | ||||||
425,408 | Wharf Real Estate Investment Co. Ltd. (Real Estate Management & Development) | 1,637,302 | ||||||
|
| |||||||
18,873,490 | ||||||||
|
| |||||||
Italy – 0.9% | ||||||||
50,675 | Atlantia SpA* (Transportation Infrastructure) | 777,889 | ||||||
79,760 | Enel SpA (Electric Utilities) | 634,132 | ||||||
218,641 | Snam SpA (Gas Utilities) | 1,066,111 | ||||||
231,949 | Terna Rete Elettrica Nazionale SpA (Electric Utilities) | 1,566,070 | ||||||
|
| |||||||
4,044,202 | ||||||||
|
| |||||||
Japan – 7.0% | ||||||||
528 | Activia Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,907,673 | ||||||
10,100 | East Japan Railway Co. (Road & Rail) | 528,164 | ||||||
2,452 | Invincible Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 783,804 | ||||||
2,514 | Japan Hotel REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,217,435 | ||||||
854 | Japan Retail Fund Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,230,962 | ||||||
370 | Kenedix Office Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,139,988 | ||||||
1,032 | LaSalle Logiport REIT (Equity Real Estate Investment Trusts (REITs)) | 1,606,582 | ||||||
379,587 | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | 5,661,873 | ||||||
349,946 | Mitsui Fudosan Co. Ltd. (Real Estate Management & Development) | 5,958,725 | ||||||
591 | Mitsui Fudosan Logistics Park, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,823,724 | ||||||
133 | Nippon Building Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 671,756 | ||||||
481 | Nippon Prologis REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,583,182 | ||||||
151 | Nomura Real Estate Master Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 180,317 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
1,767 | Orix JREIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,483,358 | ||||||
61,127 | Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development) | 1,635,717 | ||||||
79,100 | Tokyo Gas Co. Ltd. (Gas Utilities) | 1,792,368 | ||||||
|
| |||||||
32,205,628 | ||||||||
|
| |||||||
Luxembourg – 0.1% | ||||||||
9,455 | Shurgard Self Storage SA (Real Estate Management & Development) | 403,164 | ||||||
|
| |||||||
Mexico – 0.4% | ||||||||
150,396 | Grupo Aeroportuario del Centro Norte SAB de CV* (Transportation Infrastructure) | 678,684 | ||||||
10,220 | Grupo Aeroportuario del Pacifico SAB de CV ADR (Transportation Infrastructure) | 850,099 | ||||||
61,980 | Grupo Aeroportuario del Pacifico SAB de CV Class B (Transportation Infrastructure) | 515,821 | ||||||
|
| |||||||
2,044,604 | ||||||||
|
| |||||||
Netherlands – 0.4% | ||||||||
23,547 | Koninklijke Vopak NV (Oil, Gas & Consumable Fuels) | 1,223,934 | ||||||
20,907 | NSI NV (Equity Real Estate Investment Trusts (REITs)) | 660,178 | ||||||
|
| |||||||
1,884,112 | ||||||||
|
| |||||||
New Zealand* – 0.4% | ||||||||
388,510 | Auckland International Airport Ltd. (Transportation Infrastructure) | 1,797,199 | ||||||
|
| |||||||
Singapore – 1.7% | ||||||||
1,087,200 | CapitaLand Ltd. (Real Estate Management & Development) | 2,045,878 | ||||||
95,530 | City Developments Ltd. (Real Estate Management & Development) | 443,629 | ||||||
840,944 | Frasers Centrepoint Trust (Equity Real Estate Investment Trusts (REITs)) | 1,301,801 | ||||||
1,777,270 | Frasers Logistics & Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 1,602,627 | ||||||
119,559 | Keppel DC REIT (Equity Real Estate Investment Trusts (REITs)) | 253,849 | ||||||
329,978 | Mapletree Industrial Trust (Equity Real Estate Investment Trusts (REITs)) | 735,406 | ||||||
862,324 | Mapletree Logistics Trust (Equity Real Estate Investment Trusts (REITs)) | 1,231,823 | ||||||
|
| |||||||
7,615,013 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments (continued)
October 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Spain – 3.5% | ||||||||
12,594 | Aena SME SA*(a) (Transportation Infrastructure) | $ | 1,696,862 | |||||
118,326 | Cellnex Telecom SA(a) (Diversified Telecommunication Services) | 7,595,459 | ||||||
148,115 | Ferrovial SA (Construction & Engineering) | 3,207,806 | ||||||
40,153 | Iberdrola SA (Electric Utilities) | 474,110 | ||||||
105,850 | Inmobiliaria Colonial Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 753,507 | ||||||
220,600 | Merlin Properties Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 1,484,867 | ||||||
53,152 | Red Electrica Corp. SA (Electric Utilities) | 936,245 | ||||||
|
| |||||||
16,148,856 | ||||||||
|
| |||||||
Sweden – 0.5% | ||||||||
30,045 | Castellum AB (Real Estate Management & Development) | 625,557 | ||||||
173,507 | Kungsleden AB (Real Estate Management & Development) | 1,472,345 | ||||||
|
| |||||||
2,097,902 | ||||||||
|
| |||||||
Switzerland – 0.4% | ||||||||
1,950 | Flughafen Zurich AG* (Transportation Infrastructure) | 263,159 | ||||||
14,500 | PSP Swiss Property AG (Real Estate Management & Development) | 1,753,426 | ||||||
|
| |||||||
2,016,585 | ||||||||
|
| |||||||
Thailand – 0.1% | ||||||||
272,900 | Airports of Thailand PCL (Transportation Infrastructure) | 452,480 | ||||||
|
| |||||||
United Kingdom – 5.1% | ||||||||
50,804 | Big Yellow Group PLC (Equity Real Estate Investment Trusts (REITs)) | 724,004 | ||||||
697,300 | Grainger PLC (Real Estate Management & Development) | 2,526,193 | ||||||
251,600 | Great Portland Estates PLC (Equity Real Estate Investment Trusts (REITs)) | 1,880,970 | ||||||
584,542 | National Grid PLC (Multi-Utilities) | 6,953,410 | ||||||
117,327 | Pennon Group PLC (Water Utilities) | 1,509,942 | ||||||
336,076 | Primary Health Properties PLC (Equity Real Estate Investment Trusts (REITs)) | 626,949 | ||||||
229,307 | Segro PLC (Equity Real Estate Investment Trusts (REITs)) | 2,679,382 | ||||||
100,991 | Severn Trent PLC (Water Utilities) | 3,178,403 | ||||||
335,262 | The British Land Co. PLC* (Equity Real Estate Investment Trusts (REITs)) | 1,514,014 | ||||||
62,409 | UNITE Group PLC* (Equity Real Estate Investment Trusts (REITs)) | 673,499 | ||||||
94,198 | United Utilities Group PLC (Water Utilities) | 1,053,023 | ||||||
|
| |||||||
23,319,789 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – 51.1% | ||||||||
35,661 | Agree Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,213,478 | ||||||
37,489 | Alliant Energy Corp. (Electric Utilities) | 2,072,392 | ||||||
40,597 | American Campus Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,520,764 | ||||||
75,583 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 17,357,636 | ||||||
47,900 | American Water Works Co., Inc. (Water Utilities) | 7,209,429 | ||||||
183,506 | Americold Realty Trust (Equity Real Estate Investment Trusts (REITs)) | 6,648,422 | ||||||
313,226 | Apple Hospitality REIT, Inc.* (Equity Real Estate Investment Trusts (REITs)) | 3,100,937 | ||||||
41,523 | AvalonBay Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,777,095 | ||||||
296,700 | Brixmor Property Group, Inc.* (Equity Real Estate Investment Trusts (REITs)) | 3,251,832 | ||||||
80,618 | Camden Property Trust (Equity Real Estate Investment Trusts (REITs)) | 7,436,204 | ||||||
88,133 | CenterPoint Energy, Inc. (Multi-Utilities) | 1,862,250 | ||||||
88,624 | Cheniere Energy, Inc.* (Oil, Gas & Consumable Fuels) | 4,242,431 | ||||||
28,698 | Community Healthcare Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,328,717 | ||||||
39,820 | Consolidated Edison, Inc. (Multi-Utilities) | 3,125,472 | ||||||
51,724 | Corporate Office Properties Trust (Equity Real Estate Investment Trusts (REITs)) | 1,160,169 | ||||||
73,896 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 11,542,555 | ||||||
34,700 | CubeSmart (Equity Real Estate Investment Trusts (REITs)) | 1,177,371 | ||||||
17,271 | CyrusOne, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,227,105 | ||||||
306,655 | DiamondRock Hospitality Co.* (Equity Real Estate Investment Trusts (REITs)) | 1,514,876 | ||||||
45,336 | Digital Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 6,541,985 | ||||||
61,419 | Duke Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,333,308 | ||||||
63,547 | Edison International (Electric Utilities) | 3,561,174 | ||||||
1,606 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,174,371 | ||||||
108,839 | Equity LifeStyle Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 6,442,180 | ||||||
135,513 | Essential Properties Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,238,675 | ||||||
2,765 | Essex Property Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 565,691 | ||||||
27,271 | Evergy, Inc. (Electric Utilities) | 1,505,359 | ||||||
|
|
70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
71,028 | Eversource Energy (Electric Utilities) | $ | 6,198,614 | |||||
22,704 | Extra Space Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,632,529 | ||||||
60,878 | FirstEnergy Corp. (Electric Utilities) | 1,809,294 | ||||||
24,972 | Gaming & Leisure Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 907,732 | ||||||
152,714 | Global Medical REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,898,235 | ||||||
193,219 | Healthpeak Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,211,116 | ||||||
164,900 | Hudson Pacific Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,175,974 | ||||||
331,453 | Invitation Homes, Inc. (Equity Real Estate Investment Trusts (REITs)) | 9,035,405 | ||||||
168,159 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 2,001,092 | ||||||
34,160 | Life Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,899,364 | ||||||
66,086 | MGM Growth Properties LLC Class A (Equity Real Estate Investment Trusts (REITs)) | 1,747,975 | ||||||
35,840 | NextEra Energy, Inc. (Electric Utilities) | 2,623,846 | ||||||
136,418 | NiSource, Inc. (Multi-Utilities) | 3,133,521 | ||||||
4,998 | Norfolk Southern Corp. (Road & Rail) | 1,045,182 | ||||||
31,305 | NorthWestern Corp. (Multi-Utilities) | 1,631,930 | ||||||
135,331 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 3,924,599 | ||||||
344,100 | Paramount Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,988,898 | ||||||
12,881 | Pinnacle West Capital Corp. (Electric Utilities) | 1,050,703 | ||||||
174,918 | Prologis, Inc. (Equity Real Estate Investment Trusts (REITs)) | 17,351,866 | ||||||
25,557 | Public Service Enterprise Group, Inc. (Multi-Utilities) | 1,486,140 | ||||||
5,655 | Public Storage (Equity Real Estate Investment Trusts (REITs)) | 1,295,391 | ||||||
35,746 | QTS Realty Trust, Inc. Class A (Equity Real Estate Investment Trusts (REITs)) | 2,198,736 | ||||||
24,776 | Realty Income Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,433,539 | ||||||
30,082 | Regency Centers Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,070,618 | ||||||
66,553 | Rexford Industrial Realty, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,092,052 | ||||||
125,600 | Sabra Health Care REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,652,896 | ||||||
42,563 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | 12,359,018 | ||||||
35,415 | Sempra Energy (Multi-Utilities) | 4,439,624 | ||||||
38,639 | Simon Property Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,426,916 | ||||||
8,365 | Spire, Inc. (Gas Utilities) | 468,775 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
68,600 | Spirit Realty Capital, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,061,430 | ||||||
46,564 | STORE Capital Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,196,695 | ||||||
16,687 | Sun Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,296,632 | ||||||
417,775 | The Williams Cos., Inc. (Oil, Gas & Consumable Fuels) | 8,017,102 | ||||||
80,748 | UDR, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,522,568 | ||||||
3,240 | Union Pacific Corp. (Road & Rail) | 574,096 | ||||||
99,444 | VICI Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,282,240 | ||||||
38,849 | Welltower, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,088,911 | ||||||
28,100 | WP Carey, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,759,341 | ||||||
16,549 | Xcel Energy, Inc. (Electric Utilities) | 1,158,926 | ||||||
|
| |||||||
235,281,399 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $430,703,934) | $ | 450,540,037 | ||||||
|
|
Units | Description | Expiration Date | Value | |||||||||||
Rights* – 0.0% | ||||||||||||||
Singapore – 0.0% | ||||||||||||||
9,614 | | Mapletree Logistics Trust (Equity Real Estate Investment Trusts (REITs | )) | 11/10/20 | $ | — | ||||||||
(Cost $—) | ||||||||||||||
|
|
Shares | Dividend Rate | Value | ||||||||
Investment Company(b) – 2.8% | ||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||
12,797,235 | 0.028% | $ | 12,797,235 | |||||||
(Cost $12,797,235) | ||||||||||
|
| |||||||||
TOTAL INVESTMENTS – 100.7% | ||||||||||
(Cost $443,501,169) | $ | 463,337,272 | ||||||||
|
| |||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.7)% | (3,387,273 | ) | |||||||
|
| |||||||||
NET ASSETS – 100.0% | $ | 459,949,999 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments (continued)
October 31, 2020
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
LLC | —Limited Liability Company | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Assets and Liabilities
October 31, 2020
Multi-Manager Global Equity Fund | Multi-Manager Non-Core Fixed Income Fund | Multi-Manager Real Assets Strategy Fund | ||||||||||||
Assets: |
| |||||||||||||
Investments of unaffiliated issuers, at value (cost $427,656,528, $896,624,672 and $430,703,934, respectively) | $ | 482,732,380 | $ | 871,694,965 | $ | 450,540,037 | ||||||||
Investments of affiliated issuers, at value (cost $38,949,157, $70,980,616 and $12,797,235, respectively) | 38,949,157 | 70,980,616 | 12,797,235 | |||||||||||
Cash | 1,219,461 | 4,624,559 | 261,897 | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | 1,102,846 | 285,934 | — | |||||||||||
Unrealized gain on unfunded loan commitment | — | 13,745 | — | |||||||||||
Foreign currencies, at value (cost $198,031, $64,231 and $546,092, respectively) | 201,060 | 63,452 | 545,420 | |||||||||||
Purchased options, at value (premium paid $30,567) | — | 35,377 | — | |||||||||||
Variation margin on futures contracts | — | 8,813 | — | |||||||||||
Variation margin on swaps contracts | — | 135,987 | — | |||||||||||
Receivables: |
| |||||||||||||
Collateral on certain derivative contracts(a) | 6,062,800 | 5,301,321 | — | |||||||||||
Investments sold | 2,499,172 | 21,649,417 | 430,432 | |||||||||||
Dividends and interest | 493,558 | 10,684,794 | 768,053 | |||||||||||
Foreign tax reclaims | 431,960 | 152,443 | 67,664 | |||||||||||
Investments sold on an extended settlement basis | 151,624 | 2,155,171 | — | |||||||||||
Reimbursement from investment adviser | 145,038 | — | — | |||||||||||
Fund shares sold | — | 4,210,000 | 1,410,000 | |||||||||||
Due from custodian | — | 49,164 | — | |||||||||||
Other assets | 18,069 | 29,716 | 16,590 | |||||||||||
Total assets | 534,007,125 | 992,075,474 | 466,837,328 | |||||||||||
Liabilities: |
| |||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 1,718,839 | 1,810,004 | — | |||||||||||
Variation margin on futures contracts | 5,034 | — | — | |||||||||||
Payables: |
| |||||||||||||
Investments purchased | 1,342,570 | 26,448,418 | 1,335,414 | |||||||||||
Fund shares redeemed | 1,310,000 | 11,200,000 | 3,300,000 | |||||||||||
Management fees | 168,004 | 342,235 | 229,692 | |||||||||||
Investments purchased on an extended settlement basis | 123,832 | 11,113,355 | 1,471,533 | |||||||||||
Transfer agency fees | 9,331 | 16,070 | 8,148 | |||||||||||
Accrued expenses and other liabilities | 1,880,675 | 1,121,309 | 542,542 | |||||||||||
Total liabilities | 6,558,285 | 52,051,391 | 6,887,329 | |||||||||||
Net Assets: |
| |||||||||||||
Paid-in capital | 473,496,456 | 985,229,667 | 477,202,922 | |||||||||||
Total distributable earnings (loss) | 53,952,384 | (45,205,584 | ) | (17,252,923 | ) | |||||||||
NET ASSETS | $ | 527,448,840 | $ | 940,024,083 | $ | 459,949,999 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 49,576,830 | 108,017,488 | 51,507,544 | |||||||||||
Net asset value, offering and redemption price per share: | $10.64 | $8.70 | $8.93 |
(a) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Forwards | Swaps | Options | ||||||||||||
Multi-Manager Global Equity | $ | 3,022,800 | $ | 3,040,000 | $ | — | $ | — | ||||||||
Multi-Manager Non-Core Fixed Income | 6,820 | 4,510,000 | 434,501 | 350,000 |
The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2020
Multi-Manager Global Equity Fund | Multi-Manager Non-Core Fixed Income Fund | Multi-Manager Real Assets Strategy Fund | ||||||||||||
Investment income: | ||||||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $574,941, $0 and $613,879) | $ | 8,442,502 | $ | 44,357 | $ | 12,347,026 | ||||||||
Dividends — affiliated issuers (net of foreign withholding taxes of $19,208, $451,417 and $0, respectively) | 328,021 | 447,664 | 71,044 | |||||||||||
Interest | 29,284 | 48,973,931 | — | |||||||||||
Total investment income | 8,799,807 | 49,465,952 | 12,418,070 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 5,020,340 | 7,249,985 | 4,452,512 | |||||||||||
Custody, accounting and administrative services | 1,728,839 | 951,709 | 504,567 | |||||||||||
Professional fees | 428,524 | 290,675 | 222,110 | |||||||||||
Transfer Agency fees | 97,482 | 170,588 | 89,050 | |||||||||||
Registration fees | 40,837 | 36,665 | 35,664 | |||||||||||
Trustee fees | 36,327 | 42,717 | 36,749 | |||||||||||
Printing and mailing costs | 35,430 | 38,455 | 29,864 | |||||||||||
Prime broker fees | 6,190 | 707 | — | |||||||||||
Other | 86,867 | 53,272 | 21,457 | |||||||||||
Total expenses | 7,480,836 | 8,834,773 | 5,391,973 | |||||||||||
Less — expense reductions | (5,221,691 | ) | (3,753,895 | ) | (1,956,458 | ) | ||||||||
Net expenses | 2,259,145 | 5,080,878 | 3,435,515 | |||||||||||
NET INVESTMENT INCOME | 6,540,662 | 44,385,074 | 8,982,555 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: |
| |||||||||||||
Investments — unaffiliated issuers (including commission recapture of $297, $0 and $0, respectively) | 1,374,195 | (8,622,830 | ) | (30,391,190 | ) | |||||||||
Purchased options | — | (74,486 | ) | — | ||||||||||
Futures contracts | 7,318,734 | (131,383 | ) | — | ||||||||||
Swap contracts | — | 778,469 | — | |||||||||||
Forward foreign currency exchange contracts | (1,998,415 | ) | 2,066,034 | (4,135 | ) | |||||||||
Foreign currency transactions | 97,854 | (516,387 | ) | (19,117 | ) | |||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||
Investments — unaffiliated issuers | 5,198,372 | (26,842,726 | ) | (38,528,842 | ) | |||||||||
Purchased options | — | 4,810 | — | |||||||||||
Futures contracts | (1,517,223 | ) | 8,838 | — | ||||||||||
Unfunded loan commitments | — | 13,745 | — | |||||||||||
Swap contracts | — | (5,090 | ) | — | ||||||||||
Forward foreign currency exchange contracts | 77,617 | (2,027,685 | ) | — | ||||||||||
Foreign currency translation | 20,864 | (11,164 | ) | 3,588 | ||||||||||
Net realized and unrealized gain (loss) | 10,571,998 | (35,359,855 | ) | (68,939,696 | ) | |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 17,112,660 | $ | 9,025,219 | $ | (59,957,141 | ) |
74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Changes in Net Assets
Multi-Manager Global Equity Fund | Multi-Manager Non-Core Fixed Income Fund | |||||||||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||||||
From Operations: | ||||||||||||||||||||||
Net investment income | $ | 6,540,662 | $ | 10,993,018 | $ | 44,385,074 | $ | 47,880,135 | ||||||||||||||
Net realized gain (loss) | 6,792,368 | 11,123,119 | (6,500,583 | ) | (6,966,354 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | 3,779,630 | 48,337,808 | (28,859,272 | ) | 28,515,829 | |||||||||||||||||
Net increase in net assets resulting from operations | 17,112,660 | 70,453,945 | 9,025,219 | 69,429,610 | ||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings | (26,403,118 | ) | (45,106,144 | ) | (38,347,018 | ) | (44,128,245 | ) | ||||||||||||||
From return of capital | — | — | (6,283,078 | ) | (3,930,447 | ) | ||||||||||||||||
Total distributions to shareholders | (26,403,118 | ) | (45,106,144 | ) | (44,630,096 | ) | (48,058,692 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 77,760,000 | 112,385,000 | 186,180,000 | 463,878,772 | ||||||||||||||||||
Reinvestment of distributions | 26,403,118 | 45,106,144 | 44,630,096 | 48,005,796 | ||||||||||||||||||
Cost of shares redeemed | (29,865,000 | ) | (353,974,521 | ) | (75,344,998 | ) | (396,921,299 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 74,298,118 | (196,483,377 | ) | 155,465,098 | 114,963,269 | |||||||||||||||||
TOTAL INCREASE (DECREASE) | 65,007,660 | (171,135,576 | ) | 119,860,221 | 136,334,187 | |||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of year | 462,441,180 | 633,576,756 | 820,163,862 | 683,829,675 | ||||||||||||||||||
End of year | $ | 527,448,840 | $ | 462,441,180 | $ | 940,024,083 | $ | 820,163,862 |
The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Changes in Net Assets (continued)
Multi-Manager Real Assets Strategy Fund | ||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||
From Operations: | ||||||||||
Net investment income | $ | 8,982,555 | $ | 9,409,993 | ||||||
Net realized gain (loss) | (30,414,442 | ) | 8,570,460 | |||||||
Net change in unrealized gain (loss) | (38,525,254 | ) | 57,799,413 | |||||||
Net increase (decrease) in net assets resulting from operations | (59,957,141 | ) | 75,779,866 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings | (22,252,923 | ) | (10,439,193 | ) | ||||||
Total distributions to shareholders | (22,252,923 | ) | (10,439,193 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 85,869,000 | 112,080,000 | ||||||||
Reinvestment of distributions | 22,252,923 | 10,439,193 | ||||||||
Cost of shares redeemed | (15,900,000 | ) | (124,929,890 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | 92,221,923 | (2,410,697 | ) | |||||||
TOTAL INCREASE | 10,011,859 | 62,929,976 | ||||||||
Net assets: | ||||||||||
Beginning of year | 449,938,140 | 387,008,164 | ||||||||
End of year | $ | 459,949,999 | $ | 449,938,140 |
76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Global Equity Fund | ||||||||||||||||||||||
Class R6 Shares(a) | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.97 | $ | 10.62 | $ | 11.36 | $ | 9.49 | $ | 9.46 | ||||||||||||
Net investment income(b) | 0.14 | 0.19 | 0.15 | 0.11 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | 0.91 | (0.52 | ) | 1.91 | (0.04 | ) | |||||||||||||||
Total from investment operations | 0.29 | 1.10 | (0.37 | ) | 2.02 | 0.07 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.33 | ) | (0.19 | ) | (0.15 | ) | (0.15 | ) | (0.04 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.29 | ) | (0.56 | ) | (0.22 | ) | — | — | ||||||||||||||
Total distributions | (0.62 | ) | (0.75 | ) | (0.37 | ) | (0.15 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of year | $ | 10.64 | $ | 10.97 | $ | 10.62 | $ | 11.36 | $ | 9.49 | ||||||||||||
Total return(c) | 2.60 | % | 11.39 | % | (3.43 | )% | 21.63 | % | 0.74 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 527,449 | $ | 462,441 | $ | 633,577 | $ | 490,497 | $ | 605,053 | ||||||||||||
Ratio of net expenses to average net assets | 0.46 | % | 0.72 | % | 0.80 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.53 | % | 1.42 | % | 1.39 | % | 1.47 | % | 1.31 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.34 | % | 1.81 | % | 1.29 | % | 1.03 | % | 1.19 | % | ||||||||||||
Portfolio turnover rate(d) | 79 | % | 91 | % | 76 | % | 88 | % | 47 | % |
(a) | Effective January 16, 2018, the Institutional Shares were redesignated as Class R6 Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | 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. | 77 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Non-Core Fixed Income Fund | ||||||||||||||||||||||
Class R6 Shares(a) | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.06 | $ | 8.83 | $ | 9.60 | $ | 9.60 | $ | 9.37 | ||||||||||||
Net investment income(b) | 0.45 | 0.54 | 0.51 | 0.50 | 0.46 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 0.31 | (0.77 | ) | — | 0.23 | |||||||||||||||
Total from investment operations | 0.10 | 0.85 | (0.26 | ) | 0.50 | 0.69 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.40 | ) | (0.55 | ) | (0.39 | ) | (0.47 | ) | (0.43 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.06 | ) | (0.07 | ) | (0.12 | ) | (0.03 | ) | (0.03 | ) | ||||||||||||
Total distributions | (0.46 | ) | (0.62 | ) | (0.51 | ) | (0.50 | ) | (0.46 | ) | ||||||||||||
Net asset value, end of year | $ | 8.70 | $ | 9.06 | $ | 8.83 | $ | 9.60 | $ | 9.60 | ||||||||||||
Total return(c) | 1.21 | % | 9.03 | % | (2.84 | )% | 5.38 | % | 7.54 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 940,024 | $ | 820,164 | $ | 683,830 | $ | 401,682 | $ | 304,046 | ||||||||||||
Ratio of net expenses to average net assets | 0.60 | % | 0.61 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | 1.20 | % | ||||||||||||
Ratio of net investment income to average net assets | 5.20 | % | 6.01 | % | 5.52 | % | 5.26 | % | 4.91 | % | ||||||||||||
Portfolio turnover rate(d) | 102 | % | 150 | % | 123 | % | 152 | % | 96 | % |
(a) | Effective January 16, 2018, the Institutional Shares were redesignated as Class R6 Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | 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. |
78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Manager Real Assets Strategy Fund | ||||||||||||||||||||||
Class R6 Shares(a) | ||||||||||||||||||||||
Year Ended October 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.78 | $ | 9.24 | $ | 9.66 | $ | 9.17 | $ | 9.57 | ||||||||||||
Net investment income(b) | (0.19 | ) | 0.22 | 0.23 | (c) | 0.20 | 0.18 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.51 | ) | 1.57 | (0.41 | ) | 0.58 | (0.38 | ) | ||||||||||||||
Total from investment operations | (1.32 | ) | 1.79 | (0.18 | ) | 0.78 | (0.20 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.35 | ) | (0.20 | ) | (0.05 | ) | (0.29 | ) | (0.20 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.18 | ) | (0.05 | ) | (0.19 | ) | — | — | ||||||||||||||
Total distributions | (0.53 | ) | (0.25 | ) | (0.24 | ) | (0.29 | ) | (0.20 | ) | ||||||||||||
Net asset value, end of year | $ | 8.93 | $ | 10.78 | $ | 9.24 | $ | 9.66 | $ | 9.17 | ||||||||||||
Total return(d) | (12.86 | )% | 20.04 | % | (1.88 | )% | 8.65 | % | (2.14 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 459,950 | $ | 449,938 | $ | 387,008 | $ | 212,441 | $ | 308,375 | ||||||||||||
Ratio of net expenses to average net assets | 0.77 | % | 0.81 | % | 0.90 | % | 0.90 | % | 0.87 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.21 | % | 1.24 | % | 1.32 | % | 1.32 | % | 1.33 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.02 | % | 2.23 | % | 2.37 | %(c) | 2.10 | % | 1.96 | % | ||||||||||||
Portfolio turnover rate(e) | 92 | % | 97 | % | 86 | % | 131 | % | 93 | % |
(a) | Effective January 16, 2018, the Institutional Shares were redesignated as Class R6 Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.45% of average net assets. |
(d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(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. | 79 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
October 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust II (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Multi-Manager Global Equity Fund | Class R6 | Diversified | ||
Multi-Manager Non-Core Fixed Income Fund | Class R6 | Diversified | ||
Mutli-Manager Real Assets Strategy Fund | Class R6 | Diversified |
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 (each, an “Agreement”) with the Trust. As of October 31, 2020, GSAM had sub-advisory agreements (the “Sub-Advisory Agreements”) for the Multi-Manager Global Equity Fund with Axiom International Investors LLC, Boston Partners Global Investors, Inc., Causeway Capital Management LLC, DWS Investment Management Americas, Inc., GW&K Investment Management, LLC, Massachusetts Financial Services Company d/b/a/MFS Investment Management, Principal Global Investors, LLC, QMA LLC, Vaughan Nelson Investment Management, L.P., Vulcan Value Partners, LLC, WCM Investment Management, LLC and Wellington Management Company LLP; for the Multi-Manager Non-Core Fixed Income Fund with Ares Capital Management II LLC, BlueBay Asset Management LLP, Brigade Capital Management, LP, Marathon Asset Management, L.P., River Canyon Fund Management, LLC, Symphony Asset Management LLC, and TCW Investment Management Company LLC; and for the Multi-Manager Real Assets Strategy Fund with Cohen & Steers Capital Management, Inc., PGIM Real Estate, a business unit of PGIM, Inc., Presima Inc., and RREEF America L.L.C. (the “Underlying Managers”). Pursuant to the terms of the Sub-Advisory Agreements, the Underlying Managers are responsible for making investment decisions and managing the investments of the Fund. GSAM compensates the Underlying Managers directly in accordance with the terms of the Sub-Advisory Agreements. The Funds are not charged any separate or additional investment advisory fees by the Underlying Managers.
As of October 31, 2020, GSAM no longer had sub-advisory agreements with Legal & General Investment Management America, Inc. with respect to the Multi-Manager Global Equity Fund.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
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2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
C. Expenses — Expenses incurred directly by a Fund are charged to the Fund, and certain 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, and are accrued daily.
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 | ||||
Multi-Manager Global Equity | Annually | Annually | ||||
Multi-Manager Non-Core Fixed Income | Daily/Monthly | Annually | ||||
Multi-Manager Real Assets Strategy | Annually | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each 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 the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. 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.
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
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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. Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”) . A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.
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 price on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
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
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement. 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.
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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 Funds’ 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 October 31, 2020:
MULTI-MANAGER GLOBAL EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Africa | $ | 940,008 | $ | 1,165,902 | $ | — | ||||||
Asia | 16,021,414 | 82,703,708 | — | |||||||||
Australia and Oceania | — | 3,777,282 | — | |||||||||
Europe | 14,576,870 | 103,498,006 | — | |||||||||
North America | 224,190,961 | 90,231 | — | |||||||||
South America | 3,132,819 | 551,288 | — | |||||||||
Exchange Traded Funds | 31,109,017 | — | — | |||||||||
Investment Companies | 38,949,157 | — | — | |||||||||
Short-term Investments | 199,978 | — | — | |||||||||
Rights | — | 774,896 | — | |||||||||
Total | $ | 329,120,224 | $ | 192,561,313 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,102,846 | $ | — | ||||||
Liabilities(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,718,839 | ) | $ | — | |||||
Futures Contracts | (1,020,961 | ) | — | — | ||||||||
Total | $ | (1,020,961 | ) | $ | (1,718,839 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER NON-CORE FIXED INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Fixed Income |
| |||||||||||
Foreign Debt Obligations | $ | — | $ | 259,234,122 | $ | — | ||||||
Corporate Obligations | — | 375,520,696 | 430,594 | |||||||||
Bank Loans | — | 191,271,664 | 3,644,284 | |||||||||
Mortgage-Backed Obligations | — | 16,437,887 | — | |||||||||
Asset-Backed Securities | — | 18,148,609 | — | |||||||||
U.S. Treasury Obligations | 4,379,813 | — | — | |||||||||
Unfunded Loan Committment | — | 14,450 | — | |||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
North America | 1,422,190 | 898,060 | 29,871 | |||||||||
Warrants | 277,175 | — | — | |||||||||
Investment Company | 70,980,616 | — | — | |||||||||
Total | $ | 77,059,794 | $ | 861,525,488 | $ | 4,104,749 | ||||||
Liabilities |
| |||||||||||
Fixed Income |
| |||||||||||
Unfunded Loan Committment | $ | — | $ | (705 | ) | $ | — | |||||
Total | $ | — | $ | (705 | ) | $ | — | |||||
Derivative Type | ||||||||||||
Assets |
| |||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 285,934 | $ | — | ||||||
Futures Contracts(b) | 5,618 | — | — | |||||||||
Options Purchased | — | 35,377 | — | |||||||||
Total | $ | 5,618 | $ | 321,311 | $ | — | ||||||
Liabilities(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,810,004 | ) | $ | — | |||||
Credit Default Swap Contracts | — | (8,111 | ) | — | ||||||||
Total | $ | — | $ | (1,818,115 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER REAL ASSETS STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | $ | 385,239 | $ | 67,141,909 | $ | — | ||||||
Australia and Oceania | — | 19,140,969 | — | |||||||||
Europe | 5,801,679 | 85,259,544 | — | |||||||||
North America | 272,810,697 | — | — | |||||||||
Investment Company | 12,797,235 | — | — | |||||||||
Total | $ | 291,794,850 | $ | 171,542,422 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
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 October 31, 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.
Multi-Manager Global Equity Fund | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 1,102,846 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (1,718,839) | ||||||
Equity | — | — | Variation margin on futures contracts | (1,020,961) | (a) | |||||||
Total | $ | 1,102,846 | $ | (2,739,800) | ||||||||
Multi-Manager Non-Core Fixed Income | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on futures contracts | $ | 5,618 | (a) | — | $ | — | |||||
Credit | — | — | Variation margin on swap contracts | (8,111) | (a) | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value | 321,311 | Payable for unrealized loss on forward foreign currency exchange contracts. | (1,810,004) | ||||||||
Total | $ | 326,929 | $ | (1,818,115) |
(a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
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Notes to Financial Statements (continued)
October 31, 2020
4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 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:
Multi-Manager Global Equity | ||||||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | (1,998,415 | ) | $ | 77,617 | 84 | |||||||
Equity | Net realized gain from futures contracts/Net unrealized gain (loss) on futures contracts | 7,318,734 | (1,517,223 | ) | 319 | |||||||||
Total | $ | 5,320,319 | $ | (1,439,606 | ) | 403 | ||||||||
Multi-Manager Non-Core Fixed Income | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from futures contracts/ Net change in unrealized gain (loss) on futures contracts | $ | (131,383) | $ | 8,838 | 22 | ||||||||
Credit | Net realized gain (loss) from swap contracts/ Net change in unrealized gain (loss) on swap contracts | 778,469 | (5,090 | ) | 3 | |||||||||
Currency | Net realized gain (loss) from purchased options and forward foreign currency exchange contracts/ Net change in unrealized gain (loss) on purchased options and forward foreign currency exchange contracts | 1,991,548 | (2,022,875 | ) | 56 | |||||||||
Total | $ | 2,638,634 | $ | (2,019,127 | ) | 81 | ||||||||
Multi-Manager Real Assets Strategy Fund | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | (4,135 | ) | $ | 0 | 1 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2020. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2020, contractual and effective net management fees with GSAM were at the following rates:
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | Effective Net Management | |||||||||||||||||||||
Multi-Manager Global Equity | 1.03 | % | 0.93 | % | 0.89 | % | 0.87 | % | 0.84 | % | 1.03 | 0.34 | ||||||||||||||||
Multi-Manager Non-Core Fixed Income | 0.85 | 0.85 | 0.77 | 0.73 | 0.71 | 0.85 | 0.41 | |||||||||||||||||||||
Multi-Manager Real Asset Strategy | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 | 1.00 | 0.56 |
* | GSAM has agreed to waive a portion of its management fee for each Fund in order to achieve an effective net management fee rate that is equal to the actual cost of fees paid to the Fund’s Underlying Managers. These arrangements will remain in effect through at least February 28, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Board of Trustees. |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Funds invest in Institutional Shares and/or Class R6 Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest. For the fiscal year ended October 31, 2020, GSAM waived $ 79,426, $ 118,954 and $ 18,614 of the Multi-Manager Global Equity, Multi-Manager Non-Core Fixed Income and Multi-Manager Real Assets Strategy Funds’ management fees, respectively.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates of 0.02% of the average daily net assets of Class R6 Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, 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 Total Annual Operating Expense limitations as an annual percentage rate of average daily net assets for the Multi-Manager Global Equity Fund, Multi-Manager Non-Core Fixed Income Fund and Multi-Manager Real Assets Strategy Fund are 0.75%, 0.70%, and 0.90% respectively. GSAM has also agreed to reduce or limit the Multi-Manager Global Equity Fund’s “Other Expenses” (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees, taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to 0.10% of the Fund’s average daily net assets. These Other Expense limitations will remain in place through at least February 28, 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 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.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursements | Total Annual Operating Expense Reductions | |||||||||||
Multi-Manager Global Equity | $ | 3,353,578 | $ | 1,868,113 | $ | 5,221,691 | ||||||||
Multi-Manager Non-Core Fixed Income | 3,753,895 | — | 3,753,895 | |||||||||||
Multi-Manager Real Assets Strategy | 1,956,458 | — | 1,956,458 |
D. Line of Credit Facility — As of October 31, 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. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2020, the Funds did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
E. Other Transactions with Affiliates — For the fiscal year ended October 31, 2020, Goldman Sachs earned $ 298 and $ 3,328, in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Multi-Manager Global Equity Fund and Multi-Manager Real Assets Strategy Fund, respectively.
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended October 31, 2020:
Fund | Market Value as of October 31, | Purchases at Cost | Proceeds from Sales | Market as of October 31, | Shares as of October 31, | Dividend Income from Affiliated Investment Companies | ||||||||||||||||||
Multi-Manager Global Equity |
| |||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 13,920,727 | $ | 228,425,261 | $ | (234,417,941 | ) | $ | 7,928,047 | 7,928,047 | 62,664 | |||||||||||||
Goldman Sachs Financial Square Government Fund —Class R6 Shares | 34,444,680 | 186,767,801 | (190,191,371 | ) | 31,021,110 | 31,021,110 | 265,357 | |||||||||||||||||
Multi-Manager Non-Core Fixed Income |
| |||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 68,210,674 | 725,780,355 | (723,010,413 | ) | 70,980,616 | 70,980,616 | 447,664 | |||||||||||||||||
Multi-Manager Real Asset Strategy |
| |||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 8,199,800 | 181,854,961 | (177,257,526 | ) | 12,797,235 | 12,797,235 | 71,044 |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2020, were as follows:
Fund | Purchases of Government Securities | Purchases Excluding Government Securities | Sales of Government Securities | Sales Excluding Government Securities | ||||||||||||||
Multi-Manager Global Equity | $ | — | $ | 401,498,773 | $ | — | $ | 337,740,402 | ||||||||||
Multi-Manager Non-Core Fixed Income | 33,485,540 | 891,599,386 | 16,841,702 | 774,300,474 | ||||||||||||||
Multi-Manager Real Asset Strategy | — | 480,258,633 | — | 399,307,745 |
7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2020 was as follows:
Multi-Manager Global Equity | Multi-Manager Non-Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||||
Distribution paid from: | ||||||||||||||
Ordinary income | $ | 14,211,600 | $ | 38,347,018 | $ | 19,138,587 | ||||||||
Net long-term capital gains | 12,191,518 | — | 3,114,336 | |||||||||||
Total taxable distributions | $ | 26,403,118 | $ | 38,347,018 | $ | 22,252,923 | ||||||||
Tax return of capital | $ | — | $ | 6,283,078 | $ | — |
The tax character of distributions paid during the fiscal year ended October 31, 2019 was as follows:
Multi-Manager Global Equity | Multi-Manager Non-Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||||
Distribution paid from: | ||||||||||||||
Ordinary income | $ | 20,782,062 | $ | 44,128,245 | $ | 8,034,023 | ||||||||
Net long-term capital gains | 24,324,082 | — | 2,405,170 | |||||||||||
Total taxable distributions | $ | 45,106,144 | $ | 44,128,245 | $ | 10,439,193 | ||||||||
Tax return of capital | $ | — | $ | 3,930,447 | $ | — |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
7. TAX INFORMATION (continued) |
As of October 31, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Multi-Manager Global Equity | Multi-Manager Non-Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||||
Undistributed ordinary income — net | $ | 3,498,486 | $ | — | $ | 5,098,367 | ||||||||
Undistributed long-term capital gains | 6,812,759 | — | — | |||||||||||
Total undistributed earnings | $ | 10,311,245 | $ | — | $ | 5,098,367 | ||||||||
Capital loss carryforwards: | $ | — | $ | (16,444,783 | ) | $ | (27,527,330 | ) | ||||||
Timing differences (Straddle Loss Deferral) | $ | (588 | ) | $ | (2,038,164 | ) | $ | — | ||||||
Unrealized gains (losses) — net | 43,641,727 | (26,722,637 | ) | 5,176,040 | ||||||||||
Total accumulated earnings (losses) net | $ | 53,952,384 | $ | (45,205,584 | ) | $ | (17,252,923 | ) |
Multi-Manager Global Equity | Multi-Manager Non-Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||||
Perpetual Short-Term | $ | — | $ | (6,062,261 | ) | $ | (20,571,899 | ) | ||||||
Perpetual Long-Term | — | (10,382,522 | ) | (6,955,431 | ) | |||||||||
Total capital loss carryforwards | $ | — | $ | (16,444,783 | ) | $ | (27,527,330 | ) |
As of October 31, 2020, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Multi-Manager Global Equity | Multi-Manager Non-Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||||
Tax Cost | $ | 476,419,974 | $ | 967,859,324 | $ | 458,165,613 | ||||||||
Gross unrealized gain | 68,693,300 | 22,352,341 | 39,082,314 | |||||||||||
Gross unrealized loss | (25,051,573 | ) | (49,074,978 | ) | (33,906,274 | ) | ||||||||
Net unrealized gains (losses) on securities | $ | 43,641,727 | $ | (26,722,637) | $ | 5,176,040 |
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, net mark to market gains (losses) on foreign currency contracts, and differences in the tax treatment of swap transactions, material modification of debt securities, and passive foreign investment company investments.
The Multi-Manager Non-Core Fixed Income Fund reclassed $327,232 from distributable earnings to paid in capital and Real Assets Strategy Funds reclassed $296 from paid in capital to distributable earnings for the year ending October 31, 2020. In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from changes due to return of capital distributions, and partnership investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk—The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
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.
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 Funds invest. The imposition of exchange controls (including repatriation restrictions), confiscations of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. 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 Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If a 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 a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
8. OTHER RISKS (continued) |
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.
Industry Concentration Risk — Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject a Fund to a greater risk of loss as a result of adverse economic, business, political, environmental or other developments than if its investments were diversified across different industries.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds 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, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
Loan-Related Investments Risk — In addition to risks generally associated with debt investments (e.g., interest rate risk and default risk), loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be or become illiquid or less liquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
8. OTHER RISKS (continued) |
contractual restrictions on resale and certain loan investments may be or become illiquid or less liquid and more difficult to value, particularly in the event of a downgrade of the loan or the borrower. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, a Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as a Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, a Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet a Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.
Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.
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, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults
Multi-Manager Approach Risk— The Funds’ performance depends on the ability of the Investment Adviser in selecting, overseeing, and allocating Fund assets to the Underlying Managers. The Underlying Managers’ investment styles may not always be complementary. The Funds’ multi-manager approach may result in the Fund investing a significant percentage of its assets in certain types of investments, which could be beneficial or detrimental to the Funds’ performance depending on the performance of those investments and the overall market environment. The Funds’ Underlying Managers may underperform the market generally or underperform other investment managers that could have been selected for the Funds. Because the Funds’ Underlying Managers may trade with counterparties, prime brokers, clearing brokers or futures commission merchants on terms that are different than those on which the Investment Adviser would trade, and because each Underlying Manager applies its own risk analysis in evaluating potential counterparties for the Funds, the Funds may be subject to greater counterparty risk than if they were managed directly by the Investment Adviser.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
95
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2020
10. OTHER MATTERS |
The Funds have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended October 31, 2020. This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total distributable earnings (loss) or the net asset value of the Funds.
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. As of the end of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
12. SUMMARY OF SHARE TRANSACTIONS |
Multi-Manager Global Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 7,760,795 | $ | 77,760,000 | 11,269,092 | $ | 112,385,000 | ||||||||||
Reinvestment of distributions | 2,381,106 | 26,403,118 | 4,729,280 | 45,106,144 | ||||||||||||
Shares redeemed | (2,724,576 | ) | (29,865,000 | ) | (33,507,312 | ) | (353,974,521 | ) | ||||||||
NET INCREASE (DECREASE) | 7,417,325 | $ | 74,298,118 | (17,508,940 | ) | $ | (196,483,377 | ) |
Multi-Manager Non-Core Fixed Income Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 20,983,239 | $ | 186,180,000 | 51,695,826 | $ | 463,878,772 | ||||||||||
Reinvestment of distributions | 5,146,539 | 44,630,096 | 5,356,955 | 48,005,796 | ||||||||||||
Shares redeemed | (8,667,847 | ) | (75,344,998 | ) | (43,963,119 | ) | (396,921,299 | ) | ||||||||
NET INCREASE | 17,461,931 | $ | 155,465,098 | 13,089,662 | $ | 114,963,269 |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Multi-Manager Real Assets Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2020 | For the Fiscal Year Ended October 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 9,272,253 | $ | 85,869,000 | 10,886,591 | $ | 112,080,000 | ||||||||||
Reinvestment of distributions | 2,150,776 | 22,252,923 | 1,177,709 | 10,439,193 | ||||||||||||
Shares redeemed | (1,653,689 | ) | (15,900,000 | ) | (12,189,226 | ) | (124,929,890 | ) | ||||||||
NET INCREASE (DECREASE) | 9,769,340 | $ | 92,221,923 | (124,926 | ) | $ | (2,410,697 | ) |
97
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust II and Shareholders of Goldman Sachs Multi-Manager Global Equity Fund, Goldman Sachs Multi-Manager Non-Core Fixed Income Fund, and Goldman Sachs Multi-Manager Real Assets Strategy Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Multi-Manager Global Equity Fund, Goldman Sachs Multi-Manager Non-Core Fixed Income Fund, and Goldman Sachs Multi-Manager Real Assets Strategy Fund (three of the funds constituting Goldman Sachs Trust II, hereafter collectively referred to as the “Funds”) as of October 31, 2020, the related statements of operations for the year ended October 31, 2020, the statements of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2020 and each of the financial highlights for each of the five years in the period ended October 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Fund Expenses — Six Months Period Ended October 31, 2020 (Unaudited) |
As a shareholder of Class R6 Shares of the Funds, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments, and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in 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 May 1, 2020 through October 31, 2020, which represents a period of 184 days in a 365-day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. 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.
Multi-Manager Global Equity Fund | Multi-Manager Non-Core Fixed Income Fund | Multi-Manager Real Assets Strategy Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | Beginning Account Value 5/1/20 | Ending Account Value 10/31/20 | Expenses Paid for the 6 months ended 10/31/20* | |||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,136.75 | $ | 2.58 | $ | 1,000.00 | $ | 1,105.97 | 3.18 | 1,000.00 | 1,026.44 | 3.92 | ||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.72 | + | 2.44 | 1,000.00 | 1,022.12 | + | 3.05 | 1,000.00 | 1,021.27 | + | 3.91 |
+ | 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 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 October 31, 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 | Class R6 | |||
Multi-Manager Global Equity | 0.46 | % | ||
Multi-Manager Non-Core Fixed Income | 0.60 | |||
Multi-Manager Real Assets Strategy | 0.77 |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited)
Background
The Goldman Sachs Multi-Manager Global Equity Fund, Goldman Sachs Multi-Manager Non-Core Fixed Income Fund, and Goldman Sachs Multi-Manager Real Assets Strategy Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust II (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. Each Fund employs a “manager of managers” structure, whereby Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) is responsible for selecting sub-advisers (subject to Board approval), allocating the Fund’s assets among them, and overseeing their day-to-day management of Fund assets. The Board determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with the Investment Adviser on behalf of the Funds.
The Management Agreement was most recently approved for continuation until August 31, 2021 by the Board, 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 August 10-11, 2020 (the “Annual Meeting”). At the Annual Meeting, the Board also considered the sub-advisory agreements (each a “ Designated Sub-Advisory Agreement” and, together with the Management Agreement, the “Agreements”) between the Investment Adviser and (i) each of Boston Partners Global Investors, Inc., Causeway Capital Management LLC, DWS Investment Management Americas, Inc., GW&K Investment Management, LLC, Massachusetts Financial Services Company (d/b/a MFS Investment Management), Principal Global Investors, LLC, QMA LLC, Vaughan Nelson Investment Management, L.P., Vulcan Value Partners, LLC, WCM Investment Management, and Wellington Management Company LLP (on behalf of Goldman Sachs Multi-Manager Global Equity Fund); (ii) each of Ares Capital Management II LLC, BlueBay Asset Management LLP, Brigade Capital Management, LP, Marathon Asset Management, L.P., River Canyon Fund Management LLC, Symphony Asset Management LLC, and TCW Investment Management Company LLC (on behalf of Goldman Sachs Multi-Manager Non-Core Fixed Income Fund); and (iii) each of Cohen & Steers Capital Management, Inc., PGIM Real Estate (a business unit of PGIM, Inc.), Presima Inc., and RREEF America L.L.C. (on behalf of Goldman Sachs Multi-Manager Real Assets Strategy Fund) (each, a “Designated Sub-Adviser” and collectively, the “Designated Sub-Advisers”).
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 five 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 and the Designated Sub-Advisory 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, and the Designated Sub-Advisers, including, as applicable, information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and the Designated Sub-Advisers and the Designated Sub-Advisers’ 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”), benchmark performance indices, and, with respect to the Goldman Sachs Multi-Manager Global Equity Fund, commingled investment vehicles with comparable investment strategies managed by the Investment Adviser, as well as 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; |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
(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) | with respect to the Goldman Sachs Multi-Manager Global Equity Fund, comparative information on the advisory fees charged and services provided by the Investment Adviser to certain collective investment vehicles that it manages with comparable investment strategies; |
(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 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, portfolio trading, and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | with respect to the Investment Adviser, portfolio manager ownership of Fund shares and the manner in which portfolio manager compensation is determined; information on the Designated Sub-Advisers’ compensation arrangements; and the number and types of accounts managed by the portfolio managers; |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (as well as the Designated Sub-Advisers), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the services provided under the Management Agreement; and |
(n) | the Investment Adviser’s and Designated Sub-Advisers’ processes and policies addressing various types of potential conflicts of interest; their approaches 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 and share purchase and redemption activity.
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 Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Funds and the respective services of the Investment Adviser and its affiliates, and the Designated Sub-Advisers. 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. In addition, the Trustees periodically received written materials and oral presentations from the Funds’ various sub-advisers, including the Designated Sub-Advisers. 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. The Trustees reviewed a written response prepared by each Designated Sub-Adviser to a similar request for information submitted to the Designated Sub-Adviser by the Investment Adviser. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. They also recalled presentations received during the past year, which described portfolio management changes for the Funds. 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
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
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 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. In addition, the Trustees reviewed the Sub-Adviser oversight process that the Investment Adviser had employed, which included areas such as investment analytics, risk management and compliance.
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, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider. 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 considered the Investment Adviser’s representations that each Fund had significant differences from its Outside Data Provider peer group that caused them to be imperfect bases for comparison. The Trustees also compared the investment performance of the Goldman Sachs Multi-Manager Global Equity Fund to the performance of comparable unregistered funds for which the Investment Adviser also serves as investment adviser. They considered that the unregistered funds provide an imperfect performance comparison because they are not subject to the requirements of the Investment Company Act of 1940, as amended.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and the Sub-Advisers’ 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 noted that the Goldman Sachs Multi-Manager Global Equity Fund’s Class R6 Shares had placed in the third quartile of the Fund’s performance peer group for the one- and three-year periods, and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2020. They observed that Goldman Sachs Multi-Manager Non-Core Fixed Income Fund’s Class R6 Shares had placed in the third quartile of the Fund’s performance peer group for the one-year period and fourth quartile for the three-year period, and had outperformed the Fund’s composite benchmark index for the one-year period ended March 31, 2020. The Trustees noted that the Goldman Sachs Real Assets Strategy Fund’s Class R6 Shares had placed in the second quartile of the Fund’s performance peer group for the one-year period and the first quartile for the three-year period, and had outperformed the Fund’s composite benchmark index for the one-year period ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement, the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds, as well as additional information provided by the Investment Adviser throughout the year. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. With respect to the Goldman Sachs Multi-Manager Global Equity Fund, the Trustees also considered comparative fee information for services provided by the Investment Adviser to collective investment vehicles having investment objectives and policies similar to those of the Fund. The Trustees considered that services provided to the Funds differed in various significant respects from the services provided to these collective investment vehicles, which generally operated under less stringent regulatory and financial reporting requirements and required fewer services
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
from the Investment Adviser. The Trustees concluded that the comparisons provided by the Outside Data Provider and the Investment Adviser were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
The Trustees considered the Investment Adviser’s undertaking to waive a portion of the management fee payable by each Fund. In this regard the Trustees noted that the shareholders that are invested in the Funds consist of institutional clients that have entered into a separate management agreement with the Investment Adviser and pay a single management fee for the Investment Adviser’s management of their accounts, and that the Investment Adviser waives a portion of the management fee with respect to each Fund in order to achieve an effective net management fee rate that is equal to the actual cost of fees paid to the Fund’s sub-advisers. They also considered the Investment Adviser’s undertaking to limit each Fund’s “other expenses” rate (excluding certain expenses) to a specified level. 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.
The Investment Adviser’s 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 that the Funds are offered to the Investment Adviser’s institutional clients as part of an investment model whereby the Funds and other funds act as core “building blocks” with which the client and the Investment Adviser form an investment strategy for the client’s portfolio. The Trustees considered the Investment Adviser’s representations that its clients benefit from this investment model with increased liquidity, increased investment oversight, access to new investment strategies, economies of scale, and reduced complexity in managing client portfolios. The Trustees noted that, pursuant to the model, clients pay a management fee for the Investment Adviser’s management of their accounts, and that the fund-level management fee in excess of the weighted average sub-advisory fees are waived in order to avoid charging two layers of management fees. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Average Daily Net Assets | Goldman Sachs Multi-Manager Global Equity Fund | Goldman Sachs Multi-Manager Non-Core Fixed Income Fund | Goldman Sachs Multi-Manager Real Assets Strategy Fund | |||||||||
First $1 billion | 1.03 | % | 0.85 | % | 1.00 | % | ||||||
Next $1 billion | 0.93 | % | 0.85 | % | 0.90 | % | ||||||
Next $3 billion | 0.89 | % | 0.77 | % | 0.86 | % | ||||||
Next $3 billion | 0.87 | % | 0.73 | % | 0.84 | % | ||||||
Over $8 billion | 0.84 | % | 0.71 | % | 0.82 | % |
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 (if any); 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 and to limit certain expenses of the Funds that exceed specified levels. The
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
Trustees also considered the relationship between the advisory and sub-advisory fee rate schedules. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds, 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 transactions (in its capacity as clearing broker) and futures transactions on behalf of the Funds; (c) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of the Investment Adviser’s other clients; (d) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (e) the Investment Adviser’s ability to negotiate better pricing with the Funds’ custodian on behalf of its other clients, as a result of the relationship with the Funds; (f) 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; (g) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers (including the Sub-Advisers) 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) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (b) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (c) 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; (d) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (e) access to certain affiliated distribution channels.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the investment management fees paid by each Fund were reasonable in light of the factors considered, and that the Management Agreement, and the terms thereof, should be approved and continued with respect to each Fund until August 31, 2021.
Designated Sub-Advisory Agreements
Nature, Extent, and Quality of the Services Provided Under the Designated Sub-Advisory Agreements and Performance
In evaluating the Designated Sub-Advisory Agreements, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and the Designated Sub-Advisers. In evaluating the nature, extent, and quality of services provided by each Designated Sub-Adviser, the Trustees considered information on the services provided to the Funds by their respective Designated Sub-Advisers, including information about each Designated Sub-Adviser’s (a) personnel and compensation structure; (b) track record in managing the Fund and, if applicable, other funds and/or accounts with investment strategies similar to those employed on behalf of the Funds; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. In this regard, they also considered assessments provided by the Investment Adviser of each Designated Sub-Adviser, the Designated Sub-Adviser’s investment strategies and personnel, and its compliance program. The Trustees also considered information regarding each Designated Sub-Adviser’s business continuity planning and remote operations in the current environment. The Trustees also reviewed the operations and investment performance of each Designated Sub-Adviser’s respective sleeve of the applicable Fund since its inception, including a comparison of each Designated Sub-Adviser to relevant benchmark indices based on various metrics, including realized beta, excess return, alpha, and volatility.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreements (Unaudited) (continued)
Costs of Services Provided
The Trustees reviewed the terms of each Designated Sub-Advisory Agreement, including the schedule of fees payable to the Designated Sub-Advisers. They considered any breakpoints in the sub-advisory fee rate payable under each Designated Sub-Advisory Agreement. The Trustees noted that the compensation paid to each Designated Sub-Adviser is paid by the Investment Adviser, not by the Funds. The Trustees considered that certain Designated Sub-Advisers had agreed to reduce their sub-advisory fee rate, which benefited shareholders of the applicable Funds in light of the existing management fee waiver arrangement. The Trustees reviewed the blended average of all sub-advisory fees paid by the Investment Adviser with respect to each Fund in light of the overall management fee paid by each Fund. They also considered the Investment Adviser’s undertaking to waive a portion of its management fee which is in excess of the weighted average of each Fund’s sub-advisory fees.
Conclusion
In connection with their consideration of the Designated Sub-Advisory Agreements, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees paid by the Investment Adviser to each Designated Sub-Adviser were reasonable in light of the factors considered, and that each Designated Sub-Advisory Agreement should be approved and continued until August 31, 2021.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Cheryl K. Beebe Age: 64 | Chair of the Board of Trustees | Since 2017 (Trustee since 2015) | Ms. Beebe is retired. She is Director, Packaging Corporation of America (2008-Present); Director, The Mosaic Company (2019-Present); and was formerly Director, Convergys Corporation (a global leader in customer experience outsourcing) (2015-2018); and formerly held the position of Executive Vice President, (2010-2014); and Chief Financial Officer, Ingredion, Inc. (a leading global ingredient solutions company) (2004-2014).
Chair of the Board of Trustees — Goldman Sachs Trust II. | 19 | Packaging Corporation of America (producer of container board); The Mosaic Company (producer of phosphate and potash fertilizer) | |||||
Lawrence Hughes Age: 62 | Trustee | Since 2016 | Mr. Hughes is retired. Formerly, he held senior management positions with BNY Mellon Wealth Management, a division of The Bank of New York Mellon Corporation (a financial services company) (1991-2015), most recently as Chief Executive Officer (2010-2015). He serves as a Member of the Board of Directors, (2012-Present) and formerly served as Chairman (2012-2019), Ellis Memorial and Eldredge House (a not-for-profit organization). Previously, Mr. Hughes served as an Advisory Board Member of Goldman Sachs Trust II (February 2016-April 2016).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
John F. Killian Age: 65 | Trustee | Since 2015 | Mr. Killian is retired. He is Director, Consolidated Edison, Inc. (2007-Present); Director, Houghton Mifflin Harcourt Publishing Company (2011-Present); and formerly held senior management positions with Verizon Communications, Inc., including Executive Vice President and Chief Financial Officer (2009-2010); and President, Verizon Business, Verizon Communications, Inc. (2005-2009).
Trustee — Goldman Sachs Trust II. | 19 | Consolidated Edison, Inc. (a utility holding company); Houghton Mifflin Harcourt Publishing Company | |||||
Steven D. Krichmar Age: 62 | Trustee | Since 2018 | Mr. Krichmar is retired. Formerly, he held senior management and governance positions with Putnam Investments, LLC, a financial services company (2001-2016). He was most recently Chief of Operations and a member of the Operating Committee of Putnam Investments, LLC and Principal Financial Officer of The Putnam Funds. Previously, Mr. Krichmar served as an Audit Partner with PricewaterhouseCoopers LLP and its predecessor company (1990-2001).
Trustee — Goldman Sachs Trust II. | 19 | None | |||||
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | President and Trustee | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 170 | None | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. He holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2020. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2020, Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
107
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 58 | Trustee and President | Since 2012 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust II; Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust II; Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 52 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer Since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of October 31, 2020. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust II — Strategic Multi-Asset Class Funds — Tax Information (Unaudited)
For the year ended October 31, 2020, 32.48% and 11.55% of the dividends paid from net investment company taxable income by the Multi-Manager Global Equity and Multi-Manager Real Assets Strategy Funds, respectively, qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2020, 100% and 31.27% of the dividends paid from net investment company taxable income by the Multi-Manager Global Equity and Multi-Manager Real Assets Strategy Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Multi-Manager Global Equity and Multi-Manager Real Assets Strategy Funds designate $12,191,518 and $3,114,336 respectively, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended October 31, 2020.
During the fiscal year ended October 31, 2020, the Multi-Manager Real Assets Strategy Fund designates $3,984,514 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
108
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.86 trillion in assets under supervision as of September 30, 2020, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
∎ | Financial Square Treasury Solutions Fund1 |
∎ | Financial Square Government Fund1 |
∎ | Financial Square Money Market Fund2 |
∎ | Financial Square Prime Obligations Fund2 |
∎ | Financial Square Treasury Instruments Fund1 |
∎ | Financial Square Treasury Obligations Fund1 |
∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ | Investor Money Market Fund3 |
∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund4 |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Municipal Income Completion Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
∎ | Defensive Equity Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund6 |
∎ | Emerging Markets Equity Fund |
∎ | Imprint Emerging Markets Opportunities Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | MLP & Energy Fund |
∎ | Energy Infrastructure Fund7 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income Fund |
∎ | Multi-Manager U.S. Dynamic Equity Fund |
∎ | Multi-Manager Global Equity Fund |
∎ | Multi-Manager International Equity Fund |
∎ | Tactical Tilt Overlay Fund |
∎ | Balanced Strategy Portfolio |
∎ | Multi-Manager U.S. Small Cap Equity Fund |
∎ | Multi-Manager Real Assets Strategy Fund |
∎ | Growth and Income Strategy Portfolio |
∎ | Growth Strategy Portfolio |
∎ | Dynamic Global Equity Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio8 |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close of business on August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
7 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
8 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Cheryl K. Beebe, Chair Lawrence Hughes John F. Killian Steven D. Krichmar James A. McNamara | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are 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).
Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. The 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. Past correlations are not indicative of future correlations, which may vary.
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 each Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2020 Goldman Sachs. All rights reserved. 224951-OTU-1322903 SMACAR-20
ITEM 2. | CODE OF ETHICS. |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
(b) Not applicable.
(c) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
(d) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
(e) Not applicable.
(f) A copy of the Code of Ethics is available as provided in Item 13(a)(1) of this report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John F. Killian 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. |
Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by the Funds of the Goldman Sachs Trust II to which this certified shareholder report relates.
2020 | 2019 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit Fees: | ||||||||||||
• PricewaterhouseCoopers LLP (“PwC”) | $ | 571,085 | $ | 493,885 | Financial Statement audits. | |||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 41,388 | $ | 33,305 | Other attest services. | |||||||
Tax Fees: | ||||||||||||
• PwC | $ | 0 | $ | 176,493 |
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust II’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust II pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
2020 | 2019 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 2,001,446 | $ | 2,400,617 | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi annual updates relating to withholding tax accrual for non-US jurisdictions. These fees are borne by the Funds’ Adviser. |
* | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust II. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust II (“GST II”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST II may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST II at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST II, the Audit Committee will pre-approve those non-audit services provided to GST II’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST II) where the engagement relates directly to the operations or financial reporting of GST II.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST II’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST II’s service affiliates listed in Table 2 were approved by GST II’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST II by PwC for the twelve months ended October 31, 2020 and October 31, 2019 were $41,338 and $209,798, respectively. The aggregate non-audit fees billed to GST II’s adviser and service affiliates by PwC for the twelve months ended December 31, 2019 and December 31, 2018 were approximately $14.7 million and $12.3 million, respectively. The figures for these entities are not yet available for the twelve months ended December 31, 2020. With regard to the aggregate non-audit fees billed to GST II’s adviser and service affiliates, the 2019 and 2018 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST II’s operations or financial reporting.
Item 4(h) — GST II’s Audit Committee has considered whether the provision of non-audit services to GST II’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable. |
ITEM 13. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust II’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 13(a)(1) of the registrant’s Form N-CSR filed on May 5, 2020 for its Target Date Portfolios. | |||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(a)(3) | Not applicable to open-end investment companies. | |||
(a)(4) | There was no change in the registrant’s independent public accountant for the period covered by this report. | |||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Trust II | ||||
By: | /s/ James A. McNamara | |||
James A. McNamara | ||||
President/Chief Executive Officer | ||||
Goldman Sachs Trust II | ||||
Date: | January 7, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James A. McNamara | |||
James A. McNamara | ||||
President/Chief Executive Officer | ||||
Goldman Sachs Trust II | ||||
Date: | January 7, 2021 | |||
By: | /s/ Joseph F. DiMaria | |||
Joseph F. DiMaria | ||||
Principal Financial Officer | ||||
Goldman Sachs Trust II | ||||
Date: | January 7, 2021 |