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: April 30, 2021
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | April 30, 2021 | |||
Active Equity Multi-Manager Funds | ||||
Multi-Manager International Equity | ||||
Multi-Manager U.S. Small Cap Equity |
Active Equity Multi-Manager Funds
∎ | MULTI-MANAGER INTERNATIONAL EQUITY |
∎ | MULTI-MANAGER U.S. SMALL CAP EQUITY |
1 | ||||
5 | ||||
17 | ||||
20 | ||||
20 | ||||
21 | ||||
22 | ||||
34 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Pursuant to action taken by the Board of Trustees on May 12, 2021, Lazard Asset Management LLC will serve as an underlying manager of the Multi-Manager International Equity Fund, and Victory Capital Management Inc. will manage a second mandate on behalf of the Multi-Manager U.S. Small Cap Equity Fund.
Multi-Manager International Equity Fund
as of April 30, 2021
PERFORMANCE REVIEW | ||||||||||
November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | MSCI® EAFE® Index (Net, USD, Unhedged)2 | ||||||||
Class P Shares | 32.23 | % | 28.84 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. |
2 | 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. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN EQUITY HOLDINGS AS OF 4/30/213 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Roche Holding AG | 2.2 | % | Pharmaceuticals | |||||
SAP SE | 2.0 | Software | ||||||
Nestle SA | 2.0 | Food Products | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 2.0 | Textiles, Apparel & Luxury Goods | ||||||
Amadeus IT Group SA | 2.0 | IT Services | ||||||
AIA Group Ltd. | 1.9 | Insurance | ||||||
Novartis AG | 1.8 | Pharmaceuticals | ||||||
Pernod Ricard SA | 1.8 | Beverages | ||||||
Rolls-Royce Holdings PLC | 1.6 | Aerospace & Defense | ||||||
Samsung Electronics Co. Ltd. GDR | 1.5 | Technology Hardware, Storage & Peripherals |
3 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
1
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 | ||||||
As of April 30, 2021 |
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
2
FUND BASICS
Multi-Manager U.S. Small Cap Equity Fund
as of April 30, 2021
PERFORMANCE REVIEW |
| |||||||||
November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | Russell 2000® Total Return Index2 | ||||||||
Class P Shares | 42.34 | % | 48.06 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. |
2 | 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 index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN EQUITY HOLDINGS AS OF 4/30/213 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Charles River Laboratories International, Inc. | 0.9 | % | Life Sciences Tools & Services | |||||
Graphic Packaging Holding Co. | 0.9 | Containers & Packaging | ||||||
Genpact Ltd. | 0.8 | IT Services | ||||||
FTI Consulting, Inc. | 0.8 | Professional Services | ||||||
CMC Materials, Inc. | 0.8 | Semiconductors & Semiconductor Equipment | ||||||
Zynga, Inc. Class A | 0.8 | Entertainment | ||||||
Workiva, Inc. | 0.7 | Software | ||||||
SLM Corp. | 0.7 | Consumer Finance | ||||||
IAA, Inc. | 0.7 | Commercial Services & Supplies | ||||||
Insight Enterprises, Inc. | 0.7 | Electronic Equipment, Instruments & Components |
3 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
3
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
As of April 30, 2021 |
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
4
MULTI-MANAGER INTERNATIONAL EQUITY FUND
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 96.4% | ||||||||
Argentina* – 0.6% | ||||||||
5,100 | MercadoLibre, Inc. (Internet & Direct Marketing Retail) | $ | 8,011,998 | |||||
|
| |||||||
Australia – 0.7% | ||||||||
41,200 | CSL Ltd. (Biotechnology) | 8,606,450 | ||||||
|
| |||||||
Belgium* – 0.4% | ||||||||
61,071 | KBC Group NV (Banks) | 4,738,409 | ||||||
|
| |||||||
Brazil – 0.4% | ||||||||
509,733 | Ambev SA ADR (Beverages) | 1,417,058 | ||||||
1,069,500 | Magazine Luiza SA (Multiline Retail) | 3,943,646 | ||||||
|
| |||||||
5,360,704 | ||||||||
|
| |||||||
Canada – 3.4% | ||||||||
397,500 | Air Canada* (Airlines) | 8,010,475 | ||||||
87,108 | Canadian National Railway Co. (Road & Rail) | 9,377,176 | ||||||
26,500 | Canadian Pacific Railway Ltd. (Road & Rail) | 9,887,945 | ||||||
18,325 | Intact Financial Corp. (Insurance) | 2,435,779 | ||||||
6,300 | Shopify, Inc. Class A* (IT Services) | 7,449,813 | ||||||
127,521 | Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 2,727,517 | ||||||
34,197 | The Toronto-Dominion Bank (Banks) | 2,350,931 | ||||||
|
| |||||||
42,239,636 | ||||||||
|
| |||||||
China – 2.3% | ||||||||
7,185 | Baidu, Inc. ADR* (Interactive Media & Services) | 1,511,221 | ||||||
3,338,000 | Beijing Capital International Airport Co. Ltd. Class H (Transportation Infrastructure) | 2,423,071 | ||||||
97,400 | NetEase, Inc. (Entertainment) | 2,176,848 | ||||||
241,200 | Shenzhou International Group Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 5,306,157 | ||||||
145,035 | Tencent Holdings Ltd. (Interactive Media & Services) | 11,569,730 | ||||||
429,544 | Wuxi Biologics Cayman, Inc.*(a) (Life Sciences Tools & Services) | 6,029,850 | ||||||
|
| |||||||
29,016,877 | ||||||||
|
| |||||||
Denmark – 1.9% | ||||||||
23,266 | Carlsberg AS Class B (Beverages) | 4,081,788 | ||||||
43,000 | DSV PANALPINA A/S (Air Freight & Logistics) | 9,579,975 | ||||||
130,711 | Novo Nordisk A/S Class B (Pharmaceuticals) | 9,642,216 | ||||||
|
| |||||||
23,303,979 | ||||||||
|
| |||||||
France – 15.3% | ||||||||
82,189 | Air Liquide SA (Chemicals) | 13,840,815 | ||||||
86,192 | Airbus SE* (Aerospace & Defense) | 10,365,419 | ||||||
52,235 | Alstom SA* (Machinery) | 2,852,637 | ||||||
298,219 | AXA SA (Insurance) | 8,423,203 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
49,628 | BNP Paribas SA* (Banks) | 3,182,033 | ||||||
54,747 | Capgemini SE (IT Services) | 10,032,215 | ||||||
84,803 | Carrefour SA (Food & Staples Retailing) | 1,642,379 | ||||||
14,549 | Cie Generale des Etablissements Michelin SCA (Auto Components) | 2,105,249 | ||||||
162,000 | Danone SA (Food Products) | 11,435,494 | ||||||
15,853 | Dassault Systemes SE (Software) | 3,677,459 | ||||||
314,074 | Engie SA* (Multi-Utilities) | 4,678,272 | ||||||
35,031 | EssilorLuxottica SA (Textiles, Apparel & Luxury Goods) | 5,830,552 | ||||||
14,708 | L’Oreal SA (Personal Products) | 6,022,484 | ||||||
49,819 | Legrand SA (Electrical Equipment) | 4,849,374 | ||||||
32,434 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 24,434,158 | ||||||
107,493 | Pernod Ricard SA (Beverages) | 22,075,477 | ||||||
154,804 | Sanofi (Pharmaceuticals) | 16,230,002 | ||||||
101,781 | Schneider Electric SE (Electrical Equipment) | 16,239,743 | ||||||
292,237 | TOTAL SE (Oil, Gas & Consumable Fuels) | 12,916,219 | ||||||
70,188 | Valeo SA (Auto Components) | 2,274,510 | ||||||
57,407 | Vinci SA (Construction & Engineering) | 6,299,252 | ||||||
|
| |||||||
189,406,946 | ||||||||
|
| |||||||
Germany – 8.0% | ||||||||
125,032 | BASF SE (Chemicals) | 10,076,486 | ||||||
190,915 | Bayer AG (Pharmaceuticals) | 12,353,787 | ||||||
74,567 | Beiersdorf AG (Personal Products) | 8,416,412 | ||||||
47,628 | Deutsche Boerse AG (Capital Markets) | 8,207,508 | ||||||
91,285 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 3,660,577 | ||||||
40,386 | Merck KGaA (Pharmaceuticals) | 7,095,189 | ||||||
11,560 | MTU Aero Engines AG (Aerospace & Defense) | 2,917,250 | ||||||
270,991 | RWE AG (Multi-Utilities) | 10,290,030 | ||||||
179,802 | SAP SE (Software) | 25,175,992 | ||||||
64,458 | Siemens AG (Industrial Conglomerates) | 10,753,843 | ||||||
|
| |||||||
98,947,074 | ||||||||
|
| |||||||
Hong Kong – 1.9% | ||||||||
1,836,990 | AIA Group Ltd. (Insurance) | 23,316,126 | ||||||
|
| |||||||
India – 1.5% | ||||||||
110,894 | HDFC Bank Ltd.* (Banks) | 2,106,983 | ||||||
97,000 | HDFC Bank Ltd. ADR* (Banks) | 6,817,160 | ||||||
133,222 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 4,338,411 | ||||||
122,726 | Tata Consultancy Services Ltd. (IT Services) | 5,022,382 | ||||||
|
| |||||||
18,284,936 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Indonesia – 0.2% | ||||||||
5,393,800 | Bank Mandiri Persero Tbk PT (Banks) | $ | 2,296,469 | |||||
|
| |||||||
Ireland – 2.4% | ||||||||
25,300 | Accenture PLC Class A (IT Services) | 7,336,241 | ||||||
16,450 | ICON PLC* (Life Sciences Tools & Services) | 3,568,828 | ||||||
107,057 | Ryanair Holdings PLC ADR* (Airlines) | 12,509,610 | ||||||
27,800 | STERIS PLC (Health Care Equipment & Supplies) | 5,866,356 | ||||||
|
| |||||||
29,281,035 | ||||||||
|
| |||||||
Israel* – 0.4% | ||||||||
47,409 | Check Point Software Technologies Ltd. (Software) | 5,537,845 | ||||||
|
| |||||||
Italy – 2.8% | ||||||||
1,299,089 | Enel SpA (Electric Utilities) | 12,899,079 | ||||||
234,021 | Eni SpA (Oil, Gas & Consumable Fuels) | 2,787,399 | ||||||
1,858,660 | Intesa Sanpaolo SpA* (Banks) | 5,181,781 | ||||||
1,275,482 | UniCredit SpA (Banks) | 13,101,729 | ||||||
|
| |||||||
33,969,988 | ||||||||
|
| |||||||
Japan – 11.0% | ||||||||
49,900 | Daikin Industries Ltd. (Building Products) | 10,065,562 | ||||||
61,100 | Denso Corp. (Auto Components) | 3,950,298 | ||||||
44,200 | FANUC Corp. (Machinery) | 10,178,496 | ||||||
203,900 | Hitachi Ltd. (Industrial Conglomerates) | 10,092,584 | ||||||
62,400 | Hoya Corp. (Health Care Equipment & Supplies) | 7,092,713 | ||||||
191,500 | Japan Tobacco, Inc. (Tobacco) | 3,592,284 | ||||||
13,800 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 6,624,727 | ||||||
58,500 | Koito Manufacturing Co. Ltd. (Auto Components) | 3,649,267 | ||||||
20,500 | Kose Corp. (Personal Products) | 3,085,976 | ||||||
356,400 | Kubota Corp. (Machinery) | 8,384,582 | ||||||
91,200 | Kyocera Corp. (Electronic Equipment, Instruments & Components) | 5,537,040 | ||||||
35,300 | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | 6,215,936 | ||||||
145,200 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 11,544,473 | ||||||
321,200 | Olympus Corp. (Health Care Equipment & Supplies) | 6,610,784 | ||||||
19,100 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 3,224,119 | ||||||
7,800 | SMC Corp. (Machinery) | 4,532,400 | ||||||
82,900 | Sompo Holdings, Inc. (Insurance) | 3,080,990 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
206,500 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 7,254,081 | ||||||
426,800 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 14,255,330 | ||||||
191,800 | Terumo Corp. (Health Care Equipment & Supplies) | 7,252,381 | ||||||
|
| |||||||
136,224,023 | ||||||||
|
| |||||||
Luxembourg* – 0.2% | ||||||||
97,426 | ArcelorMittal SA (Metals & Mining) | 2,832,234 | ||||||
|
| |||||||
Macau – 0.4% | ||||||||
1,094,400 | Sands China Ltd. (Hotels, Restaurants & Leisure) | 5,178,766 | ||||||
|
| |||||||
Mexico – 0.2% | ||||||||
391,357 | Grupo Financiero Banorte SAB de CV Class O (Banks) | 2,226,583 | ||||||
|
| |||||||
Netherlands – 5.7% | ||||||||
2,350 | Adyen NV*(a) (IT Services) | 5,783,569 | ||||||
122,879 | Akzo Nobel NV (Chemicals) | 14,753,954 | ||||||
13,600 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 8,814,160 | ||||||
33,000 | Ferrari NV (Automobiles) | 7,069,153 | ||||||
1,131,186 | ING Groep NV (Banks) | 14,450,878 | ||||||
158,004 | Koninklijke Philips NV* (Health Care Equipment & Supplies) | 8,934,039 | ||||||
70,717 | QIAGEN NV* (Life Sciences Tools & Services) | 3,447,701 | ||||||
72,411 | Randstad NV (Professional Services) | 5,224,608 | ||||||
17,826 | Wolters Kluwer NV (Professional Services) | 1,612,379 | ||||||
|
| |||||||
70,090,441 | ||||||||
|
| |||||||
Portugal – 0.3% | ||||||||
274,958 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | 3,166,086 | ||||||
|
| |||||||
Singapore – 0.5% | ||||||||
253,500 | DBS Group Holdings Ltd. (Banks) | 5,681,200 | ||||||
|
| |||||||
South Korea – 2.5% | ||||||||
10,317 | Samsung Electronics Co. Ltd. GDR (Technology Hardware, Storage & Peripherals) | 18,798,285 | ||||||
102,044 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 11,641,310 | ||||||
|
| |||||||
30,439,595 | ||||||||
|
| |||||||
Spain – 4.0% | ||||||||
49,531 | Aena SME SA*(a) (Transportation Infrastructure) | 8,608,268 | ||||||
358,617 | Amadeus IT Group SA* (IT Services) | 24,421,109 | ||||||
1,372,893 | Banco Bilbao Vizcaya Argentaria SA* (Banks) | 7,687,626 | ||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Spain – (continued) | ||||||||
2,663,756 | CaixaBank SA (Banks) | $ | 8,521,259 | |||||
|
| |||||||
49,238,262 | ||||||||
|
| |||||||
Sweden – 1.4% | ||||||||
110,000 | Atlas Copco AB Class A (Machinery) | 6,670,406 | ||||||
117,367 | Essity AB Class B (Household Products) | 3,830,624 | ||||||
35,445 | Evolution Gaming Group AB(a) (Hotels, Restaurants & Leisure) | 6,997,148 | ||||||
|
| |||||||
17,498,178 | ||||||||
|
| |||||||
Switzerland – 12.6% | ||||||||
188,157 | ABB Ltd. (Electrical Equipment) | 6,111,743 | ||||||
91,750 | Alcon, Inc.* (Health Care Equipment & Supplies) | 6,891,409 | ||||||
133,295 | Cie Financiere Richemont SA (Textiles, Apparel & Luxury Goods) | 13,679,636 | ||||||
713,319 | Credit Suisse Group AG (Capital Markets) | 7,475,566 | ||||||
63,552 | Julius Baer Group Ltd. (Capital Markets) | 3,999,799 | ||||||
9,900 | Lonza Group AG (Life Sciences Tools & Services) | 6,293,570 | ||||||
208,734 | Nestle SA (Food Products) | 24,908,373 | ||||||
266,551 | Novartis AG (Pharmaceuticals) | 22,746,488 | ||||||
83,537 | Roche Holding AG (Pharmaceuticals) | 27,246,059 | ||||||
40,717 | Sika AG (Chemicals) | 12,160,643 | ||||||
526,604 | UBS Group AG (Capital Markets) | 8,041,558 | ||||||
39,455 | Zurich Insurance Group AG (Insurance) | 16,186,747 | ||||||
|
| |||||||
155,741,591 | ||||||||
|
| |||||||
Taiwan – 1.4% | ||||||||
150,214 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 17,535,982 | ||||||
|
| |||||||
United Kingdom – 11.7% | ||||||||
19,000 | Aon PLC Class A (Insurance) | 4,777,360 | ||||||
465,196 | Balfour Beatty PLC* (Construction & Engineering) | 2,005,389 | ||||||
2,415,704 | Barclays PLC (Banks) | 5,848,344 | ||||||
2,286,151 | BP PLC (Oil, Gas & Consumable Fuels) | 9,570,617 | ||||||
210,482 | British American Tobacco PLC (Tobacco) | 7,809,586 | ||||||
394,993 | Compass Group PLC* (Hotels, Restaurants & Leisure) | 8,592,784 | ||||||
182,507 | Diageo PLC (Beverages) | 8,192,988 | ||||||
343,493 | Experian PLC (Professional Services) | 13,242,183 | ||||||
1,193,431 | International Consolidated Airlines Group SA* (Airlines) | 3,346,742 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
20,783 | Linde PLC (Chemicals) | 5,940,551 | ||||||
357,530 | Prudential PLC (Insurance) | 7,570,439 | ||||||
58,758 | Reckitt Benckiser Group PLC (Household Products) | 5,231,671 | ||||||
528,403 | RELX PLC (Professional Services) | 13,732,457 | ||||||
68,574 | Rio Tinto PLC (Metals & Mining) | 5,743,564 | ||||||
13,294,636 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 19,240,076 | ||||||
145,178 | Smiths Group PLC (Industrial Conglomerates) | 3,260,454 | ||||||
1,398,928 | Tesco PLC (Food & Staples Retailing) | 4,270,317 | ||||||
181,533 | Unilever PLC (Personal Products) | 10,633,674 | ||||||
194,604 | WH Smith PLC* (Specialty Retail) | 4,862,413 | ||||||
|
| |||||||
143,871,609 | ||||||||
|
| |||||||
United States – 2.3% | ||||||||
8,175 | EPAM Systems, Inc.* (IT Services) | 3,742,106 | ||||||
19,850 | Lululemon Athletica, Inc.* (Textiles, Apparel & Luxury Goods) | 6,655,110 | ||||||
5,000 | Mettler-Toledo International, Inc.* (Life Sciences Tools & Services) | 6,566,600 | ||||||
37,700 | ResMed, Inc. (Health Care Equipment & Supplies) | 7,086,469 | ||||||
70,151 | Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 4,413,901 | ||||||
|
| |||||||
28,464,186 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $855,382,559) | $ | 1,190,507,208 | ||||||
|
|
Shares | Dividend Rate | Value | ||||
Preferred Stock – 0.2% | ||||||
Germany – 0.2% | ||||||
Volkswagen AG (Automobiles) |
| |||||
9,864 | 2.300% | $ | 2,568,186 | |||
(Cost $952,070) |
| |||||
|
Units | Expiration Date | Value | ||||
Right* – 0.0% | ||||||
Switzerland – 0.0% | ||||||
Credit Suisse Group AG (Capital Markets) |
| |||||
713,319 | 05/06/21 | $ | — | |||
(Cost $0) |
| |||||
| ||||||
The accompanying notes are an integral part of these financial statements. | 7 |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Units | Expiration Date | Value | ||||
Warrant* – 0.0% | ||||||
Switzerland – 0.0% | ||||||
Cie Financiere Richemont SA (Textiles, Apparel & Luxury Goods) |
| |||||
159,929 | 11/22/23 | $ | 68,297 | |||
(Cost $0) |
| |||||
|
Shares | Dividend Rate | Value | ||||
Investment Company(b) – 3.0% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
36,417,823 | 0.026% | $ | 36,417,823 | |||
(Cost $36,417,823) |
| |||||
| ||||||
TOTAL INVESTMENTS – 99.6% |
| |||||
(Cost $892,752,452) | $ | 1,229,561,514 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% | 5,088,532 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 1,234,650,046 | ||||
|
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 | |
GDR | —Global Depository Receipt | |
PLC | —Public Limited Company | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2021, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
State Street Bank and Trust | DKK | 641,073 | USD | 104,249 | 05/03/21 | $ | (603 | ) | ||||||||||||
JPY | 83,436,946 | USD | 766,078 | 05/06/21 | (2,601 | ) | ||||||||||||||
TOTAL | $ | (3,204 | ) |
8 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 95.5% | ||||||||
Aerospace & Defense – 0.4% | ||||||||
14,892 | Curtiss-Wright Corp. | $ | 1,904,687 | |||||
8,300 | Vectrus, Inc.* | 434,505 | ||||||
|
| |||||||
2,339,192 | ||||||||
|
| |||||||
Air Freight & Logistics* – 0.1% | ||||||||
8,437 | Hub Group, Inc. Class A | 554,480 | ||||||
37,600 | Radiant Logistics, Inc. | 251,168 | ||||||
|
| |||||||
805,648 | ||||||||
|
| |||||||
Auto Components – 1.1% | ||||||||
19,300 | Adient PLC* | 894,362 | ||||||
12,800 | American Axle & Manufacturing Holdings, Inc.* | 118,784 | ||||||
41,050 | Dana, Inc. | 1,038,565 | ||||||
7,310 | Fox Factory Holding Corp.* | 1,120,111 | ||||||
2,200 | Gentherm, Inc.* | 156,640 | ||||||
13,860 | LCI Industries | 2,030,490 | ||||||
7,400 | Modine Manufacturing Co.* | 120,472 | ||||||
9,550 | Standard Motor Products, Inc. | 409,027 | ||||||
|
| |||||||
5,888,451 | ||||||||
|
| |||||||
Automobiles – 0.4% | ||||||||
34,088 | Harley-Davidson, Inc. | 1,648,837 | ||||||
9,800 | Winnebago Industries, Inc. | 783,510 | ||||||
|
| |||||||
2,432,347 | ||||||||
|
| |||||||
Banks – 4.8% | ||||||||
7,350 | Amalgamated Financial Corp. | 118,702 | ||||||
10,094 | Ameris Bancorp | 545,984 | ||||||
32,990 | BankUnited, Inc. | 1,537,664 | ||||||
8,850 | Cadence BanCorp. | 196,912 | ||||||
950 | Century Bancorp, Inc. Class A | 108,538 | ||||||
11,700 | ConnectOne Bancorp, Inc. | 317,655 | ||||||
31,450 | Customers Bancorp, Inc.* | 1,085,654 | ||||||
10,500 | Financial Institutions, Inc. | 335,265 | ||||||
5,550 | First Bancorp | 69,764 | ||||||
1,900 | First Foundation, Inc. | 45,220 | ||||||
71,856 | First Hawaiian, Inc. | 1,973,166 | ||||||
23,709 | First Merchants Corp. | 1,095,593 | ||||||
5,900 | First Midwest Bancorp, Inc. | 123,723 | ||||||
5,900 | Great Western Bancorp, Inc. | 194,995 | ||||||
11,500 | Hancock Whitney Corp. | 531,760 | ||||||
22,150 | Hanmi Financial Corp. | 449,645 | ||||||
14,750 | Heartland Financial USA, Inc. | 741,482 | ||||||
16,750 | Hilltop Holdings, Inc. | 589,600 | ||||||
29,300 | Hope Bancorp, Inc. | 439,793 | ||||||
63,387 | Investors Bancorp, Inc. | 927,986 | ||||||
8,150 | Midland States Bancorp, Inc. | 229,667 | ||||||
6,850 | MidWestOne Financial Group, Inc. | 216,186 | ||||||
6,500 | OceanFirst Financial Corp. | 148,590 | ||||||
37,350 | OFG Bancorp | 884,821 | ||||||
2,800 | Old Second Bancorp, Inc. | 36,988 | ||||||
28,441 | PacWest Bancorp. | 1,234,624 | ||||||
9,163 | Preferred Bank | 600,543 | ||||||
13,750 | Primis Financial Corp. | 197,312 | ||||||
36,575 | Prosperity Bancshares, Inc. | 2,683,142 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
7,300 | QCR Holdings, Inc. | 352,006 | ||||||
8,700 | Simmons First National Corp. Class A | 247,950 | ||||||
6,636 | South State Corp. | 559,548 | ||||||
36,816 | Synovus Financial Corp. | 1,725,198 | ||||||
15,800 | The Bancorp, Inc.* | 350,839 | ||||||
27,650 | The Bank of NT Butterfield & Son Ltd. | 1,084,433 | ||||||
5,400 | TriState Capital Holdings, Inc.* | 128,898 | ||||||
56,191 | Umpqua Holdings Corp. | 1,047,400 | ||||||
174,397 | Valley National Bancorp | 2,401,447 | ||||||
4,100 | WesBanco, Inc. | 148,789 | ||||||
6,507 | Wintrust Financial Corp. | 501,690 | ||||||
|
| |||||||
26,209,172 | ||||||||
|
| |||||||
Beverages – 0.1% | ||||||||
14,600 | National Beverage Corp. | 709,414 | ||||||
|
| |||||||
Biotechnology* – 6.2% | ||||||||
28,169 | Abcam PLC ADR | 603,943 | ||||||
8,407 | Acceleron Pharma, Inc. | 1,050,623 | ||||||
14,060 | Allogene Therapeutics, Inc. | 434,735 | ||||||
3,100 | ALX Oncology Holdings, Inc. | 194,246 | ||||||
21,460 | Apellis Pharmaceuticals, Inc. | 1,087,378 | ||||||
21,830 | Arcus Biosciences, Inc. | 736,763 | ||||||
35,800 | Ardelyx, Inc. | 261,698 | ||||||
6,388 | Ascendis Pharma A/S ADR | 926,068 | ||||||
9,900 | Avid Bioservices, Inc. | 211,910 | ||||||
14,370 | Avidity Biosciences, Inc. | 336,833 | ||||||
8,230 | Beam Therapeutics, Inc. | 674,860 | ||||||
17,583 | Biohaven Pharmaceutical Holding Co. Ltd. | 1,320,483 | ||||||
15,410 | Bluebird Bio, Inc. | 462,300 | ||||||
23,203 | Blueprint Medicines Corp. | 2,234,913 | ||||||
11,200 | CareDx, Inc. | 885,584 | ||||||
188,850 | Catalyst Pharmaceuticals, Inc. | 864,933 | ||||||
8,380 | Celyad Oncology SA ADR | 52,962 | ||||||
10,820 | Compass Pathways PLC ADR | 392,658 | ||||||
23,210 | Constellation Pharmaceuticals, Inc. | 501,800 | ||||||
39,300 | CytomX Therapeutics, Inc. | 367,848 | ||||||
15,100 | Denali Therapeutics, Inc. | 912,644 | ||||||
10,220 | DermTech, Inc. | 429,751 | ||||||
16,300 | Eagle Pharmaceuticals, Inc. | 665,529 | ||||||
11,650 | Emergent BioSolutions, Inc. | 710,417 | ||||||
38,750 | Equillium, Inc. | 251,100 | ||||||
10,660 | Fate Therapeutics, Inc. | 931,578 | ||||||
33,600 | Fortress Biotech, Inc. | 145,152 | ||||||
14,950 | Generation Bio Co. | 545,077 | ||||||
5,500 | Halozyme Therapeutics, Inc. | 274,725 | ||||||
450 | Horizon Therapeutics PLC | 42,579 | ||||||
33,607 | Iovance Biotherapeutics, Inc. | 1,056,604 | ||||||
35,270 | Jounce Therapeutics, Inc. | 332,596 | ||||||
15,090 | Kronos Bio, Inc. | 408,486 | ||||||
23,430 | Kura Oncology, Inc. | 630,970 | ||||||
900 | Ligand Pharmaceuticals, Inc. | 131,301 | ||||||
22,690 | MacroGenics, Inc. | 734,248 | ||||||
27,800 | Myriad Genetics, Inc. | 840,116 | ||||||
13,871 | Neurocrine Biosciences, Inc. | 1,310,671 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Biotechnology* – (continued) | ||||||||
191,300 | OPKO Health, Inc. | $ | 784,330 | |||||
18,240 | Opthea, Ltd. ADR | 168,355 | ||||||
38,200 | Organogenesis Holdings, Inc. | 854,152 | ||||||
17,460 | ORIC Pharmaceuticals, Inc. | 421,310 | ||||||
12,740 | PMV Pharmaceuticals, Inc. | 429,720 | ||||||
13,900 | PTC Therapeutics, Inc. | 572,819 | ||||||
8,600 | Puma Biotechnology, Inc. | 84,796 | ||||||
12,670 | Replimune Group, Inc. | 463,595 | ||||||
10,500 | REVOLUTION Medicines, Inc. | 348,495 | ||||||
19,790 | Rubius Therapeutics, Inc. | 495,146 | ||||||
5,440 | Sage Therapeutics, Inc. | 428,454 | ||||||
10,660 | Scholar Rock Holding Corp. | 344,851 | ||||||
11,120 | SpringWorks Therapeutics, Inc. | 799,083 | ||||||
15,490 | TCR2 Therapeutics, Inc. | 351,778 | ||||||
5,080 | Twist Bioscience Corp. | 681,685 | ||||||
8,950 | Ultragenyx Pharmaceutical, Inc. | 999,178 | ||||||
56,550 | Vanda Pharmaceuticals, Inc. | 938,730 | ||||||
17,400 | Veracyte, Inc. | 865,650 | ||||||
|
| |||||||
33,988,209 | ||||||||
|
| |||||||
Building Products – 1.5% | ||||||||
15,410 | Advanced Drainage Systems, Inc. | 1,720,681 | ||||||
6,000 | American Woodmark Corp.* | 596,760 | ||||||
20,170 | Builders FirstSource, Inc.* | 981,674 | ||||||
23,850 | JELD-WEN Holding, Inc.* | 695,704 | ||||||
4,500 | Resideo Technologies, Inc.* | 135,045 | ||||||
7,260 | Simpson Manufacturing Co., Inc. | 818,202 | ||||||
46,109 | The AZEK Co., Inc.* | 2,226,142 | ||||||
14,900 | UFP Industries, Inc. | 1,252,196 | ||||||
|
| |||||||
8,426,404 | ||||||||
|
| |||||||
Capital Markets – 1.4% | ||||||||
15,230 | Artisan Partners Asset Management, Inc. Class A | 775,512 | ||||||
18,136 | Evercore, Inc. Class A | 2,541,398 | ||||||
36,100 | Federated Hermes, Inc. | 1,039,680 | ||||||
7,758 | Hamilton Lane, Inc. Class A | 701,711 | ||||||
17,230 | Open Lending Corp. Class A* | 672,831 | ||||||
6,700 | Piper Sandler Cos. | 777,133 | ||||||
11,925 | Stifel Financial Corp. | 825,091 | ||||||
700 | Virtus Investment Partners, Inc. | 191,422 | ||||||
|
| |||||||
7,524,778 | ||||||||
|
| |||||||
Chemicals – 2.1% | ||||||||
2,600 | Cabot Corp. | 142,688 | ||||||
3,200 | Hawkins, Inc. | 106,720 | ||||||
20,619 | Huntsman Corp. | 591,147 | ||||||
20,675 | Ingevity Corp.* | 1,614,304 | ||||||
14,150 | Kronos Worldwide, Inc. | 240,550 | ||||||
6,566 | Minerals Technologies, Inc. | 513,067 | ||||||
15,300 | Orion Engineered Carbons SA* | 303,858 | ||||||
42,914 | PQ Group Holdings, Inc. | 600,796 | ||||||
8,243 | Quaker Chemical Corp. | 1,997,691 | ||||||
4,900 | Sensient Technologies Corp. | 402,976 | ||||||
3,400 | Stepan Co. | 444,244 | ||||||
13,800 | Trinseo SA | 854,358 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Chemicals – (continued) | ||||||||
106,993 | Valvoline, Inc. | 3,359,580 | ||||||
3,500 | W.R. Grace & Co. | 240,555 | ||||||
|
| |||||||
11,412,534 | ||||||||
|
| |||||||
Commercial Services & Supplies – 3.5% | ||||||||
67,946 | ABM Industries, Inc. | 3,493,104 | ||||||
90,585 | ACCO Brands Corp. | 777,219 | ||||||
1,800 | Brady Corp. Class A | 98,226 | ||||||
33,155 | Covanta Holding Corp. | 498,651 | ||||||
54,756 | Harsco Corp.* | 981,775 | ||||||
18,800 | Herman Miller, Inc. | 780,200 | ||||||
4,700 | HNI Corp. | 198,998 | ||||||
63,558 | IAA, Inc.* | 3,992,078 | ||||||
139,988 | KAR Auction Services, Inc.* | 2,098,420 | ||||||
9,986 | MSA Safety, Inc. | 1,605,350 | ||||||
1,400 | Tetra Tech, Inc. | 178,682 | ||||||
6,277 | The Brink’s Co. | 501,658 | ||||||
400 | UniFirst Corp. | 89,676 | ||||||
30,530 | Waste Connections, Inc. | 3,636,428 | ||||||
|
| |||||||
18,930,465 | ||||||||
|
| |||||||
Communications Equipment* – 0.8% | ||||||||
34,580 | CommScope Holding Co., Inc. | 568,841 | ||||||
13,950 | Extreme Networks, Inc. | 158,751 | ||||||
122,768 | Infinera Corp. | 1,131,921 | ||||||
17,700 | NETGEAR, Inc. | 658,617 | ||||||
16,850 | NetScout Systems, Inc. | 441,386 | ||||||
9,400 | Plantronics, Inc. | 375,906 | ||||||
63,940 | Viavi Solutions, Inc. | 1,046,058 | ||||||
|
| |||||||
4,381,480 | ||||||||
|
| |||||||
Construction & Engineering – 1.1% | ||||||||
47,075 | Aegion Corp.* | 1,416,958 | ||||||
13,600 | Arcosa, Inc. | 819,944 | ||||||
15,673 | EMCOR Group, Inc. | 1,877,625 | ||||||
1,300 | MYR Group, Inc.* | 101,270 | ||||||
26,700 | Primoris Services Corp. | 872,022 | ||||||
3,266 | Valmont Industries, Inc. | 806,212 | ||||||
|
| |||||||
5,894,031 | ||||||||
|
| |||||||
Construction Materials* – 0.2% | ||||||||
900 | Eagle Materials, Inc. | 124,326 | ||||||
25,000 | Summit Materials, Inc. Class A | 719,750 | ||||||
|
| |||||||
844,076 | ||||||||
|
| |||||||
Consumer Finance – 2.0% | ||||||||
11,650 | Green Dot Corp. Class A* | 533,104 | ||||||
186,486 | Navient Corp. | 3,138,560 | ||||||
8,231 | Nelnet, Inc. Class A | 610,987 | ||||||
42,140 | PRA Group, Inc.* | 1,587,835 | ||||||
16,750 | PROG Holdings, Inc. | 853,245 | ||||||
5,900 | Regional Management Corp. | 228,507 | ||||||
204,123 | SLM Corp. | 4,013,058 | ||||||
|
| |||||||
10,965,296 | ||||||||
|
|
10 | 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) | ||||||||
Containers & Packaging – 0.9% | ||||||||
258,881 | Graphic Packaging Holding Co. | $ | 4,802,243 | |||||
3,650 | Greif, Inc. Class A | 220,861 | ||||||
|
| |||||||
5,023,104 | ||||||||
|
| |||||||
Diversified Consumer Services* – 1.8% | ||||||||
1,800 | Adtalem Global Education, Inc. | 61,758 | ||||||
3,000 | American Public Education, Inc. | 91,380 | ||||||
22,210 | Arco Platform Ltd. Class A | 569,909 | ||||||
18,703 | Bright Horizons Family Solutions, Inc. | 2,708,755 | ||||||
16,359 | Chegg, Inc. | 1,477,708 | ||||||
29,254 | frontdoor, Inc. | 1,565,967 | ||||||
16,600 | Perdoceo Education Corp. | 193,556 | ||||||
47,058 | Stride, Inc. | 1,347,270 | ||||||
30,195 | Terminix Global Holdings, Inc. | 1,536,624 | ||||||
|
| |||||||
9,552,927 | ||||||||
|
| |||||||
Diversified Financial Services* – 0.1% | ||||||||
11,050 | Cannae Holdings, Inc. | 438,685 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.9% | ||||||||
13,600 | Bandwidth, Inc. Class A* | 1,797,920 | ||||||
28,384 | Cogent Communications Holdings, Inc. | 2,143,276 | ||||||
7,100 | Liberty Latin America Ltd. Class A* | 98,584 | ||||||
19,150 | Liberty Latin America Ltd. Class C* | 267,142 | ||||||
38,590 | Vonage Holdings Corp.* | 522,894 | ||||||
|
| |||||||
4,829,816 | ||||||||
|
| |||||||
Electric Utilities – 0.2% | ||||||||
17,400 | Otter Tail Corp. | 821,802 | ||||||
|
| |||||||
Electrical Equipment – 0.8% | ||||||||
2,900 | Acuity Brands, Inc. | 538,008 | ||||||
15,450 | Atkore, Inc.* | 1,209,426 | ||||||
4,300 | Encore Wire Corp. | 321,124 | ||||||
11,947 | EnerSys | 1,094,106 | ||||||
63,908 | GrafTech International Ltd. | 812,910 | ||||||
14,580 | Plug Power, Inc.* | 415,676 | ||||||
|
| |||||||
4,391,250 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 2.5% | ||||||||
37,813 | Belden, Inc. | 1,636,547 | ||||||
38,129 | Insight Enterprises, Inc.* | 3,827,008 | ||||||
12,180 | Itron, Inc.* | 1,095,469 | ||||||
5,700 | Kimball Electronics, Inc.* | 131,157 | ||||||
6,046 | Littelfuse, Inc. | 1,603,641 | ||||||
4,300 | Rogers Corp.* | 842,112 | ||||||
26,350 | Sanmina Corp.* | 1,076,134 | ||||||
12,450 | ScanSource, Inc.* | 376,363 | ||||||
20,424 | SYNNEX Corp. | 2,475,389 | ||||||
24,500 | Vishay Intertechnology, Inc. | 601,965 | ||||||
|
| |||||||
13,665,785 | ||||||||
|
| |||||||
Energy Equipment & Services – 1.1% | ||||||||
48,578 | Cactus, Inc. Class A | 1,448,110 | ||||||
95,693 | ChampionX Corp.* | 2,010,510 | ||||||
36,854 | Helmerich & Payne, Inc. | 944,568 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Energy Equipment & Services – (continued) | ||||||||
35,050 | National Energy Services Reunited Corp.* | 444,785 | ||||||
41,500 | Newpark Resources, Inc.* | 117,860 | ||||||
88,670 | NexTier Oilfield Solutions, Inc.* | 318,325 | ||||||
58,800 | Oceaneering International, Inc.* | 632,100 | ||||||
|
| |||||||
5,916,258 | ||||||||
|
| |||||||
Entertainment* – 0.8% | ||||||||
393,912 | Zynga, Inc. Class A | 4,262,128 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 2.0% | ||||||||
1,400 | Agree Realty Corp. | 98,504 | ||||||
16,200 | Apple Hospitality REIT, Inc. | 256,932 | ||||||
28,700 | City Office REIT, Inc. | 313,691 | ||||||
64,732 | Colony Capital, Inc.* | 453,124 | ||||||
26,000 | Columbia Property Trust, Inc. | 468,260 | ||||||
49,924 | Cousins Properties, Inc. | 1,830,713 | ||||||
14,239 | EastGroup Properties, Inc. | 2,259,160 | ||||||
38,250 | Franklin Street Properties Corp. | 201,960 | ||||||
4,100 | Global Net Lease, Inc. | 78,720 | ||||||
4,400 | Industrial Logistics Properties Trust | 109,120 | ||||||
7,500 | Lexington Realty Trust | 91,800 | ||||||
1,900 | One Liberty Properties, Inc. | 47,253 | ||||||
41,700 | Pebblebrook Hotel Trust | 995,796 | ||||||
59,000 | Piedmont Office Realty Trust, Inc. Class A | 1,098,580 | ||||||
18,800 | PotlatchDeltic Corp. | 1,115,968 | ||||||
19,650 | Sabra Health Care REIT, Inc. | 357,041 | ||||||
18,150 | Service Properties Trust | 223,517 | ||||||
12,866 | Spirit Realty Capital, Inc. | 611,650 | ||||||
72,350 | The Geo Group, Inc. | 398,648 | ||||||
5,400 | Whitestone REIT | 52,758 | ||||||
|
| |||||||
11,063,195 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.7% | ||||||||
17,310 | BJ’s Wholesale Club Holdings, Inc.* | 773,238 | ||||||
13,059 | Casey’s General Stores, Inc. | 2,901,579 | ||||||
500 | PriceSmart, Inc. | 42,020 | ||||||
2,000 | Sprouts Farmers Market, Inc.* | 51,220 | ||||||
|
| |||||||
3,768,057 | ||||||||
|
| |||||||
Food Products – 2.1% | ||||||||
15,550 | Darling Ingredients, Inc.* | 1,079,947 | ||||||
41,138 | Fresh Del Monte Produce, Inc. | 1,160,092 | ||||||
10,630 | Freshpet, Inc.* | 1,964,637 | ||||||
9,800 | Mission Produce, Inc.* | 197,960 | ||||||
74,064 | Nomad Foods Ltd.* | 2,159,706 | ||||||
3,100 | Sanderson Farms, Inc. | 510,043 | ||||||
70,226 | The Hain Celestial Group, Inc.* | 2,879,968 | ||||||
38,432 | The Simply Good Foods Co.* | 1,327,826 | ||||||
|
| |||||||
11,280,179 | ||||||||
|
| |||||||
Gas Utilities – 0.2% | ||||||||
4,600 | ONE Gas, Inc. | 370,162 | ||||||
8,200 | Southwest Gas Holdings, Inc. | 571,704 | ||||||
|
| |||||||
941,866 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Supplies – 3.0% | ||||||||
3,120 | CONMED Corp. | $ | 439,764 | |||||
13,798 | CryoPort, Inc.* | 780,553 | ||||||
3,610 | Eargo, Inc.* | 206,636 | ||||||
47,859 | Envista Holdings Corp.* | 2,071,337 | ||||||
29,590 | Establishment Labs Holdings, Inc.* | 2,149,418 | ||||||
6,337 | Inari Medical, Inc.* | 724,256 | ||||||
6,300 | Integer Holdings Corp.* | 591,444 | ||||||
37,600 | Meridian Bioscience, Inc.* | 736,208 | ||||||
1,200 | Merit Medical Systems, Inc.* | 76,320 | ||||||
13,700 | Natus Medical, Inc.* | 350,035 | ||||||
3,600 | Neogen Corp.* | 345,636 | ||||||
11,732 | Nevro Corp.* | 2,027,407 | ||||||
67,000 | OraSure Technologies, Inc.* | 613,050 | ||||||
91,748 | Ortho Clinical Diagnostics Holdings PLC* | 1,806,518 | ||||||
21,304 | OrthoPediatrics Corp.* | 1,246,284 | ||||||
3,600 | Quidel Corp.* | 377,244 | ||||||
17,156 | SI-BONE, Inc.* | 609,038 | ||||||
11,030 | Silk Road Medical, Inc.* | 674,374 | ||||||
68,790 | SmileDirectClub, Inc.* | 731,582 | ||||||
|
| |||||||
16,557,104 | ||||||||
|
| |||||||
Health Care Providers & Services – 3.2% | ||||||||
22,051 | Accolade, Inc.* | 1,105,858 | ||||||
57,806 | agilon health, Inc.* | 1,822,623 | ||||||
30,123 | Alignment Healthcare, Inc.* | 799,465 | ||||||
6,500 | Cross Country Healthcare, Inc.* | 86,580 | ||||||
17,928 | Encompass Health Corp. | 1,521,370 | ||||||
2,680 | Hanger, Inc.* | 66,812 | ||||||
40,070 | HealthEquity, Inc.* | 3,044,118 | ||||||
19,820 | Innovage Holding Corp.* | 504,617 | ||||||
8,160 | LHC Group, Inc.* | 1,699,483 | ||||||
1,950 | National HealthCare Corp. | 137,105 | ||||||
22,072 | Oak Street Health, Inc.* | 1,360,297 | ||||||
24,600 | Owens & Minor, Inc. | 887,814 | ||||||
25,188 | Progyny, Inc.* | 1,433,449 | ||||||
29,450 | R1 RCM, Inc.* | 803,396 | ||||||
31,800 | Select Medical Holdings Corp.* | 1,199,496 | ||||||
12,010 | Surgery Partners, Inc.* | 578,882 | ||||||
3,600 | Tenet Healthcare Corp.* | 213,336 | ||||||
2,600 | The Ensign Group, Inc. | 223,210 | ||||||
|
| |||||||
17,487,911 | ||||||||
|
| |||||||
Health Care Technology – 1.6% | ||||||||
110,006 | Change Healthcare, Inc.* | 2,524,638 | ||||||
12,300 | Computer Programs & Systems, Inc. | 369,246 | ||||||
12,980 | Health Catalyst, Inc.* | 751,542 | ||||||
5,620 | Inspire Medical Systems, Inc.* | 1,330,928 | ||||||
37,950 | NextGen Healthcare, Inc.* | 694,865 | ||||||
11,910 | Omnicell, Inc.* | 1,727,188 | ||||||
29,088 | Phreesia, Inc.* | 1,505,304 | ||||||
|
| |||||||
8,903,711 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.5% | ||||||||
10,980 | Bally’s Corp.* | 636,401 | ||||||
23,800 | Bloomin’ Brands, Inc.* | 752,080 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
3,700 | Boyd Gaming Corp.* | 244,755 | ||||||
17,500 | Brinker International, Inc.* | 1,174,775 | ||||||
6,200 | Century Casinos, Inc.* | 81,530 | ||||||
11,302 | Choice Hotels International, Inc.* | 1,286,168 | ||||||
12,605 | Churchill Downs, Inc. | 2,665,957 | ||||||
38,000 | Del Taco Restaurants, Inc. | 433,200 | ||||||
31,975 | Extended Stay America, Inc. | 635,983 | ||||||
31,010 | International Game Technology PLC* | 533,992 | ||||||
4,800 | Jack in the Box, Inc. | 579,120 | ||||||
60,052 | MakeMyTrip Ltd.* | 1,646,626 | ||||||
5,500 | Papa John’s International, Inc. | 531,960 | ||||||
900 | Penn National Gaming, Inc.* | 80,208 | ||||||
5,600 | RCI Hospitality Holdings, Inc. | 407,736 | ||||||
9,000 | Texas Roadhouse, Inc. | 963,180 | ||||||
4,400 | The Wendy’s Co. | 99,308 | ||||||
9,418 | Travel + Leisure Co. | 607,743 | ||||||
3,270 | Wingstop, Inc. | 518,001 | ||||||
|
| |||||||
13,878,723 | ||||||||
|
| |||||||
Household Durables – 1.6% | ||||||||
5,100 | Ethan Allen Interiors, Inc. | 146,421 | ||||||
700 | iRobot Corp.* | 76,160 | ||||||
25,309 | Meritage Homes Corp.* | 2,692,624 | ||||||
32,290 | Skyline Champion Corp.* | 1,434,645 | ||||||
23,554 | Tempur Sealy International, Inc. | 898,350 | ||||||
10,728 | Toll Brothers, Inc. | 672,646 | ||||||
11,925 | TopBuild Corp.* | 2,651,881 | ||||||
1,700 | Tri Pointe Homes, Inc.* | 40,494 | ||||||
|
| |||||||
8,613,221 | ||||||||
|
| |||||||
Household Products – 0.7% | ||||||||
50,848 | Energizer Holdings, Inc. | 2,506,807 | ||||||
16,981 | Spectrum Brands Holdings, Inc. | 1,496,705 | ||||||
|
| |||||||
4,003,512 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
5,600 | Ormat Technologies, Inc. | 405,440 | ||||||
|
| |||||||
Insurance – 2.4% | ||||||||
2,600 | Argo Group International Holdings Ltd. | 135,668 | ||||||
46,027 | Assured Guaranty Ltd. | 2,340,473 | ||||||
36,898 | Axis Capital Holdings Ltd. | 2,058,908 | ||||||
16,541 | Employers Holdings, Inc. | 669,580 | ||||||
21,432 | First American Financial Corp. | 1,382,364 | ||||||
29,650 | Heritage Insurance Holdings, Inc. | 270,111 | ||||||
41,230 | ProAssurance Corp. | 1,030,750 | ||||||
2,400 | Selective Insurance Group, Inc. | 182,736 | ||||||
25,400 | SiriusPoint, Ltd.* | 268,732 | ||||||
10,600 | Stewart Information Services Corp. | 621,690 | ||||||
14,999 | The Hanover Insurance Group, Inc. | 2,074,512 | ||||||
19,350 | Universal Insurance Holdings, Inc. | 269,933 | ||||||
1,695 | White Mountains Insurance Group Ltd. | 1,975,404 | ||||||
|
| |||||||
13,280,861 | ||||||||
|
| |||||||
Interactive Media & Services* – 1.0% | ||||||||
136,566 | Angi, Inc. Class A | 2,186,422 | ||||||
4,100 | Cargurus, Inc. | 101,188 | ||||||
|
|
12 | 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) | ||||||||
Interactive Media & Services* – (continued) | ||||||||
50,650 | Cars.com, Inc. | $ | 669,087 | |||||
16,920 | EverQuote, Inc. Class A | 573,080 | ||||||
10,500 | QuinStreet, Inc. | 212,835 | ||||||
40,565 | Yelp, Inc. | 1,594,204 | ||||||
|
| |||||||
5,336,816 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.4% | ||||||||
2,300 | Liquidity Services, Inc.* | 41,239 | ||||||
11,800 | Overstock.com, Inc.* | 961,700 | ||||||
8,900 | Shutterstock, Inc. | 775,902 | ||||||
1,350 | Stamps.com, Inc.* | 277,249 | ||||||
|
| |||||||
2,056,090 | ||||||||
|
| |||||||
IT Services – 5.4% | ||||||||
20,427 | Concentrix Corp.* | 3,173,947 | ||||||
15,820 | DigitalOcean Holdings, Inc.* | 689,277 | ||||||
74,318 | DXC Technology Co.* | 2,445,805 | ||||||
24,986 | EVERTEC, Inc. | 996,941 | ||||||
93,200 | Evo Payments, Inc. Class A* | 2,657,132 | ||||||
95,087 | Genpact Ltd. | 4,519,485 | ||||||
9,200 | LiveRamp Holdings, Inc.* | 450,616 | ||||||
28,787 | MAXIMUS, Inc. | 2,638,041 | ||||||
23,649 | Rackspace Technology, Inc.* | 588,151 | ||||||
28,470 | Repay Holdings Corp.* | 650,539 | ||||||
6,330 | Shift4 Payments, Inc. Class A* | 625,974 | ||||||
57,458 | Sykes Enterprises, Inc.* | 2,518,384 | ||||||
18,600 | The Hackett Group, Inc. | 309,318 | ||||||
17,746 | TTEC Holdings, Inc. | 1,805,301 | ||||||
69,071 | Unisys Corp.* | 1,657,704 | ||||||
6,999 | WEX, Inc.* | 1,436,265 | ||||||
4,170 | Wix.com Ltd.* | 1,325,560 | ||||||
10,260 | WNS Holdings Ltd. ADR* | 743,132 | ||||||
|
| |||||||
29,231,572 | ||||||||
|
| |||||||
Leisure Products – 1.0% | ||||||||
12,600 | American Outdoor Brands, Inc.* | 325,710 | ||||||
48,035 | Callaway Golf Co. | 1,390,613 | ||||||
66,279 | Clarus Corp. | 1,233,452 | ||||||
2,200 | Johnson Outdoors, Inc. Class A | 311,982 | ||||||
1,580 | Latham Group, Inc. | 41,080 | ||||||
15,250 | MasterCraft Boat Holdings, Inc.* | 432,490 | ||||||
44,200 | Smith & Wesson Brands, Inc. | 769,080 | ||||||
12,280 | YETI Holdings, Inc.* | 1,048,958 | ||||||
|
| |||||||
5,553,365 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 2.6% | ||||||||
25,463 | Bruker Corp. | 1,744,725 | ||||||
14,949 | Charles River Laboratories International, Inc.* | 4,969,795 | ||||||
6,700 | Medpace Holdings, Inc.* | 1,136,856 | ||||||
60,301 | NeoGenomics, Inc.* | 2,954,146 | ||||||
6,914 | Olink Holding AB ADR* | 243,373 | ||||||
8,390 | Quanterix Corp.* | 512,964 | ||||||
30,454 | Syneos Health, Inc.* | 2,584,022 | ||||||
|
| |||||||
14,145,881 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Machinery – 2.6% | ||||||||
20,841 | Allison Transmission Holdings, Inc. | 864,276 | ||||||
9,177 | Altra Industrial Motion Corp. | 541,535 | ||||||
6,200 | Chart Industries, Inc.* | 995,906 | ||||||
900 | EnPro Industries, Inc. | 77,085 | ||||||
13,832 | ESCO Technologies, Inc. | 1,504,368 | ||||||
40,370 | Evoqua Water Technologies Corp.* | 1,153,775 | ||||||
3,600 | Franklin Electric Co., Inc. | 292,572 | ||||||
29,928 | Hillenbrand, Inc. | 1,469,165 | ||||||
3,174 | IDEX Corp. | 711,611 | ||||||
11,620 | John Bean Technologies Corp. | 1,689,316 | ||||||
8,080 | Kornit Digital Ltd.* | 789,901 | ||||||
26,100 | Meritor, Inc.* | 705,483 | ||||||
18,700 | Mueller Industries, Inc. | 839,069 | ||||||
2,600 | SPX FLOW, Inc. | 173,134 | ||||||
1,550 | Standex International Corp. | 146,971 | ||||||
15,728 | Terex Corp. | 739,059 | ||||||
20,950 | The Shyft Group, Inc. | 742,049 | ||||||
7,654 | Woodward, Inc. | 956,826 | ||||||
|
| |||||||
14,392,101 | ||||||||
|
| |||||||
Marine – 0.2% | ||||||||
11,700 | Costamare, Inc. | 123,084 | ||||||
1,800 | Eagle Bulk Shipping, Inc.* | 78,012 | ||||||
13,900 | Matson, Inc. | 908,087 | ||||||
|
| |||||||
1,109,183 | ||||||||
|
| |||||||
Media – 0.9% | ||||||||
40,600 | Gray Television, Inc. | 824,992 | ||||||
1 | Liberty Broadband Corp. Class C* | 163 | ||||||
13,925 | Nexstar Media Group, Inc. Class A | 2,052,684 | ||||||
106,570 | TEGNA, Inc. | 2,137,794 | ||||||
|
| |||||||
5,015,633 | ||||||||
|
| |||||||
Metals & Mining – 0.3% | ||||||||
30,900 | Alcoa Corp.* | 1,132,176 | ||||||
14,150 | Ryerson Holding Corp.* | 224,702 | ||||||
2,600 | TimkenSteel Corp.* | 31,252 | ||||||
2,600 | Worthington Industries, Inc. | 169,676 | ||||||
|
| |||||||
1,557,806 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) – 1.1% | ||||||||
26,852 | Ares Commercial Real Estate Corp. | 396,336 | ||||||
49,250 | Blackstone Mortgage Trust, Inc. Class A | 1,600,132 | ||||||
67,400 | Chimera Investment Corp. | 885,636 | ||||||
37,400 | Colony Credit Real Estate, Inc. | 325,006 | ||||||
8,400 | Ellington Financial, Inc. | 150,696 | ||||||
4,300 | Ready Capital Corp. | 62,393 | ||||||
58,886 | Starwood Property Trust, Inc. | 1,520,436 | ||||||
50,600 | TPG RE Finance Trust, Inc. | 630,476 | ||||||
25,200 | Two Harbors Investment Corp. | 196,560 | ||||||
|
| |||||||
5,767,671 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.7% | ||||||||
19,850 | Ardmore Shipping Corp.* | 77,812 | ||||||
45,809 | Delek US Holdings, Inc. | 1,087,048 | ||||||
5,800 | Diamond S Shipping, Inc.* | 57,130 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 13 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||
112,648 | Enerplus Corp. | $ | 604,920 | |||||
47,187 | HollyFrontier Corp. | 1,651,545 | ||||||
343,005 | Kosmos Energy Ltd.* | 980,994 | ||||||
45,900 | Magnolia Oil & Gas Corp. Class A* | 516,834 | ||||||
37,700 | Ovintiv, Inc. | 902,161 | ||||||
18,471 | PDC Energy, Inc.* | 674,376 | ||||||
93,054 | World Fuel Services Corp. | 2,878,160 | ||||||
|
| |||||||
9,430,980 | ||||||||
|
| |||||||
Paper & Forest Products – 0.5% | ||||||||
11,900 | Louisiana-Pacific Corp. | 783,972 | ||||||
38,274 | Schweitzer-Mauduit International, Inc. | 1,747,974 | ||||||
9,300 | Verso Corp. Class A | 143,592 | ||||||
|
| |||||||
2,675,538 | ||||||||
|
| |||||||
Personal Products – 0.6% | ||||||||
32,080 | BellRing Brands, Inc. Class A* | 827,343 | ||||||
33,520 | elf Beauty, Inc.* | 1,013,980 | ||||||
3,300 | Medifast, Inc. | 749,397 | ||||||
6,700 | USANA Health Sciences, Inc.* | 602,933 | ||||||
|
| |||||||
3,193,653 | ||||||||
|
| |||||||
Pharmaceuticals* – 0.9% | ||||||||
110,100 | Amneal Pharmaceuticals, Inc. | 606,651 | ||||||
14,400 | Amphastar Pharmaceuticals, Inc. | 250,560 | ||||||
3,400 | ANI Pharmaceuticals, Inc. | 113,152 | ||||||
2,600 | Atea Pharmaceuticals, Inc. | 64,246 | ||||||
26,314 | Catalent, Inc. | 2,959,536 | ||||||
1,400 | Harmony Biosciences Holdings, Inc. | 41,020 | ||||||
23,800 | Prestige Consumer Healthcare, Inc. | 1,036,728 | ||||||
|
| |||||||
5,071,893 | ||||||||
|
| |||||||
Professional Services – 2.4% | ||||||||
30,780 | ASGN, Inc.* | 3,237,440 | ||||||
32,082 | FTI Consulting, Inc.* | 4,454,586 | ||||||
2,100 | Insperity, Inc. | 183,834 | ||||||
20,900 | Kelly Services, Inc. Class A* | 523,545 | ||||||
11,900 | Kforce, Inc. | 666,876 | ||||||
8,406 | Korn Ferry | 570,683 | ||||||
19,629 | ManTech International Corp. Class A | 1,675,335 | ||||||
21,366 | Science Applications International Corp. | 1,910,548 | ||||||
|
| |||||||
13,222,847 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.4% | ||||||||
22,800 | Newmark Group, Inc. Class A | 245,100 | ||||||
94,093 | Realogy Holdings Corp.* | 1,625,927 | ||||||
8,700 | The RMR Group, Inc. Class A | 344,346 | ||||||
|
| |||||||
2,215,373 | ||||||||
|
| |||||||
Road & Rail – 0.9% | ||||||||
19,290 | Knight-Swift Transportation Holdings, Inc. | 908,944 | ||||||
2,685 | Landstar System, Inc. | 462,572 | ||||||
8,610 | Saia, Inc.* | 2,019,045 | ||||||
34,243 | Werner Enterprises, Inc. | 1,583,054 | ||||||
|
| |||||||
4,973,615 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – 3.5% | ||||||||
17,930 | Advanced Energy Industries, Inc. | 1,977,858 | ||||||
16,200 | Amkor Technology, Inc. | 327,564 | ||||||
3,300 | Axcelis Technologies, Inc.* | 137,049 | ||||||
350 | Brooks Automation, Inc. | 35,466 | ||||||
23,270 | CMC Materials, Inc. | 4,268,416 | ||||||
15,900 | Cohu, Inc.* | 636,159 | ||||||
19,017 | Entegris, Inc. | 2,140,934 | ||||||
7,150 | FormFactor, Inc.* | 279,923 | ||||||
3,900 | Kulicke and Soffa Industries, Inc. | 221,715 | ||||||
69,952 | Lattice Semiconductor Corp.* | 3,519,285 | ||||||
25,040 | MACOM Technology Solutions Holdings, Inc.* | 1,417,514 | ||||||
1,000 | Onto Innovation, Inc.* | 68,520 | ||||||
11,900 | Semtech Corp.* | 806,106 | ||||||
6,340 | Silicon Laboratories, Inc.* | 893,623 | ||||||
43,459 | Ultra Clean Holdings, Inc.* | 2,219,451 | ||||||
|
| |||||||
18,949,583 | ||||||||
|
| |||||||
Software – 6.0% | ||||||||
40,800 | A10 Networks, Inc.* | 354,144 | ||||||
25,000 | ACI Worldwide, Inc.* | 944,500 | ||||||
4,800 | Alarm.com Holdings, Inc.* | 430,848 | ||||||
83,720 | Avaya Holdings Corp.* | 2,408,624 | ||||||
2,600 | Blackbaud, Inc.* | 184,912 | ||||||
14,892 | Blackline, Inc.* | 1,728,366 | ||||||
1,100 | Bottomline Technologies DE, Inc.* | 53,416 | ||||||
17,100 | ChannelAdvisor Corp.* | 361,665 | ||||||
3,050 | CommVault Systems, Inc.* | 212,006 | ||||||
12,900 | Digital Turbine, Inc.* | 973,047 | ||||||
36,085 | Dynatrace, Inc.* | 1,877,863 | ||||||
19,172 | Envestnet, Inc.* | 1,415,469 | ||||||
8,260 | Everbridge, Inc.* | 1,096,185 | ||||||
3,350 | Five9, Inc.* | 629,700 | ||||||
23,997 | InterDigital, Inc. | 1,665,872 | ||||||
9,550 | j2 Global, Inc.* | 1,155,550 | ||||||
6,100 | McAfee Corp. Class A | 148,108 | ||||||
14,490 | Medallia, Inc.* | 427,310 | ||||||
36,875 | Mimecast Ltd.* | 1,601,112 | ||||||
11,500 | Mitek Systems, Inc.* | 186,415 | ||||||
36,446 | Nuance Communications, Inc.* | 1,937,834 | ||||||
11,888 | ON24, Inc.* | 523,072 | ||||||
4,400 | Progress Software Corp. | 192,104 | ||||||
27,116 | PROS Holdings, Inc.* | 1,165,446 | ||||||
6,637 | Q2 Holdings, Inc.* | 690,381 | ||||||
3,300 | QAD, Inc. Class A | 233,277 | ||||||
14,500 | Sapiens International Corp. NV | 469,220 | ||||||
8,750 | SPS Commerce, Inc.* | 896,350 | ||||||
24,129 | Sumo Logic, Inc.* | 470,274 | ||||||
24,240 | Telos Corp.* | 804,283 | ||||||
35,650 | Varonis Systems, Inc.* | 1,887,667 | ||||||
43,054 | Workiva, Inc.* | 4,047,076 | ||||||
95,037 | Zuora, Inc. Class A* | 1,539,599 | ||||||
|
| |||||||
32,711,695 | ||||||||
|
| |||||||
Specialty Retail – 2.1% | ||||||||
8,300 | Camping World Holdings, Inc. Class A | 361,382 | ||||||
31,725 | Foot Locker, Inc. | 1,871,140 | ||||||
|
|
14 | 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) | ||||||||
Specialty Retail – (continued) | ||||||||
6,100 | Hibbett Sports, Inc.* | $ | 484,645 | |||||
2,270 | Lithia Motors, Inc. Class A | 872,543 | ||||||
14,300 | MarineMax, Inc.* | 812,240 | ||||||
2,500 | Murphy USA, Inc. | 348,500 | ||||||
48,521 | National Vision Holdings, Inc.* | 2,445,944 | ||||||
400 | RH* | 275,208 | ||||||
58,103 | Sally Beauty Holdings, Inc.* | 1,166,127 | ||||||
2,100 | Sleep Number Corp.* | 234,969 | ||||||
15,100 | The Buckle, Inc. | 633,294 | ||||||
27,259 | Vroom, Inc.* | 1,261,274 | ||||||
12,700 | Zumiez, Inc.* | 545,719 | ||||||
|
| |||||||
11,312,985 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals* – 0.5% | ||||||||
53,493 | NCR Corp. | 2,447,305 | ||||||
8,000 | Super Micro Computer, Inc. | 296,160 | ||||||
|
| |||||||
2,743,465 | ||||||||
|
| |||||||
Technology – Software/Services* – 0.0% | ||||||||
4,932 | Contra BM Technologies | 37,037 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.5% | ||||||||
14,360 | Canada Goose Holdings, Inc.* | 606,997 | ||||||
10,100 | Crocs, Inc.* | 1,011,212 | ||||||
4,150 | Deckers Outdoor Corp.* | 1,403,530 | ||||||
64,607 | Hanesbrands, Inc. | 1,360,624 | ||||||
2,200 | Kontoor Brands, Inc. | 138,226 | ||||||
33,774 | Skechers U.S.A., Inc. Class A* | 1,637,701 | ||||||
54,631 | Steven Madden Ltd. | 2,221,843 | ||||||
|
| |||||||
8,380,133 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.9% | ||||||||
44,651 | Essent Group Ltd. | 2,347,749 | ||||||
10,263 | Federal Agricultural Mortgage Corp. Class C | 1,055,652 | ||||||
26,515 | Mr Cooper Group, Inc.* | 914,237 | ||||||
45,926 | NMI Holdings, Inc. Class A* | 1,186,728 | ||||||
25,308 | PennyMac Financial Services, Inc. | 1,523,795 | ||||||
13,300 | Premier Financial Corp. | 420,147 | ||||||
2,300 | Provident Financial Services, Inc. | 54,211 | ||||||
5,500 | Radian Group, Inc. | 135,520 | ||||||
25,893 | Walker & Dunlop, Inc. | 2,870,239 | ||||||
|
| |||||||
10,508,278 | ||||||||
|
| |||||||
Tobacco – 0.2% | ||||||||
20,118 | Universal Corp. | 1,131,235 | ||||||
|
| |||||||
Trading Companies & Distributors – 1.8% | ||||||||
10,600 | Applied Industrial Technologies, Inc. | 1,013,996 | ||||||
16,100 | Boise Cascade Co. | 1,074,192 | ||||||
10,550 | GMS, Inc.* | 461,140 | ||||||
1,600 | Rush Enterprises, Inc. Class A | 78,976 | ||||||
18,333 | SiteOne Landscape Supply, Inc.* | 3,288,574 | ||||||
8,000 | Veritiv Corp.* | 335,040 | ||||||
36,352 | WESCO International, Inc.* | 3,334,205 | ||||||
|
| |||||||
9,586,123 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Water Utilities – 0.1% | ||||||||
7,650 | American States Water Co. | 605,803 | ||||||
3,150 | Artesian Resources Corp. Class A | 127,418 | ||||||
|
| |||||||
733,221 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.1% | ||||||||
9,500 | Shenandoah Telecommunications Co. | 448,970 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $357,785,253) | $ | 521,329,774 | ||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
U.S. Treasury Obligation(a) – 0.1% | ||||||||||||
United States Treasury Bill | ||||||||||||
$650,000 | 0.000 | % | 09/16/21 | $ | 649,962 | |||||||
(Cost $649,888) | ||||||||||||
|
Shares | Dividend Rate | Value | ||||
Investment Company(b) – 4.5% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
24,397,978 | 0.026% | $ | 24,397,978 | |||
(Cost $24,397,978) |
| |||||
| ||||||
TOTAL INVESTMENTS – 100.1% |
| |||||
(Cost $382,833,119) | $ | 546,377,714 | ||||
| ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.1)% | (307,474 | ) | ||||
| ||||||
NET ASSETS – 100.0% | $ | 546,070,240 | ||||
|
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) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
The accompanying notes are an integral part of these financial statements. | 15 |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2021, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
E-mini Russell 2000 Index | 57 | 06/18/21 | $ | 6,445,275 | $ | 83,117 |
16 | The accompanying notes are an integral part of these financial statements. |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Assets and Liabilities
April 30, 2021 (Unaudited)
Multi-Manager International Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | |||||||||
Assets: |
| |||||||||
Investments, at value of unaffiliated issuers, (cost $856,334,629 and $358,435,141, respectively) | $ | 1,193,143,691 | $ | 521,979,736 | ||||||
Investments of affiliated issuers, at value (cost $36,417,823 and $24,397,978, respectively) | 36,417,823 | 24,397,978 | ||||||||
Foreign currencies, at value (cost $435,689 and $0, respectively) | 433,771 | — | ||||||||
Cash | 1,229,364 | 408,488 | ||||||||
Receivables: | ||||||||||
Foreign tax reclaims | 2,848,379 | — | ||||||||
Dividends | 2,422,651 | 64,946 | ||||||||
Fund shares sold | 1,390,000 | 65,000 | ||||||||
Investments sold | 676,353 | 803,734 | ||||||||
Investments sold on an extended — settlement basis | 108,110 | — | ||||||||
Other assets | 36,768 | 22,784 | ||||||||
Total assets | 1,238,706,910 | 547,742,666 | ||||||||
Liabilities: |
| |||||||||
Unrealized loss on forward foreign currency exchange contracts | 3,204 | — | ||||||||
Variation margin on futures contracts | — | 90,885 | ||||||||
Payables: | ||||||||||
Investments purchased on an extended — settlement basis | 1,163,303 | — | ||||||||
Investments purchased | 1,061,087 | 741,256 | ||||||||
Management fees | 439,393 | 247,875 | ||||||||
Transfer agency fees | 20,101 | 8,845 | ||||||||
Accrued expenses and other liabilities | 1,369,776 | 583,565 | ||||||||
Total liabilities | 4,056,864 | 1,672,426 | ||||||||
Net Assets: |
| |||||||||
Paid-in capital | 895,823,740 | 336,973,288 | ||||||||
Total distributable earnings | 338,826,306 | 209,096,952 | ||||||||
NET ASSETS | $ | 1,234,650,046 | $ | 546,070,240 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 84,482,822 | 31,675,160 | ||||||||
Net asset value, offering and redemption price per share: | $14.61 | $17.24 |
The accompanying notes are an integral part of these financial statements. | 17 |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Operations
For the Six Months Ended April 30, 2021 (Unaudited)
Multi-Manager International Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | |||||||||
Investment income: |
| |||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $1,460,582 and $5,806, respectively) | $ | 11,569,984 | $ | 2,620,019 | ||||||
Dividends — affiliated issuers | 4,563 | 2,244 | ||||||||
Interest | — | 148 | ||||||||
Total investment income | 11,574,547 | 2,622,411 | ||||||||
Expenses: |
| |||||||||
Management fees | 3,348,400 | 1,987,044 | ||||||||
Custody, accounting and administrative services | 325,920 | 190,219 | ||||||||
Transfer Agency fees | 111,613 | 52,988 | ||||||||
Professional fees | 92,534 | 99,566 | ||||||||
Registration fees | 22,559 | 13,928 | ||||||||
Trustee fees | 20,005 | 17,396 | ||||||||
Printing and mailing costs | 15,130 | 11,039 | ||||||||
Other | 39,641 | 19,445 | ||||||||
Total expenses | 3,975,802 | 2,391,625 | ||||||||
Less — expense reductions | (907,496 | ) | (504,672 | ) | ||||||
Net expenses | 3,068,306 | 1,886,953 | ||||||||
NET INVESTMENT INCOME | 8,506,241 | 735,458 | ||||||||
Realized and unrealized gain (loss): |
| |||||||||
Net realized gain (loss) from: | ||||||||||
Investments — unaffiliated issuers (including commission recapture of $12,216 and $1,494, respectively) | 43,802,992 | 64,566,599 | ||||||||
Futures contracts | — | 854,972 | ||||||||
Forward foreign currency exchange contracts | (2,073 | ) | — | |||||||
Foreign currency transactions | (85,137 | ) | — | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | 238,553,044 | 114,921,918 | ||||||||
Futures contracts | — | 254,984 | ||||||||
Forward foreign currency exchange contracts | (3,204 | ) | — | |||||||
Foreign currency translation | 39,243 | — | ||||||||
Net realized and unrealized gain | 282,304,865 | 180,598,473 | ||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 290,811,106 | $ | 181,333,931 |
18 | 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 U.S. Small Cap Equity Fund | |||||||||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 8,506,241 | $ | 11,684,277 | $ | 735,458 | $ | 1,709,435 | ||||||||||||||
Net realized gain (loss) | 43,715,782 | (38,893,235 | ) | 65,421,571 | (15,333,394 | ) | ||||||||||||||||
Net change in unrealized gain | 238,589,083 | 13,367,888 | 115,176,902 | 6,332,676 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 290,811,106 | (13,841,070 | ) | 181,333,931 | (7,291,283 | ) | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings | (10,201,242 | ) | (20,286,707 | ) | (1,238,041 | ) | (12,257,751 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 205,083,050 | 233,465,188 | 46,187,200 | 154,170,464 | ||||||||||||||||||
Reinvestment of distributions | 10,201,242 | 20,286,707 | 1,238,041 | 12,257,751 | ||||||||||||||||||
Cost of shares redeemed | (147,603,154 | ) | (156,469,045 | ) | (122,765,343 | ) | (83,462,509 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 67,681,138 | 97,282,850 | (75,340,102 | ) | 82,965,706 | |||||||||||||||||
TOTAL INCREASE | 348,291,002 | 63,155,073 | 104,755,788 | 63,416,672 | ||||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 886,359,044 | 823,203,971 | 441,314,452 | 377,897,780 | ||||||||||||||||||
End of period | $ | 1,234,650,046 | $ | 886,359,044 | $ | 546,070,240 | $ | 441,314,452 |
The accompanying notes are an integral part of these financial statements. | 19 |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Selected Share Data for a Share Outstanding Throughout Each Period
(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 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. |
20 | 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. | 21 |
ACTIVE EQUITY MULTI-MANAGER FUNDS
April 30, 2021 (Unaudited)
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. 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 April 30, 2021, 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 and for the Multi-Manager U.S. Small Cap Equity Fund with 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.
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
22
ACTIVE EQUITY MULTI-MANAGER FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 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 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.
23
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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.
24
ACTIVE EQUITY MULTI-MANAGER FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily 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 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 April 30, 2021:
MULTI-MANAGER INTERNATIONAL EQUITY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 31,402,208 | $ | 242,109,611 | $ | — | ||||||
Australia and Oceania | — | 8,606,450 | — | |||||||||
Europe | 42,872,555 | 781,781,463 | — | |||||||||
North America | 72,930,405 | — | — | |||||||||
South America | 13,372,702 | — | — | |||||||||
Warrants | — | 68,297 | — | |||||||||
Investment Company | 36,417,823 | — | — | |||||||||
Total | $ | 196,995,693 | $ | 1,032,565,821 | $ | — | ||||||
Derivative Type | ||||||||||||
Liabilities(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (3,204 | ) | $ | — |
(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. |
25
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 | $ | 4,453,022 | $ | — | $ | — | ||||||
Australia and Oceania | 168,355 | — | — | |||||||||
Europe | 4,883,464 | — | — | |||||||||
North America | 511,217,987 | 37,037 | — | |||||||||
South America | 569,909 | — | — | |||||||||
Fixed Income | ||||||||||||
U.S. Treasury Obligations | 649,962 | — | — | |||||||||
Investment Company | 24,397,978 | — | — | |||||||||
Total | $ | 546,340,677 | $ | 37,037 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Futures Contracts | $ | 83,117 | $ | — | $ | — |
(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.
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 April 30, 2021. 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 International Equity Fund | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Currency | — | $ | — | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (3,204) | ||||||
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 | $ | 83,117 | (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. |
26
ACTIVE EQUITY MULTI-MANAGER FUNDS
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 six month ended April 30, 2021. 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 Loss | Net Change in Unrealized Loss | |||||||
Currency | Net realized loss from forward foreign currency exchange contracts/Net unrealized loss on forward foreign currency exchange contracts | $ | (2,073 | ) | $ | (3,204 | ) | |||
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||
Risk | Statement of Operations | Net Realized Gain | Net Change in Unrealized Gain | |||||||
Equity | Net realized gain from futures contracts/Net unrealized gain on futures contracts | $ | 854,972 | $ | 254,984 |
For the six months ended April 30, 2021, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts(a) | ||||||||||
Fund | Futures contracts | Forward contracts | ||||||||
Multi-Manager International Equity Fund | — | $ | 870,328 | |||||||
Multi-Manager U.S. Small Cap Equity Fund | 27 | — |
(a) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, based on absolute values, which is indicative of volume for this derivative type, for the months that the Funds held such derivatives during the six months period ended April 30, 2021. |
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 six months ended April 30, 2021, 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. Small Cap Equity | 0.75 | 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, 2022, 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. |
27
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 six months ended April 30, 2021, GSAM waived $25,622 and $12,889 of the Multi-Manager International Equity and Multi-Manager U.S. Small Cap Equity Funds’ management fee, 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 and Multi-Manager U.S. Small Cap Equity Funds are 0.57% and 0.80%, respectively. These Other Expense limitations will remain in place through at least February 28, 2022, 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.
For the six months ended April 30, 2021, these expense reductions, including any fee waivers, were as follows:
Fund | Management Fee Waiver | Total Annual Operating Expense Reductions | ||||||||
Multi-Manager International Equity | $ | 907,496 | $ | 907,496 | ||||||
Multi-Manager U.S. Small Cap Equity | 504,672 | 504,672 |
D. Line of Credit Facility — As of April 30, 2021, the Funds participated in a $1,000,000,000 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 six months ended April 30, 2021, the Funds did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
E. Other Transactions with Affiliates — For the six months ended April 30, 2021 , Goldman Sachs earned $1,156 and $195, 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 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 six months ended April 30, 2021:
Fund | Market Value as of October 31, 2020 | Purchases at Cost | Proceeds from Sales | Market Value as of April 30, 2021 | Shares as of April 30, 2021 | Dividend Income | ||||||||||||||||||
Multi-Manager International Equity | $ | 24,436,920 | $ | 448,823,375 | $ | (436,842,472 | ) | $ | 36,417,823 | 36,417,823 | $ | 4,563 | ||||||||||||
Multi-Manager U.S. Small Cap Equity | 22,519,566 | 238,612,641 | (236,734,229 | ) | 24,397,978 | 24,397,978 | 2,244 |
28
ACTIVE EQUITY MULTI-MANAGER FUNDS
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2021, were as follows:
Fund | Purchases | Sales and Maturities | ||||||||
Multi-Manager International Equity | $ | 352,711,488 | $ | 298,511,764 | ||||||
Multi-Manager U.S. Small Cap Equity | 205,851,881 | 287,007,166 |
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, October 31, 2020, the Funds’ capital loss carryforwards were as follows:
Multi-Manager International 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 | ) |
As of April 30, 2021, 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. Small Cap Equity Fund | |||||||
Tax Cost | $ | 924,241,212 | $ | 394,109,763 | ||||
Gross unrealized gain | 366,698,629 | 170,461,107 | ||||||
Gross unrealized loss | (61,378,327 | ) | (18,193,156 | ) | ||||
Net unrealized gains | $ | 305,320,302 | $ | 152,267,951 |
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
29
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
8. OTHER RISKS (continued) |
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), 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 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 — A Fund invests in foreign securities, and as such 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 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 a Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a 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. These risks may be more pronounced in connection
30
ACTIVE EQUITY MULTI-MANAGER FUNDS
8. OTHER RISKS (continued) |
with a 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.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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.
10. 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.
31
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi-Manager International Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 15,021,860 | $ | 205,083,050 | 21,296,099 | $ | 233,465,188 | ||||||||||
Reinvestment of distributions | 738,685 | 10,201,242 | 1,674,735 | 20,286,707 | ||||||||||||
Shares redeemed | (10,689,097 | ) | (147,603,154 | ) | (13,946,622 | ) | (156,469,045 | ) | ||||||||
NET INCREASE | 5,071,448 | $ | 67,681,138 | 9,024,212 | $ | 97,282,850 | ||||||||||
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 3,015,481 | $ | 46,187,200 | 14,235,882 | $ | 154,170,464 | ||||||||||
Reinvestment of distributions | 82,371 | 1,238,041 | 895,132 | 12,257,751 | ||||||||||||
Shares redeemed | (7,782,099 | ) | (122,765,343 | ) | (7,156,901 | ) | (83,462,509 | ) | ||||||||
NET INCREASE (DECREASE) | (4,684,247 | ) | $ | (75,340,102 | ) | 7,974,113 | $ | 82,965,706 |
32
ACTIVE EQUITY MULTI-MANAGER FUNDS
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 2-3, 2021, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from January 1, 2020 through December 31, 2020 (the “Reporting Period”). Among other things, the annual report and related materials discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of the COVID-19 pandemic on liquidity and management of liquidity risk during the Reporting Period, including during stressed market conditions caused by the COVID-19 pandemic. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
33
ACTIVE EQUITY MULTI-MANAGER FUNDS
Fund Expenses — Six Month Period Ended April 30, 2021 (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 November 1, 2020 through April 30, 2021, which represents a period of 181 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. Small Cap Equity Fund | |||||||||||||||||||||||
Share Class | Beginning Account Value 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | Beginning Account Value 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | ||||||||||||||||||
Class P | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,322.30 | $ | 3.17 | $ | 1,000.00 | $ | 1,423.40 | $ | 4.27 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.07 | + | 2.76 | 1,000.00 | 1,021.27 | + | 3.56 |
* | 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 April 30, 2021. 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 | 0.55 | % | ||
Multi-Manager U.S. Small Cap Equity Fund | 0.71 |
+ | 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. |
34
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.00 trillion in assets under supervision as of March 31, 2021, 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 Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion 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 Fund4 |
∎ | Income Builder 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 Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity 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 Fund5 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income 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 |
∎ | Strategic Volatility Premium Fund |
∎ | Target Date Retirement Portfolio |
∎ | 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 on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
5 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
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 April 30, 2021 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.
© 2021 Goldman Sachs. All rights reserved. 242245-OTU-1430302 MMGRFDSSAR-21
Goldman Sachs Funds
Semi-Annual Report | April 30, 2021 | |||
GQG Partners International |
Goldman Sachs GQG Partners International Opportunities Fund
1 | ||||
3 | ||||
5 | ||||
8 | ||||
15 | ||||
27 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
GQG Partners International Opportunities Fund
as of April 30, 2021
PERFORMANCE REVIEW |
| |||||||||
November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | MSCI ACWI ex USA (Net, unhedged)2 | ||||||||
Class A | 15.69 | % | 27.40 | % | ||||||
Class C | 15.24 | 27.40 | ||||||||
Institutional | 15.96 | 27.40 | ||||||||
Investor | 15.78 | 27.40 | ||||||||
Class R6 | 15.92 | 27.40 | ||||||||
Class R | 15.54 | 27.40 | ||||||||
Class P | 15.93 | 27.40 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI ACWI ex USA Index (Net, unhedged) is an international equity index that tracks stocks from 22 developed and 27 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, Kuwait, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Russia, Qatar, Saudia Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 4/30/213 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
ASML Holding NV | 5.9 | % | Semiconductors & Semiconductor Equipment | |||||
AstraZeneca PLC | 5.6 | Pharmaceuticals | ||||||
Novo Nordisk A/S Class B | 3.8 | Pharmaceuticals | ||||||
Evolution Gaming Group AB | 3.5 | Hotels, Restaurants & Leisure | ||||||
Samsung Electronics Co. Ltd. | 3.4 | Technology Hardware, Storage & Peripherals | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 3.3 | Semiconductors & Semiconductor Equipment | ||||||
Cellnex Telecom SA | 2.7 | Diversified Telecommunication Services | ||||||
Volkswagen AG | 2.6 | Automobiles | ||||||
Vale SA | 2.6 | Metals & Mining | ||||||
British American Tobacco PLC | 2.5 | Tobacco |
3 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
1
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from 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 (excluding investments in the securities lending reinvestment vehicle, if any). The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
2
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 95.7% | ||||||||
Australia* – 0.4% | ||||||||
885,268 | Afterpay Ltd. (IT Services) | $ | 79,732,041 | |||||
|
| |||||||
Belgium* – 0.5% | ||||||||
1,251,172 | KBC Group NV (Banks) | 97,076,598 | ||||||
|
| |||||||
Brazil – 3.3% | ||||||||
23,691,538 | Vale SA (Metals & Mining) | 475,483,744 | ||||||
7,209,713 | Vale SA ADR (Metals & Mining) | 145,059,426 | ||||||
|
| |||||||
620,543,170 | ||||||||
|
| |||||||
Canada – 1.9% | ||||||||
5,357,499 | Algonquin Power & Utilities Corp. (Multi-Utilities) | 86,433,068 | ||||||
2,704,668 | Royal Bank of Canada (Banks) | 258,133,346 | ||||||
|
| |||||||
344,566,414 | ||||||||
|
| |||||||
China – 4.8% | ||||||||
23,623,055 | China Merchants Bank Co. Ltd. Class H (Banks) | 189,750,088 | ||||||
26,496,740 | Industrial & Commercial Bank of China Ltd. Class H (Banks) | 17,193,510 | ||||||
3,867,753 | JD.com, Inc. ADR* (Internet & Direct Marketing Retail) | 299,209,372 | ||||||
3,779,425 | NetEase, Inc. (Entertainment) | 84,468,515 | ||||||
823,363 | NetEase, Inc. ADR (Entertainment) | 92,266,058 | ||||||
2,548,982 | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | 27,789,674 | ||||||
2,244,288 | Tencent Holdings Ltd. (Interactive Media & Services) | 179,031,322 | ||||||
|
| |||||||
889,708,539 | ||||||||
|
| |||||||
Denmark – 7.0% | ||||||||
1,348,038 | DSV PANALPINA A/S (Air Freight & Logistics) | 300,329,547 | ||||||
825,044 | Genmab A/S* (Biotechnology) | 302,759,836 | ||||||
9,458,033 | Novo Nordisk A/S Class B (Pharmaceuticals) | 697,694,926 | ||||||
|
| |||||||
1,300,784,309 | ||||||||
|
| |||||||
France – 10.3% | ||||||||
2,191,775 | Air Liquide SA (Chemicals) | 369,099,910 | ||||||
4,821,420 | BNP Paribas SA* (Banks) | 309,138,333 | ||||||
1,157,182 | Capgemini SE (IT Services) | 212,049,954 | ||||||
17,845,350 | Credit Agricole SA* (Banks) | 276,035,581 | ||||||
693,800 | L’Oreal SA (Personal Products) | 284,090,239 | ||||||
1,894,376 | Schneider Electric SE (Electrical Equipment) | 302,258,573 | ||||||
3,691,970 | TOTAL SE (Oil, Gas & Consumable Fuels) | 163,176,788 | ||||||
|
| |||||||
1,915,849,378 | ||||||||
|
| |||||||
Germany – 2.2% | ||||||||
4,516,709 | Daimler AG (Automobiles) | 401,981,323 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
India* – 2.7% | ||||||||
6,758,563 | HDFC Bank Ltd. (Banks) | 128,412,497 | ||||||
2,251,061 | HDFC Bank Ltd. ADR (Banks) | 158,204,567 | ||||||
13,726,161 | ICICI Bank Ltd. ADR (Banks) | 223,736,425 | ||||||
|
| |||||||
510,353,489 | ||||||||
|
| |||||||
Ireland – 2.3% | ||||||||
1,486,221 | Accenture PLC Class A (IT Services) | 430,959,503 | ||||||
|
| |||||||
Italy – 2.3% | ||||||||
43,023,136 | Enel SpA (Electric Utilities) | 427,190,784 | ||||||
|
| |||||||
Japan – 1.0% | ||||||||
1,813,459 | Sony Group Corp. (Household Durables) | 181,307,638 | ||||||
|
| |||||||
Luxembourg*(a) – 2.3% | ||||||||
14,782,494 | ArcelorMittal SA (Metals & Mining) | 431,513,204 | ||||||
|
| |||||||
Netherlands – 7.9% | ||||||||
151,856 | Adyen NV*(b) (IT Services) | 373,731,762 | ||||||
1,687,096 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 1,095,163,991 | ||||||
|
| |||||||
1,468,895,753 | ||||||||
|
| |||||||
Russia – 2.3% | ||||||||
1,899,826 | LUKOIL PJSC (Oil, Gas & Consumable Fuels) | 146,504,152 | ||||||
68,800,343 | Sberbank of Russia PJSC (Banks) | 271,811,881 | ||||||
|
| |||||||
418,316,033 | ||||||||
|
| |||||||
South Korea – 3.4% | ||||||||
8,742,198 | Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals) | 637,179,288 | ||||||
|
| |||||||
Spain – 5.9% | ||||||||
63,303,953 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 354,475,621 | ||||||
62,410,032 | Banco Santander SA (Banks) | 240,749,909 | ||||||
8,746,666 | Cellnex Telecom SA(b) (Diversified Telecommunication Services) | 494,746,936 | ||||||
|
| |||||||
1,089,972,466 | ||||||||
|
| |||||||
Sweden – 5.9% | ||||||||
3,246,176 | Evolution Gaming Group AB(b) (Hotels, Restaurants & Leisure) | 640,823,054 | ||||||
2,546,346 | Swedish Match AB (Tobacco) | 208,455,296 | ||||||
17,711,796 | Telefonaktiebolaget LM Ericsson Class B (Communications Equipment) | 243,256,079 | ||||||
|
| |||||||
1,092,534,429 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 3 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Switzerland – 4.8% | ||||||||
65,813,799 | Glencore PLC (Metals & Mining) | $ | 268,087,294 | |||||
272,649 | Lonza Group AG (Life Sciences Tools & Services) | 173,326,824 | ||||||
3,033,821 | Nestle SA (Food Products) | 362,027,958 | ||||||
5,348,617 | UBS Group AG (Capital Markets) | 81,676,576 | ||||||
|
| |||||||
885,118,652 | ||||||||
|
| |||||||
Taiwan – 3.3% | ||||||||
28,957,903 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 609,842,054 | ||||||
|
| |||||||
United Kingdom – 11.6% | ||||||||
911,520 | Aon PLC Class A (Insurance) | 229,192,589 | ||||||
9,702,351 | AstraZeneca PLC (Pharmaceuticals) | 1,032,755,809 | ||||||
12,701,743 | British American Tobacco PLC (Tobacco) | 471,277,139 | ||||||
4,069,591 | London Stock Exchange Group PLC (Capital Markets) | 415,782,914 | ||||||
|
| |||||||
2,149,008,451 | ||||||||
|
| |||||||
United States – 9.6% | ||||||||
3,269,456 | Abbott Laboratories (Health Care Equipment & Supplies) | 392,596,277 | ||||||
82,699 | Alphabet, Inc. Class A* (Interactive Media & Services) | 194,632,097 | ||||||
107,253 | Alphabet, Inc. Class C* (Interactive Media & Services) | 258,492,600 | ||||||
441,642 | NVIDIA Corp. (Semiconductors & Semiconductor Equipment) | 265,153,024 | ||||||
4,326,052 | Philip Morris International, Inc. (Tobacco) | 410,974,940 | ||||||
1,144,624 | Visa, Inc. Class A (IT Services) | 267,338,381 | ||||||
|
| |||||||
1,789,187,319 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $14,328,949,333) | $ | 17,771,620,835 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||||
Preferred Stocks– 2.6% | ||||||||||
Germany – 2.6% | ||||||||||
Volkswagen AG (Automobiles) | ||||||||||
1,872,695 | 2.300 | % | $ | 487,573,856 | ||||||
(Cost $360,912,776) | ||||||||||
|
| |||||||||
Investment Company(c)– 1.1% | ||||||||||
| Goldman Sachs Financial Square Government Fund— | |||||||||
201,664,836 | 0.026 | % | $ | 201,664,836 | ||||||
(Cost $201,664,836) | ||||||||||
|
| |||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |||||||||
(Cost $14,891,526,945) | $ | 18,460,859,527 | ||||||||
|
| |||||||||
Securities Lending Reinvestment Vehicle(c) – 0.2% | ||||||||||
| Goldman Sachs Financial Square Government Fund— | |||||||||
46,056,250 | 0.026 | % | 46,056,250 | |||||||
(Cost $46,056,250) | ||||||||||
|
| |||||||||
TOTAL INVESTMENTS – 99.6% | ||||||||||
(Cost $14,937,583,195) | $ | 18,506,915,777 | ||||||||
|
| |||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% |
| 65,323,016 | |||||||
|
| |||||||||
NET ASSETS – 100.0% | $ | 18,572,238,793 | ||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(c) | Represents an affiliated issuer. |
| ||||
Investment Abbreviations: | ||||
ADR | —American Depositary Receipt | |||
PLC | —Public Limited Company | |||
|
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement of Assets and Liabilities
April 30, 2021 (Unaudited)
Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $14,689,862,109) | $ | 18,259,194,691 | ||||
Investments of affiliated issuers, at value (cost $201,664,836) | 201,664,836 | |||||
Investments in securities lending reinvestment vehicle—affiliated issuer, at value (cost $46,056,250)(a) | 46,056,250 | |||||
Cash | 4,115,383 | |||||
Foreign currencies, at value (cost $44,468,469) | 44,437,807 | |||||
Receivables: |
| |||||
Investments sold | 109,152,546 | |||||
Fund shares sold | 38,690,542 | |||||
Dividends | 30,961,036 | |||||
Foreign tax reclaims | 10,990,780 | |||||
Reimbursement from investment adviser | 39,712 | |||||
Securities lending income | 33,315 | |||||
Other assets | 443,041 | |||||
Total assets | 18,745,779,939 | |||||
Liabilities: | ||||||
Payables: |
| |||||
Investments purchased | 102,827,932 | |||||
Payable upon return of securities loaned | 46,056,250 | |||||
Fund shares redeemed | 12,856,022 | |||||
Management fees | 10,598,854 | |||||
Distribution and Service fees and Transfer Agency fees | 1,118,107 | |||||
Accrued expenses | 83,981 | |||||
Total liabilities | 173,541,146 | |||||
Net Assets: | ||||||
Paid-in capital | 14,937,192,785 | |||||
Total distributable earnings | 3,635,046,008 | |||||
NET ASSETS | $ | 18,572,238,793 | ||||
Net Assets: |
| |||||
Class A | $ | 422,329,023 | ||||
Class C | 84,421,999 | |||||
Institutional | 12,001,615,382 | |||||
Investor | 3,496,560,823 | |||||
Class R6 | 691,869,991 | |||||
Class R | 1,079,461 | |||||
Class P | 1,874,362,114 | |||||
Total Net Assets | $ | 18,572,238,793 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 22,198,778 | |||||
Class C | 4,555,979 | |||||
Institutional | 626,213,215 | |||||
Investor | 183,022,413 | |||||
Class R6 | 36,111,294 | |||||
Class R | 57,373 | |||||
Class P | 97,855,367 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $ | 19.02 | ||||
Class C | 18.53 | |||||
Institutional | 19.17 | |||||
Investor | 19.10 | |||||
Class R6 | 19.16 | |||||
Class R | 18.81 | |||||
Class P | 19.15 |
(a) | Includes loaned securities having market value of $43,167,602. |
(b) | Maximum public offering price per share for Class A Shares is $20.13. 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. | 5 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement of Operations
For the Six Months Ended April 30, 2021 (Unaudited)
Investment income: | ||||||
Dividends—unaffiliated issuers (net of foreign withholding taxes of $13,780,823) | $ | 143,520,591 | ||||
Dividends—affiliated issuers | 65,440 | |||||
Securities lending income—affiliated issuers | 36,014 | |||||
Total investment income | 143,622,045 | |||||
Expenses: | ||||||
Management fees | 57,411,488 | |||||
Transfer Agency fees(a) | 5,321,554 | |||||
Distribution and Service (12b-1) fees(a) | 708,951 | |||||
Custody, accounting and administrative services | 533,074 | |||||
Registration fees | 405,125 | |||||
Printing and mailing costs | 185,205 | |||||
Service fees—Class C | 92,643 | |||||
Professional fees | 92,256 | |||||
Trustee fees | 80,814 | |||||
Other | 345,916 | |||||
Total expenses | 65,177,026 | |||||
Less — expense reductions | (985,562 | ) | ||||
Net expenses | 64,191,464 | |||||
NET INVESTMENT INCOME | 79,430,581 | |||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: |
| |||||
Investments—unaffiliated issuers | 283,352,408 | |||||
Forward foreign currency exchange contracts | 275,588 | |||||
Foreign currency transactions | (15,399,301 | ) | ||||
Net change in unrealized gain on: |
| |||||
Investments- unaffiliated issuers | 1,911,586,476 | |||||
Foreign currency translation | 212,269 | |||||
Net realized and unrealized gain | 2,180,027,440 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,259,458,021 |
(a) | Class specific Distribution and/or Service (12 b-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 | |||||||||||||||||||||||||||||
$ | 428,766 | $ | 277,928 | $ | 2,257 | $ | 291,561 | $ | 62,997 | $ | 2,085,698 | $ | 2,573,406 | $ | 77,271 | $ | 767 | $ | 229,854 |
6 | 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 Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 79,430,581 | $ | 39,374,389 | ||||||
Net realized gain (loss) | 268,228,695 | (195,974,816 | ) | |||||||
Net change in unrealized gain | 1,911,798,745 | 1,169,404,514 | ||||||||
Net increase in net assets resulting from operations | 2,259,458,021 | 1,012,804,087 | ||||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | – | (456,372 | ) | |||||||
Institutional Shares | (17,220,587 | ) | (15,034,407 | ) | ||||||
Investor Shares | (2,382,538 | ) | (6,998,774 | ) | ||||||
Class R6 Shares | (822,599 | ) | (262,239 | ) | ||||||
Class R Shares | – | (1,686 | ) | |||||||
Class P Shares | (2,597,062 | ) | (3,452,086 | ) | ||||||
Total distributions to shareholders | (23,022,786 | ) | (26,205,564 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 4,651,814,406 | 10,199,565,729 | ||||||||
Reinvestment of distributions | 18,334,826 | 25,405,746 | ||||||||
Cost of shares redeemed | (1,400,454,031 | ) | (1,874,972,134 | ) | ||||||
Net increase in net assets resulting from share transactions | 3,269,695,201 | 8,349,999,341 | ||||||||
TOTAL INCREASE | 5,506,130,436 | 9,336,597,864 | ||||||||
Net assets: | ||||||||||
Beginning of period | 13,066,108,357 | 3,729,510,493 | ||||||||
End of period | $ | 18,572,238,793 | $ | 13,066,108,357 |
The accompanying notes are an integral part of these financial statements. | 7 |
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 | ||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.44 | $ | 14.78 | $ | 12.32 | $ | 12.69 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.06 | 0.04 | 0.10 | 0.08 | 0.04 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.52 | 1.68 | 2.38 | (0.45 | ) | 2.66 | ||||||||||||||||
Total from investment operations | 2.58 | 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 | $ | 19.02 | $ | 16.44 | $ | 14.78 | $ | 12.32 | $ | 12.69 | ||||||||||||
Total return(c) | 15.69 | % | 11.66 | % | 20.19 | % | (2.92 | )% | 26.97 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 422,329 | $ | 252,603 | $ | 89,592 | $ | 44,887 | $ | 11,297 | ||||||||||||
Ratio of net expenses to average net assets | 1.15 | %(d) | 1.17 | % | 1.23 | % | 1.28 | % | 1.30 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.16 | %(d) | 1.20 | % | 1.29 | % | 1.38 | % | 1.65 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 0.69 | %(d) | 0.23 | % | 0.71 | % | 0.57 | % | 0.40 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 56 | % | 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. |
8 | 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 | ||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.08 | $ | 14.50 | $ | 12.16 | $ | 12.61 | $ | 10.00 | ||||||||||||
Net investment income (loss)(b) | (0.01 | ) | (0.08 | ) | — | (c) | (0.02 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 2.46 | 1.66 | 2.34 | (0.43 | ) | 2.67 | ||||||||||||||||
Total from investment operations | 2.45 | 1.58 | 2.34 | (0.45 | ) | 2.61 | ||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Net asset value, end of period | $ | 18.53 | $ | 16.08 | $ | 14.50 | $ | 12.16 | $ | 12.61 | ||||||||||||
Total return(d) | 15.24 | % | 10.87 | % | 19.24 | % | (3.57 | )% | 26.13 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 84,422 | $ | 61,784 | $ | 32,620 | $ | 20,147 | $ | 12,969 | ||||||||||||
Ratio of net expenses to average net assets | 1.90 | %(e) | 1.92 | % | 1.98 | % | 2.04 | % | 2.05 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 1.91 | %(e) | 1.95 | % | 2.04 | % | 2.12 | % | 2.34 | %(e) | ||||||||||||
Ratio of net investment loss to average net assets | (0.12 | )%(e) | (0.51 | )% | (0.02 | )% | (0.18 | )% | (0.57 | )%(e) | ||||||||||||
Portfolio turnover rate(f) | 56 | % | 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. | 9 |
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 | ||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.09 | 0.09 | 0.15 | 0.13 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.55 | 1.70 | 2.39 | (0.45 | ) | 2.66 | ||||||||||||||||
Total from investment operations | 2.64 | 1.79 | 2.54 | (0.32 | ) | 2.74 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.10 | ) | (0.06 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 19.17 | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | ||||||||||||
Total return(c) | 15.96 | % | 12.06 | % | 20.65 | % | (2.52 | )% | 27.39 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 12,001,615 | $ | 8,683,860 | $ | 1,996,934 | $ | 713,691 | $ | 392,168 | ||||||||||||
Ratio of net expenses to average net assets | 0.77 | %(d) | 0.79 | % | 0.84 | % | 0.90 | % | 0.90 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.78 | %(d) | 0.82 | % | 0.90 | % | 0.98 | % | 1.30 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.02 | %(d) | 0.55 | % | 1.10 | % | 0.96 | % | 0.73 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 56 | % | 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. |
10 | 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 | ||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.51 | $ | 14.82 | $ | 12.36 | $ | 12.71 | $ | 10.00 | ||||||||||||
Net investment income (loss)(b) | 0.08 | 0.08 | 0.15 | 0.10 | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.52 | 1.70 | 2.36 | (0.43 | ) | 2.73 | ||||||||||||||||
Total from investment operations | 2.60 | 1.78 | 2.51 | (0.33 | ) | 2.72 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.09 | ) | (0.05 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 19.10 | $ | 16.51 | $ | 14.82 | $ | 12.36 | $ | 12.71 | ||||||||||||
Total return(c) | 15.78 | % | 12.00 | % | 20.42 | % | (2.64 | )% | 27.18 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,496,561 | $ | 2,488,875 | $ | 1,098,284 | $ | 234,587 | $ | 63,303 | ||||||||||||
Ratio of net expenses to average net assets | 0.90 | %(d) | 0.92 | % | 0.98 | % | 1.03 | % | 1.05 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.91 | %(d) | 0.95 | % | 1.04 | % | 1.13 | % | 1.39 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 0.89 | %(d) | 0.48 | % | 1.09 | % | 0.77 | % | (0.10 | )%(d) | ||||||||||||
Portfolio turnover rate(e) | 56 | % | 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. | 11 |
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 | ||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.11 | 0.07 | 0.05 | 0.12 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.52 | 1.72 | 2.50 | (0.44 | ) | 2.63 | ||||||||||||||||
Total from investment operations | 2.63 | 1.79 | 2.55 | (0.32 | ) | 2.74 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.10 | ) | (0.07 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 19.16 | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | ||||||||||||
Total return(c) | 15.92 | % | 12.09 | % | 20.68 | % | (2.52 | )% | 27.39 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 691,870 | $ | 391,507 | $ | 34,263 | $ | 540 | $ | 13 | ||||||||||||
Ratio of net expenses to average net assets | 0.75 | %(d) | 0.77 | % | 0.81 | % | 0.87 | % | 0.89 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(d) | 0.81 | % | 0.92 | % | 0.98 | % | 1.66 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.24 | %(d) | 0.42 | % | 0.34 | % | 0.92 | % | 1.09 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 56 | % | 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 R Shares | ||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.28 | $ | 14.69 | $ | 12.26 | $ | 12.66 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.04 | 0.01 | 0.01 | 0.02 | 0.04 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.49 | 1.65 | 2.43 | (0.42 | ) | 2.62 | ||||||||||||||||
Total from investment operations | 2.53 | 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 | $ | 18.81 | $ | 16.28 | $ | 14.69 | $ | 12.26 | $ | 12.66 | ||||||||||||
Total return(d) | 15.54 | % | 11.32 | % | 19.91 | % | (3.16 | )% | 26.65 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,079 | $ | 735 | $ | 208 | $ | 25 | $ | 17 | ||||||||||||
Ratio of net expenses to average net assets | 1.40 | %(e) | 1.42 | % | 1.47 | % | 1.53 | % | 1.55 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 1.41 | %(e) | 1.45 | % | 1.54 | % | 1.62 | % | 2.22 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 0.44 | %(e) | 0.07 | % | 0.05 | % | 0.15 | % | 0.43 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 56 | % | 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 | ||||||||||||||||||
Class P Shares | ||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2018(a) | ||||||||||||||||
2020 | 2019 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 16.55 | $ | 14.86 | $ | 12.39 | $ | 13.17 | ||||||||||
Net investment income(b) | 0.10 | 0.10 | 0.16 | 0.02 | ||||||||||||||
Net realized and unrealized gain (loss) | 2.53 | 1.69 | 2.38 | (0.80 | ) | |||||||||||||
Total from investment operations | 2.63 | 1.79 | 2.54 | (0.78 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.10 | ) | (0.07 | ) | — | |||||||||||
Net asset value, end of period | $ | 19.15 | $ | 16.55 | $ | 14.86 | $ | 12.39 | ||||||||||
Total return(c) | 15.93 | % | 12.08 | % | 20.61 | % | (5.92 | )% | ||||||||||
Net assets, end of period (in 000s) | $ | 1,874,362 | $ | 1,186,744 | $ | 477,609 | $ | 233,541 | ||||||||||
Ratio of net expenses to average net assets | 0.75 | %(d) | 0.77 | % | 0.82 | % | 0.87 | %(d) | ||||||||||
Ratio of total expenses to average net assets | 0.77 | %(d) | 0.81 | % | 0.89 | % | 1.02 | %(d) | ||||||||||
Ratio of net investment income to average net assets | 1.09 | %(d) | 0.61 | % | 1.14 | % | 0.33 | %(d) | ||||||||||
Portfolio turnover rate(e) | 56 | % | 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. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
April 30, 2021 (Unaudited)
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 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.
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
15
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 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.
16
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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
17
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 April 30, 2021:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | $ | 773,416,422 | $ | 2,054,974,586 | $ | — | ||||||
Australia and Oceania | — | 79,732,041 | — | |||||||||
Europe | 897,397,753 | 11,699,376,986 | — | |||||||||
North America | 2,133,753,733 | — | — | |||||||||
South America | 620,543,170 | — | — | |||||||||
Investment Company | 201,664,836 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 46,056,250 | — | — | |||||||||
Total | $ | 4,672,832,164 | $ | 13,834,083,613 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for 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 six months ended April 30, 2021. 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) | |||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain (loss) on forward foreign currency exchange contracts | $ | 275,588 | $ | — |
For the period ended April 30, 2021, the relevant values for each derivative type was as follows:
Average Notional Amounts(a) |
Forward contracts |
$171,351,402 |
(a) | Amounts disclosed represent purchased and notional amounts for forward contracts, based on absolute values, which is indicative of volume for this derivative type, for the months that the Fund held such derivatives during the six months ended April 30, 2021. |
18
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the six months ended April 30, 2021, 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% | 0.72% | 0.72% |
^ | 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 six months ended, GSAM waived $355,307 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 six months ended April 30, 2021 , Goldman Sachs retained $38,506 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% of the average daily net assets attributable to Class C Shares of the Fund.
19
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 P and Class R6 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 and Class P Shares of the Fund. This arrangement will remain in effect through at least February 28, 2022, and prior to such date, the Investment Advisor 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, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.014%. The Other Expense limitation will remain in place through at least February 28, 2022, 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 six months ended April 30, 2021, 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 | |||||||||||
$ | 355,307 | $ | 102,375 | $ | 527,880 | $ | 985,562 |
D. Line of Credit Facility — As of April 30, 2021, the Fund participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2021, the Fund did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — For the six months ended April 30, 2021, 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 six months ended April 30, 2021:
Market Value as of October 31, 2020 | Purchases at cost | Proceeds from sales | Market Value as of April 30, 2021 | Shares as of April 30, 2021 | Dividend Income | |||||||||||||||||
$ | 552,202,746 | $ | 3,759,049,752 | $ | (4,109,587,662 | ) | $ | 201,664,836 | $ | 201,664,836 | $ | 65,440 |
20
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
6. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2021, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities where applicable.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the six months ended April 30, 2021, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six Months Ended April 30, 2021 | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of April 30, 2021 | |||||||||
Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | |||||||||
$ | 77,130 | $ | 11,722 | $ | — |
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GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
6. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended April 30, 2021.
Market Value as of October 31, 2020 | Purchases at cost | Proceeds from sales | Market Value as of April 30, 2021 | |||||||||
$1,809,300 | $ | 302,553,275 | $ | (258,306,325 | ) | $ | 46,056,250 |
7. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2021, were $12,321,927,739 and $8,693,384,996, respectively.
8. TAX INFORMATION |
As of the Fund’s most recent fiscal year end, October 31, 2020, the Fund’s capital loss carryforwards were as follows:
Capital loss carryforwards: | ||||
Perpetual Short-Term | $ | (265,437,986 | ) | |
Total Capital loss carryforwards | $ | (265,437,986 | ) |
As of April 30, 2021, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 14,954,564,602 | ||
Gross unrealized gain | 3,680,561,344 | |||
Gross unrealized loss | (128,210,169 | ) | ||
Net unrealized security loss | $ | 3,552,351,175 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
22
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
9. OTHER RISKS (continued) |
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information 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 problems with 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 — The Fund invests in foreign securities, and as such 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.
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
23
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
9. OTHER RISKS (continued) |
adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
24
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
GQG Partners International Opportunities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 9,737,155 | $ | 174,637,265 | 13,698,861 | $ | 209,446,099 | ||||||||||
Reinvestment of distributions | — | — | 29,115 | 442,259 | ||||||||||||
Shares redeemed | (2,899,854 | ) | (52,666,950 | ) | (4,427,089 | ) | (66,586,887 | ) | ||||||||
6,837,301 | 121,970,315 | 9,300,887 | 143,301,471 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,200,398 | 21,068,858 | 2,372,864 | 35,775,997 | ||||||||||||
Shares redeemed | (487,727 | ) | (8,585,213 | ) | (779,291 | ) | (11,617,769 | ) | ||||||||
712,671 | 12,483,645 | 1,593,573 | 24,158,228 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 146,297,333 | 2,650,787,498 | 456,407,668 | 7,036,561,221 | ||||||||||||
Reinvestment of distributions | 714,992 | 12,734,017 | 934,408 | 14,249,728 | ||||||||||||
Shares redeemed | (45,085,746 | ) | (818,777,859 | ) | (67,349,264 | ) | (1,026,051,834 | ) | ||||||||
101,926,579 | 1,844,743,656 | 389,992,812 | 6,024,759,115 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 51,505,874 | 931,325,002 | 117,458,451 | 1,800,560,693 | ||||||||||||
Reinvestment of distributions | 134,073 | 2,381,133 | 459,773 | 6,997,748 | ||||||||||||
Shares redeemed | (19,403,783 | ) | (352,652,168 | ) | (41,221,508 | ) | (619,400,753 | ) | ||||||||
32,236,164 | 581,053,967 | 76,696,716 | 1,188,157,688 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 16,374,722 | 305,169,680 | 21,994,117 | 366,241,200 | ||||||||||||
Reinvestment of distributions | 34,978 | 622,614 | 17,196 | 262,239 | ||||||||||||
Shares redeemed | (3,941,164 | ) | (71,452,057 | ) | (673,307 | ) | (10,705,017 | ) | ||||||||
12,468,536 | 234,340,237 | 21,338,006 | 355,798,422 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 15,480 | 283,408 | 31,345 | 478,529 | ||||||||||||
Reinvestment of distributions | — | — | 112 | 1,686 | ||||||||||||
Shares redeemed | (3,246 | ) | (59,058 | ) | (506 | ) | (8,416 | ) | ||||||||
12,234 | 224,350 | 30,951 | 471,799 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 31,361,040 | 568,542,695 | 48,874,200 | 750,501,990 | ||||||||||||
Reinvestment of distributions | 145,903 | 2,597,062 | 226,515 | 3,452,086 | ||||||||||||
Shares redeemed | (5,339,735 | ) | (96,260,726 | ) | (9,552,700 | ) | (140,601,458 | ) | ||||||||
26,167,208 | 474,879,031 | 39,548,015 | 613,352,618 | |||||||||||||
NET INCREASE | 180,360,693 | $ | 3,269,695,201 | 538,500,960 | $ | 8,349,999,341 |
25
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 2-3, 2021, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2020 through December 31, 2020 (the “Reporting Period”). Among other things, the annual report and related materials discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of the COVID-19 pandemic on liquidity and management of liquidity risk during the Reporting Period, including during stressed market conditions caused by the COVID-19 pandemic. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
26
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Fund Expenses — Six Month Period Ended April 30, 2021 (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 November 1, 2020 through April 30, 2021 which represents a period of 181 days out of 365 day year.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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.
GQG Partners International Opportunities Fund | ||||||||||||
Share Class | Beginning Account Value 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,156.90 | $ | 6.15 | ||||||
Hypothetical 5% return | 1,000.00 | 1,019.09 | + | 5.76 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,152.40 | 10.14 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.37 | + | 9.49 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,159.60 | 4.12 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.98 | + | 3.86 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,157.80 | 4.82 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.33 | + | 4.51 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,159.20 | 4.02 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.08 | + | 3.76 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,155.40 | 7.48 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,017.85 | + | 7.00 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,159.30 | 4.02 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.08 | + | 3.76 |
* | 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 April 30, 2021. 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 Fund | 1.15 | % | 1.90 | % | 0.77 | % | 0.90 | % | 0.75 | % | 1.40 | % | 0.75 | % |
+ | 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. |
27
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.00 trillion in assets under supervision as of March 31, 2021, 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 Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion 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 Fund |
∎ | Income Builder 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 Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity 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 Fund4 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income 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 |
∎ | Strategic Volatility Premium Fund |
∎ | Target Date Retirement Portfolio |
∎ | 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 June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
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, 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 April 30, 2021 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).
©2021 Goldman Sachs. All rights reserved. 242254-OTU-1430327 GQGPIOSAR-21
Goldman Sachs Funds
Semi-Annual Report | April 30, 2021 | |||
Multi-Manager Alternatives Fund |
Goldman Sachs Multi-Manager Alternatives Fund
1 | ||||
4 | ||||
21 | ||||
24 | ||||
31 | ||||
47 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Multi-Manager Alternatives Fund
as of April 30, 2021
PERFORMANCE REVIEW |
| |||||||||||||
November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | ICE BofAML Index2 | HFRX Global Hedge Fund Index3 | |||||||||||
Class A | 6.47 | % | 0.05 | % | 8.43 | % | ||||||||
Class C | 6.14 | 0.05 | 8.43 | |||||||||||
Institutional | 6.58 | 0.05 | 8.43 | |||||||||||
Investor | 6.62 | 0.05 | 8.43 | |||||||||||
Class R6 | 6.67 | 0.05 | 8.43 | |||||||||||
Class R | 6.37 | 0.05 | 8.43 | |||||||||||
Class P | 6.68 | 0.05 | 8.43 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | 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. |
3 | 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. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
1
FUND BASICS
FUND COMPOSITION4 |
4 | 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. Figures in the graph may not sum to 100% due to rounding and/or 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 Consolidated Schedule of Investments. |
TOP TEN EQUITY HOLDINGS AS OF 4/30/215 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Analog Devices, Inc. | 1.1 | % | Semiconductors & Semiconductor Equipment | |||||
IHS Markit Ltd. | 1.1 | Professional Services | ||||||
Aon PLC Class A | 1.0 | Insurance | ||||||
Slack Technologies, Inc. Class A | 1.0 | Software | ||||||
ASML Holding NV | 0.9 | Semiconductors & Semiconductor Equipment | ||||||
AstraZeneca PLC | 0.8 | Pharmaceuticals | ||||||
Maxim Integrated Products, Inc. | 0.8 | Semiconductors & Semiconductor Equipment | ||||||
GW Pharmaceuticals PLC ADR | 0.8 | Pharmaceuticals | ||||||
Facebook, Inc. Class A | 0.8 | Interactive Media & Services | ||||||
Alexion Pharmaceuticals, Inc. | 0.8 | Biotechnology |
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
2
FUND BASICS
SUBADVISOR ALLOCATION6 |
| |||||
Percentage of as of 4/30/21 | ||||||
Artisan Partners Limited Partnership | 17.1 | % | ||||
GQG Partners LLC | 15.6 | |||||
River Canyon Fund Management LLC | 15.2 | |||||
Marathon Asset Management, LP | 15.1 | |||||
Crabel Capital Management, LLC | 13.2 | |||||
Bardin Hill Arbitrage IC Management LP | 11.9 | |||||
Wellington Management Company LLP | 8.0 | |||||
Other | 3.7 | |||||
Algert Global LLC | 0.2 | |||||
Sirios Capital Management, LP | 0.0 | |||||
Brigade Capital Management, LP | 0.0 | |||||
Ares Capital Management II LLC | 0.0 |
6 | 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. |
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.
STRATEGY ALLOCATION7 |
As of April 30, 2021 |
7 | 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. 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. |
3
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – 4.9% | ||||||||||||||
Electric(a) – 0.4% | ||||||||||||||
Aes Andres BV | ||||||||||||||
$ | 599,000 | 5.700 | % | 05/04/28 | $ | 606,500 | ||||||||
|
| |||||||||||||
Iron/Steel(a)(b) – 0.3% | ||||||||||||||
CAP SA | ||||||||||||||
568,000 | 3.900 | 04/27/31 | 555,220 | |||||||||||
|
| |||||||||||||
Oil Field Services – 2.6% | ||||||||||||||
Kosmos Energy, Ltd.(a)(b) | ||||||||||||||
200,000 | 7.500 | 03/01/28 | 190,938 | |||||||||||
Petroleos del Peru SA | ||||||||||||||
945,000 | 5.625 | 06/19/47 | 963,900 | |||||||||||
Petroleos Mexicanos | ||||||||||||||
538,000 | 6.500 | 01/23/29 | 546,204 | |||||||||||
Petronas Capital Ltd.(a) | ||||||||||||||
611,000 | 3.500 | 04/21/30 | 659,330 | |||||||||||
548,000 | 4.550 | 04/21/50 | 648,681 | |||||||||||
371,000 | 4.550 | (b) | 04/21/50 | 439,162 | ||||||||||
400,000 | 4.800 | 04/21/60 | 506,384 | |||||||||||
Saudi Arabian Oil Co.(a)(b) | ||||||||||||||
365,000 | 1.250 | 11/24/23 | 368,194 | |||||||||||
|
| |||||||||||||
4,322,793 | ||||||||||||||
|
| |||||||||||||
Pipelines – 0.7% | ||||||||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||||||||
363,000 | 2.160 | (b) | 03/31/34 | 355,740 | ||||||||||
466,000 | 2.625 | (b) | 03/31/36 | 452,020 | ||||||||||
460,000 | 2.940 | 09/30/40 | 447,580 | |||||||||||
|
| |||||||||||||
1,255,340 | ||||||||||||||
|
| |||||||||||||
Real Estate Investment Trust(a)(b) – 0.9% | ||||||||||||||
New Residential Investment Corp. | ||||||||||||||
1,500,000 | 6.250 | 10/15/25 | 1,520,625 | |||||||||||
|
| |||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $8,346,118) | $ | 8,260,478 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – 44.6% | ||||||||
Aerospace & Defense – 0.8% | ||||||||
15,620 | Aerojet Rocketdyne Holdings, Inc.(c) | $ | 729,766 | |||||
2,264 | Airbus SE* | 272,268 | ||||||
451 | TransDigm Group, Inc.* | 276,797 | ||||||
|
| |||||||
1,278,831 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.9% | ||||||||
1,902 | DSV PANALPINA A/S | 423,747 | ||||||
5,526 | United Parcel Service, Inc. Class B | 1,126,530 | ||||||
|
| |||||||
1,550,277 | ||||||||
|
| |||||||
Automobiles – 0.3% | ||||||||
6,255 | Daimler AG | 556,687 | ||||||
|
| |||||||
Banks – 2.1% | ||||||||
86,117 | Banco Bilbao Vizcaya Argentaria SA | 482,219 | ||||||
84,901 | Banco Santander SA* | 327,510 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
6,559 | BNP Paribas SA* | 420,548 | ||||||
33,237 | China Merchants Bank Co. Ltd. Class H | 266,973 | ||||||
24,129 | Credit Agricole SA* | 373,232 | ||||||
9,317 | HDFC Bank Ltd.* | 177,023 | ||||||
2,898 | HDFC Bank Ltd. ADR* | 203,672 | ||||||
18,664 | ICICI Bank Ltd. ADR* | 304,223 | ||||||
36,070 | Industrial & Commercial Bank of China Ltd. Class H | 23,406 | ||||||
1,710 | KBC Group NV* | 132,676 | ||||||
3,569 | Royal Bank of Canada | 340,625 | ||||||
98,618 | Sberbank of Russia PJSC | 389,614 | ||||||
|
| |||||||
3,441,721 | ||||||||
|
| |||||||
Biotechnology* – 1.0% | ||||||||
7,509 | Alexion Pharmaceuticals, Inc.(c) | 1,266,618 | ||||||
1,149 | Genmab A/S | 421,639 | ||||||
|
| |||||||
1,688,257 | ||||||||
|
| |||||||
Capital Markets – 1.2% | ||||||||
1,081 | BlackRock, Inc. | 885,663 | ||||||
5,882 | London Stock Exchange Group PLC | 600,954 | ||||||
5,115 | The Blackstone Group, Inc. | 452,626 | ||||||
7,442 | UBS Group AG | 113,644 | ||||||
|
| |||||||
2,052,887 | ||||||||
|
| |||||||
Chemicals – 0.7% | ||||||||
2,830 | Air Liquide SA | 476,578 | ||||||
2,112 | Linde PLC | 603,694 | ||||||
3,495 | Tikkurila Oyj* | 140,973 | ||||||
|
| |||||||
1,221,245 | ||||||||
|
| |||||||
Communications Equipment – 0.2% | ||||||||
24,922 | Telefonaktiebolaget LM Ericsson Class B | 342,282 | ||||||
|
| |||||||
Construction & Engineering – 0.3% | ||||||||
4,837 | Quanta Services, Inc. | 467,448 | ||||||
|
| |||||||
Construction Materials – 0.8% | ||||||||
2,194 | Martin Marietta Materials, Inc. | 774,745 | ||||||
3,091 | Vulcan Materials Co. | 550,940 | ||||||
|
| |||||||
1,325,685 | ||||||||
|
| |||||||
Diversified Consumer Services(e) – 0.0% | ||||||||
5,019 | Gymboree Holding Corp. | — | ||||||
|
| |||||||
Diversified Financial Services* – 0.1% | ||||||||
8,424 | Cerved Group SpA | 98,820 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.5% | ||||||||
12,157 | Cellnex Telecom SA(b) | 687,649 | ||||||
8,212 | ORBCOMM, Inc.* | 94,110 | ||||||
|
| |||||||
781,759 | ||||||||
|
| |||||||
Electric Utilities – 0.5% | ||||||||
58,744 | Enel SpA | 583,288 | ||||||
3,412 | NextEra Energy, Inc. | 264,464 | ||||||
|
| |||||||
847,752 | ||||||||
|
|
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Electrical Equipment – 0.5% | ||||||||
3,014 | AMETEK, Inc. | $ | 406,679 | |||||
2,569 | Schneider Electric SE | 409,899 | ||||||
|
| |||||||
816,578 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.7% | ||||||||
2,957 | CDW Corp/DE. | 527,322 | ||||||
1,449 | Coherent, Inc.* | 376,725 | ||||||
15,812 | Hollysys Automation Technologies Ltd. | 214,411 | ||||||
79 | SK IE Technology Co, Ltd.*(b) | 7,457 | ||||||
|
| |||||||
1,125,915 | ||||||||
|
| |||||||
Entertainment – 0.6% | ||||||||
5,806 | NetEase, Inc. | 129,762 | ||||||
1,118 | NetEase, Inc. ADR | 125,283 | ||||||
141 | Netflix, Inc.* | 72,399 | ||||||
3,652 | The Walt Disney Co.* | 679,345 | ||||||
|
| |||||||
1,006,789 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.4% | ||||||||
1,342 | American Tower Corp. | 341,901 | ||||||
1,144 | SBA Communications Corp. | 342,880 | ||||||
|
| |||||||
684,781 | ||||||||
|
| |||||||
Food Products – 0.3% | ||||||||
4,315 | Nestle SA | 514,912 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 0.3% | ||||||||
4,527 | Abbott Laboratories | 543,602 | ||||||
17,614 | Stemline Therapeutics, Inc.(e) | 5,813 | ||||||
|
| |||||||
549,415 | ||||||||
|
| |||||||
Health Care Providers & Services* – 0.1% | ||||||||
21,215 | New Frontier Health Corp. | 236,547 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.8% | ||||||||
106 | Booking Holdings, Inc.* | 261,405 | ||||||
30,369 | Crown Resorts Ltd.* | 285,185 | ||||||
11,261 | Entain PLC* | 263,244 | ||||||
4,658 | Evolution Gaming Group AB(b) | 919,529 | ||||||
2,906 | Extended Stay America, Inc. | 57,801 | ||||||
23,420 | Great Canadian Gaming Corp.* | 845,037 | ||||||
3,269 | Hilton Worldwide Holdings, Inc.* | 420,720 | ||||||
|
| |||||||
3,052,921 | ||||||||
|
| |||||||
Household Durables – 0.2% | ||||||||
2,460 | Sony Group Corp. | 245,948 | ||||||
|
| |||||||
Industrial Conglomerates – 0.4% | ||||||||
1,387 | Roper Technologies, Inc. | 619,212 | ||||||
1,117 | Toshiba Corp. | 46,167 | ||||||
|
| |||||||
665,379 | ||||||||
|
| |||||||
Insurance – 1.7% | ||||||||
6,775 | Aon PLC Class A(d) | 1,703,506 | ||||||
3,455 | Ping An Insurance Group Co. of China Ltd. Class H | 37,667 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
720 | The Hartford Financial Services Group, Inc. | 47,491 | ||||||
2,499 | Trupanion, Inc.* | 202,669 | ||||||
3,089 | Willis Towers Watson PLC(c) | 799,619 | ||||||
|
| |||||||
2,790,952 | ||||||||
|
| |||||||
Interactive Media & Services – 1.9% | ||||||||
110 | Alphabet, Inc. Class A* | 258,885 | ||||||
171 | Alphabet, Inc. Class C* | 412,131 | ||||||
4,048 | Facebook, Inc. Class A* | 1,315,924 | ||||||
8,482 | Snap, Inc. Class A* | 524,357 | ||||||
8,805 | Tencent Holdings Ltd. | 702,392 | ||||||
|
| |||||||
3,213,689 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail* – 1.0% | ||||||||
1,073 | Alibaba Group Holding Ltd. ADR | 247,809 | ||||||
4 | Amazon.com, Inc. | 13,870 | ||||||
14,694 | Grubhub, Inc.(c) | 999,780 | ||||||
5,027 | JD.com, Inc. ADR | 388,889 | ||||||
2,824 | The RealReal, Inc. | 69,950 | ||||||
|
| |||||||
1,720,298 | ||||||||
|
| |||||||
IT Services – 3.2% | ||||||||
1,655 | Accenture PLC Class A | 479,900 | ||||||
206 | Adyen NV*(b) | 506,985 | ||||||
1,222 | Afterpay Ltd.* | 110,060 | ||||||
1,709 | Capgemini SE | 313,169 | ||||||
2,066 | Cognizant Technology Solutions Corp. Class A | 166,106 | ||||||
7,055 | Fidelity National Information Services, Inc. | 1,078,710 | ||||||
2,690 | Genpact Ltd. | 127,856 | ||||||
469 | Global Payments, Inc. | 100,661 | ||||||
1,564 | GoDaddy, Inc. Class A* | 135,786 | ||||||
1,460 | Mastercard, Inc. Class A | 557,808 | ||||||
2,837 | Nuvei Corp.* | 197,966 | ||||||
26,416 | Perspecta, Inc.(c) | 773,196 | ||||||
57 | Shopify, Inc. Class A* | 67,403 | ||||||
6,282 | StoneCo Ltd. Class A* | 406,069 | ||||||
1,571 | Visa, Inc. Class A | 366,923 | ||||||
9 | WEX, Inc.* | 1,847 | ||||||
|
| |||||||
5,390,445 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.1% | ||||||||
4,455 | Agilent Technologies, Inc. | 595,366 | ||||||
375 | Lonza Group AG | 238,393 | ||||||
5,645 | PRA Health Sciences, Inc.*(c) | 942,094 | ||||||
|
| |||||||
1,775,853 | ||||||||
|
| |||||||
Machinery* – 0.4% | ||||||||
10,297 | Navistar International Corp.(c) | 455,642 | ||||||
8,729 | Welbilt, Inc. | 195,006 | ||||||
|
| |||||||
650,648 | ||||||||
|
| |||||||
Media* – 0.0% | ||||||||
514 | Cardlytics, Inc. | 70,690 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Metals & Mining – 1.0% | ||||||||
18,804 | ArcelorMittal SA* | $ | 548,582 | |||||
88,580 | Glencore PLC* | 360,824 | ||||||
31,518 | Vale SA | 632,559 | ||||||
7,669 | Vale SA ADR | 154,300 | ||||||
|
| |||||||
1,696,265 | ||||||||
|
| |||||||
Multi-Utilities – 0.1% | ||||||||
7,496 | Algonquin Power & Utilities Corp. | 120,934 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.3% | ||||||||
2,666 | LUKOIL PJSC | 205,587 | ||||||
5,096 | TOTAL SE | 225,232 | ||||||
|
| |||||||
430,819 | ||||||||
|
| |||||||
Personal Products – 0.5% | ||||||||
1,025 | L’Oreal SA | 419,707 | ||||||
1,513 | The Estee Lauder Cos., Inc. Class A | 474,779 | ||||||
|
| |||||||
894,486 | ||||||||
|
| |||||||
Pharmaceuticals – 2.2% | ||||||||
13,290 | AstraZeneca PLC | 1,414,639 | ||||||
6,215 | GW Pharmaceuticals PLC ADR*(c) | 1,361,085 | ||||||
13,007 | Novo Nordisk A/S Class B | 959,493 | ||||||
|
| |||||||
3,735,217 | ||||||||
|
| |||||||
Professional Services – 1.8% | ||||||||
7,431 | CoreLogic, Inc.(c) | 592,251 | ||||||
17,387 | IHS Markit Ltd.(c) | 1,870,493 | ||||||
5,540 | TransUnion | 579,429 | ||||||
348 | TriNet Group, Inc.* | 27,391 | ||||||
|
| |||||||
3,069,564 | ||||||||
|
| |||||||
Road & Rail – 1.4% | ||||||||
1,275 | Kansas City Southern(c) | 372,568 | ||||||
3,873 | Norfolk Southern Corp. | 1,081,496 | ||||||
1,687 | Old Dominion Freight Line, Inc. | 434,925 | ||||||
3,428 | Uber Technologies, Inc.* | 187,752 | ||||||
1,243 | Union Pacific Corp. | 276,058 | ||||||
|
| |||||||
2,352,799 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.9% | ||||||||
4,906 | Advanced Micro Devices, Inc.* | 400,428 | ||||||
12,237 | Analog Devices, Inc. | 1,874,219 | ||||||
2,922 | ASML Holding NV | 1,896,157 | ||||||
2,428 | Dialog Semiconductor PLC* | 190,210 | ||||||
14,618 | Magnachip Semiconductor Corp.* | 365,596 | ||||||
469 | Marvell Technology, Inc. | 21,204 | ||||||
14,952 | Maxim Integrated Products, Inc.(c) | 1,405,488 | ||||||
4,753 | Micron Technology, Inc.* | 409,091 | ||||||
601 | NVIDIA Corp. | 360,828 | ||||||
1,250 | Qorvo, Inc.* | 235,213 | ||||||
3,325 | Siltronic AG | 565,213 | ||||||
39,142 | Taiwan Semiconductor Manufacturing Co. Ltd. | 824,315 | ||||||
4,577 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 534,319 | ||||||
6,416 | Xilinx, Inc.(c) | 820,991 | ||||||
|
| |||||||
9,903,272 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Software – 4.2% | ||||||||
521 | Adobe, Inc.* | 264,845 | ||||||
1,039 | Atlassian Corp. PLC Class A* | 246,825 | ||||||
1,834 | Avalara, Inc.* | 259,896 | ||||||
345 | Ceridian HCM Holding, Inc.* | 32,596 | ||||||
362 | HubSpot, Inc.* | 190,575 | ||||||
1,629 | Intuit, Inc. | 671,409 | ||||||
4,740 | Microsoft Corp. (d) | 1,195,333 | ||||||
8,947 | Nuance Communications, Inc.* | 475,712 | ||||||
881 | Olo, Inc. Class A* | 25,426 | ||||||
2,238 | Proofpoint, Inc.* | 385,182 | ||||||
286 | RingCentral, Inc. Class A* | 91,220 | ||||||
426 | Salesforce.com, Inc.* | 98,116 | ||||||
97 | ServiceNow, Inc.* | 49,118 | ||||||
39,811 | Slack Technologies, Inc. Class A*(c) | 1,687,986 | ||||||
9,120 | Talend SA ADR* | 587,419 | ||||||
3,711 | Varonis Systems, Inc.* | 196,497 | ||||||
1,943 | Workday, Inc. Class A* | 479,921 | ||||||
|
| |||||||
6,938,076 | ||||||||
|
| |||||||
Specialty Retail – 1.8% | ||||||||
34,873 | GrandVision NV*(b) | 1,127,811 | ||||||
11,614 | The TJX Cos., Inc. | 824,594 | ||||||
3,288 | Ulta Beauty, Inc.* | 1,082,903 | ||||||
|
| |||||||
3,035,308 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.5% | ||||||||
12,050 | Samsung Electronics Co. Ltd. | 878,270 | ||||||
|
| |||||||
Tobacco – 0.9% | ||||||||
17,154 | British American Tobacco PLC | 636,471 | ||||||
5,794 | Philip Morris International, Inc. | 550,430 | ||||||
3,467 | Swedish Match AB | 283,824 | ||||||
|
| |||||||
1,470,725 | ||||||||
|
| |||||||
Wireless Telecommunication Services* – 0.0% | ||||||||
305 | Boingo Wireless, Inc. | 4,258 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $62,493,190) | $ | 74,695,404 | ||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Obligations(f) – 5.8% | ||||||||||||||
Collateralized Mortgage Obligations – 4.7% | ||||||||||||||
Interest Only(g) – 2.2% | ||||||||||||||
| FHLMC REMIC Series 4723, Class KS (-1x1M USD LIBOR + | | ||||||||||||
$ | 4,162,854 | 6.035 | % | 09/15/47 | $ | 830,224 | ||||||||
| FHLMC REMIC Series 4729, Class KS (-1x1M USD LIBOR + | | ||||||||||||
3,145,882 | 6.035 | 11/15/47 | 627,403 | |||||||||||
| GNMA REMIC Series 2017-117, Class AS (-1x1M USD | | ||||||||||||
5,086,160 | 6.084 | 08/20/47 | 1,033,620 | |||||||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Obligations(f) – (continued) | ||||||||||||||
Interest Only(g) – (continued) | ||||||||||||||
| GNMA REMIC Series 2020-78, Class AS (-1x1M USD LIBOR + | | ||||||||||||
$ | 3,707,366 | 6.034 | % | 06/20/50 | $ | 828,794 | ||||||||
| GNMA REMIC Series 2020-78, Class SQ (-1x1M USD LIBOR + | | ||||||||||||
1,910,898 | 6.034 | 06/20/50 | 405,623 | |||||||||||
|
| |||||||||||||
3,725,664 | ||||||||||||||
|
| |||||||||||||
Regular Floater(b) – 1.2% | ||||||||||||||
| CHL GMSR Issuer Trust Series 2018-GT1, Class A (1M USD | | ||||||||||||
1,000,000 | 2.856 | 05/25/23 | 997,360 | |||||||||||
| CHL GMSR Issuer Trust Series 2018-GT1, Class B (1M USD | | ||||||||||||
1,000,000 | 3.606 | 05/25/23 | 997,219 | |||||||||||
|
| |||||||||||||
1,994,579 | ||||||||||||||
|
| |||||||||||||
Sequential Floating Rate(b) – 1.3% | ||||||||||||||
Banc of America Funding Corp. Series 2015-R3, Class 1A2 | ||||||||||||||
2,727,239 | 0.534 | 03/27/36 | 2,055,562 | |||||||||||
|
| |||||||||||||
| TOTAL COLLATERIZED MORTGAGE OBLIGATIONS | | 7,775,805 | |||||||||||
|
| |||||||||||||
Commercial Mortgage-Backed Securities(g) – 1.1% | ||||||||||||||
Interest Only – 1.1% | ||||||||||||||
GNMA REMIC Series 2020-118 Class IO | ||||||||||||||
$ | 9,975,167 | 1.022 | % | 06/16/62 | $ | 857,439 | ||||||||
GNMA REMIC Series 2019-156, Class IO | ||||||||||||||
12,340,544 | 0.699 | 11/16/61 | 819,216 | |||||||||||
GNMA REMIC Series 2020-81, Class IO | ||||||||||||||
2,931,073 | 0.922 | 02/16/61 | 218,660 | |||||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | | $ | 1,895,315 | ||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $9,800,634) | $ | 9,671,120 | ||||||||||||
|
| |||||||||||||
Asset-Backed Securities(f) – 7.1% | ||||||||||||||
Collateralized Loan Obligations(b) – 4.3% | ||||||||||||||
| AGL CLO 6 Ltd. Series 2020-6A, Class E (3M USD LIBOR + | | ||||||||||||
$ | 250,000 | 7.668 | % | 07/20/31 | $ | 251,586 | ||||||||
| Catamaran CLO Ltd. Series 2013-1A, Class DR (3M USD | | ||||||||||||
1,750,000 | 2.981 | 01/27/28 | 1,715,628 | |||||||||||
| CVP CLO Ltd. Series 2017-2A, Class D (3M USD LIBOR + | | ||||||||||||
1,000,000 | 2.838 | 01/20/31 | 954,299 | |||||||||||
| Shackleton CLO Ltd. Series 2013-3A, Class DR (3M USD | | ||||||||||||
1,500,000 | 3.204 | 07/15/30 | 1,434,615 | |||||||||||
| Venture CLO Ltd. Series 2017-30A, Class D (3M USD LIBOR + | | ||||||||||||
1,500,000 | 3.184 | 01/15/31 | 1,466,007 | |||||||||||
|
| |||||||||||||
Asset-Backed Securities(f) – (continued) | ||||||||||||||
Collateralized Loan Obligations(b)– (continued) | ||||||||||||||
| Voya CLO Ltd. Series 2013-1A, Class CR (3M USD LIBOR + | | ||||||||||||
1,500,000 | 3.134 | 10/15/30 | 1,441,184 | |||||||||||
|
| |||||||||||||
7,263,319 | ||||||||||||||
|
| |||||||||||||
Home Equity – 2.8% | ||||||||||||||
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates | | ||||||||||||
2,390,119 | 0.796 | 01/25/36 | 1,950,996 | |||||||||||
| GE-WMC Asset-Backed Pass Through Certificates Series 2005-1, | | ||||||||||||
2,129,232 | 0.796 | 10/25/35 | 1,963,727 | |||||||||||
| Securitized Asset Backed Receivables LLC | | ||||||||||||
1,136,678 | �� | 0.606 | 05/25/36 | 751,480 | ||||||||||
|
| |||||||||||||
4,666,203 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $11,556,115) | $ | 11,929,522 | ||||||||||||
|
| |||||||||||||
Foreign Debt Obligations – 7.2% | ||||||||||||||
Dominican Republic | ||||||||||||||
$ | 363,000 | 4.875 | %(b) | 09/23/32 | $ | 379,789 | ||||||||
908,000 | 5.300 | 01/21/41 | 922,358 | |||||||||||
367,000 | 4.500 | 01/30/30 | 380,487 | |||||||||||
Finance Department Government of Sharjah | ||||||||||||||
400,000 | 3.625 | 03/10/33 | 395,000 | |||||||||||
Kingdom of Bahrain(b) | ||||||||||||||
200,000 | 4.250 | 01/25/28 | 200,000 | |||||||||||
200,000 | 6.250 | 01/25/51 | 187,250 | |||||||||||
Kingdom of Jordan | ||||||||||||||
200,000 | 7.375 | 10/10/47 | 209,788 | |||||||||||
Republic of Argentina(a) | ||||||||||||||
1,515,680 | 1.000 | 07/09/29 | 571,506 | |||||||||||
Republic of Brazil | ||||||||||||||
365,000 | 2.875 | 06/06/25 | 372,665 | |||||||||||
Republic of Colombia(a) | ||||||||||||||
478,000 | 4.125 | 02/22/42 | 467,962 | |||||||||||
478,000 | 3.250 | 04/22/32 | 467,484 | |||||||||||
Republic of Egypt(b) | ||||||||||||||
200,000 | 7.500 | 02/16/61 | 184,750 | |||||||||||
Republic of Ivory Coast | ||||||||||||||
360,000 | 6.125 | 06/15/33 | 381,218 | |||||||||||
Republic of Kazakhstan | ||||||||||||||
548,000 | 4.875 | 10/14/44 | 668,834 | |||||||||||
270,000 | 5.125 | 07/21/25 | 314,196 | |||||||||||
Republic of Kenya | ||||||||||||||
360,000 | 8.000 | 05/22/32 | 393,817 | |||||||||||
Republic of Pakistan(b) | ||||||||||||||
200,000 | 7.375 | 04/08/31 | 210,000 | |||||||||||
Republic of Panama(a) | ||||||||||||||
930,000 | 3.870 | 07/23/60 | 926,687 | |||||||||||
Republic of Qatar | ||||||||||||||
392,000 | 3.750 | 04/16/30 | 438,133 | |||||||||||
360,000 | 3.400 | (b) | 04/16/25 | 392,017 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Republic of Romania | ||||||||||||||
$ | 658,000 | 3.000 | % | 02/14/31 | $ | 669,227 | ||||||||
Republic of South Africa | ||||||||||||||
300,000 | 4.850 | 09/30/29 | 309,994 | |||||||||||
Russian Federation Bond | ||||||||||||||
400,000 | 5.100 | 03/28/35 | 470,325 | |||||||||||
State of Israel(h) | ||||||||||||||
930,000 | 4.500 | 04/03/20 | 1,134,600 | |||||||||||
Ukraine Government Bond | ||||||||||||||
565,000 | 7.750 | 09/01/27 | 605,715 | |||||||||||
United Mexican States(a) | ||||||||||||||
370,000 | 2.659 | 05/24/31 | 355,038 | |||||||||||
|
| |||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $12,230,555) | $ | 12,008,840 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Exchange Traded Fund – 3.5% | ||||||||
66,400 | iShares iBoxx High Yield Corporate Bond ETF | $ | 5,806,016 | |||||
(Cost $5,410,211) | ||||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||
Preferred Stocks – 0.4% | ||||||
Auto Manufacturers – 0.4% | ||||||
Volkswagen AG |
| |||||
2,544 | 3.000% | $ | 662,354 | |||
(Cost $482,491) | ||||||
| ||||||
Investment Company(i) – 26.9% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
45,036,815 | 0.026% | $ | 45,036,815 | |||
(Cost $45,036,815) | ||||||
| ||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT – 100.4% | ||||||
(Cost $155,356,129) | $ | 168,070,549 | ||||
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-term Investments(j) – 2.9% | ||||||||||||||
U.S. Treasury Obligation – 2.9% | ||||||||||||||
United States Cash Management Bills | ||||||||||||||
$ | 755,000 | 0.000 | % | 05/04/21 | $ | 755,000 | ||||||||
120,000 | 0.000 | 05/11/21 | 120,000 | |||||||||||
83,300 | 0.000 | 06/08/21 | 83,299 | |||||||||||
230,000 | 0.000 | (d) | 07/13/21 | 229,996 | ||||||||||
United States Treasury Bill – When issued | ||||||||||||||
32,400 | 0.000 | 06/29/21 | 32,399 | |||||||||||
|
| |||||||||||||
Short-term Investments(j) – (continued) | ||||||||||||||
U.S. Treasury Obligation – (continued) | ||||||||||||||
United States Treasury Bills | ||||||||||||||
345,000 | 0.000 | 05/04/21 | 345,000 | |||||||||||
110,000 | 0.000 | 05/06/21 | 110,000 | |||||||||||
280,000 | 0.000 | (d) | 05/13/21 | 280,000 | ||||||||||
172,900 | 0.000 | 05/18/21 | 172,900 | |||||||||||
90,000 | 0.000 | (d) | 05/27/21 | 90,000 | ||||||||||
140,000 | 0.000 | (d) | 06/01/21 | 139,999 | ||||||||||
20,000 | 0.000 | 06/08/21 | 20,000 | |||||||||||
130,000 | 0.000 | 06/15/21 | 129,999 | |||||||||||
440,000 | 0.000 | 06/22/21 | 439,994 | |||||||||||
160,000 | 0.000 | (d) | 09/02/21 | 159,990 | ||||||||||
610,000 | 0.000 | 10/14/21 | 609,931 | |||||||||||
747,000 | 0.000 | 10/21/21 | 746,920 | |||||||||||
460,000 | 0.000 | 10/28/21 | 459,932 | |||||||||||
|
| |||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||
(Cost $4,925,198) | $ | 4,925,359 | ||||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT POSITIONS – 103.3% | |||||||||||||
(Cost $160,281,327) | $ | 172,995,908 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks Sold Short – (4.5)% | ||||||||
Capital Markets – (0.5)% | ||||||||
2,303 | S&P Global, Inc. | $ | (899,068 | ) | ||||
|
| |||||||
Electronic Equipment, Instruments & Components – (0.1)% | ||||||||
1,335 | II-VI, Inc. | (89,632 | ) | |||||
|
| |||||||
Insurance – (0.4)% | ||||||||
2,837 | Aon PLC Class A | (713,335 | ) | |||||
|
| |||||||
Internet & Direct Marketing Retail(b) – (0.6)% | ||||||||
9,857 | Just Eat Takeaway.com NV | (1,018,457 | ) | |||||
|
| |||||||
Life Sciences Tools & Services – (0.3)% | ||||||||
2,324 | ICON PLC | (504,192 | ) | |||||
|
| |||||||
Machinery – (0.1)% | ||||||||
1,082 | The Middleby Corp. | (196,188 | ) | |||||
|
| |||||||
Pharmaceuticals – (0.6)% | ||||||||
15,948 | AstraZeneca PLC ADR | (846,361 | ) | |||||
588 | Jazz Pharmaceuticals PLC | (96,667 | ) | |||||
|
| |||||||
(943,028 | ) | |||||||
|
| |||||||
Road & Rail – (0.1)% | ||||||||
331 | Canadian Pacific Railway Ltd. | (123,506 | ) | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment – (1.4)% | ||||||||
11,057 | Advanced Micro Devices, Inc. | (902,472 | ) | |||||
9,440 | Analog Devices, Inc. | (1,445,831 | ) | |||||
|
| |||||||
(2,348,303 | ) | |||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Shares | Description | Value | ||||||
Common Stocks Sold Short – (continued) | ||||||||
Software – (0.4)% | ||||||||
3,096 | Salesforce.com, Inc. | $ | (713,071 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | ||||||||
(Cost $(7,149,146)) | $ | (7,548,780 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT – (4.5)% | ||||||||
(Cost $(7,149,146)) | $ | (7,548,780 | ) | |||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% | 1,960,925 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 167,408,053 | ||||||
|
|
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) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(c) | 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 $14,077,577, which represents approximately 8.4% of net assets as of April 30, 2021. | |
(d) | All or a portion of security is segregated as collateral for options. | |
(e) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(f) | 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 April 30, 2021. | |
(g) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(h) | Actual maturity date is April 03, 2120. | |
(i) | Represents an affiliated issuer. | |
(j) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| ||
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CNH | —Chinese Yuan Renminbi Offshore | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
ILS | —Israeli Shekel | |
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 | |
TRY | —Turkish Lira | |
TWD | —Taiwan Dollar | |
USD | —U.S. Dollar | |
ZAR | —South African Rand |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CLO | —Collateralized Loan Obligation | |
ETF | —Exchange Traded Fund | |
FHLMC | —Federal Home Loan Mortgage Corp. | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
LLC | —Limited Liability Company | |
PLC | —Public Limited Company | |
REMIC | —Real Estate Mortgage Investment Conduit | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2021, 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 | AUD | 600,000 | JPY | 50,171,480 | 05/21/21 | $ | 3,116 | |||||||||||||
AUD | 1,100,000 | USD | 840,423 | 05/21/21 | 7,043 | |||||||||||||||
CAD | 559,642 | EUR | 375,000 | 05/21/21 | 4,292 | |||||||||||||||
CAD | 1,600,000 | JPY | 139,261,020 | 05/21/21 | 27,329 | |||||||||||||||
CAD | 7,100,000 | USD | 5,676,146 | 05/21/21 | 100,426 | |||||||||||||||
CAD | 1,000 | USD | 798 | 06/18/21 | 16 | |||||||||||||||
CHF | 159,410 | GBP | 125,000 | 05/21/21 | 2,010 | |||||||||||||||
CHF | 1,250,000 | USD | 1,359,257 | 05/21/21 | 10,242 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
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 (continued) | CLP | 73,003,000 | USD | 100,000 | 05/03/21 | $ | 2,715 | |||||||||||||
CLP | 71,807,000 | USD | 100,000 | 05/10/21 | 1,028 | |||||||||||||||
CNH | 20,239,610 | USD | 3,100,000 | 05/21/21 | 21,831 | |||||||||||||||
EUR | 125,000 | AUD | 193,493 | 05/21/21 | 1,273 | |||||||||||||||
EUR | 1,300,000 | GBP | 1,123,577 | 05/21/21 | 11,797 | |||||||||||||||
EUR | 2,400,000 | JPY | 312,835,976 | 05/21/21 | 23,728 | |||||||||||||||
EUR | 1,375,000 | USD | 1,646,429 | 05/21/21 | 7,362 | |||||||||||||||
EUR | 596,000 | USD | 707,624 | 06/18/21 | 9,650 | |||||||||||||||
GBP | 125,000 | AUD | 223,861 | 05/21/21 | 171 | |||||||||||||||
GBP | 750,000 | JPY | 112,653,973 | 05/21/21 | 4,892 | |||||||||||||||
GBP | 1,312,500 | USD | 1,806,084 | 05/21/21 | 6,626 | |||||||||||||||
GBP | 22,000 | USD | 30,260 | 06/18/21 | 128 | |||||||||||||||
HUF | 36,077,496 | EUR | 100,000 | 05/21/21 | 178 | |||||||||||||||
HUF | 30,082,418 | USD | 100,000 | 05/21/21 | 438 | |||||||||||||||
ILS | 329,317 | USD | 100,000 | 05/21/21 | 1,399 | |||||||||||||||
JPY | 118,297,900 | AUD | 1,400,000 | 05/21/21 | 3,997 | |||||||||||||||
JPY | 13,175,423 | EUR | 100,000 | 05/21/21 | 298 | |||||||||||||||
JPY | 37,858,528 | GBP | 250,000 | 05/06/21 | 1,151 | |||||||||||||||
JPY | 31,350,500 | NZD | 400,000 | 05/21/21 | 685 | |||||||||||||||
JPY | 112,500,000 | USD | 1,027,400 | 05/21/21 | 2,133 | |||||||||||||||
KRW | 112,493,000 | USD | 100,000 | 05/13/21 | 629 | |||||||||||||||
KRW | 112,177,789 | USD | 100,000 | 05/17/21 | 346 | |||||||||||||||
NOK | 849,604 | USD | 100,000 | 05/21/21 | 2,070 | |||||||||||||||
NZD | 800,000 | JPY | 61,971,545 | 05/21/21 | 5,305 | |||||||||||||||
NZD | 800,000 | USD | 562,819 | 05/21/21 | 9,612 | |||||||||||||||
PLN | 456,466 | EUR | 100,000 | 05/21/21 | 106 | |||||||||||||||
RUB | 22,994,150 | USD | 300,000 | 05/21/21 | 4,955 | |||||||||||||||
SEK | 856,684 | USD | 100,000 | 05/21/21 | 1,215 | |||||||||||||||
SGD | 133,621 | USD | 100,000 | 05/21/21 | 403 | |||||||||||||||
TRY | 840,589 | USD | 100,000 | 05/21/21 | 457 | |||||||||||||||
TWD | 2,840,900 | USD | 100,000 | 05/03/21 | 1,725 | |||||||||||||||
TWD | 2,843,400 | USD | 100,000 | 05/07/21 | 1,843 | |||||||||||||||
TWD | 2,807,000 | USD | 100,000 | 05/14/21 | 604 | |||||||||||||||
TWD | 2,826,095 | USD | 100,000 | 05/20/21 | 1,345 | |||||||||||||||
TWD | 2,796,213 | USD | 100,000 | 05/24/21 | 311 | |||||||||||||||
USD | 2,559,792 | AUD | 3,300,000 | 05/21/21 | 17,391 | |||||||||||||||
USD | 43,308 | AUD | 56,000 | 06/18/21 | 160 | |||||||||||||||
USD | 814 | CAD | 1,000 | 06/18/21 | 1 | |||||||||||||||
USD | 686,815 | CHF | 625,000 | 05/21/21 | 2,066 | |||||||||||||||
USD | 1,685 | CLP | 1,188,000 | 05/03/21 | 13 | |||||||||||||||
USD | 100,000 | CLP | 70,949,000 | 05/10/21 | 179 | |||||||||||||||
USD | 100,000 | CLP | 69,444,000 | 05/17/21 | 2,302 | |||||||||||||||
USD | 100,000 | CLP | 69,489,000 | 05/19/21 | 2,240 | |||||||||||||||
USD | 200,000 | CLP | 140,536,000 | 05/24/21 | 2,295 | |||||||||||||||
USD | 100,000 | CLP | 70,627,644 | 05/26/21 | 643 | |||||||||||||||
USD | 600,000 | CNH | 3,878,442 | 05/06/21 | 1,137 | |||||||||||||||
USD | 1,509,261 | EUR | 1,250,000 | 05/21/21 | 5,815 | |||||||||||||||
USD | 118,514 | EUR | 98,000 | 06/18/21 | 574 | |||||||||||||||
USD | 2,259,613 | GBP | 1,625,000 | 05/21/21 | 15,305 | |||||||||||||||
USD | 293,232 | GBP | 211,000 | 06/18/21 | 1,793 | |||||||||||||||
USD | 100,000 | HUF | 29,858,450 | 05/21/21 | 310 | |||||||||||||||
USD | 1,379,348 | JPY | 150,000,000 | 05/21/21 | 6,638 | |||||||||||||||
USD | 54,127 | JPY | 5,876,000 | 06/18/21 | 340 |
10 | 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 GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Deutsche Bank AG (continued) | USD | 100,000 | KRW | 111,611,000 | 05/17/21 | $ | 161 | |||||||||||||
USD | 100,000 | KRW | 111,251,811 | 06/04/21 | 485 | |||||||||||||||
USD | 1,243,158 | MXN | 25,000,000 | 05/21/21 | 11,950 | |||||||||||||||
USD | 100,000 | NOK | 830,367 | 05/21/21 | 241 | |||||||||||||||
USD | 71,809 | NZD | 100,000 | 05/21/21 | 255 | |||||||||||||||
USD | 100,000 | TRY | 824,320 | 05/21/21 | 1,487 | |||||||||||||||
USD | 100,000 | TWD | 2,773,400 | 05/24/21 | 508 | |||||||||||||||
ZAR | 1,462,190 | USD | 100,000 | 05/21/21 | 521 | |||||||||||||||
TOTAL | $ | 361,690 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Deutsche Bank AG | AUD | 388,340 | EUR | 250,000 | 05/21/21 | $ | (1,502 | ) | ||||||||||||
AUD | 222,738 | GBP | 125,000 | 05/21/21 | (1,037 | ) | ||||||||||||||
AUD | 1,000,000 | JPY | 84,510,500 | 05/06/21 | (2,934 | ) | ||||||||||||||
AUD | 800,000 | JPY | 67,465,040 | 05/21/21 | (1,060 | ) | ||||||||||||||
AUD | 2,100,000 | USD | 1,631,212 | 05/21/21 | (13,319 | ) | ||||||||||||||
AUD | 3,000 | USD | 2,325 | 06/18/21 | (12 | ) | ||||||||||||||
CAD | 200,000 | USD | 162,840 | 05/21/21 | (119 | ) | ||||||||||||||
CLP | 70,945,000 | USD | 100,000 | 05/17/21 | (190 | ) | ||||||||||||||
CLP | 70,200,556 | USD | 100,000 | 05/19/21 | (1,239 | ) | ||||||||||||||
CLP | 138,927,000 | USD | 200,000 | 05/24/21 | (4,559 | ) | ||||||||||||||
CLP | 70,268,000 | USD | 100,000 | 05/26/21 | (1,149 | ) | ||||||||||||||
CLP | 70,267,000 | USD | 100,000 | 05/28/21 | (1,152 | ) | ||||||||||||||
CNH | 3,881,814 | USD | 600,000 | 05/21/21 | (1,255 | ) | ||||||||||||||
EUR | 125,000 | AUD | 195,233 | 05/21/21 | (67 | ) | ||||||||||||||
EUR | 125,000 | CAD | 187,321 | 05/21/21 | (2,060 | ) | ||||||||||||||
EUR | 100,000 | HUF | 36,109,740 | 05/21/21 | (286 | ) | ||||||||||||||
EUR | 100,000 | JPY | 13,173,386 | 05/06/21 | (304 | ) | ||||||||||||||
EUR | 100,000 | PLN | 458,614 | 05/21/21 | (672 | ) | ||||||||||||||
EUR | 1,375,000 | USD | 1,659,857 | 05/21/21 | (6,066 | ) | ||||||||||||||
EUR | 87,000 | USD | 105,279 | 06/18/21 | (577 | ) | ||||||||||||||
GBP | 125,000 | CHF | 158,891 | 05/21/21 | (1,442 | ) | ||||||||||||||
GBP | 1,213,104 | EUR | 1,400,000 | 05/21/21 | (8,428 | ) | ||||||||||||||
GBP | 375,000 | JPY | 56,754,401 | 05/21/21 | (1,465 | ) | ||||||||||||||
GBP | 1,187,500 | USD | 1,655,573 | 05/21/21 | (15,502 | ) | ||||||||||||||
GBP | 595,000 | USD | 827,064 | 06/18/21 | (5,230 | ) | ||||||||||||||
JPY | 66,846,040 | AUD | 800,000 | 05/21/21 | (4,606 | ) | ||||||||||||||
JPY | 17,716,880 | CAD | 200,000 | 05/06/21 | (599 | ) | ||||||||||||||
JPY | 121,673,940 | CAD | 1,400,000 | 05/21/21 | (25,554 | ) | ||||||||||||||
JPY | 195,571,293 | EUR | 1,500,000 | 05/21/21 | (14,382 | ) | ||||||||||||||
JPY | 112,464,316 | GBP | 750,000 | 05/21/21 | (6,629 | ) | ||||||||||||||
JPY | 30,909,040 | NZD | 400,000 | 05/21/21 | (3,355 | ) | ||||||||||||||
JPY | 37,500,000 | USD | 344,651 | 05/06/21 | (1,514 | ) | ||||||||||||||
JPY | 175,000,000 | USD | 1,620,793 | 05/21/21 | (19,298 | ) | ||||||||||||||
JPY | 771,000 | USD | 7,117 | 06/18/21 | (60 | ) | ||||||||||||||
KRW | 111,785,789 | USD | 100,000 | 05/12/21 | (3 | ) | ||||||||||||||
KRW | 111,594,000 | USD | 100,000 | 05/14/21 | (175 | ) | ||||||||||||||
KRW | 111,402,759 | USD | 100,000 | 05/28/21 | (350 | ) | ||||||||||||||
KRW | 110,690,189 | USD | 100,000 | 06/03/21 | (988 | ) |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
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 (continued) | MXN | 19,500,000 | USD | 967,182 | 05/21/21 | $ | (6,841 | ) | ||||||||||||
NZD | 500,000 | USD | 360,035 | 05/21/21 | (2,265 | ) | ||||||||||||||
RUB | 7,508,520 | USD | 100,000 | 05/21/21 | (420 | ) | ||||||||||||||
TWD | 4,600 | USD | 165 | 05/03/21 | — | |||||||||||||||
TWD | 2,771,600 | USD | 100,000 | 05/27/21 | (545 | ) | ||||||||||||||
USD | 304,653 | AUD | 400,000 | 05/21/21 | (3,518 | ) | ||||||||||||||
USD | 242,467 | AUD | 318,000 | 06/18/21 | (2,559 | ) | ||||||||||||||
USD | 5,105,771 | CAD | 6,400,000 | 05/21/21 | (101,277 | ) | ||||||||||||||
USD | 829,838 | CAD | 1,040,000 | 06/18/21 | (16,370 | ) | ||||||||||||||
USD | 816,893 | CHF | 750,000 | 05/21/21 | (4,806 | ) | ||||||||||||||
USD | 100,000 | CLP | 71,815,000 | 05/03/21 | (1,043 | ) | ||||||||||||||
USD | 2,900,000 | CNH | 18,998,932 | 05/21/21 | (30,463 | ) | ||||||||||||||
USD | 1,341,570 | EUR | 1,125,000 | 05/21/21 | (11,532 | ) | ||||||||||||||
USD | 2,896,098 | EUR | 2,428,000 | 06/18/21 | (25,941 | ) | ||||||||||||||
USD | 1,720,561 | GBP | 1,250,000 | 05/21/21 | (5,830 | ) | ||||||||||||||
USD | 139,977 | GBP | 102,000 | 06/18/21 | (910 | ) | ||||||||||||||
USD | 100,000 | ILS | 328,121 | 05/21/21 | (1,031 | ) | ||||||||||||||
USD | 912,696 | JPY | 100,000,000 | 05/21/21 | (2,445 | ) | ||||||||||||||
USD | 100,000 | KRW | 112,525,000 | 05/12/21 | (658 | ) | ||||||||||||||
USD | 100,000 | KRW | 112,017,211 | 05/13/21 | (203 | ) | ||||||||||||||
USD | 100,000 | KRW | 112,452,211 | 05/14/21 | (592 | ) | ||||||||||||||
USD | 100,000 | NOK | 850,351 | 05/21/21 | (2,160 | ) | ||||||||||||||
USD | 704,995 | NZD | 1,000,000 | 05/21/21 | (10,545 | ) | ||||||||||||||
USD | 200,000 | RUB | 15,437,500 | 05/21/21 | (4,737 | ) | ||||||||||||||
USD | 100,000 | SGD | 134,206 | 05/21/21 | (842 | ) | ||||||||||||||
USD | 100,000 | TRY | 840,330 | 05/21/21 | (426 | ) | ||||||||||||||
USD | 100,000 | TWD | 2,845,500 | 05/03/21 | (1,890 | ) | ||||||||||||||
USD | 100,000 | TWD | 2,839,400 | 05/07/21 | (1,700 | ) | ||||||||||||||
USD | 100,000 | TWD | 2,841,700 | 05/14/21 | (1,848 | ) | ||||||||||||||
USD | 100,000 | TWD | 2,805,900 | 05/20/21 | (621 | ) | ||||||||||||||
USD | 100,000 | TWD | 2,802,805 | 05/27/21 | (575 | ) | ||||||||||||||
USD | 100,000 | ZAR | 1,474,015 | 05/21/21 | (1,334 | ) | ||||||||||||||
TOTAL | $ | (395,066 | ) |
FUTURES CONTRACTS — At April 30, 2021, 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 | 10 | 06/08/21 | $ | 2,043,824 | $ | (999 | ) | |||||||||
10 Year U.S. Treasury Notes | 20 | 06/21/21 | 2,640,625 | (8,298 | ) | |||||||||||
2 Year U.S. Treasury Notes | 1 | 06/30/21 | 220,758 | (1 | ) | |||||||||||
20 Year U.S. Treasury Bonds | 3 | 06/21/21 | 471,750 | (847 | ) | |||||||||||
5 Year German Euro-Bobl | 1 | 06/08/21 | 161,979 | (48 | ) | |||||||||||
5 Year U.S. Treasury Notes | 11 | 06/30/21 | 1,363,312 | (524 | ) | |||||||||||
Amsterdam Exchanges Index | 1 | 05/21/21 | 169,303 | (2,463 | ) | |||||||||||
Brent Crude | 1 | 06/30/21 | 66,280 | 1,479 | ||||||||||||
CAC40 Index | 5 | 05/21/21 | 373,659 | 508 | ||||||||||||
CHF/USD Futures | 1 | 06/14/21 | 137,000 | (64 | ) | |||||||||||
Coffee | 1 | 07/20/21 | 53,044 | (246 | ) |
12 | 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) | ||||||||||||||||
Copper | 1 | 05/04/21 | $ | 247,225 | $ | 37,357 | ||||||||||
Copper | 1 | 05/10/21 | 245,781 | 41,891 | ||||||||||||
Copper | 1 | 05/21/21 | 245,650 | 18,229 | ||||||||||||
Copper | 1 | 05/24/21 | 245,625 | 19,922 | ||||||||||||
Copper | 2 | 05/25/21 | 491,262 | 15,656 | ||||||||||||
Copper | 1 | 06/01/21 | 245,694 | 17,540 | ||||||||||||
Copper | 1 | 06/08/21 | 245,732 | 23,362 | ||||||||||||
Copper | 1 | 06/17/21 | 245,612 | 19,606 | ||||||||||||
Copper | 2 | 06/18/21 | 491,219 | 41,739 | ||||||||||||
Copper | 1 | 06/23/21 | 245,601 | 21,550 | ||||||||||||
Copper | 1 | 06/24/21 | 245,598 | 21,547 | ||||||||||||
Copper | 3 | 06/25/21 | 736,787 | 66,977 | ||||||||||||
Copper | 1 | 06/30/21 | 245,587 | 21,334 | ||||||||||||
Copper | 2 | 07/06/21 | 491,220 | 42,715 | ||||||||||||
Copper | 1 | 07/08/21 | 245,617 | 20,590 | ||||||||||||
Copper | 2 | 07/09/21 | 491,242 | 33,057 | ||||||||||||
Copper | 1 | 07/13/21 | 245,636 | 20,646 | ||||||||||||
Copper | 2 | 07/14/21 | 491,280 | 41,624 | ||||||||||||
Copper | 1 | 07/15/21 | 245,644 | 13,503 | ||||||||||||
Copper | 1 | 07/16/21 | 245,637 | 11,230 | ||||||||||||
Copper | 1 | 07/29/21 | 245,616 | (1,306 | ) | |||||||||||
Corn | 2 | 07/14/21 | 67,325 | 4,346 | ||||||||||||
Corn | 1 | 09/14/21 | 29,613 | 923 | ||||||||||||
DAX Index | 2 | 06/18/21 | 911,786 | (5,112 | ) | |||||||||||
E-Mini Consumer Staples Select Sector Futures | 1 | 06/18/21 | 69,760 | (761 | ) | |||||||||||
Euro Buxl 30 Year Bonds | 2 | 06/08/21 | 485,468 | (3,728 | ) | |||||||||||
French 10 Year Government Bonds | 3 | 06/08/21 | 578,847 | (510 | ) | |||||||||||
FTSE China A50 Index | 14 | 05/28/21 | 241,878 | 1,111 | ||||||||||||
Gasoline RBOB | 2 | 05/28/21 | 174,409 | (1,335 | ) | |||||||||||
Hang Seng Mini Index Futures | 1 | 05/28/21 | 36,729 | (901 | ) | |||||||||||
Italian 10 Year Government Bonds | 4 | 06/08/21 | 707,356 | (903 | ) | |||||||||||
KFF US Dollar Futures | 10 | 05/17/21 | 99,978 | (143 | ) | |||||||||||
Korea 10 Year Bonds | 4 | 06/15/21 | 451,117 | (2,732 | ) | |||||||||||
Lead | 1 | 06/08/21 | 53,713 | 3,972 | ||||||||||||
Lead | 1 | 06/09/21 | 53,719 | 4,201 | ||||||||||||
Lead | 1 | 06/22/21 | 53,754 | 4,867 | ||||||||||||
Lead | 2 | 06/25/21 | 107,514 | 9,658 | ||||||||||||
Lead | 1 | 06/29/21 | 53,762 | 4,796 | ||||||||||||
Lead | 1 | 06/30/21 | 53,763 | 4,560 | ||||||||||||
Lead | 1 | 07/06/21 | 53,784 | 5,094 | ||||||||||||
Lead | 4 | 07/07/21 | 215,150 | 17,847 | ||||||||||||
Lead | 1 | 07/08/21 | 53,791 | 3,975 | ||||||||||||
Lead | 1 | 07/09/21 | 53,795 | 4,312 | ||||||||||||
Lead | 1 | 07/12/21 | 53,805 | 2,579 | ||||||||||||
Lead | 3 | 07/16/21 | 161,459 | 8,451 | ||||||||||||
Lead | 1 | 07/20/21 | 53,834 | 2,568 | ||||||||||||
Lead | 1 | 07/21/21 | 53,838 | 2,566 | ||||||||||||
Lead | 1 | 07/22/21 | 53,825 | 2,597 | ||||||||||||
Natural Gas | 1 | 05/25/21 | 7,328 | (61 | ) | |||||||||||
Nickel | 2 | 05/17/21 | 211,809 | (12,327 | ) | |||||||||||
Nickel | 1 | 05/18/21 | 105,902 | (11,178 | ) |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
Nickel | 1 | 05/19/21 | $ | 105,900 | $ | (11,156 | ) | |||||||||
Nickel | 1 | 05/25/21 | 105,915 | (5,569 | ) | |||||||||||
Nickel | 1 | 05/26/21 | 105,918 | (5,745 | ) | |||||||||||
Nickel | 1 | 06/11/21 | 105,969 | 7,926 | ||||||||||||
Nickel | 1 | 06/23/21 | 105,986 | 6,233 | ||||||||||||
Nickel | 2 | 06/25/21 | 211,981 | 17,421 | ||||||||||||
Nickel | 1 | 07/06/21 | 106,016 | 6,246 | ||||||||||||
Nickel | 1 | 07/07/21 | 106,018 | 5,515 | ||||||||||||
Nickel | 2 | 07/16/21 | 212,077 | 15,511 | ||||||||||||
Nickel | 1 | 07/20/21 | 106,048 | 8,662 | ||||||||||||
Nickel | 1 | 07/29/21 | 106,044 | 741 | ||||||||||||
Primary Aluminum | 1 | 05/05/21 | 60,188 | 9,872 | ||||||||||||
Primary Aluminum | 3 | 05/07/21 | 180,506 | 28,197 | ||||||||||||
Primary Aluminum | 4 | 05/10/21 | 240,600 | 31,215 | ||||||||||||
Primary Aluminum | 1 | 05/11/21 | 60,131 | 7,955 | ||||||||||||
Primary Aluminum | 1 | 05/17/21 | 59,813 | 7,735 | ||||||||||||
Primary Aluminum | 1 | 05/26/21 | 59,667 | 5,515 | ||||||||||||
Primary Aluminum | 1 | 06/03/21 | 59,700 | 4,710 | ||||||||||||
Primary Aluminum | 3 | 06/11/21 | 179,200 | 11,746 | ||||||||||||
Primary Aluminum | 1 | 06/16/21 | 59,738 | 4,672 | ||||||||||||
Primary Aluminum | 3 | 06/17/21 | 179,212 | 9,421 | ||||||||||||
Primary Aluminum | 1 | 06/18/21 | 59,738 | 4,147 | ||||||||||||
Primary Aluminum | 3 | 06/23/21 | 179,328 | 7,265 | ||||||||||||
Primary Aluminum | 1 | 06/24/21 | 59,784 | 4,188 | ||||||||||||
Primary Aluminum | 4 | 06/25/21 | 239,165 | 14,416 | ||||||||||||
Primary Aluminum | 1 | 06/29/21 | 59,822 | 2,760 | ||||||||||||
Primary Aluminum | 1 | 07/01/21 | 59,838 | 3,985 | ||||||||||||
Primary Aluminum | 3 | 07/06/21 | 179,567 | 8,409 | ||||||||||||
Primary Aluminum | 1 | 07/07/21 | 59,860 | 3,419 | ||||||||||||
Primary Aluminum | 1 | 07/08/21 | 59,863 | 2,985 | ||||||||||||
Primary Aluminum | 1 | 07/09/21 | 59,867 | 3,014 | ||||||||||||
Primary Aluminum | 1 | 07/28/21 | 59,919 | 3 | ||||||||||||
Primary Aluminum | 1 | 07/29/21 | 59,922 | (78 | ) | |||||||||||
S&P Toronto Stock Exchange 60 Index | 2 | 06/17/21 | 369,491 | (3,110 | ) | |||||||||||
SET 50 Index | 10 | 06/29/21 | 61,373 | 84 | ||||||||||||
Soybean | 3 | 07/14/21 | 190,859 | 2,426 | ||||||||||||
Tin | 1 | 06/11/21 | 148,600 | 18,897 | ||||||||||||
Tin | 1 | 06/25/21 | 146,679 | 19,389 | ||||||||||||
Tin | 1 | 07/01/21 | 146,262 | 18,210 | ||||||||||||
Topix Index | 1 | 06/10/21 | 173,987 | (1,465 | ) | |||||||||||
Ultra Long U.S. Treasury Bonds | 3 | 06/21/21 | 557,719 | (4,753 | ) | |||||||||||
Wheat | 9 | 07/14/21 | 328,850 | 6,954 | ||||||||||||
WIG20 Index | 1 | 06/18/21 | 10,733 | (44 | ) | |||||||||||
Zinc | 1 | 05/10/21 | 72,865 | 5,937 | ||||||||||||
Zinc | 1 | 05/12/21 | 72,879 | 2,877 | ||||||||||||
Zinc | 1 | 05/17/21 | 72,905 | 240 | ||||||||||||
Zinc | 1 | 06/18/21 | 73,025 | 3,022 | ||||||||||||
Zinc | 1 | 06/22/21 | 73,040 | 1,287 | ||||||||||||
Zinc | 1 | 06/29/21 | 73,067 | 2,268 | ||||||||||||
Zinc | 1 | 06/30/21 | 73,071 | 2,518 |
14 | 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) | ||||||||||||||||
Zinc | 1 | 07/06/21 | $ | 73,115 | $ | 2,295 | ||||||||||
Zinc | 3 | 07/08/21 | 219,394 | 7,636 | ||||||||||||
Zinc | 1 | 07/19/21 | 73,163 | 911 | ||||||||||||
Zinc | 1 | 07/23/21 | 73,127 | 1,886 | ||||||||||||
Zinc | 1 | 07/29/21 | 73,150 | 167 | ||||||||||||
Total | $ | 894,966 | ||||||||||||||
Short position contracts: | ||||||||||||||||
10 Year U.K. Long Gilt | (3 | ) | 06/28/21 | (528,956 | ) | 924 | ||||||||||
2 Year German Euro-Schatz | (5 | ) | 06/08/21 | (673,741 | ) | 64 | ||||||||||
BIST 30 Index | (1 | ) | 06/30/21 | (1,786 | ) | — | ||||||||||
Brent Crude | (5 | ) | 05/28/21 | (333,800 | ) | 365 | ||||||||||
Canada 10 Year Government Bonds | (3 | ) | 06/21/21 | (340,137 | ) | (743 | ) | |||||||||
Cattle Feeder | (1 | ) | 08/26/21 | (73,375 | ) | 2,098 | ||||||||||
CBOE Volatility Index | (5 | ) | 05/19/21 | (102,190 | ) | (3,799 | ) | |||||||||
CBOE Volatility Index | (20 | ) | 06/16/21 | (444,782 | ) | (6,046 | ) | |||||||||
Cocoa | (2 | ) | 07/15/21 | (44,387 | ) | 992 | ||||||||||
Copper | (1 | ) | 05/04/21 | (247,225 | ) | (52,141 | ) | |||||||||
Copper | (1 | ) | 05/10/21 | (245,781 | ) | (35,982 | ) | |||||||||
Copper | (1 | ) | 05/21/21 | (245,650 | ) | (18,291 | ) | |||||||||
Copper | (1 | ) | 05/24/21 | (245,625 | ) | (18,216 | ) | |||||||||
Copper | (2 | ) | 05/25/21 | (491,263 | ) | (40,858 | ) | |||||||||
Copper | (1 | ) | 06/01/21 | (245,694 | ) | (18,522 | ) | |||||||||
Copper | (1 | ) | 06/08/21 | (245,732 | ) | (19,721 | ) | |||||||||
Copper | (1 | ) | 06/17/21 | (245,613 | ) | (20,890 | ) | |||||||||
Copper | (2 | ) | 06/18/21 | (491,220 | ) | (43,949 | ) | |||||||||
Copper | (1 | ) | 06/23/21 | (245,602 | ) | (18,942 | ) | |||||||||
Copper | (1 | ) | 06/24/21 | (245,599 | ) | (21,277 | ) | |||||||||
Copper | (3 | ) | 06/25/21 | (736,787 | ) | (68,475 | ) | |||||||||
Copper | (1 | ) | 06/30/21 | (245,588 | ) | (24,966 | ) | |||||||||
Copper | (2 | ) | 07/06/21 | (491,220 | ) | (41,558 | ) | |||||||||
Copper | (1 | ) | 07/08/21 | (245,618 | ) | (21,369 | ) | |||||||||
Copper | (2 | ) | 07/09/21 | (491,243 | ) | (43,741 | ) | |||||||||
Copper | (1 | ) | 07/13/21 | (245,636 | ) | (23,177 | ) | |||||||||
Copper | (2 | ) | 07/14/21 | (491,280 | ) | (9,946 | ) | |||||||||
Copper | (1 | ) | 07/15/21 | (245,644 | ) | (11,245 | ) | |||||||||
Copper | (1 | ) | 07/16/21 | (245,638 | ) | (12,090 | ) | |||||||||
Crude Oil | (9 | ) | 05/20/21 | (572,220 | ) | (876 | ) | |||||||||
Crude Oil | (1 | ) | 07/15/21 | (23,606 | ) | 298 | ||||||||||
E-mini Russell 2000 Index | (3 | ) | 06/18/21 | (339,225 | ) | 1,056 | ||||||||||
Euro Stoxx 50 Index | (4 | ) | 06/18/21 | (189,475 | ) | 1,202 | ||||||||||
FTSE/MIB Index | (1 | ) | 06/18/21 | (143,735 | ) | 744 | ||||||||||
FTSE/MIB Index | (1 | ) | 06/18/21 | (28,747 | ) | (8 | ) | |||||||||
Gold 100 Oz | (2 | ) | 06/28/21 | (353,540 | ) | (653 | ) | |||||||||
H-Shares Index | (6 | ) | 05/28/21 | (415,873 | ) | 1,573 | ||||||||||
Hang Seng Index | (5 | ) | 05/28/21 | (918,220 | ) | 3,751 | ||||||||||
Japan 10 Year Government Bonds | (7 | ) | 06/14/21 | (9,693,293 | ) | 6,670 | ||||||||||
Korea 3 Year Bonds | (1 | ) | 06/15/21 | (99,609 | ) | (11 | ) | |||||||||
Kospi 200 Index | (22 | ) | 06/10/21 | (2,087,068 | ) | 17,176 | ||||||||||
Lead | (1 | ) | 06/08/21 | (53,712 | ) | (4,303 | ) |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Lead | (1 | ) | 06/09/21 | $ | (53,719 | ) | $ | (4,917 | ) | |||||||
Lead | (2 | ) | 06/14/21 | (87,780 | ) | (1,664 | ) | |||||||||
Lead | (1 | ) | 06/22/21 | (53,754 | ) | (4,432 | ) | |||||||||
Lead | (2 | ) | 06/25/21 | (107,515 | ) | (10,269 | ) | |||||||||
Lead | (1 | ) | 06/29/21 | (53,761 | ) | (4,670 | ) | |||||||||
Lead | (1 | ) | 06/30/21 | (53,762 | ) | (4,353 | ) | |||||||||
Lead | (1 | ) | 07/06/21 | (53,784 | ) | (4,661 | ) | |||||||||
Lead | (4 | ) | 07/07/21 | (215,150 | ) | (12,632 | ) | |||||||||
Lead | (1 | ) | 07/08/21 | (53,791 | ) | (2,847 | ) | |||||||||
Lead | (1 | ) | 07/09/21 | (53,795 | ) | (4,523 | ) | |||||||||
Lead | (1 | ) | 07/12/21 | (53,805 | ) | (4,246 | ) | |||||||||
Lead | (3 | ) | 07/16/21 | (161,459 | ) | (7,792 | ) | |||||||||
Lead | (1 | ) | 07/20/21 | (53,834 | ) | (2,374 | ) | |||||||||
Lead | (1 | ) | 07/21/21 | (53,837 | ) | (3,666 | ) | |||||||||
Lead | (1 | ) | 07/22/21 | (53,825 | ) | (2,840 | ) | |||||||||
Low Sulphur Gas Oil | (4 | ) | 06/10/21 | (214,000 | ) | (654 | ) | |||||||||
Low Sulphur Gas Oil | (1 | ) | 07/12/21 | (53,625 | ) | 149 | ||||||||||
Mini H-shares Index | (1 | ) | 05/28/21 | (13,862 | ) | 61 | ||||||||||
MSCI Emerging Markets Index | (12 | ) | 06/18/21 | (801,960 | ) | 6,914 | ||||||||||
Nasdaq 100 E-Mini Index | (11 | ) | 06/18/21 | (3,047,000 | ) | 20,414 | ||||||||||
Natural Gas | (1 | ) | 05/26/21 | (29,310 | ) | (332 | ) | |||||||||
Nickel | (2 | ) | 05/17/21 | (211,809 | ) | 21,982 | ||||||||||
Nickel | (1 | ) | 05/18/21 | (105,902 | ) | 8,515 | ||||||||||
Nickel | (1 | ) | 05/19/21 | (105,900 | ) | 10,860 | ||||||||||
Nickel | (1 | ) | 05/25/21 | (105,915 | ) | 10,392 | ||||||||||
Nickel | (1 | ) | 05/26/21 | (105,918 | ) | 5,541 | ||||||||||
Nickel | (1 | ) | 06/11/21 | (105,969 | ) | (8,825 | ) | |||||||||
Nickel | (1 | ) | 06/23/21 | (105,986 | ) | (8,856 | ) | |||||||||
Nickel | (2 | ) | 06/25/21 | (211,981 | ) | (15,960 | ) | |||||||||
Nickel | (1 | ) | 07/06/21 | (106,016 | ) | (5,539 | ) | |||||||||
Nickel | (1 | ) | 07/07/21 | (106,018 | ) | (7,864 | ) | |||||||||
Nickel | (2 | ) | 07/16/21 | (212,077 | ) | (9,629 | ) | |||||||||
Nickel | (1 | ) | 07/20/21 | (106,048 | ) | (9,001 | ) | |||||||||
Nickel | (1 | ) | 07/30/21 | (106,044 | ) | (837 | ) | |||||||||
Nikkei 225 Index | (1 | ) | 06/10/21 | (132,309 | ) | 68 | ||||||||||
OMXS 30 Index | (1 | ) | 05/21/21 | (26,212 | ) | 366 | ||||||||||
Platinum | (2 | ) | 07/28/21 | (120,520 | ) | 402 | ||||||||||
Primary Aluminum | (1 | ) | 05/05/21 | (60,187 | ) | (8,090 | ) | |||||||||
Primary Aluminum | (3 | ) | 05/07/21 | (180,506 | ) | (24,943 | ) | |||||||||
Primary Aluminum | (4 | ) | 05/10/21 | (240,600 | ) | (34,062 | ) | |||||||||
Primary Aluminum | (1 | ) | 05/11/21 | (60,131 | ) | (8,184 | ) | |||||||||
Primary Aluminum | (1 | ) | 05/17/21 | (59,812 | ) | (6,079 | ) | |||||||||
Primary Aluminum | (1 | ) | 05/26/21 | (59,667 | ) | (4,945 | ) | |||||||||
Primary Aluminum | (1 | ) | 06/03/21 | (59,700 | ) | (5,548 | ) | |||||||||
Primary Aluminum | (3 | ) | 06/11/21 | (179,200 | ) | (13,340 | ) | |||||||||
Primary Aluminum | (1 | ) | 06/16/21 | (59,737 | ) | (4,678 | ) | |||||||||
Primary Aluminum | (3 | ) | 06/17/21 | (179,213 | ) | (14,044 | ) | |||||||||
Primary Aluminum | (1 | ) | 06/18/21 | (59,737 | ) | (2,434 | ) | |||||||||
Primary Aluminum | (3 | ) | 06/23/21 | (179,328 | ) | (12,187 | ) | |||||||||
Primary Aluminum | (1 | ) | 06/24/21 | (59,784 | ) | (3,587 | ) | |||||||||
Primary Aluminum | (4 | ) | 06/25/21 | (239,165 | ) | (9,768 | ) |
16 | 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) | ||||||||||||||||
Primary Aluminum | (1 | ) | 06/29/21 | $ | (59,822 | ) | $ | (3,050 | ) | |||||||
Primary Aluminum | (1 | ) | 07/01/21 | (59,837 | ) | (2,876 | ) | |||||||||
Primary Aluminum | (3 | ) | 07/06/21 | (179,567 | ) | (12,621 | ) | |||||||||
Primary Aluminum | (1 | ) | 07/07/21 | (59,859 | ) | (2,806 | ) | |||||||||
Primary Aluminum | (1 | ) | 07/08/21 | (59,863 | ) | (2,858 | ) | |||||||||
Primary Aluminum | (1 | ) | 07/09/21 | (59,867 | ) | (2,802 | ) | |||||||||
Primary Aluminum | (1 | ) | 07/28/21 | (59,919 | ) | 55 | ||||||||||
S&P 500 E-Mini Index | (24 | ) | 06/18/21 | (5,009,280 | ) | 9,163 | ||||||||||
SGX S&P CNX Nifty Index | (2 | ) | 05/27/21 | (58,566 | ) | 102 | ||||||||||
Silver | (4 | ) | 07/28/21 | (517,460 | ) | 3,333 | ||||||||||
Soybean | (1 | ) | 07/14/21 | (42,610 | ) | 18 | ||||||||||
Tin | (1 | ) | 06/11/21 | (148,600 | ) | (18,740 | ) | |||||||||
Tin | (1 | ) | 06/25/21 | (146,679 | ) | (18,707 | ) | |||||||||
Tin | (1 | ) | 07/01/21 | (146,263 | ) | (20,666 | ) | |||||||||
TOCOM Gold Mini | (1 | ) | 02/21/22 | (5,659 | ) | 1 | ||||||||||
Ultra 10 Year U.S. Treasury Notes | (1 | ) | 06/21/21 | (145,547 | ) | 390 | ||||||||||
Zinc | (1 | ) | 05/10/21 | (72,865 | ) | (2,905 | ) | |||||||||
Zinc | (1 | ) | 05/12/21 | (72,879 | ) | (263 | ) | |||||||||
Zinc | (1 | ) | 05/17/21 | (72,905 | ) | (2,120 | ) | |||||||||
Zinc | (1 | ) | 06/18/21 | (73,025 | ) | (2,941 | ) | |||||||||
Zinc | (1 | ) | 06/22/21 | (73,040 | ) | (3,038 | ) | |||||||||
Zinc | (1 | ) | 06/29/21 | (73,067 | ) | (2,233 | ) | |||||||||
Zinc | (1 | ) | 06/30/21 | (73,071 | ) | (4,224 | ) | |||||||||
Zinc | (1 | ) | 07/06/21 | (73,115 | ) | (2,306 | ) | |||||||||
Zinc | (3 | ) | 07/08/21 | (219,394 | ) | (6,981 | ) | |||||||||
Zinc | (1 | ) | 07/19/21 | (73,163 | ) | (1,747 | ) | |||||||||
Zinc | (1 | ) | 07/23/21 | (73,127 | ) | (923 | ) | |||||||||
Zinc | (1 | ) | 07/29/21 | (73,150 | ) | (603 | ) | |||||||||
Zinc | (1 | ) | 07/30/21 | (73,150 | ) | (184 | ) | |||||||||
Total | $ | (857,022 | ) | |||||||||||||
TOTAL FUTURES CONTRACTS | $ | 37,944 |
SWAP CONTRACTS – At April 30, 2021, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
Reference Obligation/ Index(a) | Financing Rate Paid/(Received) by the Fund | Counterparty | Termination Date | Notional Amount (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||
Accton Tech Corp. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | $ | 240 | $ | 40,533 | |||||||
Adobe, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 13 | 449 | |||||||||
Advanced Micro Devices, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 208 | 442 | |||||||||
Alphabet, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 24 | 1,475 | |||||||||
Alphabet, Inc. Class C | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 22 | 1,841 | |||||||||
ASML Holding NV | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 8 | 90 | |||||||||
Cardlytics, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 47 | 14,396 | |||||||||
Ceridian HCM Holding, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 215 | 18,416 | |||||||||
Cognizant Technology Solutions | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 4 | 2 |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
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 (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||
DISH Network Corp. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | $ | 66 | $ | 7,104 | |||||||
Electronic Arts | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 110 | 395 | |||||||||
Facebook, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 73 | 3,801 | |||||||||
Genpact Ltd. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 352 | 28,258 | |||||||||
Global Payments, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 121 | 1,327 | |||||||||
GoDaddy, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 64 | 1,910 | |||||||||
Hubspot , Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 51 | 5,466 | |||||||||
iShares Expanded Tech-Software Sector ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 35 | (792 | ) | ||||||||
iShares Russell 2000 Growth ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 277 | 361 | |||||||||
Mastercard, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 39 | 1,435 | |||||||||
Match Group , Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 52 | 4,133 | |||||||||
MediaTek, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 175 | 35,168 | |||||||||
Micron Technology | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 66 | (5,443 | ) | ||||||||
Netflix, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 40 | (2,021 | ) | ||||||||
Nuvei Corp. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 44 | 4,619 | |||||||||
RingCentral, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 236 | 4,775 | |||||||||
Salesforce.com, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 42 | 1,917 | |||||||||
ServiceNow, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 36 | (543 | ) | ||||||||
Skyworks Solutions | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 138 | (7,448 | ) | ||||||||
StoneCo Ltd. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 42 | 901 | |||||||||
TransUnion | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 22 | 2,310 | |||||||||
Varonis Systems, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 37 | (377 | ) | ||||||||
VeriSign, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 4 | 264 | |||||||||
Wex, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 3 | (130 | ) | ||||||||
Zscaler, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 101 | 7,138 | |||||||||
Adobe, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 91 | (2,589 | ) | ||||||||
Alphabet, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 469 | 13,918 | |||||||||
Alphabet, Inc. Class C | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 324 | 15,931 | |||||||||
Amazon.com, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 612 | 15,900 | |||||||||
Atlassian Corp PLC | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 13 | (85 | ) | ||||||||
Carrefour SA | 0.480% | MS & Co. Int. PLC | 07/07/21 | 3 | 3,546 | |||||||||
Cognizant Technology Solutions | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 51 | 400 | |||||||||
CoStar Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 200 | (12,947 | ) | ||||||||
Electronic Arts | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 132 | (652 | ) | ||||||||
Facebook, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 150 | 8,375 | |||||||||
FleetCor Technologies, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 197 | (2,395 | ) | ||||||||
Global Payments, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 731 | (10,183 | ) | ||||||||
GoDaddy, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 189 | (1,782 | ) | ||||||||
HubSpot, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 92 | (804 | ) | ||||||||
Intuit, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 60 | (780 | ) | ||||||||
Invesco QQQ Trust | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 139 | 1,470 | |||||||||
iShares Expanded Tech-Software Sector ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 3,151 | 100,570 | |||||||||
iShares Russell 2000 Growth ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 3,894 | (11,209 | ) | ||||||||
iShares Russell Mid-Capital Growth ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 1,278 | 14,786 | |||||||||
Marvell Technology Group Ltd. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 401 | (29,419 | ) | ||||||||
Mastercard, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 218 | (2,543 | ) | ||||||||
Match Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 253 | 12,583 | |||||||||
MediaTek, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 94 | 19,447 | |||||||||
Micron Technology | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 172 | (8,015 | ) |
18 | 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 (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||||||
MongoDB, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | $ | 220 | $ | (15,226 | ) | ||||||||||
Netflix, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 138 | (9,024 | ) | ||||||||||||
Nuvei Corp. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 45 | 1,118 | |||||||||||||
PayPal Holdings, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 283 | (12,119 | ) | ||||||||||||
RingCentral, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 56 | (1,716 | ) | ||||||||||||
RSA Insurance Group PLC | 0.050% | MS & Co. Int. PLC | 08/12/22 | 70 | 952 | |||||||||||||
Salesforce.com, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 258 | (3,017 | ) | ||||||||||||
ServiceNow, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 350 | (33,237 | ) | ||||||||||||
Signature Aviation PLC | 0.050 | MS & Co. Int. PLC | 08/12/22 | 122 | 1,343 | |||||||||||||
Siltronic AG | (0.480) | MS & Co. Int. PLC | 07/07/21 | 1 | (3,710 | ) | ||||||||||||
Skyworks Solutions | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 200 | (9,808 | ) | ||||||||||||
TransUnion | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 158 | 15,071 | |||||||||||||
TriNet Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 350 | (21,142 | ) | ||||||||||||
VeriSign, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 198 | 9,903 | |||||||||||||
Visa, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 110 | 3,516 | |||||||||||||
WEX, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 238 | (23,809 | ) | ||||||||||||
TOTAL | $ | 194,790 |
* | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their value. |
# | 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). |
(a) | Payments made monthly. |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At April 30, 2021, 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 | ||||||||||||||||||||||||||||
Alphabet, Inc. | $ | 2,100.000 | 08/20/2021 | 3 | $ | 300 | $ | 91,035 | $ | 40,916 | $ | 50,119 | ||||||||||||||||
Analog Devices, Inc. | 165.000 | 09/17/2021 | 29 | 2,900 | 16,095 | 21,349 | (5,254 | ) | ||||||||||||||||||||
Nuance Communications, Inc. | 50.000 | 10/15/2021 | 17 | 1,700 | 7,225 | 6,851 | 374 | |||||||||||||||||||||
The Charles Schwab Corp. | 70.000 | 09/17/2021 | 105 | 10,500 | 57,225 | 63,534 | (6,309 | ) | ||||||||||||||||||||
154 | $ | 15,400 | $ | 171,580 | $ | 132,650 | $ | 38,930 | ||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
Invesco QQQ Trust | 325.000 | 05/21/2021 | 37 | 3,700 | 10,305 | 18,424 | (8,119 | ) | ||||||||||||||||||||
Invesco QQQ Trust | 329.000 | 05/21/2021 | 19 | 1,900 | 6,849 | 6,618 | 231 | |||||||||||||||||||||
Microsoft Corp. | 245.000 | 06/18/2021 | 47 | 4,700 | 25,850 | 21,470 | 4,380 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust | 414.000 | 06/18/2021 | 71 | 7,100 | 60,882 | 62,598 | (1,716 | ) | ||||||||||||||||||||
Taiwan Semiconductor Manufacture | 115.000 | 05/21/2021 | 60 | 6,000 | 13,380 | 22,519 | (9,139 | ) | ||||||||||||||||||||
234 | $ | 23,400 | $ | 117,266 | $ | 131,629 | $ | (14,363 | ) | |||||||||||||||||||
Total purchased option contracts | 388 | $ | 38,800 | $ | 288,846 | $ | 264,279 | $ | 24,567 |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
April 30, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||
Five Prime Therapeutics, Inc. | $ | 40.000 | 06/18/2021 | (24 | ) | $ | (2,400 | ) | $ | — | $ | (1,313 | ) | $ | 1,313 | |||||||||||||
Microsoft Corp. | 265.000 | 06/18/2021 | (47 | ) | (4,700 | ) | (13,277 | ) | (17,433 | ) | 4,156 | |||||||||||||||||
Proofpoint, Inc. | 180.000 | 08/20/2021 | (2 | ) | (200 | ) | (40 | ) | (57 | ) | 17 | |||||||||||||||||
Taiwan Semiconductor Manufacture | 120.000 | 05/21/2021 | (45 | ) | (4,500 | ) | (7,875 | ) | (10,285 | ) | 2,410 | |||||||||||||||||
Total written option contracts | (118 | ) | $ | (11,800 | ) | $ | (21,192 | ) | $ | (29,088 | ) | $ | 7,896 | |||||||||||||||
TOTAL | 270 | $ | 27,000 | $ | 267,654 | $ | 235,191 | $ | 32,463 |
| ||
Abbreviations: | ||
MS & Co. Int. PLC | —Morgan Stanley & Co. International PLC | |
|
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Statement of Assets and Liabilities(a)
April 30, 2021 (Unaudited)
| ||||||
Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $115,244,512) | $ | 127,959,093 | ||||
Investments of affiliated issuers, at value (cost $45,036,815) | 45,036,815 | |||||
Purchased options, at value (premium paid $264,279) | 288,846 | |||||
Cash | 1,128,443 | |||||
Unrealized gain on swap contracts | 427,755 | |||||
Unrealized gain on forward foreign currency exchange contracts | 361,690 | |||||
Variation margin on futures contracts | 62,166 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(b) | 3,554,680 | |||||
Investments sold | 1,088,296 | |||||
Dividends and interest | 281,795 | |||||
Reimbursement from investment adviser | 154,124 | |||||
Fund shares sold | 88,071 | |||||
Due from broker — upfront payment | 61,347 | |||||
Foreign tax reclaims | 59,703 | |||||
Investments sold on an extended settlement basis | 7,395 | |||||
Other assets | 66,644 | |||||
Total assets | 180,626,863 | |||||
Liabilities: | ||||||
Foreign currency overdraft, at value (cost $60,187) | 60,526 | |||||
Securities sold short, at value (proceeds received $7,149,146) | 7,548,780 | |||||
Unrealized loss on forward foreign currency exchange contracts | 395,066 | |||||
Variation margin on futures contracts | 459,105 | |||||
Unrealized loss on swap contracts | 232,965 | |||||
Written option contracts, at value (premium received $29,088) | 21,192 | |||||
Payables: | ||||||
Investments purchased | 700,152 | |||||
Investments purchased on an extended settlement basis | 638,931 | |||||
Management fees | 206,196 | |||||
Fund shares redeemed | 151,465 | |||||
Due to broker | 58,885 | |||||
Collateral on certain derivative contracts(c) | 38,000 | |||||
Distribution and service fees and transfer agency fees | 12,126 | |||||
Dividend expense payable on securities sold short | 1,447 | |||||
Accrued expenses and other liabilities | 2,693,974 | |||||
Total liabilities | 13,218,810 | |||||
Net Assets: | ||||||
Paid-in capital | 206,643,549 | |||||
Total distributable earnings (loss) | (39,235,496 | ) | ||||
NET ASSETS | $ | 167,408,053 | ||||
Net Assets: | ||||||
Class A | $ | 7,714,679 | ||||
Class C | 4,120,431 | |||||
Institutional | 70,381,722 | |||||
Investor | 9,781,006 | |||||
Class R6 | 11,390 | |||||
Class R | 29,110 | |||||
Class P | 75,369,715 | |||||
Total Net Assets | $ | 167,408,053 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 679,463 | |||||
Class C | 378,277 | |||||
Institutional | 6,116,579 | |||||
Investor | 854,884 | |||||
Class R6 | 989 | |||||
Class R | 2,600 | |||||
Class P | 6,551,469 | |||||
Net asset value, offering and redemption price per share:(d) | ||||||
Class A | $11.35 | |||||
Class C | 10.89 | |||||
Institutional | 11.51 | |||||
Investor | 11.44 | |||||
Class R6 | 11.52 | |||||
Class R | 11.20 | |||||
Class P | 11.50 |
(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 $1,754,680, $520,000, $950,000 and $330,000 relating to initial margin requirements and/or collateral on futures, forward foreign currency, options and swaps transactions, respectively. |
(c) | Includes segregated cash of $38,000 relating to initial margin requirements and/or collateral on swaps transactions. |
(d) | Maximum public offering price per share for Class A Shares is $12.01. 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. | 21 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Statement of Operations(a)
For the Six Months Ended April 30, 2021 (Unaudited)
| ||||||
Investment income: | ||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $22,029) | $ | 574,153 | ||||
Interest — unaffiliated issuers (net of foreign withholding taxes of $186) | 524,396 | |||||
Dividends — affiliated issuers | 5,975 | |||||
Total investment income | 1,104,524 | |||||
Expenses: | ||||||
Management fees | 1,512,841 | |||||
Custody, accounting and administrative services | 738,226 | |||||
Professional fees | 215,302 | |||||
Printing and mailing costs | 55,048 | |||||
Transfer Agency fees(b) | 42,991 | |||||
Registration fees | 40,061 | |||||
Distribution and Service (12b-1) fees(b) | 27,190 | |||||
Dividend expense for securities sold short | 27,129 | |||||
Prime broker fees | 18,741 | |||||
Trustee fees | 15,788 | |||||
Service fees — Class C | 5,733 | |||||
Other | 11,315 | |||||
Total expenses | 2,710,365 | |||||
Less — expense reductions | (1,228,952 | ) | ||||
Net expenses | 1,481,413 | |||||
NET INVESTMENT LOSS | (376,889 | ) | ||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers (including commission recapture of $1,863) | 7,102,234 | |||||
Securities sold short | 654,685 | |||||
Purchased options | 1,006,920 | |||||
Futures contracts | (708,540 | ) | ||||
Written options | (225,131 | ) | ||||
Swap contracts | (103,607 | ) | ||||
Forward foreign currency exchange contracts | (22,083 | ) | ||||
Foreign currency transactions | 19,959 | |||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 3,284,982 | |||||
Securities short sales | (336,275 | ) | ||||
Purchased options | (40,321 | ) | ||||
Futures contracts | (397,320 | ) | ||||
Written options | 5,538 | |||||
Swap contracts | 233,713 | |||||
Forward foreign currency exchange contracts | 1,694 | |||||
Foreign currency translation | 19,600 | |||||
Net realized and unrealized gain | 10,496,048 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,119,159 |
(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 | |||||||||||||||||||||||||||||
$ | 10,029 | $ | 17,090 | $ | 71 | $ | 6,820 | $ | 3,874 | $ | 13,604 | $ | 8,473 | $ | 2 | $ | 24 | $ | 10,194 |
22 | 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 Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | �� | ||||||||
From operations: | ||||||||||
Net investment income (loss) | $ | (376,889 | ) | $ | 198,856 | |||||
Net realized gain | 7,724,437 | 3,988,372 | ||||||||
Net change in unrealized gain | 2,771,611 | 1,245,251 | ||||||||
Net increase in net assets resulting from operations | 10,119,159 | 5,432,479 | ||||||||
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 | 30,904,356 | 52,849,842 | ||||||||
Reinvestment of distributions | — | 2,532,702 | ||||||||
Cost of shares redeemed | (23,311,279 | ) | (172,843,032 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | 7,593,077 | (117,460,488 | ) | |||||||
TOTAL INCREASE (DECREASE) | 17,712,236 | (114,581,998 | ) | |||||||
Net assets: | ||||||||||
Beginning of period | 149,695,817 | 264,277,815 | ||||||||
End of period | $ | 167,408,053 | $ | 149,695,817 |
(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. | 23 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.66 | $ | 10.48 | $ | 9.91 | $ | 10.22 | $ | 10.25 | $ | 10.33 | ||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | (0.01 | ) | 0.04 | (0.04 | ) | (0.02 | ) | 0.04 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.73 | 0.25 | 0.53 | (0.27 | ) | 0.13 | (0.06 | ) | ||||||||||||||||||
Total from investment operations | 0.69 | 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 period | $ | 11.35 | $ | 10.66 | $ | 10.48 | $ | 9.91 | $ | 10.22 | $ | 10.25 | ||||||||||||||
Total return(b) | 6.47 | % | 2.33 | % | 5.75 | % | (3.03 | )% | 1.08 | % | (0.23 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,715 | $ | 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) | 2.15 | %(c) | 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) | 2.08 | %(c) | 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) | 3.74 | %(c) | 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) | 3.68 | %(c) | 4.27 | % | 3.46 | % | 2.82 | % | 2.62 | % | 2.60 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.76 | )%(c) | (0.17 | )% | 0.39 | % | (0.43 | )% | (0.22 | )% | 0.39 | % | ||||||||||||||
Portfolio turnover rate(d) | 125 | % | 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 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. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
24 | 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 Period
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.26 | $ | 10.11 | $ | 9.62 | $ | 10.00 | $ | 10.02 | $ | 10.16 | ||||||||||||||
Net investment loss(a) | (0.08 | ) | (0.09 | ) | (0.03 | ) | (0.12 | ) | (0.11 | ) | (0.04 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.71 | 0.24 | 0.52 | (0.26 | ) | 0.13 | (0.05 | ) | ||||||||||||||||||
Total from investment operations | 0.63 | 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 period | $ | 10.89 | $ | 10.26 | $ | 10.11 | $ | 9.62 | $ | 10.00 | $ | 10.02 | ||||||||||||||
Total return(b) | 6.14 | % | 1.48 | % | 4.98 | % | (3.70 | )% | 0.23 | % | (1.02 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 4,120 | $ | 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) | 2.89 | %(c) | 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) | 2.83 | %(c) | 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) | 4.49 | %(c) | 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) | 4.43 | %(c) | 5.03 | % | 4.21 | % | 3.57 | % | 3.41 | % | 3.36 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (1.53 | )%(c) | (0.92 | )% | (0.36 | )% | (1.23 | )% | (1.07 | )% | (0.35 | )% | ||||||||||||||
Portfolio turnover rate(d) | 125 | % | 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 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. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 25 |
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 | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.28 | $ | 10.33 | $ | 10.40 | ||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.01 | 0.07 | (0.01 | ) | — | (b) | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.75 | 0.26 | 0.55 | (0.27 | ) | 0.15 | (0.07 | ) | ||||||||||||||||||
Total from investment operations | 0.73 | 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 period | $ | 11.51 | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.28 | $ | 10.33 | ||||||||||||||
Total return(c) | 6.58 | % | 2.66 | % | 6.20 | % | (2.72 | )% | 1.47 | % | 0.13 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 70,382 | $ | 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) | 1.82 | %(d) | 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) | 1.76 | %(d) | 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) | 3.36 | %(d) | 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) | 3.30 | %(d) | 3.88 | % | 2.98 | % | 2.43 | % | 2.28 | % | 2.21 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.43 | )%(d) | 0.14 | % | 0.71 | % | (0.12 | )% | 0.02 | % | 0.81 | % | ||||||||||||||
Portfolio turnover rate(e) | 125 | % | 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 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. |
26 | 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 Period
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.73 | $ | 10.56 | $ | 9.95 | $ | 10.24 | $ | 10.30 | $ | 10.37 | ||||||||||||||
Net investment income (loss)(a) | (0.03 | ) | 0.01 | 0.07 | (0.03 | ) | (0.01 | ) | 0.07 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.74 | 0.26 | 0.54 | (0.26 | ) | 0.14 | (0.07 | ) | ||||||||||||||||||
Total from investment operations | 0.71 | 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 period | $ | 11.44 | $ | 10.73 | $ | 10.56 | $ | 9.95 | $ | 10.24 | $ | 10.30 | ||||||||||||||
Total return(b) | 6.62 | % | 2.59 | % | 6.02 | % | (2.73 | )% | 1.23 | % | (0.06 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 9,781 | $ | 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) | 1.89 | %(c) | 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) | 1.83 | %(c) | 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) | 3.49 | %(c) | 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) | 3.43 | %(c) | 4.02 | % | 3.18 | % | 2.56 | % | 2.42 | % | 2.38 | % | ||||||||||||||
Ratio of net investment income to average net assets | (0.52 | )%(c) | 0.07 | % | 0.63 | % | (0.26 | )% | (0.13 | )% | 0.70 | % | ||||||||||||||
Portfolio turnover rate(d) | 125 | % | 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 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. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 27 |
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 | ||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2018(a) | ||||||||||||||||
2020 | 2019 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.79 | $ | 10.63 | $ | 10.01 | $ | 10.22 | ||||||||||
Net investment income (loss)(b) | (0.02 | ) | 0.02 | 0.08 | 0.01 | |||||||||||||
Net realized and unrealized gain (loss) | 0.75 | 0.25 | 0.54 | (0.22 | ) | |||||||||||||
Total from investment operations | 0.73 | 0.27 | 0.62 | (0.21 | ) | |||||||||||||
Distributions to shareholders from net investment income | — | (0.11 | ) | — | — | |||||||||||||
Net asset value, end of period | $ | 11.52 | $ | 10.79 | $ | 10.63 | $ | 10.01 | ||||||||||
Total return(c) | 6.67 | % | 2.60 | % | 6.19 | % | (2.05 | )% | ||||||||||
Net assets, end of period (in 000s) | $ | 11 | $ | 11 | $ | 10 | $ | 10 | ||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 1.82 | %(d) | 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) | 1.77 | %(d) | 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) | 3.33 | %(d) | 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) | 3.28 | %(d) | 3.88 | % | 3.18 | % | 2.54 | %(d) | ||||||||||
Ratio of net investment income to average net assets | (0.44 | )%(d) | 0.12 | % | 0.75 | % | 0.13 | %(d) | ||||||||||
Portfolio turnover rate(e) | 125 | % | 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. |
28 | 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 Period
Goldman Sachs Multi-Manager Alternatives Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.52 | $ | 10.37 | $ | 9.82 | $ | 10.15 | $ | 10.18 | $ | 10.29 | ||||||||||||||
Net investment income (loss)(a) | (0.05 | ) | (0.05 | ) | 0.02 | (0.09 | ) | (0.06 | ) | 0.01 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.73 | 0.26 | 0.53 | (0.24 | ) | 0.14 | (0.05 | ) | ||||||||||||||||||
Total from investment operations | 0.68 | 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 period | $ | 11.20 | $ | 10.52 | $ | 10.37 | $ | 9.82 | $ | 10.15 | $ | 10.18 | ||||||||||||||
Total return(b) | 6.37 | % | 1.98 | % | 5.60 | % | (3.25 | )% | 0.73 | % | (0.40 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 29 | $ | 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) | 2.39 | %(c) | 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) | 2.34 | %(c) | 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) | 3.99 | %(c) | 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) | 3.93 | %(c) | 4.50 | % | 3.81 | % | 3.04 | % | 2.94 | % | 2.85 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.00 | )%(c) | (0.44 | )% | 0.15 | % | (0.91 | )% | (0.63 | )% | 0.07 | % | ||||||||||||||
Portfolio turnover rate(d) | 125 | % | 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 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. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 29 |
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 | ||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2018(a) | ||||||||||||||||
2020 | 2019 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.21 | ||||||||||
Net investment income (loss)(b) | (0.02 | ) | 0.02 | 0.08 | 0.02 | |||||||||||||
Net realized and unrealized gain (loss) | 0.74 | 0.25 | 0.54 | (0.23 | ) | |||||||||||||
Total from investment operations | 0.72 | 0.27 | 0.62 | (0.21 | ) | |||||||||||||
Distributions to shareholders from net investment income | — | (0.11 | ) | — | — | |||||||||||||
Net asset value, end of period | $ | 11.50 | $ | 10.78 | $ | 10.62 | $ | 10.00 | ||||||||||
Total return(c) | 6.68 | % | 2.60 | % | 6.20 | % | (2.06 | )% | ||||||||||
Net assets, end of period (in 000s) | $ | 75,370 | $ | 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) | 1.81 | %(d) | 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) | 1.75 | %(d) | 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) | 3.34 | %(d) | 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) | 3.28 | %(d) | 3.88 | % | 3.08 | % | 2.58 | %(d) | ||||||||||
Ratio of net investment income (loss) to average net assets | (0.41 | )%(d) | 0.15 | % | 0.73 | % | 0.45 | %(d) | ||||||||||
Portfolio turnover rate(e) | 125 | % | 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. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements
April 30, 2021 (Unaudited)
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 April 30, 2021, 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.
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 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. All inter-fund balances and transactions have been eliminated in consolidation. As of April 30, 2021, the Fund’s net assets were $167,408,053 of which, $3,323,968, or 2.0%, 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 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.
31
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
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 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.
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
32
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
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 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 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
33
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
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. 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 the 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 — 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 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 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
34
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
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 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.
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.
35
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of April 30, 2021:
MULTI-MANAGER ALTERNATIVES |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Obligations | $ | — | $ | 8,260,478 | $ | — | ||||||
Mortgage-Backed Obligations | — | 9,671,120 | — | |||||||||
Asset-Backed Securities | — | 11,929,522 | — | |||||||||
Foreign Debt Obligations | — | 12,008,840 | — | |||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | 2,620,749 | 3,339,380 | — | |||||||||
Australia and Oceania | 246,825 | 395,245 | — | |||||||||
Europe | 7,037,074 | 16,921,926 | — | |||||||||
North America | 42,935,464 | — | 5,813 | |||||||||
South America | 1,192,928 | — | — | |||||||||
Exchange Traded Fund | 5,806,016 | — | — | |||||||||
Investment Company | 45,036,815 | — | — | |||||||||
Preferred Stock | — | 662,354 | — | |||||||||
Short-term Investments | 4,925,359 | — | — | |||||||||
Total | $ | 109,801,230 | $ | 63,188,865 | $ | 5,813 | ||||||
Liabilities | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | $ | (5,083,103 | ) | $ | — | $ | — | |||||
Europe | (1,447,220 | ) | (1,018,457 | ) | — | |||||||
Total | $ | (6,530,323 | ) | $ | (1,018,457 | ) | $ | — | ||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 361,690 | $ | — | ||||||
Futures Contracts(b) | 1,117,012 | — | — | |||||||||
Total Return Swap Contracts(b) | — | 427,755 | — | |||||||||
Purchased option contracts | 288,846 | — | — | |||||||||
Total | $ | 1,405,858 | $ | 789,445 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (395,066 | ) | $ | — | |||||
Futures Contracts(b) | (1,079,068 | ) | — | — | ||||||||
Total Return Swap Contracts(b) | — | (232,965 | ) | — | ||||||||
Written Option Contracts | (21,192 | ) | — | — | ||||||||
Total | $ | (1,100,260 | ) | $ | (628,031 | ) | $ | — |
(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.
36
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2021. 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 | $ | 8,048 | (a) | Variation margin on futures contracts | $ | (24,097) | (a) | ||||
Equity | Unrealized gain on swap contracts; Variation margin on futures contracts; and Purchased options, at value | 780,894 | (a) | Unrealized loss on swap contracts; Variation margin on futures contracts; and Written option contracts | (277,866) | (a)(b) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 361,690 | Payable for unrealized loss on forward foreign currency exchange contracts; and Variation margin on futures contracts | (395,273) | (a) | |||||||
Commodity | Variation margin on futures contracts | 1,044,671 | (a) | Variation margin on futures contracts | (1,031,055) | (a) | ||||||
Total | $ | 2,195,303 | $ | (1,728,291) |
(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 $232,965, 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. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2021. 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) | |||||||||||
Interest rate | Net realized gain (loss) from swap contracts and futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 30,222 | $ | (5,950 | ) | ||||||||
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 | (20,340 | ) | 1,850 | ||||||||||
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 | (471,802 | ) | (208,658 | ) | |||||||||
Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 409,480 | 16,062 | |||||||||||
Total | $ | (52,440 | ) | $ | (196,696 | ) |
37
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
For the six months ended April 30, 2021, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts(a) | ||||||||||||||||||
Futures contracts | Forward contracts | Swap Agreements | Purchased Options | Written Options | ||||||||||||||
740 | $ | 76,126,071 | $ | 22,180,391 | 75,700 | $ | 24,087 |
(a) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements for purchased options and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that the Funds held such derivatives during the period ended April 30, 2021. |
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 | |||||||||||||||||||||
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% | 1.52% |
* | 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, 2022, 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 six months ended April 30, 2021, GSAM waived $34,491 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 six months ended April 30, 2021, GSAM waived $6,421 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
38
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 and Service Plans 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 six months ended April 30, 2021, Goldman Sachs retained $61 and $0, respectively.
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, 2022 (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, 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, 2022, and prior to such date GSAM may not terminate the arrangements 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 six months ended April 30, 2021, 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 Annual Operating Expense Reductions | |||||||||||
$ | 300,316 | $ | 6,774 | $ | 921,862 | $ | 1,228,952 |
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.
39
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
G. Line of Credit Facility — As of April 30, 2021, the Fund participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2021, the Fund did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — For the six months ended April 30, 2021, Goldman Sachs earned $1,419, 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 April 30, 2021, 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 six months ended April 30, 2021:
Underlying Funds | Beginning 2020 | Purchases at Cost | Proceeds from Sales | Ending Value as of April 30, 2021 | Shares as of April 30, 2021 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 40,788,471 | $ | 136,324,647 | $ | (132,076,303 | ) | $ | 45,036,815 | 45,036,815 | $ | 5,975 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2021, were $143,488,293 and $131,786,133, 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 $7,243,995 and $7,038,639, 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 April 30, 2021:
Counterparty | Securities Sold Short(1) | Collateral Pledged | Net Amount(2) | |||||||||
State Street Bank & Trust | $ | (7,548,780 | ) | $ | 7,548,780 | $ | — |
(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. |
7. TAX INFORMATION |
As of the Fund’s most recent fiscal year end, October 31, 2020, the Fund’s capital loss carryforwards and certain timing differences on a tax basis were as follows:
Capital loss carryforwards: | ||||
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 | ) |
40
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
7. TAX INFORMATION (continued) |
As of April 30, 2021, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 162,267,220 | ||
Gross unrealized gain | 15,817,152 | |||
Gross unrealized loss | (5,088,464 | ) | ||
Net unrealized gain | $ | 10,728,688 |
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
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, 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 — The Fund invests in foreign securities, and as such 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
41
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
8. OTHER RISKS (continued) |
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.
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
42
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
8. OTHER RISKS (continued) |
investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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 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 indexlinked 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
43
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
8. OTHER RISKS (continued) |
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.
10. OTHER MATTERS |
In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. As of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
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.
44
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi Manager Alternatives Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 95,059 | $ | 1,057,789 | 204,196 | $ | 2,141,779 | ||||||||||
Reinvestment of distributions | — | — | 5,757 | 60,446 | ||||||||||||
Shares redeemed | (167,593 | ) | (1,862,098 | ) | (558,490 | ) | (5,834,302 | ) | ||||||||
(72,534 | ) | (804,309 | ) | (348,537 | ) | (3,632,077 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 941 | $ | 9,869 | 11,219 | $ | 115,274 | ||||||||||
Shares redeemed | (114,206 | ) | (1,222,407 | ) | (275,915 | ) | (2,787,609 | ) | ||||||||
(113,265 | ) | (1,212,538 | ) | (264,696 | ) | (2,672,335 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 723,715 | 8,161,941 | 4,199,992 | 43,241,517 | ||||||||||||
Reinvestment of distributions | — | — | 147,670 | 1,563,829 | ||||||||||||
Shares redeemed | (852,352 | ) | (9,580,696 | ) | (13,067,106 | ) | (138,325,307 | ) | ||||||||
(128,637 | ) | (1,418,755 | ) | (8,719,444 | ) | (93,519,961 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 56,155 | 629,429 | 92,086 | 979,916 | ||||||||||||
Reinvestment of distributions | — | — | 11,177 | 117,806 | ||||||||||||
Shares redeemed | (139,143 | ) | (1,555,653 | ) | (344,523 | ) | (3,664,483 | ) | ||||||||
(82,988 | ) | (926,224 | ) | (241,260 | ) | (2,566,761 | ) | |||||||||
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 | 1,870,275 | 21,045,328 | 600,313 | 6,371,356 | ||||||||||||
Reinvestment of distributions | — | — | 74,633 | 790,366 | ||||||||||||
Shares redeemed | (807,898 | ) | (9,090,425 | ) | (2,118,788 | ) | (22,231,331 | ) | ||||||||
1,062,377 | 11,954,903 | (1,443,842 | ) | (15,069,609 | ) | |||||||||||
NET INCREASE (DECREASE) | 664,953 | $ | 7,593,077 | (11,017,754 | ) | $ | (117,460,488 | ) |
45
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 2-3, 2021, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2020 through December 31, 2020 (the “Reporting Period”). Among other things, the annual report and related materials discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of the COVID-19 pandemic on liquidity and management of liquidity risk during the Reporting Period, including during stressed market conditions caused by the COVID-19 pandemic. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
46
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Fund Expenses — Six Month Period Ended April 30, 2021 (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 November 1, 2020 through April 30, 2021, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.70 | $ | 11.01 | ||||||
Hypothetical 5% return | 1,000.00 | 1,014.18 | + | 10.74 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,061.40 | 14.77 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,010.46 | + | 14.41 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,065.80 | 9.32 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.77 | + | 9.10 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,066.20 | 9.68 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.42 | + | 9.44 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,066.70 | 9.33 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.77 | + | 9.10 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,063.70 | 12.23 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,012.94 | + | 11.93 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,066.80 | 9.28 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.82 | + | 9.05 |
* | 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 April 30, 2021. 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 | 2.08 | % | 2.83 | % | 1.76 | % | 1.83 | % | 1.77 | % | 2.34 | % | 1.75 | % |
+ | 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. |
47
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.00 trillion in assets under supervision as of March 31, 2021, 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 Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion 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 Fund4 |
∎ | Income Builder 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 Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity 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 Fund5 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income 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 |
∎ | Strategic Volatility Premium Fund |
∎ | Target Date Retirement Portfolio |
∎ | 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 on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
5 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
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).
© 2021 Goldman Sachs. All rights reserved. 242256-OTU-1430325 MMALTSAR 21
Goldman Sachs Funds
Semi-Annual Report | April 30, 2021 | |||
Strategic Multi-Asset Class Funds | ||||
Multi-Manager Global Equity | ||||
Multi-Manager Non-Core Fixed Income | ||||
Multi-Manager Real Assets Strategy |
Goldman Sachs Strategic
Multi-Asset Class Funds
∎ | MULTI-MANAGER GLOBAL EQUITY |
∎ | MULTI-MANAGER NON-CORE FIXED INCOME |
∎ | MULTI-MANAGER REAL ASSETS STRATEGY |
1 | ||||
7 | ||||
59 | ||||
63 | ||||
63 | ||||
64 | ||||
65 | ||||
66 | ||||
84 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
FUND BASICS
Multi-Manager Global Equity Fund
as of April 30, 2021
PERFORMANCE REVIEW |
| |||||||||
November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | MSCI ACWI IMI (Net, USD, 50% Non-U.S. Developed Hedged to USD)2 | ||||||||
Class R6 Shares | 31.72 | % | 29.33 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI ACWI IMI (Net, USD, 50% Non-U.S. Developed Hedged to USD) is a custom index that comprises the MSCI ACWI IMI (which covers 8,664 securities and includes large, mid, small and micro cap size segments for all developed markets countries in the index together with large, mid and small cap size segments for the emerging markets countries) and a currency hedge on 50% of the non-U.S. developed markets exposures back to U.S. dollars. As of April 30, 2021, the 23 developed markets in the MSCI ACWI IMI include Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the U.K. and the U.S. The 27 emerging markets include Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The Index figures do not reflect any deductions for fees or expenses. It is not possible to invest directly in an index. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 4/30/21‡ | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
iShares MSCI USA Multifactor ETF | 3.9 | % | Exchange Traded Funds | |||||
iShares MSCI International Multifactor ETF | 2.1 | Exchange Traded Funds | ||||||
Microsoft Corp. | 2.0 | Software | ||||||
Amazon.com, Inc. | 1.9 | Internet & Direct Marketing Retail | ||||||
Facebook, Inc. Class A | 1.6 | Interactive Media & Services | ||||||
Mastercard, Inc. Class A | 1.7 | IT Services | ||||||
UnitedHealth Group, Inc. | 1.1 | Health Care Providers & Services | ||||||
Alphabet, Inc. Class A | 1.0 | Interactive Media & Services | ||||||
Accenture PLC Class A | 1.0 | IT Services | ||||||
Texas Instruments, Inc. | 0.9 | Semiconductors & Semiconductor Equipment |
‡ | 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 3.5% of the Fund’s net assets as of 4/30/21. The top 10 holdings may not be representative of the Fund’s future investments. |
1
FUND BASICS
FUND COMPOSITION† |
† | 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 exchanged-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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
2
FUND BASICS
Multi-Manager Non-Core Fixed Income Fund
as of April 30, 2021
PERFORMANCE REVIEW |
| |||||||||||||||||||||||||
November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | Multi- Manager Non-Core Fixed Income Composite Dynamic Index2 | Bloomberg Barclays Global High Yield Corporate Index (Gross, USD, Unhedged) | Credit Suisse Leveraged Loan Index (Gross, USD, Unhedged) | J.P. Morgan EMBISM Global Diversified Index (Gross, USD, Unhedged) | J.P. Morgan GBI-EMSM Global Diversified Index (Gross, USD, Unhedged) | ||||||||||||||||||||
Class R6 Shares | 7.51 | % | 5.91 | % | 7.98 | % | 6.06 | % | 3.26 | % | 4.17 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | 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 Emerging Market Bond Index (EMBISM) Global Diversified Index (Gross, USD, Unhedged) and the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EMSM) Global Diversified Index (Gross, USD, Unhedged). The index figures do not reflect any deductions for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 4/30/21‡ | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Republic of South Africa | 0.7 | % | Foreign Debt Obligations | |||||
Brazil Notas do Tesouro Nacional | 0.7 | Foreign Debt Obligations | ||||||
Intelsat Jackson Holdings SA | 0.7 | Bank Loans | ||||||
Agricultural Development Bank of China | 0.6 | Foreign Debt Obligations | ||||||
Republic of South Africa | 0.5 | Foreign Debt Obligations | ||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP | 0.5 | Corporate Obligations | ||||||
Syniverse Holdings, Inc. | 0.5 | Bank Loans | ||||||
Golden Nugget, Inc. | 0.4 | Hotels, Restaurants & Leisure | ||||||
Egypt Treasury Bills | 0.4 | Foreign Debt Obligations | ||||||
State of Israel | 0.4 | Foreign Debt Obligations |
‡ | 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 6.0% of the Fund’s net assets as of 04/30/21. The top 10 holdings may not be representative of the Fund’s future investments. |
3
FUND BASICS
FUND COMPOSITION† |
† | 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 sector allocations of investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
4
FUND BASICS
Multi-Manager Real Assets Strategy Fund
as of April 30, 2021
PERFORMANCE REVIEW |
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November 1, 2020–April 30, 2021 | Fund Total Return (based on NAV)1 | Multi-Manager Real Assets Strategy Composite Dynamic Index2 | FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged) | Dow Jones Global | ||||||||||||||
Class R6 Shares | 23.58 | % | 27.32 | % | 32.14 | % | 20.18 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Multi-Manager Real Assets Strategy Composite Dynamic Index is comprised of the FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged) and the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged). The constituent indexes of the Multi-Manager Real Assets Strategy Composite Dynamic Index 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. The index figures do not reflect any deductions for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN EQUITY HOLDINGS AS OF 4/30/211 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Prologis, Inc. | 3.3 | % | Equity Real Estate Investment Trusts (REITs) | |||||
American Tower Corp. | 3.0 | Equity Real Estate Investment Trusts (REITs) | ||||||
Crown Castle International Corp. | 2.7 | Equity Real Estate Investment Trusts (REITs) | ||||||
Vinci SA | 2.4 | Construction & Engineering | ||||||
Welltower, Inc. | 2.0 | Equity Real Estate Investment Trusts (REITs) | ||||||
SBA Communications Corp. | 2.0 | Equity Real Estate Investment Trusts (REITs) | ||||||
Cheniere Energy, Inc. | 1.9 | Oil, Gas & Consumable Fuels | ||||||
TC Energy Corp. | 1.9 | Oil, Gas & Consumable Fuels | ||||||
Vonovia SE | 1.9 | Real Estate Management & Development | ||||||
The Williams Cos., Inc. | 1.8 | Oil, Gas & Consumable Fuels |
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 2.4% of the Fund’s net assets as of 04/30/21. The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
6
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 87.8% | ||||||||
Australia – 0.6% | ||||||||
56 | AGL Energy Ltd. (Multi-Utilities) | $ | 386 | |||||
1,496 | Ampol Ltd. (Oil, Gas & Consumable Fuels) | 29,489 | ||||||
656 | Ansell Ltd. (Health Care Equipment & Supplies) | 21,340 | ||||||
936 | APA Group (Gas Utilities) | 7,232 | ||||||
4,870 | Appen Ltd. (IT Services) | 58,630 | ||||||
53 | ASX Ltd. (Capital Markets) | 2,978 | ||||||
5,724 | BlueScope Steel Ltd. (Metals & Mining) | 94,628 | ||||||
18,694 | Charter Hall Group (Equity Real Estate Investment Trusts (REITs)) | 201,937 | ||||||
1,209 | Coles Group Ltd. (Food & Staples Retailing) | 15,182 | ||||||
4,203 | CSL Ltd. (Biotechnology) | 877,983 | ||||||
772 | Dexus (Equity Real Estate Investment Trusts (REITs)) | 6,060 | ||||||
35,292 | Downer EDI Ltd. (Commercial Services & Supplies) | 152,459 | ||||||
1,838 | Fortescue Metals Group Ltd. (Metals & Mining) | 31,800 | ||||||
6,540 | Goodman Group (Equity Real Estate Investment Trusts (REITs)) | 95,370 | ||||||
480 | JB Hi-Fi Ltd. (Specialty Retail) | 17,076 | ||||||
1,129 | Mineral Resources Ltd. (Metals & Mining) | 41,232 | ||||||
85,533 | Nine Entertainment Co. Holdings Ltd. (Media) | 188,179 | ||||||
7,624 | Northern Star Resources Ltd. (Metals & Mining) | 61,254 | ||||||
57,794 | NRW Holdings Ltd. (Construction & Engineering) | 86,134 | ||||||
16,165 | OZ Minerals Ltd. (Metals & Mining) | 294,916 | ||||||
2,588 | Pro Medicus, Ltd. (Health Care Technology) | 94,011 | ||||||
38,797 | Reliance Worldwide Corp. Ltd. (Building Products) | 147,055 | ||||||
8,658 | Seven Group Holdings Ltd. (Trading Companies & Distributors) | 143,102 | ||||||
78 | Sonic Healthcare Ltd. (Health Care Providers & Services) | 2,156 | ||||||
17,864 | Super Retail Group Ltd. (Specialty Retail) | 164,079 | ||||||
225 | The GPT Group (Equity Real Estate Investment Trusts (REITs)) | 801 | ||||||
697 | Washington H Soul Pattinson & Co. Ltd. (Oil, Gas & Consumable Fuels) | 16,235 | ||||||
8,539 | Wesfarmers Ltd. (Multiline Retail) | 355,957 | ||||||
232 | Woolworths Group Ltd. (Food & Staples Retailing) | 7,036 | ||||||
|
| |||||||
3,214,697 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
3,362 | BAWAG Group AG(a) (Banks) | 181,355 | ||||||
2,209 | CA Immobilien Anlagen AG (Real Estate Management & Development) | 96,804 | ||||||
70 | OMV AG (Oil, Gas & Consumable Fuels) | 3,441 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Austria – (continued) | ||||||||
4,993 | S&T AG* (IT Services) | 135,541 | ||||||
1,896 | Telekom Austria AG (Diversified Telecommunication Services) | 15,501 | ||||||
5,506 | Wienerberger AG (Construction Materials) | 215,858 | ||||||
|
| |||||||
648,500 | ||||||||
|
| |||||||
Belgium – 0.2% | ||||||||
587 | Cofinimmo SA (Equity Real Estate Investment Trusts (REITs)) | 89,995 | ||||||
43 | Elia Group SA (Electric Utilities) | 4,655 | ||||||
75 | Etablissements Franz Colruyt NV (Food & Staples Retailing) | 4,448 | ||||||
6,908 | KBC Group NV* (Banks) | 535,982 | ||||||
712 | Proximus SADP (Diversified Telecommunication Services) | 15,169 | ||||||
160 | Sofina SA (Diversified Financial Services) | 60,793 | ||||||
51 | UCB SA (Pharmaceuticals) | 4,722 | ||||||
3,158 | Warehouses De Pauw CVA (Equity Real Estate Investment Trusts (REITs)) | 111,377 | ||||||
|
| |||||||
827,141 | ||||||||
|
| |||||||
Brazil – 0.4% | ||||||||
49,326 | Ambev SA ADR (Beverages) | 137,126 | ||||||
16,100 | Banco do Brasil SA (Banks) | 87,850 | ||||||
4,900 | Cia Brasileira de Distribuicao (Food & Staples Retailing) | 36,741 | ||||||
64,800 | Cia Paranaense de Energia (Electric Utilities) | 74,677 | ||||||
4,400 | Cia Siderurgica Nacional SA (Metals & Mining) | 39,844 | ||||||
10,540 | Itau Unibanco Holding SA ADR (Banks) | 52,700 | ||||||
17,289 | JBS SA (Food Products) | 95,865 | ||||||
11,500 | Localiza Rent a Car SA (Road & Rail) | 136,127 | ||||||
107,200 | Magazine Luiza SA (Multiline Retail) | 395,287 | ||||||
31,000 | Marfrig Global Foods SA (Food Products) | 110,656 | ||||||
7,800 | Notre Dame Intermedica Participacoes SA (Health Care Providers & Services) | 116,697 | ||||||
4,700 | SLC Agricola SA (Food Products) | 42,215 | ||||||
920 | StoneCo Ltd. Class A* (IT Services) | 59,469 | ||||||
6,400 | Suzano SA* (Paper & Forest Products) | 80,907 | ||||||
28,200 | TIM SA (Wireless Telecommunication Services) | 63,283 | ||||||
25,200 | Vale SA (Metals & Mining) | 505,758 | ||||||
41,700 | WEG SA (Electrical Equipment) | 268,760 | ||||||
|
| |||||||
2,303,962 | ||||||||
|
| |||||||
Canada – 2.3% | ||||||||
39,700 | Air Canada* (Airlines) | 800,040 | ||||||
2,000 | Aphria, Inc.* (Pharmaceuticals) | 30,720 | ||||||
6,700 | ATS Automation Tooling Systems, Inc.* (Machinery) | 161,620 | ||||||
3,196 | BCE, Inc. (Diversified Telecommunication Services) | 151,070 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Canada – (continued) | ||||||||
3,500 | Boralex, Inc. Class A (Independent Power and Renewable Electricity Producers) | $ | 112,191 | |||||
4,600 | CAE, Inc.* (Aerospace & Defense) | 144,083 | ||||||
2,200 | Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs)) | 97,798 | ||||||
8,487 | Canadian National Railway Co. (Road & Rail) | 913,626 | ||||||
2,659 | Canadian Pacific Railway Ltd. (Road & Rail) | 992,153 | ||||||
5,200 | Capital Power Corp. (Independent Power and Renewable Electricity Producers) | 165,796 | ||||||
4,100 | Empire Co. Ltd. Class A (Food & Staples Retailing) | 128,956 | ||||||
62 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 2,391 | ||||||
8,581 | Enerplus Corp. (Oil, Gas & Consumable Fuels) | 46,080 | ||||||
9,400 | Equinox Gold Corp.* (Metals & Mining) | 76,017 | ||||||
9,900 | First Capital Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 142,642 | ||||||
82 | Fortis, Inc. (Electric Utilities) | 3,658 | ||||||
484 | George Weston Ltd. (Food & Staples Retailing) | 42,736 | ||||||
2,220 | Granite Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 142,124 | ||||||
1,084 | Hydro One Ltd.(a) (Electric Utilities) | 25,990 | ||||||
1,840 | Intact Financial Corp. (Insurance) | 244,575 | ||||||
5,900 | Keyera Corp. (Oil, Gas & Consumable Fuels) | 134,930 | ||||||
311 | Loblaw Cos. Ltd. (Food & Staples Retailing) | 17,269 | ||||||
16,500 | Lundin Mining Corp. (Metals & Mining) | 199,345 | ||||||
2,462 | Magna International, Inc. (Auto Components) | 232,509 | ||||||
423 | Manulife Financial Corp. (Insurance) | 9,237 | ||||||
276 | Metro, Inc. (Food & Staples Retailing) | 12,646 | ||||||
4,390 | Northland Power, Inc. (Independent Power and Renewable Electricity Producers) | 151,220 | ||||||
1,980 | Novanta, Inc.* (Electronic Equipment, Instruments & Components) | 260,786 | ||||||
53,525 | Nutrien Ltd. (Chemicals) | 2,954,045 | ||||||
1,123 | Nuvei Corp.* (IT Services) | 78,363 | ||||||
8,800 | Parex Resources, Inc.* (Oil, Gas & Consumable Fuels) | 165,741 | ||||||
4,473 | Power Corp. of Canada (Insurance) | 130,280 | ||||||
4,371 | Ritchie Bros. Auctioneers, Inc. (Commercial Services & Supplies) | 277,996 | ||||||
169 | Rogers Communications, Inc. Class B (Wireless Telecommunication Services) | 8,324 | ||||||
94 | Royal Bank of Canada (Banks) | 8,971 | ||||||
128 | Shaw Communications, Inc. Class B (Media) | 3,707 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Canada – (continued) | ||||||||
632 | Shopify, Inc. Class A* (IT Services) | 747,346 | ||||||
4,858 | SSR Mining, Inc. (Metals & Mining) | 77,110 | ||||||
4,050 | Stantec, Inc. (Professional Services) | 189,625 | ||||||
10,800 | Summit Industrial Income REIT (Equity Real Estate Investment Trusts (REITs)) | 137,158 | ||||||
12,190 | Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 260,729 | ||||||
433 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 21,422 | ||||||
2,824 | TELUS Corp. (Diversified Telecommunication Services) | 58,587 | ||||||
2,900 | TFI International, Inc. (Road & Rail) | 254,102 | ||||||
6,014 | The Descartes Systems Group, Inc.* (Software) | 385,026 | ||||||
4,144 | The Toronto-Dominion Bank (Banks) | 284,886 | ||||||
668 | Thomson Reuters Corp. (Professional Services) | 61,950 | ||||||
1,837 | Toromont Industries Ltd. (Trading Companies & Distributors) | 146,464 | ||||||
7,200 | Tourmaline Oil Corp. (Oil, Gas & Consumable Fuels) | 155,346 | ||||||
10,800 | Wesdome Gold Mines Ltd.* (Metals & Mining) | 79,606 | ||||||
|
| |||||||
11,928,992 | ||||||||
|
| |||||||
Chile – 0.0% | ||||||||
62,278 | Cencosud SA (Food & Staples Retailing) | 129,291 | ||||||
2,946 | Empresas COPEC SA (Oil, Gas & Consumable Fuels) | 31,726 | ||||||
|
| |||||||
161,017 | ||||||||
|
| |||||||
China – 4.4% | ||||||||
54,000 | Agile Group Holdings, Ltd. (Real Estate Management & Development) | 84,357 | ||||||
1,055,224 | Agricultural Bank of China Ltd. Class H (Banks) | 408,814 | ||||||
11,000 | Airtac International Group (Machinery) | 459,098 | ||||||
11,345 | Alibaba Group Holding Ltd. ADR* (Internet & Direct Marketing Retail) | 2,620,128 | ||||||
20,000 | Alibaba Health Information Technology Ltd.* (Health Care Technology) | 60,876 | ||||||
52,000 | Aluminum Corp. of China Ltd. Class H* (Metals & Mining) | 26,870 | ||||||
53,989 | Anhui Conch Cement Co. Ltd. Class H (Construction Materials) | 322,242 | ||||||
9,000 | ANTA Sports Products Ltd. (Textiles, Apparel & Luxury Goods) | 160,546 | ||||||
3,647 | Baidu, Inc. ADR* (Interactive Media & Services) | 767,073 | ||||||
1,734,037 | Bank of China Ltd. Class H (Banks) | 687,976 | ||||||
492,363 | Bank of Communications Co. Ltd. Class H (Banks) | 314,370 | ||||||
|
|
8 | 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) | ||||||||
346,000 | Beijing Capital International Airport Co. Ltd. Class H (Transportation Infrastructure) | $ | 251,163 | |||||
8,000 | BYD Co. Ltd. Class H (Automobiles) | 166,356 | ||||||
36,800 | Centre Testing International Group Co. Ltd. Class A (Professional Services) | 185,623 | ||||||
530,011 | China Cinda Asset Management Co. Ltd. Class H (Capital Markets) | 104,182 | ||||||
269,000 | China CITIC Bank Corp. Ltd. Series H (Banks) | 140,428 | ||||||
674,515 | China Construction Bank Corp. Class H (Banks) | 532,423 | ||||||
96,709 | China Everbright Bank Co. Ltd. Class H (Banks) | 40,384 | ||||||
28,000 | China Feihe Ltd.(a) (Food Products) | 79,559 | ||||||
218,162 | China Galaxy Securities Co. Ltd. Class H (Capital Markets) | 129,661 | ||||||
69,400 | China International Capital Corp. Ltd. Class H*(a) (Capital Markets) | 173,738 | ||||||
89,500 | China Longyuan Power Group Corp. Ltd. Class H (Independent Power and Renewable Electricity Producers) | 131,612 | ||||||
64,532 | China Medical System Holdings Ltd. (Pharmaceuticals) | 149,052 | ||||||
47,500 | China Merchants Bank Co. Ltd. Class H (Banks) | 381,539 | ||||||
17,400 | China Merchants Securities Co, Ltd. Class H(a) (Capital Markets) | 24,315 | ||||||
156,000 | China Modern Dairy Holdings, Ltd.* (Food Products) | 39,184 | ||||||
222,000 | China Railway Group Ltd. Class H (Construction & Engineering) | 114,615 | ||||||
48,000 | China Shenhua Energy Co. Ltd. Class H (Oil, Gas & Consumable Fuels) | 99,979 | ||||||
41,245 | China Shineway Pharmaceutical Group Ltd. (Pharmaceuticals) | 29,716 | ||||||
7,900 | Contemporary Amperex Technology Co. Ltd. Class A (Electrical Equipment) | 474,741 | ||||||
55,000 | COSCO Shipping Holdings Co. Ltd. Class H* (Marine) | 97,987 | ||||||
52,136 | Country Garden Services Holdings Co. Ltd. (Commercial Services & Supplies) | 546,169 | ||||||
1,019 | Daqo New Energy Corp. ADR* (Semiconductors & Semiconductor Equipment) | 82,019 | ||||||
17,200 | ENN Energy Holdings Ltd. (Gas Utilities) | 293,511 | ||||||
4,779 | FinVolution Group (Consumer Finance) | 32,067 | ||||||
12,500 | Ganfeng Lithium Co. Ltd. Class H(a) (Metals & Mining) | 167,448 | ||||||
38,400 | GF Securities Co. Ltd. Class H (Capital Markets) | 55,495 | ||||||
39,000 | Great Wall Motor Co. Ltd. Class H (Automobiles) | 96,820 | ||||||
53,200 | Guangzhou R&F Properties Co. Ltd. Class H (Real Estate Management & Development) | 67,901 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
22,800 | Guotai Junan Securities Co. Ltd. Class H(a) (Capital Markets) | 32,371 | ||||||
30,000 | Haitian International Holdings Ltd. (Machinery) | 122,058 | ||||||
7,600 | Hygeia Healthcare Holdings Co, Ltd.*(a) (Health Care Providers & Services) | 59,558 | ||||||
3,591 | JD.com, Inc. ADR* (Internet & Direct Marketing Retail) | 277,800 | ||||||
12,000 | Jiumaojiu International Holdings, Ltd.*(a) (Hotels, Restaurants & Leisure) | 50,000 | ||||||
75,000 | Li Ning Co. Ltd. (Textiles, Apparel & Luxury Goods) | 608,676 | ||||||
12,000 | LONGi Green Energy Technology Co. Ltd. Class A (Semiconductors & Semiconductor Equipment) | 183,060 | ||||||
18,700 | Meituan Class B*(a) (Internet & Direct Marketing Retail) | 715,729 | ||||||
324,000 | Metallurgical Corp. of China Ltd. Class H (Construction & Engineering) | 76,124 | ||||||
9,700 | Midea Group Co. Ltd. Class A (Household Durables) | 119,802 | ||||||
9,700 | NetEase, Inc. (Entertainment) | 216,791 | ||||||
562 | NetEase, Inc. ADR (Entertainment) | 62,978 | ||||||
36,000 | New China Life Insurance Co. Ltd. Class H (Insurance) | 138,302 | ||||||
8,297 | NIO, Inc. ADR* (Automobiles) | 330,552 | ||||||
2,900 | Pharmaron Beijing Co, Ltd. Class H(a) (Life Sciences Tools & Services) | 59,875 | ||||||
2,415 | Pinduoduo, Inc. ADR* (Internet & Direct Marketing Retail) | 323,441 | ||||||
32,000 | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | 348,872 | ||||||
18,900 | Shenzhen Inovance Technology Co. Ltd. Class A (Machinery) | 260,056 | ||||||
2,100 | Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A (Health Care Equipment & Supplies) | 150,745 | ||||||
24,200 | Shenzhou International Group Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 532,376 | ||||||
1,600 | Silergy Corp. (Semiconductors & Semiconductor Equipment) | 164,449 | ||||||
57,000 | Sinopec Engineering Group Co. Ltd. Class H (Construction & Engineering) | 35,185 | ||||||
4,880 | TAL Education Group ADR* (Diversified Consumer Services) | 277,916 | ||||||
52,138 | Tencent Holdings Ltd. (Interactive Media & Services) | 4,159,152 | ||||||
256,119 | The People’s Insurance Co. Group of China Ltd. Class H (Insurance) | 87,554 | ||||||
27,996 | Tianneng Power International Ltd. (Auto Components) | 51,332 | ||||||
6,780 | Trip.com Group Ltd. ADR* (Internet & Direct Marketing Retail) | 264,962 | ||||||
18,000 | Tsingtao Brewery Co. Ltd. Class H (Beverages) | 163,019 | ||||||
29,000 | Uni-President China Holdings Ltd. (Food Products) | 35,228 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
6,032 | Vipshop Holdings Ltd. ADR* (Internet & Direct Marketing Retail) | $ | 185,605 | |||||
254,000 | Want Want China Holdings Ltd. (Food Products) | 183,571 | ||||||
1,639 | Weibo Corp. ADR* (Interactive Media & Services) | 82,606 | ||||||
35,000 | Weichai Power Co. Ltd. Class H (Machinery) | 81,014 | ||||||
5,550 | Wuliangye Yibin Co. Ltd. Class A (Beverages) | 243,208 | ||||||
71,959 | Wuxi Biologics Cayman, Inc.*(a) (Life Sciences Tools & Services) | 1,010,146 | ||||||
46,000 | Yadea Group Holdings Ltd.(a) (Automobiles) | 100,706 | ||||||
82,900 | Yangzijiang Shipbuilding Holdings Ltd. (Machinery) | 88,965 | ||||||
180,000 | Yanzhou Coal Mining Co. Ltd. Class H (Oil, Gas & Consumable Fuels) | 214,452 | ||||||
590 | Zai Lab, Ltd. ADR* (Biotechnology) | 98,064 | ||||||
25,500 | Zhongsheng Group Holdings Ltd. (Specialty Retail) | 192,880 | ||||||
78,000 | Zoomlion Heavy Industry Science & Technology Co. Ltd. Class H (Machinery) | 107,821 | ||||||
|
| |||||||
23,097,038 | ||||||||
|
| |||||||
Denmark – 0.7% | ||||||||
296 | ALK-Abello A/S* (Pharmaceuticals) | 128,185 | ||||||
2,543 | Carlsberg AS Class B (Beverages) | 446,144 | ||||||
13 | Coloplast A/S Class B (Health Care Equipment & Supplies) | 2,153 | ||||||
4,905 | DSV PANALPINA A/S (Air Freight & Logistics) | 1,092,786 | ||||||
1,400 | GN Store Nord A/S (Health Care Equipment & Supplies) | 126,262 | ||||||
14,104 | Novo Nordisk A/S Class B (Pharmaceuticals) | 1,040,416 | ||||||
34 | Orsted A/S(a) (Electric Utilities) | 4,942 | ||||||
395 | Rockwool International A/S Class B (Building Products) | 176,682 | ||||||
1,681 | Royal Unibrew A/S (Beverages) | 205,336 | ||||||
5,009 | Vestas Wind Systems A/S (Electrical Equipment) | 209,093 | ||||||
|
| |||||||
3,431,999 | ||||||||
|
| |||||||
Finland – 0.1% | ||||||||
197 | Elisa Oyj (Diversified Telecommunication Services) | 11,167 | ||||||
2,284 | Kesko Oyj Class B (Food & Staples Retailing) | 69,546 | ||||||
6,325 | Kojamo Oyj (Real Estate Management & Development) | 136,975 | ||||||
90 | Kone Oyj Class B (Machinery) | 7,069 | ||||||
409 | Neste Oyj (Oil, Gas & Consumable Fuels) | 24,733 | ||||||
|
| |||||||
249,490 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
France – 3.8% | ||||||||
8,817 | Air Liquide SA (Chemicals) | 1,484,803 | ||||||
5,685 | Alstom SA* (Machinery) | 310,467 | ||||||
1,327 | Arkema SA (Chemicals) | 165,897 | ||||||
31,032 | AXA SA (Insurance) | 876,499 | ||||||
317 | BioMerieux (Health Care Equipment & Supplies) | 37,708 | ||||||
5,019 | BNP Paribas SA* (Banks) | 321,807 | ||||||
558 | Bollore SA (Entertainment) | 2,817 | ||||||
365 | Bouygues SA (Construction & Engineering) | 15,642 | ||||||
5,496 | Capgemini SE (IT Services) | 1,007,125 | ||||||
10,010 | Carrefour SA (Food & Staples Retailing) | 193,864 | ||||||
3,981 | Cellectis SA ADR* (Biotechnology) | 74,086 | ||||||
22 | Cie de Saint-Gobain* (Building Products) | 1,388 | ||||||
1,944 | Cie Generale des Etablissements Michelin SCA (Auto Components) | 281,298 | ||||||
16,277 | Danone SA (Food Products) | 1,148,985 | ||||||
1,653 | Dassault Systemes SE (Software) | 383,450 | ||||||
90 | Eiffage SA* (Construction & Engineering) | 9,858 | ||||||
31,555 | Engie SA* (Multi-Utilities) | 470,026 | ||||||
3,482 | EssilorLuxottica SA (Textiles, Apparel & Luxury Goods) | 579,543 | ||||||
9,558 | Eutelsat Communications SA (Media) | 120,944 | ||||||
2,474 | Faurecia SE* (Auto Components) | 133,663 | ||||||
54 | Gecina SA (Equity Real Estate Investment Trusts (REITs)) | 7,904 | ||||||
15 | Hermes International (Textiles, Apparel & Luxury Goods) | 18,827 | ||||||
153 | Iliad SA (Diversified Telecommunication Services) | 27,783 | ||||||
64 | Imerys SA (Construction Materials) | 3,327 | ||||||
1,670 | L’Oreal SA (Personal Products) | 683,815 | ||||||
4,990 | Legrand SA (Electrical Equipment) | 485,726 | ||||||
3,243 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 2,443,114 | ||||||
1,034 | Nexans SA* (Electrical Equipment) | 84,920 | ||||||
10,215 | Orange SA (Diversified Telecommunication Services) | 127,210 | ||||||
10,661 | Pernod Ricard SA (Beverages) | 2,189,414 | ||||||
201 | Publicis Groupe SA (Media) | 13,009 | ||||||
123 | Rubis SCA (Gas Utilities) | 5,774 | ||||||
15,410 | Sanofi (Pharmaceuticals) | 1,615,619 | ||||||
254 | Sartorius Stedim Biotech (Life Sciences Tools & Services) | 116,659 | ||||||
10,552 | Schneider Electric SE (Electrical Equipment) | 1,683,632 | ||||||
3,955 | SCOR SE* (Insurance) | 127,792 | ||||||
857 | Sopra Steria Group SACA* (IT Services) | 159,497 | ||||||
7,214 | SPIE SA* (Commercial Services & Supplies) | 182,350 | ||||||
404 | Suez SA (Multi-Utilities) | 9,656 | ||||||
1,034 | Technip Energies NV* (Energy Equipment & Services) | 14,725 | ||||||
29 | Teleperformance (Professional Services) | 11,198 | ||||||
30,199 | TOTAL SE (Oil, Gas & Consumable Fuels) | 1,334,728 | ||||||
|
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
7,665 | Valeo SA (Auto Components) | $ | 248,392 | |||||
2,599 | Veolia Environnement SA (Multi-Utilities) | 82,895 | ||||||
5,788 | Vinci SA (Construction & Engineering) | 635,115 | ||||||
458 | Vivendi SE (Entertainment) | 15,966 | ||||||
|
| |||||||
19,948,917 | ||||||||
|
| |||||||
Germany – 2.9% | ||||||||
98 | Allianz SE (Insurance) | 25,442 | ||||||
8,174 | alstria office REIT AG (Equity Real Estate Investment Trusts (REITs)) | 146,354 | ||||||
13,493 | BASF SE (Chemicals) | 1,087,418 | ||||||
19,416 | Bayer AG (Pharmaceuticals) | 1,256,377 | ||||||
159 | Bechtle AG (IT Services) | 32,377 | ||||||
7,466 | Beiersdorf AG (Personal Products) | 842,691 | ||||||
434 | Brenntag SE (Trading Companies & Distributors) | 38,962 | ||||||
54 | Covestro AG(a) (Chemicals) | 3,532 | ||||||
2,592 | Daimler AG (Automobiles) | 230,685 | ||||||
4,693 | Deutsche Boerse AG (Capital Markets) | 808,722 | ||||||
1,159 | Deutsche Post AG (Air Freight & Logistics) | 68,262 | ||||||
4,197 | Deutsche Telekom AG (Diversified Telecommunication Services) | 80,771 | ||||||
634 | Deutsche Wohnen SE (Real Estate Management & Development) | 34,299 | ||||||
2,605 | DWS Group GmbH & Co. KGaA(a) (Capital Markets) | 113,985 | ||||||
46 | Evonik Industries AG (Chemicals) | 1,610 | ||||||
4,237 | Evotec SE* (Life Sciences Tools & Services) | 176,245 | ||||||
882 | flatexDEGIRO AG* (Capital Markets) | 112,956 | ||||||
71 | Hannover Rueck SE (Insurance) | 13,111 | ||||||
1,819 | HelloFresh SE* (Internet & Direct Marketing Retail) | 150,896 | ||||||
10,099 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 404,975 | ||||||
2,509 | Jungheinrich AG (Machinery) | 131,259 | ||||||
1,790 | KION Group AG (Machinery) | 178,369 | ||||||
785 | LEG Immobilien SE (Real Estate Management & Development) | 109,221 | ||||||
4,036 | Merck KGaA (Pharmaceuticals) | 709,062 | ||||||
1,136 | MTU Aero Engines AG (Aerospace & Defense) | 286,678 | ||||||
499 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance) | 144,178 | ||||||
1,662 | Rheinmetall AG (Industrial Conglomerates) | 173,411 | ||||||
29,528 | RWE AG (Multi-Utilities) | 1,121,233 | ||||||
33,912 | SAP SE (Software) | 4,748,380 | ||||||
118 | Sartorius AG (Health Care Equipment & Supplies) | 66,578 | ||||||
1,215 | Scout24 AG(a) (Interactive Media & Services) | 101,016 | ||||||
6,728 | Siemens AG (Industrial Conglomerates) | 1,122,465 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Germany – (continued) | ||||||||
612 | Sixt SE* (Road & Rail) | 84,905 | ||||||
1,503 | Stroeer SE & Co. KGaA (Media) | 128,090 | ||||||
61 | Symrise AG (Chemicals) | 7,877 | ||||||
3,487 | TAG Immobilien AG (Real Estate Management & Development) | 107,839 | ||||||
148 | Talanx AG* (Insurance) | 6,236 | ||||||
172 | Traton SE (Machinery) | 4,910 | ||||||
695 | Uniper SE (Independent Power and Renewable Electricity Producers) | 25,359 | ||||||
9 | Volkswagen AG (Automobiles) | 2,857 | ||||||
69 | Vonovia SE (Real Estate Management & Development) | 4,534 | ||||||
97 | Zalando SE*(a) (Internet & Direct Marketing Retail) | 10,088 | ||||||
|
| |||||||
14,904,215 | ||||||||
|
| |||||||
Hong Kong – 1.0% | ||||||||
200,325 | AIA Group Ltd. (Insurance) | 2,542,639 | ||||||
17,000 | China Mengniu Dairy Co. Ltd. (Food Products) | 90,986 | ||||||
193,000 | China Resources Pharmaceutical Group Ltd.(a) (Pharmaceuticals) | 129,967 | ||||||
628,892 | China South City Holdings Ltd. (Real Estate Management & Development) | 66,255 | ||||||
66,000 | CITIC Ltd. (Industrial Conglomerates) | 69,318 | ||||||
5,719 | CK Hutchison Holdings Ltd. (Industrial Conglomerates) | 46,742 | ||||||
855 | CLP Holdings Ltd. (Electric Utilities) | 8,439 | ||||||
22,000 | CSPC Pharmaceutical Group Ltd. (Pharmaceuticals) | 27,155 | ||||||
2,390 | Dah Sing Banking Group Ltd. (Banks) | 2,620 | ||||||
718 | Dah Sing Financial Holdings Ltd. (Banks) | 2,319 | ||||||
27,000 | Galaxy Entertainment Group Ltd.* (Hotels, Restaurants & Leisure) | 237,009 | ||||||
2,363 | Hang Lung Group Ltd. (Real Estate Management & Development) | 6,199 | ||||||
4,791 | Hong Kong Exchanges & Clearing Ltd. (Capital Markets) | 288,950 | ||||||
38,000 | Hopson Development Holdings Ltd. (Real Estate Management & Development) | 149,032 | ||||||
35,000 | Hysan Development Co. Ltd. (Real Estate Management & Development) | 131,760 | ||||||
4,871 | Kerry Logistics Network Ltd. (Air Freight & Logistics) | 14,621 | ||||||
1,271 | Kerry Properties Ltd. (Real Estate Management & Development) | 4,282 | ||||||
243,723 | Lenovo Group Ltd. (Technology Hardware, Storage & Peripherals) | 333,012 | ||||||
610 | Link REIT (Equity Real Estate Investment Trusts (REITs)) | 5,754 | ||||||
57,941 | Man Wah Holdings Ltd. (Household Durables) | 121,302 | ||||||
41,423 | PCCW Ltd. (Diversified Telecommunication Services) | 23,965 | ||||||
32 | RenaissanceRe Holdings Ltd. (Insurance) | 5,402 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Hong Kong – (continued) | ||||||||
1,089 | Shun Tak Holdings Ltd. (Industrial Conglomerates) | $ | 348 | |||||
53,215 | Sinotruk Hong Kong Ltd. (Machinery) | 130,755 | ||||||
3,001 | SITC International Holdings Co. Ltd. (Marine) | 11,435 | ||||||
18,013 | Swire Pacific Ltd. Class A (Real Estate Management & Development) | 145,117 | ||||||
2,214 | Swire Pacific Ltd. Class B (Real Estate Management & Development) | 2,800 | ||||||
59,000 | TCL Electronics Holdings Ltd. (Household Durables) | 43,555 | ||||||
9,924 | Techtronic Industries Co. Ltd. (Machinery) | 180,069 | ||||||
28,000 | The Wharf Holdings Ltd. (Real Estate Management & Development) | 84,929 | ||||||
496 | Vinda International Holdings Ltd. (Household Products) | 1,763 | ||||||
34,500 | Yue Yuen Industrial Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 86,345 | ||||||
110,000 | Yuexiu Property Co. Ltd. (Real Estate Management & Development) | 25,430 | ||||||
|
| |||||||
5,020,274 | ||||||||
|
| |||||||
Hungary* – 0.1% | ||||||||
6,471 | OTP Bank Nyrt (Banks) | 290,903 | ||||||
|
| |||||||
India – 1.3% | ||||||||
5,775 | Aarti Drugs Ltd. (Pharmaceuticals) | 55,294 | ||||||
20,825 | Adani Ports & Special Economic Zone Ltd.* (Transportation Infrastructure) | 204,814 | ||||||
7,180 | Amara Raja Batteries. Ltd. (Electrical Equipment) | 78,437 | ||||||
6,066 | Asian Paints Ltd. (Chemicals) | 207,411 | ||||||
4,925 | Avanti Feeds Ltd. (Food Products) | 32,313 | ||||||
9,609 | Balkrishna Industries Ltd. (Auto Components) | 229,414 | ||||||
5,073 | Cholamandalam Investment and Finance Co, Ltd. (Consumer Finance) | 39,038 | ||||||
2,400 | Dixon Technologies India, Ltd.* (Household Durables) | 135,883 | ||||||
3,694 | Eicher Motors, Ltd.* (Automobiles) | 120,547 | ||||||
14,940 | Escorts Ltd. (Machinery) | 225,111 | ||||||
7,515 | Havells India Ltd. (Electrical Equipment) | 100,268 | ||||||
13,792 | HCL Technologies Ltd. (IT Services) | 167,110 | ||||||
29,634 | HDFC Bank Ltd.* (Banks) | 563,045 | ||||||
9,724 | HDFC Bank Ltd. ADR* (Banks) | 683,403 | ||||||
13,067 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 425,530 | ||||||
15,761 | ICICI Bank Ltd.* (Banks) | 127,672 | ||||||
246 | IndiaMart InterMesh, Ltd.(a) (Trading Companies & Distributors) | 26,354 | ||||||
15,989 | Infosys Ltd. (IT Services) | 290,579 | ||||||
26,500 | Infosys Ltd. ADR (IT Services) | 479,120 | ||||||
6,499 | IOL Chemicals & Pharmaceuticals Ltd. (Pharmaceuticals) | 51,809 | ||||||
694 | Larsen & Toubro Infotech Ltd.(a) (IT Services) | 36,392 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
India – (continued) | ||||||||
20,429 | Laurus Labs Ltd.(a) (Pharmaceuticals) | 124,656 | ||||||
44,147 | Motherson Sumi Systems Ltd.* (Auto Components) | 127,700 | ||||||
18,484 | Oil & Natural Gas Corp. Ltd. (Oil, Gas & Consumable Fuels) | 26,855 | ||||||
150 | Page Industries Ltd. (Textiles, Apparel & Luxury Goods) | 59,993 | ||||||
28,035 | Power Finance Corp. Ltd. (Diversified Financial Services) | 40,952 | ||||||
95,944 | REC Ltd. (Diversified Financial Services) | 165,507 | ||||||
11,578 | Reliance Industries Ltd. (Oil, Gas & Consumable Fuels) | 311,057 | ||||||
47,065 | State Bank of India* (Banks) | 223,896 | ||||||
15,465 | Sun Pharmaceutical Industries Ltd. (Pharmaceuticals) | 136,497 | ||||||
31,074 | Sun TV Network Ltd. (Media) | 227,442 | ||||||
14,113 | Tata Consultancy Services Ltd. (IT Services) | 577,554 | ||||||
796 | Tata Elxsi Ltd. (Software) | 37,347 | ||||||
15,673 | Tata Motors Ltd.* (Automobiles) | 61,607 | ||||||
1,577 | UltraTech Cement Ltd. (Construction Materials) | 133,447 | ||||||
4,371 | Voltas Ltd. (Construction & Engineering) | 56,379 | ||||||
49,516 | Wipro Ltd. (IT Services) | 327,484 | ||||||
|
| |||||||
6,917,917 | ||||||||
|
| |||||||
Indonesia – 0.2% | ||||||||
622,200 | Aneka Tambang Tbk (Metals & Mining) | 106,752 | ||||||
542,900 | Bank Mandiri Persero Tbk PT (Banks) | 231,146 | ||||||
1,253,400 | Bank Rakyat Indonesia Persero Tbk PT (Banks) | 350,745 | ||||||
48,500 | United Tractors Tbk PT (Oil, Gas & Consumable Fuels) | 70,984 | ||||||
|
| |||||||
759,627 | ||||||||
|
| |||||||
Ireland – 2.5% | ||||||||
17,646 | Accenture PLC Class A (IT Services) | 5,116,811 | ||||||
17,799 | Aon PLC Class A (Insurance) | 4,475,381 | ||||||
460 | DCC PLC (Industrial Conglomerates) | 39,914 | ||||||
231 | Eaton Corp. PLC (Electrical Equipment) | 33,017 | ||||||
4 | Flutter Entertainment PLC* (Hotels, Restaurants & Leisure) | 815 | ||||||
13,887 | Grafton Group PLC (Trading Companies & Distributors) | 228,778 | ||||||
2,457 | ICON PLC* (Life Sciences Tools & Services) | 533,046 | ||||||
327 | Johnson Controls International PLC (Building Products) | 20,385 | ||||||
129 | Kerry Group PLC Class A (Food Products) | 16,721 | ||||||
50 | Kingspan Group PLC (Building Products) | 4,447 | ||||||
2,064 | Linde PLC (Chemicals) | 589,968 | ||||||
|
|
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Ireland – (continued) | ||||||||
132 | Medtronic PLC (Health Care Equipment & Supplies) | $ | 17,281 | |||||
500 | Pentair PLC (Machinery) | 32,255 | ||||||
10,762 | Ryanair Holdings PLC ADR* (Airlines) | 1,257,540 | ||||||
3,036 | STERIS PLC (Health Care Equipment & Supplies) | 640,657 | ||||||
127 | Trane Technologies PLC (Building Products) | 22,076 | ||||||
13 | Willis Towers Watson PLC (Insurance) | 3,365 | ||||||
|
| |||||||
13,032,457 | ||||||||
|
| |||||||
Israel – 0.2% | ||||||||
1,044 | Bank Leumi Le-Israel BM* (Banks) | 7,329 | ||||||
116,543 | Bezeq The Israeli Telecommunication Corp. Ltd.* (Diversified Telecommunication Services) | 126,454 | ||||||
4,704 | Check Point Software Technologies Ltd.* (Software) | 549,474 | ||||||
906 | CyberArk Software Ltd.* (Software) | 127,293 | ||||||
10 | Electra Ltd. (Construction & Engineering) | 5,539 | ||||||
643 | Energix-Renewable Energies Ltd. (Independent Power and Renewable Electricity Producers) | 2,521 | ||||||
35,187 | Israel Discount Bank Ltd. Class A* (Banks) | 158,398 | ||||||
84 | Nice Ltd.* (Software) | 20,258 | ||||||
87 | Paz Oil Co. Ltd. (Oil, Gas & Consumable Fuels) | 9,584 | ||||||
2,848 | Tower Semiconductor Ltd.* (Semiconductors & Semiconductor Equipment) | 80,598 | ||||||
|
| |||||||
1,087,448 | ||||||||
|
| |||||||
Italy – 1.0% | ||||||||
532 | Assicurazioni Generali SpA* (Insurance) | 10,649 | ||||||
15,445 | Banca Mediolanum SpA* (Diversified Financial Services) | 144,109 | ||||||
76,511 | BPER Banca* (Banks) | 174,331 | ||||||
6,837 | Buzzi Unicem SpA (Construction Materials) | 182,424 | ||||||
139,014 | Enel SpA (Electric Utilities) | 1,380,316 | ||||||
23,245 | Eni SpA (Oil, Gas & Consumable Fuels) | 276,869 | ||||||
3,643 | ERG SpA (Independent Power and Renewable Electricity Producers) | 108,900 | ||||||
33,032 | Hera SpA (Multi-Utilities) | 132,922 | ||||||
184,589 | Intesa Sanpaolo SpA* (Banks) | 514,618 | ||||||
15,036 | Mediobanca Banca di Credito Finanziario SpA* (Banks) | 169,824 | ||||||
1,069 | Poste Italiane SpA(a) (Insurance) | 13,994 | ||||||
4,210 | Prysmian SpA (Electrical Equipment) | 131,716 | ||||||
22,901 | Snam SpA (Gas Utilities) | 128,865 | ||||||
1,101 | Terna Rete Elettrica Nazionale SpA (Electric Utilities) | 8,116 | ||||||
152,325 | UniCredit SpA (Banks) | 1,564,680 | ||||||
|
| |||||||
4,942,333 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – 4.3% | ||||||||
1,900 | ABC-Mart, Inc. (Specialty Retail) | 101,803 | ||||||
2 | Activia Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 9,222 | ||||||
5 | Advance Residence Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 15,924 | ||||||
5,100 | Aeon Co. Ltd. (Food & Staples Retailing) | 139,173 | ||||||
300 | Air Water, Inc. (Chemicals) | 4,962 | ||||||
500 | Aisin Corp. (Auto Components) | 19,245 | ||||||
600 | Alfresa Holdings Corp. (Health Care Providers & Services) | 10,755 | ||||||
10,600 | Amada Co. Ltd. (Machinery) | 114,972 | ||||||
100 | ANA Holdings, Inc.* (Airlines) | 2,296 | ||||||
6,700 | Anritsu Corp. (Electronic Equipment, Instruments & Components) | 130,178 | ||||||
800 | Azbil Corp. (Electronic Equipment, Instruments & Components) | 32,302 | ||||||
5,000 | Canon Marketing Japan, Inc. (Electronic Equipment, Instruments & Components) | 120,711 | ||||||
300 | Canon, Inc. (Technology Hardware, Storage & Peripherals) | 7,134 | ||||||
600 | Chubu Electric Power Co., Inc. (Electric Utilities) | 7,271 | ||||||
500 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals) | 18,767 | ||||||
1,700 | cocokara fine, Inc. (Food & Staples Retailing) | 115,270 | ||||||
750 | Cosmos Pharmaceutical Corp. (Food & Staples Retailing) | 107,645 | ||||||
4,800 | Daikin Industries Ltd. (Building Products) | 968,230 | ||||||
9 | Daiwa House REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 24,104 | ||||||
5,000 | Denka Co. Ltd (Chemicals) | 195,812 | ||||||
6,000 | Denso Corp. (Auto Components) | 387,918 | ||||||
100 | Electric Power Development Co. Ltd. (Independent Power and Renewable Electricity Producers) | 1,603 | ||||||
24,600 | ENEOS Holdings, Inc. (Oil, Gas & Consumable Fuels) | 105,803 | ||||||
4,700 | FANUC Corp. (Machinery) | 1,082,329 | ||||||
3,300 | FCC Co. Ltd. (Auto Components) | 53,109 | ||||||
100 | Fujitsu General Ltd. (Household Durables) | 2,652 | ||||||
50 | Fujitsu Ltd. (IT Services) | 7,943 | ||||||
98 | GLP J-REIT (Equity Real Estate Investment Trusts (REITs)) | 164,275 | ||||||
900 | GS Yuasa Corp. (Electrical Equipment) | 24,362 | ||||||
2,400 | Hanwa Co. Ltd. (Trading Companies & Distributors) | 71,316 | ||||||
16,800 | Hazama Ando Corp. (Construction & Engineering) | 128,212 | ||||||
20,500 | Hitachi Ltd. (Industrial Conglomerates) | 1,014,703 | ||||||
800 | Hokuriku Electric Power Co. (Electric Utilities) | 4,859 | ||||||
200 | Honda Motor Co. Ltd. (Automobiles) | 5,964 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
8,000 | Hoya Corp. (Health Care Equipment & Supplies) | $ | 909,322 | |||||
4 | Industrial & Infrastructure Fund Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 7,243 | ||||||
10,500 | ITOCHU Corp. (Trading Companies & Distributors) | 327,797 | ||||||
200 | Itoham Yonekyu Holdings, Inc. (Food Products) | 1,287 | ||||||
500 | Iwatani Corp. (Oil, Gas & Consumable Fuels) | 31,337 | ||||||
1,800 | Jafco Group Co. Ltd. (Capital Markets) | 129,578 | ||||||
200 | Japan Hotel REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 114,531 | ||||||
6 | Japan Logistics Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 17,158 | ||||||
15 | Japan Metropolitan Fund Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 14,782 | ||||||
1 | Japan Real Estate Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 6,198 | ||||||
18,800 | Japan Tobacco, Inc. (Tobacco) | 352,663 | ||||||
11,600 | JGC Holdings Corp. (Construction & Engineering) | 132,606 | ||||||
1,500 | K’s Holdings Corp. (Specialty Retail) | 20,463 | ||||||
6,800 | Kamigumi Co. Ltd. (Transportation Infrastructure) | 132,491 | ||||||
1,100 | Kandenko Co. Ltd. (Construction & Engineering) | 9,403 | ||||||
100 | Keihan Holdings Co. Ltd. (Industrial Conglomerates) | 3,652 | ||||||
13 | Kenedix Office Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 95,726 | ||||||
38 | Kenedix Residential Next Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 78,382 | ||||||
1,420 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 681,675 | ||||||
400 | Kinden Corp. (Construction & Engineering) | 6,810 | ||||||
810 | Koei Tecmo Holdings Co. Ltd. (Entertainment) | 36,114 | ||||||
6,000 | Koito Manufacturing Co. Ltd. (Auto Components) | 374,284 | ||||||
700 | Konami Holdings Corp. (Entertainment) | 41,752 | ||||||
2,100 | Kose Corp. (Personal Products) | 316,124 | ||||||
34,000 | Kubota Corp. (Machinery) | 799,876 | ||||||
9,000 | Kyocera Corp. (Electronic Equipment, Instruments & Components) | 546,418 | ||||||
5,700 | Kyowa Exeo Corp. (Construction & Engineering) | 151,625 | ||||||
1,900 | Kyudenko Corp. (Construction & Engineering) | 66,250 | ||||||
3,600 | Kyushu Electric Power Co., Inc. (Electric Utilities) | 32,997 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
100 | Kyushu Railway Co. (Road & Rail) | 2,245 | ||||||
13 | LaSalle Logiport REIT (Equity Real Estate Investment Trusts (REITs)) | 21,097 | ||||||
3,400 | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | 598,702 | ||||||
700 | M&A Capital Partners Co, Ltd.* (Capital Markets) | 32,359 | ||||||
200 | M3, Inc. (Health Care Technology) | 13,816 | ||||||
100 | Makita Corp. (Machinery) | 4,504 | ||||||
1,600 | Marubeni Corp. (Trading Companies & Distributors) | 13,327 | ||||||
1,300 | Medipal Holdings Corp. (Health Care Providers & Services) | 23,921 | ||||||
4,100 | Mirait Holdings Corp. (Construction & Engineering) | 66,296 | ||||||
5,400 | Mitsubishi Chemical Holdings Corp. (Chemicals) | 40,200 | ||||||
900 | Mitsubishi Corp. (Trading Companies & Distributors) | 24,886 | ||||||
1,100 | Mitsubishi Gas Chemical Co., Inc. (Chemicals) | 25,415 | ||||||
22,900 | Mitsubishi HC Capital Inc. (Diversified Financial Services) | 131,609 | ||||||
100 | Mitsubishi Heavy Industries Ltd. (Machinery) | 2,977 | ||||||
200 | Mitsubishi Shokuhin Co. Ltd. (Food & Staples Retailing) | 5,420 | ||||||
1,000 | Mitsui & Co. Ltd. (Trading Companies & Distributors) | 21,104 | ||||||
100 | Mitsui Chemicals, Inc. (Chemicals) | 3,148 | ||||||
25 | Mitsui Fudosan Logistics Park, Inc. (Equity Real Estate Investment Trusts (REITs)) | 129,394 | ||||||
3,200 | Morinaga Milk Industry Co. Ltd. (Food Products) | 174,972 | ||||||
15,200 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 1,208,512 | ||||||
1,100 | Nagase & Co. Ltd. (Trading Companies & Distributors) | 16,577 | ||||||
100 | Nagoya Railroad Co. Ltd.* (Road & Rail) | 2,297 | ||||||
100 | NEC Corp. (IT Services) | 5,814 | ||||||
7,500 | NEC Networks & System Integration Corp. (IT Services) | 129,020 | ||||||
3,600 | NET One Systems Co. Ltd. (IT Services) | 117,839 | ||||||
3,300 | NH Foods Ltd. (Food Products) | 147,393 | ||||||
1,750 | Nidec Corp. (Electrical Equipment) | 202,071 | ||||||
200 | Nifco, Inc. (Auto Components) | 6,833 | ||||||
2,700 | Nihon Unisys Ltd. (IT Services) | 85,526 | ||||||
400 | Nippo Corp. (Construction & Engineering) | 10,476 | ||||||
1 | Nippon Accommodations Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,932 | ||||||
2,100 | Nippon Express Co. Ltd. (Road & Rail) | 160,721 | ||||||
700 | Nippon Paper Industries Co. Ltd. (Paper & Forest Products) | 8,612 | ||||||
|
|
14 | 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) | ||||||||
16 | Nippon Prologis REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | $ | 51,272 | |||||
1,200 | Nippon Shinyaku Co. Ltd. (Pharmaceuticals) | 80,944 | ||||||
200 | Nippon Steel Corp. (Metals & Mining) | 3,495 | ||||||
1,100 | Nippon Telegraph & Telephone Corp. (Diversified Telecommunication Services) | 27,734 | ||||||
900 | Nippon Yusen KK (Marine) | 35,373 | ||||||
3,000 | Nishio Rent All Co. Ltd. (Trading Companies & Distributors) | 82,867 | ||||||
1,700 | Nissan Motor Co. Ltd.* (Automobiles) | 8,534 | ||||||
13 | Nomura Real Estate Master Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 20,541 | ||||||
100 | Nomura Research Institute Ltd. (IT Services) | 3,069 | ||||||
4,100 | NSD Co. Ltd. (IT Services) | 66,758 | ||||||
1,900 | Obayashi Corp. (Construction & Engineering) | 17,384 | ||||||
900 | Oji Holdings Corp. (Paper & Forest Products) | 5,677 | ||||||
33,900 | Olympus Corp. (Health Care Equipment & Supplies) | 697,714 | ||||||
500 | ORIX Corp. (Diversified Financial Services) | 8,072 | ||||||
400 | Osaka Gas Co. Ltd. (Gas Utilities) | 7,742 | ||||||
17,700 | Penta-Ocean Construction Co. Ltd. (Construction & Engineering) | 137,995 | ||||||
5,800 | Persol Holdings Co. Ltd. (Professional Services) | 106,814 | ||||||
1,400 | Rengo Co. Ltd. (Containers & Packaging) | 11,620 | ||||||
100 | Rinnai Corp. (Household Durables) | 10,041 | �� | |||||
5,400 | Ryohin Keikaku Co. Ltd. (Multiline Retail) | 113,730 | ||||||
3,100 | Sankyu, Inc. (Road & Rail) | 132,340 | ||||||
2,600 | Sato Holdings Corp. (Commercial Services & Supplies) | 63,864 | ||||||
4,000 | Seiko Holdings Corp. (Textiles, Apparel & Luxury Goods) | 70,643 | ||||||
300 | Seino Holdings Co. Ltd. (Road & Rail) | 4,125 | ||||||
6,000 | Sekisui House Ltd. (Household Durables) | 121,516 | ||||||
16 | Sekisui House Reit, Inc. (Equity Real Estate Investment Trusts (REITs)) | 13,313 | ||||||
3,200 | Seria Co. Ltd. (Multiline Retail) | 115,965 | ||||||
200 | SG Holdings Co. Ltd. (Air Freight & Logistics) | 4,542 | ||||||
600 | Shikoku Electric Power Co. Inc. (Electric Utilities) | 4,406 | ||||||
200 | Shimizu Corp. (Construction & Engineering) | 1,639 | ||||||
2,100 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 354,484 | ||||||
300 | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | 9,675 | ||||||
8,500 | Shinsei Bank Ltd.* (Banks) | 123,984 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
4,100 | Ship Healthcare Holdings, Inc. (Health Care Providers & Services) | 107,452 | ||||||
800 | SMC Corp. (Machinery) | 464,862 | ||||||
700 | SoftBank Corp. (Wireless Telecommunication Services) | 9,023 | ||||||
1,000 | SoftBank Group Corp. (Wireless Telecommunication Services) | 90,111 | ||||||
5,700 | Sojitz Corp. (Trading Companies & Distributors) | 17,027 | ||||||
8,500 | Sompo Holdings, Inc. (Insurance) | 315,904 | ||||||
400 | Sony Group Corp. (Household Durables) | 39,992 | ||||||
100 | Sugi Holdings Co. Ltd. (Food & Staples Retailing) | 7,680 | ||||||
3,500 | Sumitomo Bakelite Co. Ltd. (Chemicals) | 141,727 | ||||||
500 | Sumitomo Corp. (Trading Companies & Distributors) | 6,795 | ||||||
200 | Sumitomo Electric Industries Ltd. (Auto Components) | 2,976 | ||||||
8,500 | Sumitomo Forestry Co. Ltd. (Household Durables) | 196,265 | ||||||
5,700 | Sumitomo Heavy Industries Ltd. (Machinery) | 165,908 | ||||||
200 | Sumitomo Metal Mining Co. Ltd. (Metals & Mining) | 8,468 | ||||||
21,300 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 748,242 | ||||||
100 | Suzuken Co. Ltd. (Health Care Providers & Services) | 3,604 | ||||||
100 | Takashimaya Co. Ltd. (Multiline Retail) | 1,105 | ||||||
44,900 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 1,499,682 | ||||||
1,000 | Teijin Ltd. (Chemicals) | 16,465 | ||||||
18,300 | Terumo Corp. (Health Care Equipment & Supplies) | 691,963 | ||||||
18,100 | The Chiba Bank Ltd. (Banks) | 113,183 | ||||||
2,400 | The Chugoku Electric Power Co., Inc. (Electric Utilities) | 26,860 | ||||||
300 | The Kansai Electric Power Co., Inc. (Electric Utilities) | 2,980 | ||||||
4,400 | TIS, Inc. (IT Services) | 109,165 | ||||||
200 | Tobu Railway Co. Ltd. (Road & Rail) | 5,150 | ||||||
1,000 | Toda Corp. (Construction & Engineering) | 7,139 | ||||||
3,700 | Tohoku Electric Power Co., Inc. (Electric Utilities) | 32,686 | ||||||
500 | Tokyo Electric Power Co. Holdings, Inc.* (Electric Utilities) | 1,483 | ||||||
2,300 | Tokyo Ohka Kogyo Co. Ltd. (Chemicals) | 152,419 | ||||||
2,100 | Tokyotokeiba Co. Ltd. (Hotels, Restaurants & Leisure) | 113,709 | ||||||
500 | Toppan Printing Co. Ltd. (Commercial Services & Supplies) | 8,539 | ||||||
3,200 | Towa Pharmaceutical Co. Ltd. (Pharmaceuticals) | 66,257 | ||||||
700 | Toyo Suisan Kaisha Ltd. (Food Products) | 28,543 | ||||||
4,500 | Toyoda Gosei Co. Ltd. (Auto Components) | 110,296 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
600 | Toyota Boshoku Corp. (Auto Components) | $ | 11,194 | |||||
100 | Toyota Motor Corp. (Automobiles) | 7,482 | ||||||
200 | Toyota Tsusho Corp. (Trading Companies & Distributors) | 8,475 | ||||||
8,300 | TS Tech Co. Ltd. (Auto Components) | 115,724 | ||||||
600 | Ube Industries Ltd. (Chemicals) | 12,132 | ||||||
3,300 | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | 150,815 | ||||||
6 | United Urban Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 8,957 | ||||||
700 | Yamada Holdings Co. Ltd. (Specialty Retail) | 3,485 | ||||||
100 | Yaoko Co. Ltd. (Food & Staples Retailing) | 6,379 | ||||||
5,400 | Z Holdings Corp. (Interactive Media & Services) | 24,906 | ||||||
2,400 | Zenkoku Hosho Co. Ltd. (Diversified Financial Services) | 107,721 | ||||||
10,600 | Zeon Corp. (Chemicals) | 169,014 | ||||||
|
| |||||||
22,540,199 | ||||||||
|
| |||||||
Luxembourg – 0.1% | ||||||||
10,858 | ArcelorMittal SA* (Metals & Mining) | 315,649 | ||||||
34,596 | B&M European Value Retail SA (Multiline Retail) | 270,435 | ||||||
96 | Eurofins Scientific SE* (Life Sciences Tools & Services) | 9,508 | ||||||
131 | RTL Group SA* (Media) | 7,702 | ||||||
|
| |||||||
603,294 | ||||||||
|
| |||||||
Macau* – 0.1% | ||||||||
107,200 | Sands China Ltd. (Hotels, Restaurants & Leisure) | 507,277 | ||||||
|
| |||||||
Malaysia – 0.1% | ||||||||
132,900 | Inari Amertron Bhd (Electronic Equipment, Instruments & Components) | 111,528 | ||||||
57,400 | Kossan Rubber Industries (Health Care Equipment & Supplies) | 62,068 | ||||||
36,000 | Malayan Banking Bhd (Banks) | 72,303 | ||||||
35,400 | Supermax Corp. Bhd (Health Care Equipment & Supplies) | 51,960 | ||||||
25,900 | Telekom Malaysia Bhd (Diversified Telecommunication Services) | 36,081 | ||||||
55,000 | Top Glove Corp. Bhd (Health Care Equipment & Supplies) | 75,704 | ||||||
|
| |||||||
409,644 | ||||||||
|
| |||||||
Mexico – 0.3% | ||||||||
307,800 | Cemex SAB de CV* (Construction Materials) | 244,484 | ||||||
10,600 | Grupo Aeroportuario del Centro Norte SAB de CV* (Transportation Infrastructure) | 65,912 | ||||||
13,600 | Grupo Bimbo SAB de CV Series A (Food Products) | 27,217 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Mexico – (continued) | ||||||||
77,972 | Grupo Financiero Banorte SAB de CV Class O (Banks) | 443,613 | ||||||
178,300 | Grupo Mexico SAB de CV Series B (Metals & Mining) | 805,990 | ||||||
47,200 | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | 154,506 | ||||||
|
| |||||||
1,741,722 | ||||||||
|
| |||||||
Netherlands – 1.9% | ||||||||
3,695 | Aalberts NV (Machinery) | 199,626 | ||||||
236 | Adyen NV*(a) (IT Services) | 580,818 | ||||||
8,937 | Airbus SE* (Aerospace & Defense) | 1,074,760 | ||||||
13,799 | Akzo Nobel NV (Chemicals) | 1,656,832 | ||||||
952 | ASM International NV (Semiconductors & Semiconductor Equipment) | 288,815 | ||||||
1,388 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 899,592 | ||||||
4,916 | ASR Nederland NV (Insurance) | 214,708 | ||||||
1,415 | Euronext NV(a) (Capital Markets) | 142,325 | ||||||
566 | EXOR NV (Diversified Financial Services) | 46,453 | ||||||
3,303 | Ferrari NV (Automobiles) | 707,558 | ||||||
22 | Heineken Holding NV (Beverages) | 2,185 | ||||||
115,616 | ING Groep NV (Banks) | 1,476,992 | ||||||
6,113 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 164,512 | ||||||
176 | Koninklijke DSM NV (Chemicals) | 31,557 | ||||||
2,255 | Koninklijke KPN NV (Diversified Telecommunication Services) | 7,779 | ||||||
15,152 | Koninklijke Philips NV* (Health Care Equipment & Supplies) | 856,741 | ||||||
1,225 | NN Group NV (Insurance) | 61,101 | ||||||
38,850 | PostNL NV (Air Freight & Logistics) | 202,930 | ||||||
6,646 | QIAGEN NV* (Life Sciences Tools & Services) | 324,016 | ||||||
7,195 | Randstad NV (Professional Services) | 519,135 | ||||||
658 | Shop Apotheke Europe NV*(a) (Internet & Direct Marketing Retail) | 135,588 | ||||||
3,481 | Signify NV*(a) (Electrical Equipment) | 197,683 | ||||||
1,906 | Wolters Kluwer NV (Professional Services) | 172,400 | ||||||
|
| |||||||
9,964,106 | ||||||||
|
| |||||||
New Zealand – 0.0% | ||||||||
674 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Supplies) | 17,371 | ||||||
2,269 | Infratil, Ltd. (Electric Utilities) | 11,550 | ||||||
2,005 | Spark New Zealand Ltd. (Diversified Telecommunication Services) | 6,311 | ||||||
|
| |||||||
35,232 | ||||||||
|
| |||||||
Norway – 0.0% | ||||||||
293 | Aker ASA (Diversified Financial Services) | 21,802 | ||||||
205 | Equinor ASA (Oil, Gas & Consumable Fuels) | 4,140 | ||||||
|
|
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Norway – (continued) | ||||||||
19,180 | LINK Mobility Group Holding ASA* (Software) | $ | 94,379 | |||||
2,700 | Orkla ASA (Food Products) | 27,521 | ||||||
249 | Scatec ASA(a) (Independent Power and Renewable Electricity Producers) | 6,699 | ||||||
81 | Tomra Systems ASA (Commercial Services & Supplies) | 4,047 | ||||||
|
| |||||||
158,588 | ||||||||
|
| |||||||
Panama* – 0.0% | ||||||||
1,790 | Copa Holdings SA Class A (Airlines) | 154,835 | ||||||
|
| |||||||
Philippines – 0.0% | ||||||||
4,580 | SM Investments Corp. (Industrial Conglomerates) | 91,396 | ||||||
|
| |||||||
Poland – 0.1% | ||||||||
4,498 | KGHM Polska Miedz SA* (Metals & Mining) | 230,203 | ||||||
727 | Polski Koncern Naftowy ORLEN SA (Oil, Gas & Consumable Fuels) | 12,772 | ||||||
49,947 | Polskie Gornictwo Naftowe i Gazownictwo SA (Oil, Gas & Consumable Fuels) | 86,580 | ||||||
|
| |||||||
329,555 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
2,206 | EDP – Energias de Portugal SA (Electric Utilities) | 12,258 | ||||||
28,076 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | 323,290 | ||||||
98,325 | Sonae SGPS SA (Food & Staples Retailing) | 92,050 | ||||||
|
| |||||||
427,598 | ||||||||
|
| |||||||
Puerto Rico – 0.3% | ||||||||
1,918 | EVERTEC, Inc. (IT Services) | 76,528 | ||||||
19,260 | Popular, Inc. (Banks) | 1,424,470 | ||||||
|
| |||||||
1,500,998 | ||||||||
|
| |||||||
Qatar – 0.0% | ||||||||
143,264 | Barwa Real Estate Co. (Real Estate Management & Development) | 127,120 | ||||||
30,714 | Qatar Gas Transport Co. Ltd. (Oil, Gas & Consumable Fuels) | 26,581 | ||||||
178,724 | United Development Co. QSC (Real Estate Management & Development) | 77,999 | ||||||
|
| |||||||
231,700 | ||||||||
|
| |||||||
Russia – 0.4% | ||||||||
5,930 | LUKOIL PJSC ADR (Oil, Gas & Consumable Fuels) | 455,131 | ||||||
10,097 | Magnit PJSC GDR (Food & Staples Retailing) | 142,216 | ||||||
7,992 | Novolipetsk Steel PJSC (Metals & Mining) | 280,839 | ||||||
2,743 | PhosAgro PJSC GDR (Chemicals) | 50,389 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Russia – (continued) | ||||||||
288 | Polymetal International PLC (Metals & Mining) | 5,947 | ||||||
8,691 | Rosneft Oil Co. PJSC GDR (Oil, Gas & Consumable Fuels) | 60,090 | ||||||
51,390 | Sberbank of Russia PJSC ADR (Banks) | 809,995 | ||||||
56,900 | Surgutneftegas PJSC ADR (Oil, Gas & Consumable Fuels) | 255,481 | ||||||
479 | TCS Group Holding PLC GDR (Banks) | 27,686 | ||||||
95,997 | VTB Bank PJSC GDR (Banks) | 127,292 | ||||||
1,550 | Yandex NV Class A* (Interactive Media & Services) | 101,602 | ||||||
|
| |||||||
2,316,668 | ||||||||
|
| |||||||
Singapore – 0.3% | ||||||||
154 | BOC Aviation Ltd.(a) (Trading Companies & Distributors) | 1,386 | ||||||
105,800 | ComfortDelGro Corp. Ltd. (Road & Rail) | 136,512 | ||||||
25,200 | DBS Group Holdings Ltd. (Banks) | 564,758 | ||||||
97,251 | Frasers Logistics & Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 107,167 | ||||||
43,500 | Keppel DC REIT (Equity Real Estate Investment Trusts (REITs)) | 87,814 | ||||||
100 | Mapletree Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 164 | ||||||
54,400 | Mapletree Industrial Trust (Equity Real Estate Investment Trusts (REITs)) | 115,409 | ||||||
8,960 | Mapletree Logistics Trust (Equity Real Estate Investment Trusts (REITs)) | 13,374 | ||||||
14,925 | NetLink NBN Trust (Diversified Telecommunication Services) | 10,874 | ||||||
2,100 | Olam International Ltd. (Food & Staples Retailing) | 2,744 | ||||||
1,077 | Sea Ltd. ADR* (Entertainment) | 271,986 | ||||||
6,353 | Sembcorp Industries Ltd. (Multi-Utilities) | 10,099 | ||||||
9,604 | Wilmar International Ltd. (Food Products) | 37,587 | ||||||
|
| |||||||
1,359,874 | ||||||||
|
| |||||||
South Africa – 0.3% | ||||||||
10,773 | African Rainbow Minerals Ltd. (Metals & Mining) | 201,095 | ||||||
1,608 | Anglo American Platinum Ltd. (Metals & Mining) | 219,590 | ||||||
4,400 | Clicks Group Ltd. (Food & Staples Retailing) | 73,482 | ||||||
3,316 | Exxaro Resources Ltd. (Oil, Gas & Consumable Fuels) | 34,869 | ||||||
15,711 | FirstRand Ltd. (Diversified Financial Services) | 55,265 | ||||||
8,815 | Investec Ltd. (Capital Markets) | 33,515 | ||||||
3,276 | Kumba Iron Ore Ltd. (Metals & Mining) | 148,459 | ||||||
25,906 | MTN Group* (Wireless Telecommunication Services) | 163,900 | ||||||
23,412 | MultiChoice Group (Media) | 201,484 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
South Africa – (continued) | ||||||||
471 | Naspers Ltd. Class N (Internet & Direct Marketing Retail) | $ | 107,190 | |||||
18,897 | Shoprite Holdings Ltd. (Food & Staples Retailing) | 188,403 | ||||||
20,518 | Truworths International Ltd. (Specialty Retail) | 68,094 | ||||||
|
| |||||||
1,495,346 | ||||||||
|
| |||||||
South Korea – 2.6% | ||||||||
11,298 | BNK Financial Group, Inc. (Banks) | 77,836 | ||||||
177 | CJ CheilJedang Corp. (Food Products) | 62,826 | ||||||
37 | CJ Corp. (Industrial Conglomerates) | 3,167 | ||||||
101 | DB Insurance Co. Ltd. (Insurance) | 4,438 | ||||||
1,275 | DGB Financial Group, Inc. (Banks) | 10,143 | ||||||
1,657 | E-MART, Inc. (Food & Staples Retailing) | 249,044 | ||||||
200 | GS Holdings Corp. (Oil, Gas & Consumable Fuels) | 7,712 | ||||||
6,956 | Hana Financial Group, Inc. (Banks) | 285,122 | ||||||
247 | Hankook Tire & Technology Co. Ltd. (Auto Components) | 10,658 | ||||||
513 | Hanwha Corp. (Industrial Conglomerates) | 9,298 | ||||||
189 | Hyundai Marine & Fire Insurance Co. Ltd. (Insurance) | 4,126 | ||||||
437 | Hyundai Mobis Co. Ltd. (Auto Components) | 105,766 | ||||||
2,514 | Hyundai Motor Co. (Automobiles) | 478,042 | ||||||
3,117 | Industrial Bank of Korea (Banks) | 27,129 | ||||||
6,169 | Kakao Corp. (Interactive Media & Services) | 628,169 | ||||||
9,856 | KB Financial Group, Inc. (Banks) | 485,197 | ||||||
12,844 | Kia Corp. (Automobiles) | 890,890 | ||||||
212 | Korea Investment Holdings Co. Ltd. (Capital Markets) | 21,282 | ||||||
1,468 | KT Corp. (Diversified Telecommunication Services) | 37,359 | ||||||
12,055 | KT Corp. ADR (Diversified Telecommunication Services) | 151,893 | ||||||
783 | LG Chem Ltd. (Chemicals) | 653,639 | ||||||
4,244 | LG Electronics, Inc. (Household Durables) | 578,839 | ||||||
210 | LG Innotek Co. Ltd. (Electronic Equipment, Instruments & Components) | 37,684 | ||||||
2,447 | Mirae Asset Securities Co. Ltd. (Capital Markets) | 21,922 | ||||||
1,365 | NAVER Corp. (Interactive Media & Services) | 439,560 | ||||||
1,549 | POSCO (Metals & Mining) | 506,236 | ||||||
98 | Samsung Biologics Co. Ltd.*(a) (Life Sciences Tools & Services) | 70,434 | ||||||
37,543 | Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals) | 2,736,086 | ||||||
1,057 | Samsung Electronics Co. Ltd. GDR (Technology Hardware, Storage & Peripherals) | 1,925,927 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
South Korea – (continued) | ||||||||
14,915 | Shinhan Financial Group Co. Ltd. (Banks) | 535,978 | ||||||
127 | SK Holdings Co. Ltd. (Industrial Conglomerates) | 31,387 | ||||||
21,594 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 2,463,471 | ||||||
305 | SK Innovation Co. Ltd.* (Oil, Gas & Consumable Fuels) | 73,771 | ||||||
241 | SK Telecom Co. Ltd. (Wireless Telecommunication Services) | 65,642 | ||||||
1,423 | Webzen, Inc.* (Entertainment) | 44,190 | ||||||
8,205 | Woori Financial Group, Inc. (Banks) | 78,865 | ||||||
|
| |||||||
13,813,728 | ||||||||
|
| |||||||
Spain – 1.1% | ||||||||
4,945 | Aena SME SA*(a) (Transportation Infrastructure) | 859,419 | ||||||
35,857 | Amadeus IT Group SA* (IT Services) | 2,441,791 | ||||||
137,050 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 767,422 | ||||||
266,019 | CaixaBank SA (Banks) | 850,985 | ||||||
131 | Cellnex Telecom SA(a) (Diversified Telecommunication Services) | 7,410 | ||||||
2,558 | Enagas SA (Gas Utilities) | 55,689 | ||||||
6,627 | Iberdrola SA (Electric Utilities) | 89,557 | ||||||
12,859 | Inmobiliaria Colonial Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 130,448 | ||||||
127,620 | International Consolidated Airlines Group SA* (Airlines) | 357,885 | ||||||
1,859 | Siemens Gamesa Renewable Energy SA* (Electrical Equipment) | 67,147 | ||||||
989 | Telefonica SA (Diversified Telecommunication Services) | 4,583 | ||||||
|
| |||||||
5,632,336 | ||||||||
|
| |||||||
Sweden – 0.6% | ||||||||
7,253 | AAK AB (Food Products) | 166,100 | ||||||
10,947 | Atlas Copco AB Class A (Machinery) | 663,827 | ||||||
17,453 | Betsson AB (Hotels, Restaurants & Leisure) | 158,578 | ||||||
221 | Castellum AB (Real Estate Management & Development) | 5,382 | ||||||
4,782 | Cint Group AB* (Software) | 48,580 | ||||||
11,541 | Essity AB Class B (Household Products) | 376,675 | ||||||
3,408 | Evolution Gaming Group AB(a) (Hotels, Restaurants & Leisure) | 672,769 | ||||||
74 | Fastighets AB Balder* (Real Estate Management & Development) | 4,264 | ||||||
10,580 | Husqvarna AB Class B (Household Durables) | 147,332 | ||||||
125 | Industrivarden AB Class A (Diversified Financial Services) | 4,794 | ||||||
161 | Industrivarden AB Class C (Diversified Financial Services) | 5,807 | ||||||
|
|
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Sweden – (continued) | ||||||||
258 | Investor AB Class A (Diversified Financial Services) | $ | 21,913 | |||||
984 | Investor AB Class B (Diversified Financial Services) | 83,528 | ||||||
179 | Kinnevik AB Class A (Diversified Financial Services) | 12,052 | ||||||
2,502 | Kinnevik AB Class B (Diversified Financial Services) | 138,089 | ||||||
197 | L E Lundbergforetagen AB Class B (Diversified Financial Services) | 11,248 | ||||||
5,237 | Loomis AB (Commercial Services & Supplies) | 171,498 | ||||||
4,038 | Lundin Energy AB (Oil, Gas & Consumable Fuels) | 128,804 | ||||||
6,107 | Mycronic AB (Electronic Equipment, Instruments & Components) | 180,307 | ||||||
695 | Nibe Industrier AB Class B (Building Products) | 25,382 | ||||||
314 | Svenska Cellulosa AB SCA Class B (Paper & Forest Products) | 5,499 | ||||||
462 | Swedish Match AB (Tobacco) | 37,821 | ||||||
8,265 | Trelleborg AB Class B (Machinery) | 215,021 | ||||||
|
| |||||||
3,285,270 | ||||||||
|
| |||||||
Switzerland – 3.7% | ||||||||
19,049 | ABB Ltd. (Electrical Equipment) | 618,752 | ||||||
127 | Adecco Group AG (Professional Services) | 8,608 | ||||||
9,195 | Alcon, Inc.* (Health Care Equipment & Supplies) | 690,643 | ||||||
59 | Baloise Holding AG (Insurance) | 9,977 | ||||||
298 | Banque Cantonale Vaudoise (Banks) | 30,380 | ||||||
719 | BKW AG (Electric Utilities) | 80,523 | ||||||
354 | Bucher Industries AG (Machinery) | 185,785 | ||||||
13,383 | Cie Financiere Richemont SA (Textiles, Apparel & Luxury Goods) | 1,373,454 | ||||||
71,284 | Credit Suisse Group AG (Capital Markets) | 747,055 | ||||||
268 | DKSH Holding AG (Professional Services) | 21,567 | ||||||
13 | EMS-Chemie Holding AG (Chemicals) | 12,138 | ||||||
329 | Garmin Ltd. (Household Durables) | 45,152 | ||||||
15 | Geberit AG (Building Products) | 9,870 | ||||||
91 | Georg Fischer AG (Machinery) | 127,598 | ||||||
24 | Givaudan SA (Chemicals) | 100,564 | ||||||
6,321 | Julius Baer Group Ltd. (Capital Markets) | 397,828 | ||||||
259 | Kuehne & Nagel International AG (Marine) | 77,440 | ||||||
1,378 | Logitech International SA (Technology Hardware, Storage & Peripherals) | 153,377 | ||||||
1,014 | Lonza Group AG (Life Sciences Tools & Services) | 644,614 | ||||||
20,986 | Nestle SA (Food Products) | 2,504,274 | ||||||
27,461 | Novartis AG (Pharmaceuticals) | 2,343,421 | ||||||
1,403 | Partners Group Holding AG (Capital Markets) | 1,998,527 | ||||||
364 | PSP Swiss Property AG (Real Estate Management & Development) | 44,916 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | ||||||||
8,684 | Roche Holding AG (Pharmaceuticals) | 2,832,637 | ||||||
18 | Schindler Holding AG (Machinery) | 5,065 | ||||||
9,555 | SIG Combibloc Group AG (Containers & Packaging) | 234,204 | ||||||
4,080 | Sika AG (Chemicals) | 1,218,543 | ||||||
16 | Swiss Life Holding AG (Insurance) | 7,796 | ||||||
415 | Swiss Prime Site AG (Real Estate Management & Development) | 40,388 | ||||||
26 | TE Connectivity Ltd. (Electronic Equipment, Instruments & Components) | 3,496 | ||||||
52,311 | UBS Group AG (Capital Markets) | 798,820 | ||||||
613 | VAT Group AG(a) (Machinery) | 175,051 | ||||||
1,752 | Wizz Air Holdings PLC*(a) (Airlines) | 118,577 | ||||||
386 | Zur Rose Group AG* (Food & Staples Retailing) | 128,466 | ||||||
4,155 | Zurich Insurance Group AG (Insurance) | 1,704,624 | ||||||
|
| |||||||
19,494,130 | ||||||||
|
| |||||||
Taiwan – 2.3% | ||||||||
10,000 | Asustek Computer, Inc. (Technology Hardware, Storage & Peripherals) | 133,936 | ||||||
237,000 | Cathay Financial Holding Co. Ltd. (Insurance) | 442,440 | ||||||
24,000 | Delta Electronics, Inc. (Electronic Equipment, Instruments & Components) | 257,110 | ||||||
5,000 | Eclat Textile Co. Ltd. (Textiles, Apparel & Luxury Goods) | 95,736 | ||||||
27,000 | Elan Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 204,913 | ||||||
78,000 | Evergreen Marine Corp. Taiwan Ltd.* (Marine) | 219,440 | ||||||
158,217 | Fubon Financial Holding Co. Ltd. (Insurance) | 362,544 | ||||||
5,000 | Giant Manufacturing Co. Ltd. (Leisure Products) | 63,494 | ||||||
14,000 | Gigabyte Technology Co. Ltd. (Technology Hardware, Storage & Peripherals) | 61,236 | ||||||
4,100 | Globalwafers Co. Ltd. (Semiconductors & Semiconductor Equipment) | 125,661 | ||||||
94,000 | Hon Hai Precision Industry Co. Ltd. (Electronic Equipment, Instruments & Components) | 386,438 | ||||||
171,000 | Innolux Corp. (Electronic Equipment, Instruments & Components) | 182,558 | ||||||
53,000 | Kindom Development Co. Ltd. (Real Estate Management & Development) | 82,400 | ||||||
600 | Makalot Industrial Co. Ltd. (Textiles, Apparel & Luxury Goods) | 5,263 | ||||||
29,667 | MediaTek, Inc. (Semiconductors & Semiconductor Equipment) | 1,243,717 | ||||||
2,000 | Nan Ya Printed Circuit Board Corp. (Electronic Equipment, Instruments & Components) | 22,640 | ||||||
18,000 | Nantex Industry Co. Ltd. (Chemicals) | 88,138 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Taiwan – (continued) | ||||||||
19,000 | Novatek Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | $ | 419,192 | |||||
40,488 | Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment) | 185,518 | ||||||
22,096 | Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 416,839 | ||||||
28,000 | Ruentex Development Co. Ltd. (Real Estate Management & Development) | 53,099 | ||||||
68,000 | SinoPac Financial Holdings Co. Ltd. (Banks) | 32,266 | ||||||
161,305 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 3,397,020 | ||||||
23,222 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 2,710,936 | ||||||
300,435 | United Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 599,220 | ||||||
39,000 | Yang Ming Marine Transport Corp.* (Marine) | 110,139 | ||||||
|
| |||||||
11,901,893 | ||||||||
|
| |||||||
Thailand – 0.3% | ||||||||
62,600 | Airports of Thailand PCL NVDR (Transportation Infrastructure) | 124,419 | ||||||
3,500 | Bangkok Bank PCL (Banks) | 13,634 | ||||||
18,200 | Com7 PCL Class F (Specialty Retail) | 43,006 | ||||||
1,800 | Delta Electronics Thailand PCL (Electronic Equipment, Instruments & Components) | 20,356 | ||||||
9,600 | Kasikornbank PCL (Banks) | 40,634 | ||||||
54,600 | Kasikornbank PCL NVDR (Banks) | 231,106 | ||||||
40,100 | Kiatnakin Phatra Bank PCL (Banks) | 74,927 | ||||||
226,000 | Krung Thai Bank PCL (Banks) | 81,869 | ||||||
62,300 | Polyplex Thailand PCL (Containers & Packaging) | 56,424 | ||||||
61,100 | PTT Exploration & Production PCL (Oil, Gas & Consumable Fuels) | 232,322 | ||||||
51,400 | PTT Exploration & Production PCL NVDR (Oil, Gas & Consumable Fuels) | 195,440 | ||||||
124,300 | RS PCL (Entertainment) | 99,681 | ||||||
188,200 | Thai Union Group PCL Class F (Food Products) | 91,164 | ||||||
68,600 | Tisco Financial Group PCL (Banks) | 203,525 | ||||||
|
| |||||||
1,508,507 | ||||||||
|
| |||||||
Turkey – 0.0% | ||||||||
11,818 | Arcelik A/S (Household Durables) | 49,068 | ||||||
8,567 | BIM Birlesik Magazalar AS (Food & Staples Retailing) | 67,263 | ||||||
18,821 | Vestel Elektronik Sanayi ve Ticaret AS* (Household Durables) | 65,474 | ||||||
|
| |||||||
181,805 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Ukraine* – 0.0% | ||||||||
725 | Globant SA (IT Services) | 166,155 | ||||||
|
| |||||||
United Arab Emirates – 0.1% | ||||||||
73,339 | Abu Dhabi Islamic Bank PJSC (Banks) | 96,135 | ||||||
291,863 | Aldar Properties PJSC (Real Estate Management & Development) | 278,146 | ||||||
112,378 | Emirates NBD Bank PJSC (Banks) | 380,742 | ||||||
|
| |||||||
755,023 | ||||||||
|
| |||||||
United Kingdom – 4.2% | ||||||||
261 | 3i Group PLC (Capital Markets) | 4,623 | ||||||
2,207 | Admiral Group PLC (Insurance) | 95,362 | ||||||
2,136 | Antofagasta PLC (Metals & Mining) | 55,024 | ||||||
167 | Ashtead Group PLC (Trading Companies & Distributors) | 10,730 | ||||||
19,785 | Aviva PLC (Insurance) | 109,382 | ||||||
385 | BAE Systems PLC (Aerospace & Defense) | 2,689 | ||||||
79,464 | Balfour Beatty PLC* (Construction & Engineering) | 342,557 | ||||||
248,738 | Barclays PLC (Banks) | 602,187 | ||||||
193 | BHP Group PLC (Metals & Mining) | 5,812 | ||||||
47,083 | Boohoo Group PLC* (Internet & Direct Marketing Retail) | 220,973 | ||||||
240,706 | BP PLC (Oil, Gas & Consumable Fuels) | 1,007,678 | ||||||
23,132 | British American Tobacco PLC (Tobacco) | 858,275 | ||||||
2,689 | BT Group PLC* (Diversified Telecommunication Services) | 6,133 | ||||||
2,871 | Ceres Power Holdings PLC* (Electrical Equipment) | 53,057 | ||||||
6,080 | Clinigen Group PLC (Life Sciences Tools & Services) | 71,667 | ||||||
39,445 | Compass Group PLC* (Hotels, Restaurants & Leisure) | 858,097 | ||||||
4,310 | Computacenter PLC (IT Services) | 159,417 | ||||||
10,337 | Conduit Holdings Ltd.* (Insurance) | 76,655 | ||||||
41,089 | ConvaTec Group PLC(a) (Health Care Equipment & Supplies) | 123,820 | ||||||
727 | Croda International PLC (Chemicals) | 67,916 | ||||||
4,761 | CVS Group PLC* (Health Care Providers & Services) | 146,809 | ||||||
3,737 | Dechra Pharmaceuticals PLC (Pharmaceuticals) | 208,194 | ||||||
18,131 | Diageo PLC (Beverages) | 813,925 | ||||||
2,447 | Direct Line Insurance Group PLC (Insurance) | 9,628 | ||||||
40,691 | DS Smith PLC (Containers & Packaging) | 236,520 | ||||||
4,148 | Endava PLC ADR* (IT Services) | 375,560 | ||||||
6,556 | Entain PLC* (Hotels, Restaurants & Leisure) | 153,257 | ||||||
36,991 | Experian PLC (Professional Services) | 1,426,060 | ||||||
1,620 | Ferguson PLC (Trading Companies & Distributors) | 204,324 | ||||||
4,893 | Future PLC (Media) | 159,433 | ||||||
10,300 | Gates Industrial Corp. PLC* (Machinery) | 177,675 | ||||||
|
|
20 | 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 Kingdom – (continued) | ||||||||
2,322 | Genus PLC (Biotechnology) | $ | 163,078 | |||||
363 | GlaxoSmithKline PLC (Pharmaceuticals) | 6,708 | ||||||
1,489 | Halma PLC (Electronic Equipment, Instruments & Components) | 53,206 | ||||||
4,022 | Hikma Pharmaceuticals PLC (Pharmaceuticals) | 135,538 | ||||||
38,821 | Ibstock PLC(a) (Construction Materials) | 118,364 | ||||||
13,704 | IG Group Holdings PLC (Capital Markets) | 173,369 | ||||||
134 | IHS Markit Ltd. (Professional Services) | 14,416 | ||||||
7,656 | IMI PLC (Machinery) | 168,238 | ||||||
8,293 | Intermediate Capital Group PLC (Capital Markets) | 250,364 | ||||||
2,370 | International Game Technology PLC (Hotels, Restaurants & Leisure) | 40,811 | ||||||
47,608 | J Sainsbury PLC (Food & Staples Retailing) | 156,368 | ||||||
11,547 | JD Sports Fashion PLC* (Specialty Retail) | 146,468 | ||||||
27,690 | John Wood Group PLC* (Energy Equipment & Services) | 107,652 | ||||||
80 | Johnson Matthey PLC (Chemicals) | 3,590 | ||||||
4,217 | Keywords Studios PLC* (IT Services) | 157,594 | ||||||
47,532 | Legal & General Group PLC (Insurance) | 178,463 | ||||||
165 | Linde PLC (Chemicals) | 47,164 | ||||||
6,435 | M&G PLC (Diversified Financial Services) | 19,315 | ||||||
10,945 | Moonpig Group PLC* (Internet & Direct Marketing Retail) | 66,478 | ||||||
1,131 | National Grid PLC (Multi-Utilities) | 14,257 | ||||||
5,495 | Nomad Foods Ltd.* (Food Products) | 160,234 | ||||||
13,187 | Paragon Banking Group PLC (Thrifts & Mortgage Finance) | 85,669 | ||||||
387 | Pennon Group PLC (Water Utilities) | 5,528 | ||||||
307 | Phoenix Group Holdings PLC (Insurance) | 3,012 | ||||||
35,505 | Prudential PLC (Insurance) | 751,793 | ||||||
5,835 | Reckitt Benckiser Group PLC (Household Products) | 519,534 | ||||||
19,190 | Redrow PLC (Household Durables) | 183,175 | ||||||
55,764 | RELX PLC (Professional Services) | 1,449,259 | ||||||
4,542 | Rentokil Initial PLC (Commercial Services & Supplies) | 31,391 | ||||||
1,026 | Rightmove PLC (Interactive Media & Services) | 8,698 | ||||||
7,054 | Rio Tinto PLC (Metals & Mining) | 590,823 | ||||||
1,481,384 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 2,143,868 | ||||||
355 | RSA Insurance Group PLC (Insurance) | 3,343 | ||||||
12,294 | Segro PLC (Equity Real Estate Investment Trusts (REITs)) | 170,795 | ||||||
50 | Severn Trent PLC (Water Utilities) | 1,712 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
152 | Smith & Nephew PLC (Health Care Equipment & Supplies) | 3,290 | ||||||
14,249 | Smiths Group PLC (Industrial Conglomerates) | 320,009 | ||||||
3,498 | Softcat PLC (IT Services) | 92,609 | ||||||
19 | Spirax-Sarco Engineering PLC (Machinery) | 3,101 | ||||||
1,944 | SSE PLC (Electric Utilities) | 39,412 | ||||||
19,503 | SSP Group PLC* (Hotels, Restaurants & Leisure) | 86,294 | ||||||
8,156 | St. James’s Place PLC (Capital Markets) | 153,401 | ||||||
53,178 | Taylor Wimpey PLC (Household Durables) | 131,918 | ||||||
242,025 | TechnipFMC PLC* (Energy Equipment & Services) | 1,790,985 | ||||||
139,430 | Tesco PLC (Food & Staples Retailing) | 425,619 | ||||||
522 | The Sage Group PLC (Software) | 4,599 | ||||||
31,696 | TP ICAP Group PLC (Capital Markets) | 104,072 | ||||||
20,390 | Unilever PLC (Personal Products) | 1,194,362 | ||||||
12,749 | Vesuvius PLC (Machinery) | 94,669 | ||||||
3,542 | Vodafone Group PLC (Wireless Telecommunication Services) | 6,684 | ||||||
23,715 | WH Smith PLC* (Specialty Retail) | 592,548 | ||||||
1,030 | Whitbread PLC* (Hotels, Restaurants & Leisure) | 46,178 | ||||||
13,504 | Wm Morrison Supermarkets PLC (Food & Staples Retailing) | 32,432 | ||||||
|
| |||||||
21,895,896 | ||||||||
|
| |||||||
United States – 42.8% | ||||||||
2,200 | 3M Co. (Industrial Conglomerates) | 433,708 | ||||||
6,301 | Abbott Laboratories (Health Care Equipment & Supplies) | 756,624 | ||||||
1,000 | AbbVie, Inc. (Biotechnology) | 111,500 | ||||||
4,811 | ABM Industries, Inc. (Commercial Services & Supplies) | 247,334 | ||||||
6,956 | ACCO Brands Corp. (Commercial Services & Supplies) | 59,682 | ||||||
3,735 | Activision Blizzard, Inc. (Entertainment) | 340,595 | ||||||
800 | Acuity Brands, Inc. (Electrical Equipment) | 148,416 | ||||||
1,982 | Adobe, Inc.* (Software) | 1,007,530 | ||||||
3,370 | Aegion Corp.* (Construction & Engineering) | 101,437 | ||||||
177 | Aflac, Inc. (Insurance) | 9,510 | ||||||
2,000 | AGCO Corp. (Machinery) | 291,840 | ||||||
1,217 | Agilent Technologies, Inc. (Life Sciences Tools & Services) | 162,640 | ||||||
2,645 | Agree Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 186,102 | ||||||
451 | Air Products & Chemicals, Inc. (Chemicals) | 130,104 | ||||||
1,565 | Alamo Group, Inc. (Machinery) | 246,096 | ||||||
23 | Albemarle Corp. (Chemicals) | 3,868 | ||||||
500 | Alcoa Corp.* (Metals & Mining) | 18,320 | ||||||
39 | Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 7,063 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
442 | Align Technology, Inc.* (Health Care Equipment & Supplies) | $ | 263,224 | |||||
1,123 | Allegiant Travel Co.* (Airlines) | 264,725 | ||||||
1,620 | Allison Transmission Holdings, Inc. (Machinery) | 67,181 | ||||||
1,975 | Ally Financial, Inc. (Consumer Finance) | 101,614 | ||||||
2,202 | Alphabet, Inc. Class A* (Interactive Media & Services) | 5,182,407 | ||||||
1,274 | Alphabet, Inc. Class C* (Interactive Media & Services) | 3,070,493 | ||||||
689 | Altra Industrial Motion Corp. (Machinery) | 40,658 | ||||||
7,039 | Altria Group, Inc. (Tobacco) | 336,112 | ||||||
2,864 | Amazon.com, Inc.* (Internet & Direct Marketing Retail) | 9,930,691 | ||||||
3,441 | Amdocs Ltd. (IT Services) | 264,062 | ||||||
29 | Ameren Corp. (Multi-Utilities) | 2,460 | ||||||
500 | American Express Co. (Consumer Finance) | 76,675 | ||||||
59 | American Water Works Co., Inc. (Water Utilities) | 9,203 | ||||||
660 | Ameriprise Financial, Inc. (Capital Markets) | 170,544 | ||||||
7,245 | Ameris Bancorp (Banks) | 391,882 | ||||||
2,871 | AMERISAFE, Inc. (Insurance) | 178,232 | ||||||
629 | AmerisourceBergen Corp. (Health Care Providers & Services) | 75,983 | ||||||
36 | AMETEK, Inc. (Electrical Equipment) | 4,857 | ||||||
60 | Amgen, Inc. (Biotechnology) | 14,378 | ||||||
227 | Amphenol Corp. Class A (Electronic Equipment, Instruments & Components) | 15,286 | ||||||
714 | ANSYS, Inc.* (Software) | 261,081 | ||||||
4,961 | Anthem, Inc. (Health Care Providers & Services) | 1,882,154 | ||||||
30,046 | Apple, Inc. (Technology Hardware, Storage & Peripherals) | 3,949,847 | ||||||
3,750 | Applied Materials, Inc. (Semiconductors & Semiconductor Equipment) | 497,662 | ||||||
112 | Arch Capital Group Ltd.* (Insurance) | 4,448 | ||||||
2,043 | Ares Commercial Real Estate Corp. (Mortgage Real Estate Investment Trusts (REITs)) | 30,155 | ||||||
237 | Arrow Electronics, Inc.* (Electronic Equipment, Instruments & Components) | 27,035 | ||||||
913 | Arthur J. Gallagher & Co. (Insurance) | 132,339 | ||||||
1,166 | Artisan Partners Asset Management, Inc. Class A (Capital Markets) | 59,373 | ||||||
1,813 | ASGN, Inc.* (Professional Services) | 190,691 | ||||||
3,808 | Assured Guaranty Ltd. (Insurance) | 193,637 | ||||||
12,974 | AT&T, Inc. (Diversified Telecommunication Services) | 407,513 | ||||||
500 | Atkore, Inc.* (Electrical Equipment) | 39,140 | ||||||
4,683 | AtriCure, Inc.* (Health Care Equipment & Supplies) | 360,919 | ||||||
520 | Autodesk, Inc.* (Software) | 151,793 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,955 | Automatic Data Processing, Inc. (IT Services) | 365,565 | ||||||
600 | AutoNation, Inc.* (Specialty Retail) | 61,488 | ||||||
18 | AvalonBay Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,456 | ||||||
244 | Avery Dennison Corp. (Containers & Packaging) | 52,257 | ||||||
8,046 | Avient Corp. (Chemicals) | 408,495 | ||||||
2,799 | Axis Capital Holdings Ltd. (Insurance) | 156,184 | ||||||
1,781 | Balchem Corp. (Chemicals) | 226,525 | ||||||
68 | Ball Corp. (Containers & Packaging) | 6,368 | ||||||
2,000 | Bank of America Corp. (Banks) | 81,060 | ||||||
2,509 | BankUnited, Inc. (Banks) | 116,944 | ||||||
531 | Baxter International, Inc. (Health Care Equipment & Supplies) | 45,501 | ||||||
1,390 | Becton Dickinson & Co. (Health Care Equipment & Supplies) | 345,846 | ||||||
2,818 | Belden, Inc. (Electronic Equipment, Instruments & Components) | 121,963 | ||||||
2,101 | Berkshire Hathaway, Inc. Class B* (Diversified Financial Services) | 577,670 | ||||||
1,014 | Best Buy Co., Inc. (Specialty Retail) | 117,898 | ||||||
221 | Bio-Rad Laboratories, Inc. Class A* (Life Sciences Tools & Services) | 139,259 | ||||||
32 | BlackRock, Inc. (Capital Markets) | 26,218 | ||||||
3,752 | Blackstone Mortgage Trust, Inc. Class A (Mortgage Real Estate Investment Trusts (REITs)) | 121,902 | ||||||
3,323 | Boot Barn Holdings, Inc.* (Specialty Retail) | 234,404 | ||||||
8,100 | Bristol-Myers Squibb Co. (Pharmaceuticals) | 505,602 | ||||||
400 | Broadcom, Inc. (Semiconductors & Semiconductor Equipment) | 182,480 | ||||||
182 | Broadridge Financial Solutions, Inc. (IT Services) | 28,871 | ||||||
3,694 | Brooks Automation, Inc. (Semiconductors & Semiconductor Equipment) | 374,313 | ||||||
2,470 | Brown & Brown, Inc. (Insurance) | 131,355 | ||||||
57 | Brown-Forman Corp. Class B (Beverages) | 4,348 | ||||||
3,000 | Brunswick Corp. (Leisure Products) | 321,390 | ||||||
38 | C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 3,689 | ||||||
209 | Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 3,484 | ||||||
1,827 | Cactus, Inc. Class A (Energy Equipment & Services) | 54,463 | ||||||
2,901 | Cadence Design Systems, Inc.* (Software) | 382,265 | ||||||
3,586 | Callaway Golf Co. (Leisure Products) | 103,815 | ||||||
2,844 | Capital One Financial Corp. (Consumer Finance) | 423,984 | ||||||
392 | Cardinal Health, Inc. (Health Care Providers & Services) | 23,653 | ||||||
28 | CarMax, Inc.* (Specialty Retail) | 3,731 | ||||||
3,137 | Carrier Global Corp. (Building Products) | 136,710 | ||||||
|
|
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) | ||||||||
United States – (continued) | ||||||||
1,377 | Castle Biosciences, Inc.* (Health Care Providers & Services) | $ | 95,054 | |||||
81 | Catalent, Inc.* (Pharmaceuticals) | 9,110 | ||||||
6,289 | Cathay General Bancorp (Banks) | 254,579 | ||||||
400 | CBRE Group, Inc. Class A* (Real Estate Management & Development) | 34,080 | ||||||
289 | CDW Corp. (Electronic Equipment, Instruments & Components) | 51,537 | ||||||
900 | Centene Corp.* (Health Care Providers & Services) | 55,566 | ||||||
6,031 | Central Garden & Pet Co. Class A* (Household Products) | 297,147 | ||||||
2,006 | Cerence, Inc.* (Software) | 193,398 | ||||||
11 | Cerner Corp. (Health Care Technology) | 826 | ||||||
7,263 | ChampionX Corp.* (Energy Equipment & Services) | 152,596 | ||||||
8,383 | Change Healthcare, Inc.* (Health Care Technology) | 192,390 | ||||||
9 | Charter Communications, Inc. Class A* (Media) | 6,061 | ||||||
26,820 | Chevron Corp. (Oil, Gas & Consumable Fuels) | 2,764,337 | ||||||
321 | Chubb Ltd. (Insurance) | 55,080 | ||||||
260 | Church & Dwight Co., Inc. (Household Products) | 22,292 | ||||||
932 | Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 197,118 | ||||||
3,247 | Chuy’s Holdings, Inc.* (Hotels, Restaurants & Leisure) | 158,648 | ||||||
139 | Cigna Corp. (Health Care Providers & Services) | 34,612 | ||||||
11 | Cincinnati Financial Corp. (Insurance) | 1,239 | ||||||
145 | Cintas Corp. (Commercial Services & Supplies) | 50,045 | ||||||
400 | Cirrus Logic, Inc.* (Semiconductors & Semiconductor Equipment) | 29,764 | ||||||
12,674 | Cisco Systems, Inc. (Communications Equipment) | 645,233 | ||||||
7,100 | Citigroup, Inc. (Banks) | 505,804 | ||||||
94 | Citrix Systems, Inc. (Software) | 11,642 | ||||||
20 | CMS Energy Corp. (Multi-Utilities) | 1,288 | ||||||
33,010 | Cogent Communications Holdings, Inc. (Diversified Telecommunication Services) | 2,492,585 | ||||||
4,700 | Cognizant Technology Solutions Corp. Class A (IT Services) | 377,880 | ||||||
3,113 | Cohen & Steers, Inc. (Capital Markets) | 211,746 | ||||||
308 | Colgate-Palmolive Co. (Household Products) | 24,856 | ||||||
826 | Comcast Corp. Class A (Media) | 46,380 | ||||||
2,634 | CommScope Holding Co., Inc.* (Communications Equipment) | 43,329 | ||||||
1,968 | Compass Minerals International, Inc. (Metals & Mining) | 133,667 | ||||||
101 | Conagra Brands, Inc. (Food Products) | 3,746 | ||||||
1,581 | Concentrix Corp.* (IT Services) | 245,656 | ||||||
6,600 | ConocoPhillips (Oil, Gas & Consumable Fuels) | 337,524 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
343 | Copart, Inc.* (Commercial Services & Supplies) | 42,707 | ||||||
25 | Corning, Inc. (Electronic Equipment, Instruments & Components) | 1,105 | ||||||
4,900 | Corteva, Inc. (Chemicals) | 238,924 | ||||||
2,563 | CoStar Group, Inc.* (Professional Services) | 2,189,904 | ||||||
315 | Costco Wholesale Corp. (Food & Staples Retailing) | 117,208 | ||||||
3,749 | Cousins Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 137,476 | ||||||
2,490 | Covanta Holding Corp. (Commercial Services & Supplies) | 37,450 | ||||||
9,050 | Covetrus, Inc.* (Health Care Providers & Services) | 259,282 | ||||||
2,300 | Crocs, Inc.* (Textiles, Apparel & Luxury Goods) | 230,276 | ||||||
7,166 | CryoLife, Inc.* (Health Care Equipment & Supplies) | 209,104 | ||||||
3,391 | CryoPort, Inc.* (Health Care Equipment & Supplies) | 191,829 | ||||||
12,863 | Cummins, Inc. (Machinery) | 3,241,991 | ||||||
1,130 | Curtiss-Wright Corp. (Aerospace & Defense) | 144,527 | ||||||
1,314 | CVS Health Corp. (Health Care Providers & Services) | 100,390 | ||||||
480 | D.R. Horton, Inc. (Household Durables) | 47,179 | ||||||
4,152 | Danaher Corp. (Health Care Equipment & Supplies) | 1,054,359 | ||||||
300 | Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 44,016 | ||||||
250 | Datadog, Inc. Class A* (Software) | 21,443 | ||||||
417 | DaVita, Inc.* (Health Care Providers & Services) | 48,593 | ||||||
440 | Deckers Outdoor Corp.* (Textiles, Apparel & Luxury Goods) | 148,808 | ||||||
449 | Deere & Co. (Machinery) | 166,512 | ||||||
3,413 | Delek US Holdings, Inc. (Oil, Gas & Consumable Fuels) | 80,990 | ||||||
5,509 | Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 128,800 | ||||||
223 | Discover Financial Services (Consumer Finance) | 25,422 | ||||||
38 | Dollar General Corp. (Multiline Retail) | 8,161 | ||||||
21 | Domino’s Pizza, Inc. (Hotels, Restaurants & Leisure) | 8,869 | ||||||
1,300 | Dow, Inc. (Chemicals) | 81,250 | ||||||
20 | Duke Energy Corp. (Electric Utilities) | 2,014 | ||||||
373 | Duke Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 17,352 | ||||||
5,628 | DXC Technology Co. (IT Services) | 185,217 | ||||||
171 | Eastman Chemical Co. (Chemicals) | 19,732 | ||||||
4,654 | eBay, Inc. (Internet & Direct Marketing Retail) | 259,647 | ||||||
136 | Ecolab, Inc. (Chemicals) | 30,480 | ||||||
2,627 | Electronic Arts, Inc. (Entertainment) | 373,244 | ||||||
1,400 | Element Solutions, Inc. (Chemicals) | 30,632 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
595 | Eli Lilly & Co. (Pharmaceuticals) | $ | 108,748 | |||||
786 | EMCOR Group, Inc. (Construction & Engineering) | 94,163 | ||||||
2,399 | Emergent BioSolutions, Inc.* (Biotechnology) | 146,291 | ||||||
2,300 | Emerson Electric Co. (Electrical Equipment) | 208,127 | ||||||
1,094 | Employers Holdings, Inc. (Insurance) | 44,285 | ||||||
3,933 | Energizer Holdings, Inc. (Household Products) | 193,897 | ||||||
914 | EnerSys (Electrical Equipment) | 83,704 | ||||||
16,530 | Entegris, Inc. (Semiconductors & Semiconductor Equipment) | 1,860,947 | ||||||
19 | Entergy Corp. (Electric Utilities) | 2,077 | ||||||
3,648 | Envista Holdings Corp.* (Health Care Equipment & Supplies) | 157,885 | ||||||
1,079 | EPAM Systems, Inc.* (IT Services) | 493,912 | ||||||
3,363 | Essent Group Ltd. (Thrifts & Mortgage Finance) | 176,827 | ||||||
1,251 | Evercore, Inc. Class A (Capital Markets) | 175,303 | ||||||
5,523 | Exelon Corp. (Electric Utilities) | 248,204 | ||||||
964 | Expeditors International of Washington, Inc. (Air Freight & Logistics) | 105,905 | ||||||
2,419 | Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 48,114 | ||||||
49 | Extra Space Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | 7,286 | ||||||
8,320 | Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 476,237 | ||||||
27,381 | Facebook, Inc. Class A* (Interactive Media & Services) | 8,901,015 | ||||||
34 | FactSet Research Systems, Inc. (Capital Markets) | 11,431 | ||||||
952 | Fastenal Co. (Trading Companies & Distributors) | 49,771 | ||||||
781 | Federal Agricultural Mortgage Corp. Class C (Thrifts & Mortgage Finance) | 80,334 | ||||||
3,000 | Federated Hermes, Inc. (Capital Markets) | 86,400 | ||||||
12 | FedEx Corp. (Air Freight & Logistics) | 3,484 | ||||||
1,621 | First American Financial Corp. (Insurance) | 104,555 | ||||||
5,386 | First Hawaiian, Inc. (Banks) | 147,900 | ||||||
1,745 | First Merchants Corp. (Banks) | 80,636 | ||||||
25 | Fiserv, Inc.* (IT Services) | 3,003 | ||||||
1,219 | Five Below, Inc.* (Specialty Retail) | 245,348 | ||||||
2,410 | Foot Locker, Inc. (Specialty Retail) | 142,142 | ||||||
58,909 | Ford Motor Co.* (Automobiles) | 679,810 | ||||||
675 | Fortune Brands Home & Security, Inc. (Building Products) | 70,862 | ||||||
3,074 | Fresh Del Monte Produce, Inc. (Food Products) | 86,687 | ||||||
2,247 | frontdoor, Inc.* (Diversified Consumer Services) | 120,282 | ||||||
1,263 | FTI Consulting, Inc.* (Professional Services) | 175,368 | ||||||
800 | Gaming & Leisure Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 37,192 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
1,400 | General Dynamics Corp. (Aerospace & Defense) | 266,322 | ||||||
118,955 | General Electric Co. (Industrial Conglomerates) | 1,560,690 | ||||||
180 | General Mills, Inc. (Food Products) | 10,955 | ||||||
13,345 | General Motors Co.* (Automobiles) | 763,601 | ||||||
798 | Gentex Corp. (Auto Components) | 28,074 | ||||||
1,011 | Genuine Parts Co. (Distributors) | 126,345 | ||||||
3,700 | Gilead Sciences, Inc. (Biotechnology) | 234,839 | ||||||
5,673 | Glacier Bancorp, Inc. (Banks) | 334,423 | ||||||
335 | Globe Life, Inc. (Insurance) | 34,334 | ||||||
4,634 | Globus Medical, Inc. Class A* (Health Care Equipment & Supplies) | 332,582 | ||||||
4,874 | GrafTech International Ltd. (Electrical Equipment) | 61,997 | ||||||
3,217 | Grand Canyon Education, Inc.* (Diversified Consumer Services) | 348,369 | ||||||
19,963 | Graphic Packaging Holding Co. (Containers & Packaging) | 370,314 | ||||||
8,700 | Halliburton Co. (Energy Equipment & Services) | 170,172 | ||||||
5,350 | Halozyme Therapeutics, Inc.* (Biotechnology) | 267,232 | ||||||
4,877 | Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 102,710 | ||||||
2,586 | Harley-Davidson, Inc. (Automobiles) | 125,085 | ||||||
4,147 | Harsco Corp.* (Commercial Services & Supplies) | 74,356 | ||||||
529 | HCA Healthcare, Inc. (Health Care Providers & Services) | 106,361 | ||||||
3,350 | HealthEquity, Inc.* (Health Care Providers & Services) | 254,499 | ||||||
7,760 | Heartland Express, Inc. (Road & Rail) | 144,258 | ||||||
15,379 | HEICO Corp. Class A (Aerospace & Defense) | 1,942,060 | ||||||
746 | Helen of Troy Ltd.* (Household Durables) | 157,563 | ||||||
4,180 | Helios Technologies, Inc. (Machinery) | 302,130 | ||||||
2,809 | Helmerich & Payne, Inc. (Energy Equipment & Services) | 71,995 | ||||||
607 | Henry Schein, Inc.* (Health Care Providers & Services) | 44,008 | ||||||
1,278 | Hillenbrand, Inc. (Machinery) | 62,737 | ||||||
3,657 | HollyFrontier Corp. (Oil, Gas & Consumable Fuels) | 127,995 | ||||||
150 | Hologic, Inc.* (Health Care Equipment & Supplies) | 9,833 | ||||||
1,667 | Honeywell International, Inc. (Industrial Conglomerates) | 371,808 | ||||||
5,546 | Horace Mann Educators Corp. (Insurance) | 222,395 | ||||||
107 | Hormel Foods Corp. (Food Products) | 4,943 | ||||||
3,100 | Houlihan Lokey, Inc. (Capital Markets) | 205,437 | ||||||
7,895 | HP, Inc. (Technology Hardware, Storage & Peripherals) | 269,298 | ||||||
637 | Hub Group, Inc. Class A* (Air Freight & Logistics) | 41,864 | ||||||
|
|
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) | ||||||||
United States – (continued) | ||||||||
438 | Humana, Inc. (Health Care Providers & Services) | $ | 195,015 | |||||
4,697 | Huntsman Corp. (Chemicals) | 134,663 | ||||||
2,456 | ICF International, Inc. (Professional Services) | 223,643 | ||||||
573 | ICU Medical, Inc.* (Health Care Equipment & Supplies) | 119,339 | ||||||
1,975 | IDACORP, Inc. (Electric Utilities) | 202,398 | ||||||
6 | IDEX Corp. (Machinery) | 1,345 | ||||||
1,076 | IDEXX Laboratories, Inc.* (Health Care Equipment & Supplies) | 590,713 | ||||||
205 | Illinois Tool Works, Inc. (Machinery) | 47,244 | ||||||
1,041 | Ingevity Corp.* (Chemicals) | 81,281 | ||||||
2,820 | Insight Enterprises, Inc.* (Electronic Equipment, Instruments & Components) | 283,043 | ||||||
3,626 | Integra LifeSciences Holdings Corp.* (Health Care Equipment & Supplies) | 268,614 | ||||||
9,862 | Intel Corp. (Semiconductors & Semiconductor Equipment) | 567,361 | ||||||
258 | InterActiveCorp.* (Interactive Media & Services) | 65,395 | ||||||
58 | Intercontinental Exchange, Inc. (Capital Markets) | 6,827 | ||||||
1,971 | InterDigital, Inc. (Software) | 136,827 | ||||||
17 | International Business Machines Corp. (IT Services) | 2,412 | ||||||
87 | International Paper Co. (Containers & Packaging) | 5,046 | ||||||
143 | Intuit, Inc. (Software) | 58,939 | ||||||
3 | Intuitive Surgical, Inc.* (Health Care Equipment & Supplies) | 2,595 | ||||||
4,739 | Investors Bancorp, Inc. (Banks) | 69,379 | ||||||
104 | Invitation Homes, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,646 | ||||||
77 | J.B. Hunt Transport Services, Inc. (Road & Rail) | 13,145 | ||||||
1,500 | Jabil, Inc. (Electronic Equipment, Instruments & Components) | 78,630 | ||||||
14,916 | Jack Henry & Associates, Inc. (IT Services) | 2,428,772 | ||||||
700 | Jack in the Box, Inc. (Hotels, Restaurants & Leisure) | 84,455 | ||||||
5,332 | Johnson & Johnson (Pharmaceuticals) | 867,676 | ||||||
5,344 | Jones Lang LaSalle, Inc.* (Real Estate Management & Development) | 1,004,191 | ||||||
4,700 | JPMorgan Chase & Co. (Banks) | 722,907 | ||||||
35 | Kansas City Southern (Road & Rail) | 10,227 | ||||||
10,687 | KAR Auction Services, Inc. (Commercial Services & Supplies) | 160,198 | ||||||
1,800 | KeyCorp. (Banks) | 39,168 | ||||||
261 | Kimberly-Clark Corp. (Household Products) | 34,797 | ||||||
43,172 | KKR & Co., Inc. Class A (Capital Markets) | 2,442,672 | ||||||
259 | KLA Corp. (Semiconductors & Semiconductor Equipment) | 81,676 | ||||||
607 | Korn Ferry (Professional Services) | 41,209 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
672,452 | Kosmos Energy Ltd.* (Oil, Gas & Consumable Fuels) | 1,923,213 | ||||||
4,300 | L Brands, Inc.* (Specialty Retail) | 283,370 | ||||||
85 | Laboratory Corp. of America Holdings* (Health Care Providers & Services) | 22,599 | ||||||
425 | Lam Research Corp. (Semiconductors & Semiconductor Equipment) | 263,691 | ||||||
43,085 | Lamb Weston Holdings, Inc. (Food Products) | 3,468,342 | ||||||
207 | Landstar System, Inc. (Road & Rail) | �� | 35,662 | |||||
1,040 | LCI Industries (Auto Components) | 152,360 | ||||||
46 | Lear Corp. (Auto Components) | 8,457 | ||||||
274 | Leidos Holdings, Inc. (Professional Services) | 27,751 | ||||||
57 | Lennar Corp. Class A (Household Durables) | 5,905 | ||||||
43,030 | Levi Strauss & Co. Class A (Textiles, Apparel & Luxury Goods) | 1,241,846 | ||||||
1,011 | LHC Group, Inc.* (Health Care Providers & Services) | 210,561 | ||||||
1,123 | Lithia Motors, Inc. Class A (Specialty Retail) | 431,659 | ||||||
38,550 | LKQ Corp.* (Distributors) | 1,800,670 | ||||||
1,268 | Lockheed Martin Corp. (Aerospace & Defense) | 482,550 | ||||||
318 | Loews Corp. (Insurance) | 17,729 | ||||||
2,795 | Lowe’s Cos., Inc. (Specialty Retail) | 548,519 | ||||||
2,003 | Lululemon Athletica, Inc.* (Textiles, Apparel & Luxury Goods) | 671,546 | ||||||
5,543 | MACOM Technology Solutions Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 313,789 | ||||||
15,056 | Magnolia Oil & Gas Corp. Class A* (Oil, Gas & Consumable Fuels) | 169,531 | ||||||
455 | Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 25,321 | ||||||
2 | Markel Corp.* (Insurance) | 2,353 | ||||||
467 | Marsh & McLennan Cos., Inc. (Insurance) | 63,372 | ||||||
4,250 | Masco Corp. (Building Products) | 271,490 | ||||||
13,609 | Masimo Corp.* (Health Care Equipment & Supplies) | 3,166,406 | ||||||
22,497 | Mastercard, Inc. Class A (IT Services) | 8,595,204 | ||||||
1,900 | Matson, Inc. (Marine) | 124,127 | ||||||
126 | Maxim Integrated Products, Inc. (Semiconductors & Semiconductor Equipment) | 11,844 | ||||||
1,520 | MAXIMUS, Inc. (IT Services) | 139,293 | ||||||
224 | McCormick & Co., Inc. (Food Products) | 20,241 | ||||||
1,737 | McDonald’s Corp. (Hotels, Restaurants & Leisure) | 410,071 | ||||||
150 | McKesson Corp. (Health Care Providers & Services) | 28,134 | ||||||
4,300 | MDU Resources Group, Inc. (Multi-Utilities) | 143,878 | ||||||
330 | Medifast, Inc. (Personal Products) | 74,940 | ||||||
2,059 | Medpace Holdings, Inc.* (Life Sciences Tools & Services) | 349,371 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
609 | MercadoLibre, Inc.* (Internet & Direct Marketing Retail) | $ | 956,727 | |||||
772 | Merck & Co., Inc. (Pharmaceuticals) | 57,514 | ||||||
6,314 | Meridian Bancorp, Inc. (Thrifts & Mortgage Finance) | 139,603 | ||||||
726 | Meritage Homes Corp.* (Household Durables) | 77,239 | ||||||
436 | MetLife, Inc. (Insurance) | 27,743 | ||||||
541 | Mettler-Toledo International, Inc.* (Life Sciences Tools & Services) | 710,506 | ||||||
2,100 | Micron Technology, Inc.* (Semiconductors & Semiconductor Equipment) | 180,747 | ||||||
41,231 | Microsoft Corp. (Software) | 10,397,634 | ||||||
57 | Mid-America Apartment Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 8,968 | ||||||
3,301 | Minerals Technologies, Inc. (Chemicals) | 257,940 | ||||||
900 | MKS Instruments, Inc. (Semiconductors & Semiconductor Equipment) | 161,199 | ||||||
10,390 | Moderna, Inc.* (Biotechnology) | 1,857,940 | ||||||
2,466 | Mondelez International, Inc. Class A (Food Products) | 149,957 | ||||||
440 | Monolithic Power Systems, Inc. (Semiconductors & Semiconductor Equipment) | 159,007 | ||||||
2,662 | Monster Beverage Corp.* (Beverages) | 258,347 | ||||||
136 | Moody’s Corp. (Capital Markets) | 44,433 | ||||||
5,435 | Morgan Stanley (Capital Markets) | 448,659 | ||||||
17,614 | Motorola Solutions, Inc. (Communications Equipment) | 3,316,716 | ||||||
2,023 | Mr Cooper Group, Inc.* (Thrifts & Mortgage Finance) | 69,753 | ||||||
754 | MSCI, Inc. (Capital Markets) | 366,271 | ||||||
363 | Nasdaq, Inc. (Capital Markets) | 58,639 | ||||||
700 | National Beverage Corp. (Beverages) | 34,013 | ||||||
2,691 | National Energy Services Reunited Corp.* (Energy Equipment & Services) | 34,149 | ||||||
2,580 | National Health Investors, Inc. (Equity Real Estate Investment Trusts (REITs)) | 189,398 | ||||||
11,554 | Navient Corp. (Consumer Finance) | 194,454 | ||||||
4,022 | NCR Corp.* (Technology Hardware, Storage & Peripherals) | 184,006 | ||||||
847 | Nelnet, Inc. Class A (Consumer Finance) | 62,873 | ||||||
400 | NetApp, Inc. (Technology Hardware, Storage & Peripherals) | 29,876 | ||||||
390 | Netflix, Inc.* (Entertainment) | 200,253 | ||||||
5,391 | News Corp. Class A (Media) | 141,217 | ||||||
700 | News Corp. Class B (Media) | 17,017 | ||||||
1,692 | Nexstar Media Group, Inc. Class A (Media) | 249,418 | ||||||
792 | NextEra Energy, Inc. (Electric Utilities) | 61,388 | ||||||
6,936 | NexTier Oilfield Solutions, Inc.* (Energy Equipment & Services) | 24,900 | ||||||
723 | NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 95,884 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
3,637 | NMI Holdings, Inc. Class A* (Thrifts & Mortgage Finance) | 93,980 | ||||||
3,721 | NorthWestern Corp. (Multi-Utilities) | 253,140 | ||||||
1,729 | NortonLifeLock, Inc. (Software) | 37,364 | ||||||
3,700 | NRG Energy, Inc. (Electric Utilities) | 132,534 | ||||||
7,612 | NVIDIA Corp. (Semiconductors & Semiconductor Equipment) | 4,570,093 | ||||||
5 | NVR, Inc.* (Household Durables) | 25,091 | ||||||
14 | O’Reilly Automotive, Inc.* (Specialty Retail) | 7,740 | ||||||
9,585 | OceanFirst Financial Corp. (Banks) | 219,113 | ||||||
285 | Old Dominion Freight Line, Inc. (Road & Rail) | 73,476 | ||||||
8,900 | Old Republic International Corp. (Insurance) | 219,118 | ||||||
2,415 | Ollie’s Bargain Outlet Holdings, Inc.* (Multiline Retail) | 222,832 | ||||||
1,000 | Omega Healthcare Investors, Inc. (Equity Real Estate Investment Trusts (REITs)) | 38,000 | ||||||
67 | Omnicom Group, Inc. (Media) | 5,511 | ||||||
83,545 | ON Semiconductor Corp.* (Semiconductors & Semiconductor Equipment) | 3,258,255 | ||||||
1,700 | Open Lending Corp. Class A* (Capital Markets) | 66,385 | ||||||
4,979 | Oracle Corp. (Software) | 377,358 | ||||||
7,065 | Ortho Clinical Diagnostics Holdings PLC* (Health Care Equipment & Supplies) | 139,110 | ||||||
1,913 | Oxford Industries, Inc. (Textiles, Apparel & Luxury Goods) | 174,523 | ||||||
732 | PACCAR, Inc. (Machinery) | 65,792 | ||||||
7,057 | Pacific Premier Bancorp, Inc. (Banks) | 310,720 | ||||||
2,169 | PacWest Bancorp. (Banks) | 94,156 | ||||||
180 | Parker-Hannifin Corp. (Machinery) | 56,486 | ||||||
3,617 | Patrick Industries, Inc. (Auto Components) | 324,083 | ||||||
384 | Paychex, Inc. (IT Services) | 37,436 | ||||||
1,374 | Paylocity Holding Corp.* (Software) | 265,512 | ||||||
6,213 | PayPal Holdings, Inc.* (IT Services) | 1,629,608 | ||||||
1,384 | PDC Energy, Inc.* (Oil, Gas & Consumable Fuels) | 50,530 | ||||||
1,114 | PennyMac Financial Services, Inc. (Thrifts & Mortgage Finance) | 67,074 | ||||||
775 | PepsiCo, Inc. (Beverages) | 111,724 | ||||||
6,284 | Performance Food Group Co.* (Food & Staples Retailing) | 368,871 | ||||||
500 | PerkinElmer, Inc. (Life Sciences Tools & Services) | 64,815 | ||||||
13,655 | Pfizer, Inc. (Pharmaceuticals) | 527,766 | ||||||
42 | Philip Morris International, Inc. (Tobacco) | 3,990 | ||||||
639 | Phillips 66 (Oil, Gas & Consumable Fuels) | 51,701 | ||||||
4,562 | Phreesia, Inc.* (Health Care Technology) | 236,083 | ||||||
700 | Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 107,681 | ||||||
|
|
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) | ||||||||
United States – (continued) | ||||||||
117 | Pool Corp. (Distributors) | $ | 49,435 | |||||
1,700 | PotlatchDeltic Corp. (Equity Real Estate Investment Trusts (REITs)) | 100,912 | ||||||
3,422 | PQ Group Holdings, Inc. (Chemicals) | 47,908 | ||||||
1,714 | PRA Group, Inc.* (Consumer Finance) | 64,584 | ||||||
649 | Preferred Bank (Banks) | 42,535 | ||||||
7,574 | Primoris Services Corp. (Construction & Engineering) | 247,367 | ||||||
159 | Principal Financial Group, Inc. (Insurance) | 10,155 | ||||||
3,134 | ProAssurance Corp. (Insurance) | 78,350 | ||||||
4,450 | Progyny, Inc.* (Health Care Providers & Services) | 253,249 | ||||||
1,664 | Prologis, Inc. (Equity Real Estate Investment Trusts (REITs)) | 193,906 | ||||||
1,191 | Prudential Financial, Inc. (Insurance) | 119,529 | ||||||
128 | PTC, Inc.* (Software) | 16,760 | ||||||
700 | Public Service Enterprise Group, Inc. (Multi-Utilities) | 44,212 | ||||||
74 | Public Storage (Equity Real Estate Investment Trusts (REITs)) | 20,806 | ||||||
932 | PulteGroup, Inc. (Household Durables) | 55,100 | ||||||
11,516 | Qorvo, Inc.* (Semiconductors & Semiconductor Equipment) | 2,166,966 | ||||||
3,626 | QTS Realty Trust, Inc. Class A (Equity Real Estate Investment Trusts (REITs)) | 241,093 | ||||||
2,400 | QUALCOMM, Inc. (Semiconductors & Semiconductor Equipment) | 333,120 | ||||||
3,000 | Quanta Services, Inc. (Construction & Engineering) | 289,920 | ||||||
229 | Quest Diagnostics, Inc. (Health Care Providers & Services) | 30,201 | ||||||
2,121 | R1 RCM, Inc.* (Health Care Providers & Services) | 57,861 | ||||||
1,857 | Rackspace Technology, Inc.* (IT Services) | 46,184 | ||||||
3,250 | Rapid7, Inc.* (Software) | 264,062 | ||||||
2,500 | Raymond James Financial, Inc. (Capital Markets) | 326,950 | ||||||
3,100 | Raytheon Technologies Corp. (Aerospace & Defense) | 258,044 | ||||||
1,462 | RBC Bearings, Inc.* (Machinery) | 291,567 | ||||||
5,054 | Realogy Holdings Corp.* (Real Estate Management & Development) | 87,333 | ||||||
190 | Regeneron Pharmaceuticals, Inc.* (Biotechnology) | 91,447 | ||||||
100 | Reliance Steel & Aluminum Co. (Metals & Mining) | 16,031 | ||||||
1,623 | Republic Services, Inc. (Commercial Services & Supplies) | 172,525 | ||||||
3,923 | ResMed, Inc. (Health Care Equipment & Supplies) | 737,406 | ||||||
70 | Robert Half International, Inc. (Professional Services) | 6,133 | ||||||
25 | Rockwell Automation, Inc. (Electrical Equipment) | 6,607 | ||||||
1,465 | Rollins, Inc. (Commercial Services & Supplies) | 54,615 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
40 | Roper Technologies, Inc. (Industrial Conglomerates) | 17,858 | ||||||
1,100 | RPM International, Inc. (Chemicals) | 104,324 | ||||||
2,542 | Ryman Hospitality Properties, Inc.* (Equity Real Estate Investment Trusts (REITs)) | 199,928 | ||||||
343 | S&P Global, Inc. (Capital Markets) | 133,904 | ||||||
14,695 | Saia, Inc.* (Road & Rail) | 3,445,977 | ||||||
9,611 | salesforce.com, Inc.* (Software) | 2,213,606 | ||||||
4,396 | Sally Beauty Holdings, Inc.* (Specialty Retail) | 88,228 | ||||||
2,817 | Schweitzer-Mauduit International, Inc. (Paper & Forest Products) | 128,652 | ||||||
1,652 | Science Applications International Corp. (Professional Services) | 147,722 | ||||||
8,847 | Seacoast Banking Corp. of Florida* (Banks) | 321,588 | ||||||
600 | SEI Investments Co. (Capital Markets) | 36,864 | ||||||
2,800 | Sempra Energy (Multi-Utilities) | 385,196 | ||||||
3,191 | Silgan Holdings, Inc. (Containers & Packaging) | 134,564 | ||||||
1,748 | Silicon Laboratories, Inc.* (Semiconductors & Semiconductor Equipment) | 246,381 | ||||||
954 | SiteOne Landscape Supply, Inc.* (Trading Companies & Distributors) | 171,129 | ||||||
2,541 | Skechers U.S.A., Inc. Class A* (Textiles, Apparel & Luxury Goods) | 123,213 | ||||||
8,662 | Skyline Champion Corp.* (Household Durables) | 384,853 | ||||||
11,280 | Skyworks Solutions, Inc. (Semiconductors & Semiconductor Equipment) | 2,045,402 | ||||||
15,395 | SLM Corp. (Consumer Finance) | 302,666 | ||||||
12 | Snap-on, Inc. (Machinery) | 2,851 | ||||||
503 | South State Corp. (Banks) | 42,413 | ||||||
855 | Southern Copper Corp. (Metals & Mining) | 59,346 | ||||||
1,301 | Spectrum Brands Holdings, Inc. (Household Products) | 114,670 | ||||||
986 | Spirit Realty Capital, Inc. (Equity Real Estate Investment Trusts (REITs)) | 46,874 | ||||||
2,400 | Sprouts Farmers Market, Inc.* (Food & Staples Retailing) | 61,464 | ||||||
23,468 | SS&C Technologies Holdings, Inc. (Software) | 1,741,795 | ||||||
9,101 | STAG Industrial, Inc. (Equity Real Estate Investment Trusts (REITs)) | 332,278 | ||||||
716 | Standard Motor Products, Inc. (Auto Components) | 30,666 | ||||||
200 | Stanley Black & Decker, Inc. (Machinery) | 41,354 | ||||||
2,868 | Starbucks Corp. (Hotels, Restaurants & Leisure) | 328,357 | ||||||
4,502 | Starwood Property Trust, Inc. (Mortgage Real Estate Investment Trusts (REITs)) | 116,242 | ||||||
2,691 | Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | 109,443 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
6,422 | Stifel Financial Corp. (Capital Markets) | $ | 444,338 | |||||
3,394 | Stride, Inc.* (Diversified Consumer Services) | 97,170 | ||||||
118 | Stryker Corp. (Health Care Equipment & Supplies) | 30,990 | ||||||
7,682 | Supernus Pharmaceuticals, Inc.* (Pharmaceuticals) | 233,917 | ||||||
80 | SVB Financial Group* (Banks) | 45,746 | ||||||
263 | Swisscom AG (Diversified Telecommunication Services) | 142,795 | ||||||
3,963 | Sykes Enterprises, Inc.* (IT Services) | 173,698 | ||||||
2,828 | Synchrony Financial (Consumer Finance) | 123,697 | ||||||
6,642 | Syneos Health, Inc.* (Life Sciences Tools & Services) | 563,574 | ||||||
2,079 | SYNNEX Corp. (Electronic Equipment, Instruments & Components) | 251,975 | ||||||
1,859 | Synopsys, Inc.* (Software) | 459,285 | ||||||
2,859 | Synovus Financial Corp. (Banks) | 133,973 | ||||||
48 | Sysco Corp. (Food & Staples Retailing) | 4,067 | ||||||
47 | T-Mobile US, Inc.* (Wireless Telecommunication Services) | 6,210 | ||||||
895 | T. Rowe Price Group, Inc. (Capital Markets) | 160,384 | ||||||
3,100 | Tapestry, Inc.* (Textiles, Apparel & Luxury Goods) | 148,335 | ||||||
1,054 | Target Corp. (Multiline Retail) | 218,452 | ||||||
5,052 | TEGNA, Inc. (Media) | 101,343 | ||||||
1,803 | Tempur Sealy International, Inc. (Household Durables) | 68,766 | ||||||
403 | Teradyne, Inc. (Semiconductors & Semiconductor Equipment) | 50,407 | ||||||
876 | Terex Corp. (Machinery) | 41,163 | ||||||
320 | Tesla, Inc.* (Automobiles) | 227,021 | ||||||
27,351 | Texas Instruments, Inc. (Semiconductors & Semiconductor Equipment) | 4,937,129 | ||||||
4,469 | Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 478,272 | ||||||
5,194 | The AES Corp. (Independent Power and Renewable Electricity Producers) | 144,497 | ||||||
3,083 | The Allstate Corp. (Insurance) | 390,924 | ||||||
479 | The Brink’s Co. (Commercial Services & Supplies) | 38,282 | ||||||
47,248 | The Carlyle Group, Inc. (Capital Markets) | 2,015,600 | ||||||
1,500 | The Charles Schwab Corp. (Capital Markets) | 105,600 | ||||||
667 | The Clorox Co. (Household Products) | 121,728 | ||||||
5,186 | The Coca-Cola Co. (Beverages) | 279,940 | ||||||
197 | The Estee Lauder Cos., Inc. Class A (Personal Products) | 61,819 | ||||||
1,147 | The Hanover Insurance Group, Inc. (Insurance) | 158,642 | ||||||
48 | The Hartford Financial Services Group, Inc. (Insurance) | 3,166 | ||||||
85 | The Hershey Co. (Food Products) | 13,966 | ||||||
983 | The Home Depot, Inc. (Specialty Retail) | 318,168 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
29 | The J.M. Smucker Co. (Food Products) | 3,799 | ||||||
6,049 | The Kroger Co. (Food & Staples Retailing) | 221,030 | ||||||
3,400 | The Mosaic Co. (Chemicals) | 119,612 | ||||||
3,753 | The Procter & Gamble Co. (Household Products) | 500,725 | ||||||
6,001 | The Progressive Corp. (Insurance) | 604,541 | ||||||
12,121 | The Sherwin-Williams Co. (Chemicals) | 3,319,578 | ||||||
2,846 | The Shyft Group, Inc. (Machinery) | 100,805 | ||||||
154 | The Southern Co. (Electric Utilities) | 10,190 | ||||||
101 | The TJX Cos., Inc. (Specialty Retail) | 7,171 | ||||||
621 | The Travelers Cos., Inc. (Insurance) | 96,044 | ||||||
107 | The Walt Disney Co.* (Entertainment) | 19,904 | ||||||
2,022 | The Western Union Co. (IT Services) | 52,087 | ||||||
1,570 | Thermo Fisher Scientific, Inc. (Life Sciences Tools & Services) | 738,261 | ||||||
810 | Toll Brothers, Inc. (Household Durables) | 50,787 | ||||||
1,215 | Tractor Supply Co. (Specialty Retail) | 229,149 | ||||||
4,923 | TransDigm Group, Inc.* (Aerospace & Defense) | 3,021,442 | ||||||
708 | Travel + Leisure Co. (Hotels, Restaurants & Leisure) | 45,687 | ||||||
1,493 | TTEC Holdings, Inc. (IT Services) | 151,883 | ||||||
1,600 | Tyson Foods, Inc. Class A (Food Products) | 123,920 | ||||||
210 | Ubiquiti, Inc. (Communications Equipment) | 59,919 | ||||||
4,875 | UFP Industries, Inc. (Building Products) | 409,695 | ||||||
2,061 | Ultra Clean Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 105,255 | ||||||
4,221 | Umpqua Holdings Corp. (Banks) | 78,679 | ||||||
21,780 | Union Pacific Corp. (Road & Rail) | 4,837,120 | ||||||
4,863 | Unisys Corp.* (IT Services) | 116,712 | ||||||
674 | United Parcel Service, Inc. Class B (Air Freight & Logistics) | 137,402 | ||||||
14,415 | UnitedHealth Group, Inc. (Health Care Providers & Services) | 5,748,702 | ||||||
1,540 | Universal Corp. (Tobacco) | 86,594 | ||||||
8,710 | Universal Display Corp. (Semiconductors & Semiconductor Equipment) | 1,948,340 | ||||||
3,358 | US Ecology, Inc.* (Commercial Services & Supplies) | 142,581 | ||||||
422 | Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 31,211 | ||||||
7,626 | Valley National Bancorp (Banks) | 105,010 | ||||||
8,153 | Valvoline, Inc. (Chemicals) | 256,004 | ||||||
13 | Veeva Systems, Inc. Class A* (Health Care Technology) | 3,672 | ||||||
4,128 | Veracyte, Inc.* (Biotechnology) | 205,368 | ||||||
140 | VeriSign, Inc.* (IT Services) | 30,628 | ||||||
118 | Verisk Analytics, Inc. (Professional Services) | 22,208 | ||||||
10,551 | Verizon Communications, Inc. (Diversified Telecommunication Services) | 609,742 | ||||||
|
|
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) | ||||||||
United States – (continued) | ||||||||
505 | ViacomCBS, Inc. Class B (Media) | $ | 20,715 | |||||
16,750 | Viavi Solutions, Inc.* (Communications Equipment) | 274,030 | ||||||
14,159 | Visa, Inc. Class A (IT Services) | 3,306,976 | ||||||
348 | W.R. Berkley Corp. (Insurance) | 27,743 | ||||||
163 | Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 8,655 | ||||||
1,092 | Walker & Dunlop, Inc. (Thrifts & Mortgage Finance) | 121,048 | ||||||
4,327 | Walmart, Inc. (Food & Staples Retailing) | 605,391 | ||||||
787 | Waste Management, Inc. (Commercial Services & Supplies) | 108,582 | ||||||
200 | Waters Corp.* (Life Sciences Tools & Services) | 59,974 | ||||||
9,820 | Wayfair, Inc. Class A* (Internet & Direct Marketing Retail) | 2,902,497 | ||||||
12,400 | Wells Fargo & Co. (Banks) | 558,620 | ||||||
4,465 | Werner Enterprises, Inc. (Road & Rail) | 206,417 | ||||||
2,769 | WESCO International, Inc.* (Trading Companies & Distributors) | 253,973 | ||||||
770 | West Pharmaceutical Services, Inc. (Health Care Equipment & Supplies) | 252,960 | ||||||
200 | Westlake Chemical Corp. (Chemicals) | 18,778 | ||||||
9,486 | Weyerhaeuser Co. (Equity Real Estate Investment Trusts (REITs)) | 367,772 | ||||||
199 | Whirlpool Corp. (Household Durables) | 47,054 | ||||||
129 | White Mountains Insurance Group Ltd. (Insurance) | 150,340 | ||||||
600 | Williams-Sonoma, Inc. (Specialty Retail) | 102,450 | ||||||
500 | Wintrust Financial Corp. (Banks) | 38,550 | ||||||
4,062 | Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 169,467 | ||||||
6,152 | World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 190,281 | ||||||
166 | Xcel Energy, Inc. (Electric Utilities) | 11,836 | ||||||
3,041 | Yelp, Inc.* (Interactive Media & Services) | 119,511 | ||||||
7,862 | Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 494,677 | ||||||
175 | Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 20,916 | ||||||
60 | Zebra Technologies Corp. Class A* (Electronic Equipment, Instruments & Components) | 29,264 | ||||||
580 | Zoetis, Inc. (Pharmaceuticals) | 100,357 | ||||||
|
| |||||||
223,966,696 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $329,696,241) | $ | 459,236,398 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 0.2% | ||||||||
Brazil – 0.1% | ||||||||
Cia de Transmissao de Energia Eletrica Paulista (Electric Utilities) |
| |||||||
26,300 | 12.490% | $ | 130,724 | |||||
Itausa SA (Banks) |
| |||||||
27,500 | 2.490 | 50,929 | ||||||
Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) |
| |||||||
112,000 | 3.200 | 487,006 | ||||||
|
| |||||||
668,659 | ||||||||
| ||||||||
Germany – 0.1% | ||||||||
Volkswagen AG (Automobiles) |
| |||||||
975 | 2.300 | 253,851 | ||||||
| ||||||||
TOTAL PREFERRED STOCKS |
| |||||||
(Cost $801,648) |
| $ | 922,510 | |||||
|
Units | Description | Expiration Date | Value | |||||||||||
Rights* – 0.0% | ||||||||||||||
Netherlands – 0.0% | ||||||||||||||
Euronext NV (Capital Markets) | ||||||||||||||
1,552 | 05/10/21 | $ | 18,192 | |||||||||||
|
| |||||||||||||
Switzerland – 0.0% | ||||||||||||||
Credit Suisse Group AG (Capital Markets) (Banks) | ||||||||||||||
79,657 | 05/06/21 | — | ||||||||||||
|
| |||||||||||||
TOTAL RIGHTS | ||||||||||||||
(Cost $0) | $ | 18,192 | ||||||||||||
|
| |||||||||||||
Warrants* – 0.0% | ||||||||||||||
Switzerland – 0.0% | ||||||||||||||
Cie Financiere Richemont SA (Textiles, Apparel & Luxury Goods) | ||||||||||||||
19,079 | 11/22/23 | $ | 8,148 | |||||||||||
|
| |||||||||||||
Thailand – 0.0% | ||||||||||||||
RS PCL | ||||||||||||||
24,860 | 04/26/22 | — | ||||||||||||
|
| |||||||||||||
TOTAL WARRANTS | ||||||||||||||
(Cost $0) | $ | 8,148 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Exchange Traded Funds – 6.1% | ||||||||
9,300 | iShares Core MSCI Emerging Markets ETF | $ | 608,871 | |||||
362,843 | iShares MSCI International Multifactor ETF | 10,798,208 | ||||||
4,190 | iShares MSCI Saudi Arabia ETF | 158,298 | ||||||
490,011 | iShares MSCI USA Multifactor ETF | 20,624,563 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $22,460,543) | $ | 32,189,940 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Dividend Rate | Value | ||||
Investment Companies(c) – 3.5% | ||||||
Goldman Sachs Financial Square Government Fund – Class R6 |
| |||||
5,367,878 | 0.026% | $ | 5,367,877 | |||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
12,935,036 | 0.026 | 12,935,036 | ||||
| ||||||
TOTAL INVESTMENT COMPANIES – 3.5% |
| |||||
(Cost $18,302,913) | $ | 18,302,913 | ||||
| ||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT – 94.2% |
| |||||
(Cost $371,261,345) | $ | 510,678,101 | ||||
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-term Investment(b) – 0.1% | ||||||||||||||
U.S. Treasury Obligation – 0.1% | ||||||||||||||
United States Treasury Bill | ||||||||||||||
$ | 300,000 | 0.000 | % | 09/16/21 | $ | 299,982 | ||||||||
(Cost $299,948) | ||||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 97.7% | ||||||||||||||
(Cost $371,561,293) | $ | 510,978,083 | ||||||||||||
|
| |||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.3% | | 11,985,241 | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 522,963,324 | ||||||||||||
|
|
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) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(c) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
AED | —United Arab Emirates Dirham | |
AUD | —Australian Dollar | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CNY | —Chinese Yuan Renminbi | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
ILS | —Israeli Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
MYR | —Malaysian Ringgit | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PHP | —Philippine Peso | |
PLN | —Polish Zloty | |
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 | |
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 April 30, 2021, 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 | CHF | 5,670,000 | USD | 6,207,032 | 05/04/21 | $ | 2,185 | |||||||||||||
USD | 4,911,062 | AUD | 6,310,000 | 06/02/21 | 49,412 | |||||||||||||||
USD | 1,644,321 | DKK | 10,110,000 | 06/02/21 | 8,943 | |||||||||||||||
USD | 21,884,692 | EUR | 18,100,000 | 06/02/21 | 109,759 | |||||||||||||||
USD | 9,709,871 | GBP | 6,985,000 | 06/02/21 | 62,537 | |||||||||||||||
USD | 2,261,258 | HKD | 17,550,000 | 06/02/21 | 1,696 | |||||||||||||||
USD | 209,968 | ILS | 680,000 | 06/02/21 | 566 | |||||||||||||||
USD | 17,223,685 | JPY | 1,877,000,000 | 06/02/21 | 44,956 | |||||||||||||||
USD | 416,633 | NOK | 3,450,000 | 06/02/21 | 2,148 | |||||||||||||||
USD | 187,883 | NZD | 260,000 | 06/02/21 | 1,849 | |||||||||||||||
USD | 2,369,610 | SEK | 19,875,000 | 06/02/21 | 21,182 | |||||||||||||||
USD | 709,090 | SGD | 940,000 | 06/02/21 | 2,801 |
30 | 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 GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Brown Brothers Harriman & Co. | USD | 15,620 | ZAR | 223,804 | 05/04/21 | $ | 197 | |||||||||||||
JPMorgan Securities, Inc. | CHF | 2,190,000 | USD | 2,397,425 | 05/04/21 | 844 | ||||||||||||||
USD | 1,860,133 | AUD | 2,390,000 | 06/02/21 | 18,716 | |||||||||||||||
USD | 461,906 | DKK | 2,840,000 | 06/02/21 | 2,512 | |||||||||||||||
USD | 7,907,507 | EUR | 6,540,000 | 06/02/21 | 39,659 | |||||||||||||||
USD | 4,260,666 | GBP | 3,065,000 | 06/02/21 | 27,441 | |||||||||||||||
USD | 824,618 | HKD | 6,400,000 | 06/02/21 | 618 | |||||||||||||||
USD | 86,457 | ILS | 280,000 | 06/02/21 | 233 | |||||||||||||||
USD | 5,450,649 | JPY | 594,000,000 | 06/02/21 | 14,227 | |||||||||||||||
USD | 163,030 | NOK | 1,350,000 | 06/02/21 | 840 | |||||||||||||||
USD | 65,036 | NZD | 90,000 | 06/02/21 | 640 | |||||||||||||||
USD | 670,644 | SEK | 5,625,000 | 06/02/21 | 5,995 | |||||||||||||||
USD | 316,827 | SGD | 420,000 | 06/02/21 | 1,251 | |||||||||||||||
State Street Bank and Trust | USD | 5,900 | GBP | 4,234 | 05/04/21 | 53 | ||||||||||||||
USD | 594,452 | JPY | 64,751,686 | 05/06/21 | 1,948 | |||||||||||||||
USD | 3,072 | JPY | 334,574 | 05/07/21 | 10 | |||||||||||||||
TOTAL | $ | 423,218 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
BNP Paribas SA | AUD | 6,310,000 | USD | 4,910,271 | 05/04/21 | $ | (49,289 | ) | ||||||||||||
DKK | 10,110,000 | USD | 1,643,491 | 05/04/21 | (8,917 | ) | ||||||||||||||
EUR | 18,100,000 | USD | 21,871,778 | 05/04/21 | (109,404 | ) | ||||||||||||||
GBP | 6,985,000 | USD | 9,709,049 | 05/04/21 | (62,339 | ) | ||||||||||||||
HKD | 17,550,000 | USD | 2,261,119 | 05/04/21 | (1,747 | ) | ||||||||||||||
ILS | 680,000 | USD | 209,900 | 05/04/21 | (556 | ) | ||||||||||||||
NOK | 3,450,000 | USD | 416,613 | 05/04/21 | (2,145 | ) | ||||||||||||||
NZD | 260,000 | USD | 187,906 | 05/04/21 | (1,854 | ) | ||||||||||||||
SEK | 19,875,000 | USD | 2,368,953 | 05/04/21 | (21,126 | ) | ||||||||||||||
SGD | 940,000 | USD | 709,145 | 05/04/21 | (2,789 | ) | ||||||||||||||
USD | 4,814,006 | AUD | 6,310,000 | 05/04/21 | (46,976 | ) | ||||||||||||||
USD | 6,028,063 | CHF | 5,670,000 | 05/04/21 | (181,155 | ) | ||||||||||||||
USD | 6,211,820 | CHF | 5,670,000 | 06/02/21 | (2,106 | ) | ||||||||||||||
USD | 1,597,341 | DKK | 10,110,000 | 05/04/21 | (37,233 | ) | ||||||||||||||
USD | 21,253,565 | EUR | 18,100,000 | 05/04/21 | (508,809 | ) | ||||||||||||||
USD | 9,602,824 | GBP | 6,985,000 | 05/04/21 | (43,887 | ) | ||||||||||||||
USD | 2,257,633 | HKD | 17,550,000 | 05/04/21 | (1,738 | ) | ||||||||||||||
USD | 204,152 | ILS | 680,000 | 05/04/21 | (5,191 | ) | ||||||||||||||
USD | 17,104,750 | JPY | 1,877,000,000 | 05/06/21 | (70,447 | ) | ||||||||||||||
USD | 402,541 | NOK | 3,450,000 | 05/04/21 | (11,926 | ) | ||||||||||||||
USD | 182,017 | NZD | 260,000 | 05/04/21 | (4,035 | ) | ||||||||||||||
USD | 2,278,190 | SEK | 19,875,000 | 05/04/21 | (69,636 | ) | ||||||||||||||
USD | 698,232 | SGD | 940,000 | 05/04/21 | (8,124 | ) | ||||||||||||||
Brown Brothers Harriman & Co. | ZAR | 207,824 | USD | 14,550 | 05/03/21 | (226 | ) | |||||||||||||
JPMorgan Securities, Inc. | AUD | 2,390,000 | USD | 1,859,833 | 05/04/21 | (18,669 | ) | |||||||||||||
DKK | 2,840,000 | USD | 461,673 | 05/04/21 | (2,505 | ) | ||||||||||||||
EUR | 6,540,000 | USD | 7,902,841 | 05/04/21 | (39,531 | ) | ||||||||||||||
GBP | 3,065,000 | USD | 4,260,306 | 05/04/21 | (27,354 | ) | ||||||||||||||
HKD | 6,400,000 | USD | 824,568 | 05/04/21 | (637 | ) |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
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) | ILS | 280,000 | USD | 86,429 | 05/04/21 | $ | (229 | ) | ||||||||||||
NOK | 1,350,000 | USD | 163,022 | 05/04/21 | (839 | ) | ||||||||||||||
NZD | 90,000 | USD | 65,044 | 05/04/21 | (642 | ) | ||||||||||||||
SEK | 5,625,000 | USD | 670,458 | 05/04/21 | (5,979 | ) | ||||||||||||||
SGD | 420,000 | USD | 316,852 | 05/04/21 | (1,246 | ) | ||||||||||||||
USD | 1,823,371 | AUD | 2,390,000 | 05/04/21 | (17,793 | ) | ||||||||||||||
USD | 2,328,299 | CHF | 2,190,000 | 05/04/21 | (69,970 | ) | ||||||||||||||
USD | 2,399,274 | CHF | 2,190,000 | 06/02/21 | (813 | ) | ||||||||||||||
USD | 448,709 | DKK | 2,840,000 | 05/04/21 | (10,459 | ) | ||||||||||||||
USD | 7,679,465 | EUR | 6,540,000 | 05/04/21 | (183,846 | ) | ||||||||||||||
USD | 4,213,694 | GBP | 3,065,000 | 05/04/21 | (19,258 | ) | ||||||||||||||
USD | 823,297 | HKD | 6,400,000 | 05/04/21 | (634 | ) | ||||||||||||||
USD | 84,063 | ILS | 280,000 | 05/04/21 | (2,138 | ) | ||||||||||||||
USD | 5,413,011 | JPY | 594,000,000 | 05/06/21 | (22,294 | ) | ||||||||||||||
USD | 157,516 | NOK | 1,350,000 | 05/04/21 | (4,667 | ) | ||||||||||||||
USD | 63,006 | NZD | 90,000 | 05/04/21 | (1,397 | ) | ||||||||||||||
USD | 644,771 | SEK | 5,625,000 | 05/04/21 | (19,707 | ) | ||||||||||||||
USD | 311,976 | SGD | 420,000 | 05/04/21 | (3,630 | ) | ||||||||||||||
State Street Bank and Trust | JPY | 673,409 | USD | 6,185 | 05/06/21 | (22 | ) | |||||||||||||
TOTAL | $ | (1,705,914 | ) |
FUTURES CONTRACTS — At April 30, 2021, 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 | 51 | 06/18/21 | $ | 5,766,825 | $ | (191,274 | ) | |||||||||
S&P 500 E-Mini Index | 204 | 06/18/21 | 42,578,880 | 2,518,859 | ||||||||||||
TOTAL FUTURES CONTRACTS | $ | 2,327,585 |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – 32.6% | ||||||||||||||
Sovereign – 32.6% | ||||||||||||||
Agricultural Development Bank of China | ||||||||||||||
CNY | 40,750,000 | 3.750 | % | 01/25/29 | $ | 6,380,632 | ||||||||
Bonos de la Tesoreria de la Republica en pesos | ||||||||||||||
CLP | 766,847,380 | 1.500 | 03/01/26 | 1,150,560 | ||||||||||
58,988,260 | 2.000 | 03/01/35 | 90,041 | |||||||||||
Bonos de la Tesoreria de la Republica en Pesos | ||||||||||||||
2,330,000,000 | 4.700 | (a) | 09/01/30 | 3,519,002 | ||||||||||
210,000,000 | 5.000 | 03/01/35 | 318,513 | |||||||||||
Brazil Letras do Tesouro Nacional(b) | ||||||||||||||
BRL | 27,725,000 | 0.000 | 01/01/23 | 4,598,759 | ||||||||||
Brazil Notas do Tesouro Nacional | ||||||||||||||
5,067,987 | 6.000 | 05/15/35 | 1,137,233 | |||||||||||
39,846,000 | 10.000 | 01/01/23 | 7,729,958 | |||||||||||
7,414,000 | 10.000 | 01/01/25 | 1,454,237 | |||||||||||
18,150,000 | 10.000 | 01/01/29 | 3,540,132 | |||||||||||
China Development Bank | ||||||||||||||
CNY | 28,710,000 | 3.230 | 01/10/25 | 4,431,504 | ||||||||||
11,210,000 | 3.480 | 01/08/29 | 1,724,444 | |||||||||||
China Government Bond | ||||||||||||||
$ | 918,000 | 0.400 | 10/21/23 | 917,715 | ||||||||||
1,384,000 | 0.550 | 10/21/25 | 1,356,915 | |||||||||||
1,000,000 | 1.875 | 12/03/22 | 1,021,750 | |||||||||||
CNY | 23,960,000 | 1.990 | 04/09/25 | 3,564,883 | ||||||||||
2,900,000 | 2.360 | 07/02/23 | 444,401 | |||||||||||
$ | 787,000 | 3.250 | 10/19/23 | 841,254 | ||||||||||
CNY | 24,650,000 | 3.270 | 11/19/30 | 3,841,428 | ||||||||||
8,900,000 | 3.280 | 12/03/27 | 1,387,185 | |||||||||||
Czech Republic Government Bond | ||||||||||||||
CZK | 27,080,000 | 0.950 | 05/15/30 | 1,176,279 | ||||||||||
72,860,000 | 1.000 | 06/26/26 | 3,311,961 | |||||||||||
60,000,000 | 2.000 | 10/13/33 | 2,819,785 | |||||||||||
18,870,000 | 2.400 | 09/17/25 | 917,251 | |||||||||||
15,070,000 | 2.500 | 08/25/28 | 742,170 | |||||||||||
Dominican Republic | ||||||||||||||
$ | 2,721,000 | 4.500 | 01/30/30 | 2,820,997 | ||||||||||
2,848,000 | 5.300 | 01/21/41 | 2,893,034 | |||||||||||
Egypt Government International Bond | ||||||||||||||
1,226,000 | 7.500 | 02/16/61 | 1,132,517 | |||||||||||
Egypt Treasury Bills(b) | ||||||||||||||
EGP | 22,300,000 | 0.000 | 07/20/21 | 1,385,007 | ||||||||||
22,400,000 | 0.000 | 07/27/21 | 1,387,413 | |||||||||||
74,725,000 | 0.000 | 05/11/21 | 4,756,394 | |||||||||||
El Salvador Government International Bond | ||||||||||||||
$ | 1,156,000 | 5.875 | 01/30/25 | 1,190,319 | ||||||||||
Export-Import Bank of India | ||||||||||||||
791,000 | 2.250 | 01/13/31 | 722,737 | |||||||||||
580,000 | 3.250 | 01/15/30 | 577,390 | |||||||||||
Finance Department Government of Sharjah | ||||||||||||||
917,000 | 3.625 | 03/10/33 | 905,537 | |||||||||||
Ghana Government International Bond | ||||||||||||||
980,000 | 6.375 | 02/11/27 | 972,527 | |||||||||||
Hungary Government Bond | ||||||||||||||
HUF | 160,600,000 | 2.250 | 04/20/33 | 508,295 | ||||||||||
592,040,000 | 2.500 | 10/24/24 | 2,057,662 | |||||||||||
312,480,000 | 2.750 | 12/22/26 | 1,097,685 | |||||||||||
468,150,000 | 3.000 | 10/27/27 | 1,670,339 | |||||||||||
962,530,000 | 3.000 | 08/21/30 | 3,392,700 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Hungary Government Bond – (continued) | ||||||||||||||
$ | 256,000 | 5.375 | 02/21/23 | 279,168 | ||||||||||
42,000 | 5.750 | 11/22/23 | 47,481 | |||||||||||
Indonesia Treasury Bond | ||||||||||||||
IDR | 22,197,000,000 | 6.500 | 06/15/25 | 1,590,439 | ||||||||||
27,800,000,000 | 6.500 | 02/15/31 | 1,924,541 | |||||||||||
2,559,000,000 | 6.625 | 05/15/33 | 175,826 | |||||||||||
46,129,000,000 | 7.000 | 05/15/27 | 3,356,288 | |||||||||||
12,127,000,000 | 7.000 | 09/15/30 | 866,814 | |||||||||||
42,091,000,000 | 7.500 | 08/15/32 | 3,045,005 | |||||||||||
4,200,000,000 | 7.500 | 06/15/35 | 299,386 | |||||||||||
2,287,000,000 | 8.125 | 05/15/24 | 171,386 | |||||||||||
28,383,000,000 | 8.375 | 03/15/24 | 2,131,918 | |||||||||||
32,913,000,000 | 8.375 | 09/15/26 | 2,539,393 | |||||||||||
19,576,000,000 | 8.375 | 03/15/34 | 1,497,506 | |||||||||||
40,086,000,000 | 9.000 | 03/15/29 | 3,207,990 | |||||||||||
Jordan Government International Bond | ||||||||||||||
$ | 516,000 | 4.950 | 07/07/25 | 533,254 | ||||||||||
Kingdom of Bahrain | ||||||||||||||
372,000 | 4.250 | 01/25/28 | 372,000 | |||||||||||
2,988,000 | 5.450 | 09/16/32 | 2,958,120 | |||||||||||
836,000 | 6.250 | 01/25/51 | 782,705 | |||||||||||
Kingdom of Jordan | ||||||||||||||
314,000 | 7.375 | 10/10/47 | 329,366 | |||||||||||
Malaysia Government Bond | ||||||||||||||
MYR | 3,927,000 | 3.480 | 03/15/23 | 981,990 | ||||||||||
8,150,000 | 3.757 | 05/22/40 | 1,883,578 | |||||||||||
8,333,000 | 3.885 | 08/15/29 | 2,138,898 | |||||||||||
6,700,000 | 3.899 | 11/16/27 | 1,727,205 | |||||||||||
10,164,000 | 3.955 | 09/15/25 | 2,622,243 | |||||||||||
6,474,000 | 4.181 | 07/15/24 | 1,664,648 | |||||||||||
Malaysia Government Investment Issue | ||||||||||||||
5,469,000 | 3.465 | 10/15/30 | 1,356,664 | |||||||||||
Mexico Government International Bond(c) | ||||||||||||||
$ | 4,500,000 | 4.280 | 08/14/41 | 4,590,000 | ||||||||||
Morocco Government International Bond | ||||||||||||||
464,000 | 2.375 | 12/15/27 | 451,095 | |||||||||||
581,000 | 3.000 | 12/15/32 | 551,768 | |||||||||||
585,000 | 4.000 | 12/15/50 | 526,317 | |||||||||||
Oman Government International Bond | ||||||||||||||
995,000 | 6.250 | 01/25/31 | 1,068,381 | |||||||||||
2,161,000 | 6.750 | (a) | 10/28/27 | 2,422,346 | ||||||||||
500,000 | 6.750 | 10/28/27 | 560,469 | |||||||||||
Pakistan Government International Bond(a) | ||||||||||||||
645,000 | 6.000 | 04/08/26 | 662,738 | |||||||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||||||||
554,000 | 4.325 | 05/28/25 | 617,121 | |||||||||||
Poland Government Bond | ||||||||||||||
PLN | 11,403,000 | 2.500 | 07/25/26 | 3,248,330 | ||||||||||
Republic of Angola | ||||||||||||||
$ | 1,984,000 | 8.000 | 11/26/29 | 1,998,632 | ||||||||||
Republic of Argentina(c) | ||||||||||||||
6,989,381 | 1.000 | 07/09/29 | 2,635,433 | |||||||||||
Republic of Armenia International Bond | ||||||||||||||
431,000 | 3.600 | 02/02/31 | 394,446 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of Azerbaijan | ||||||||||||||
$ | 850,000 | 5.125 | % | 09/01/29 | $ | 942,384 | ||||||||
698,000 | 5.125 | 09/01/29 | 773,864 | |||||||||||
Republic of Belarus Ministry of Finance | ||||||||||||||
949,000 | 5.875 | 02/24/26 | 917,861 | |||||||||||
Republic of Brazil | ||||||||||||||
4,013,000 | 3.875 | 06/12/30 | 3,976,131 | |||||||||||
Republic of Chile(c) | ||||||||||||||
1,772,000 | 2.450 | 01/31/31 | 1,805,557 | |||||||||||
2,504,000 | 2.550 | 01/27/32 | 2,558,462 | |||||||||||
925,000 | 3.500 | 01/25/50 | 954,080 | |||||||||||
Republic of Colombia | ||||||||||||||
2,414,000 | 3.125 | (c) | 04/15/31 | 2,359,383 | ||||||||||
2,950,000 | 3.250 | (c) | 04/22/32 | 2,885,100 | ||||||||||
2,477,000 | 4.125 | (c) | 02/22/42 | 2,424,983 | ||||||||||
COP | 9,283,000,000 | 5.750 | 11/03/27 | 2,407,943 | ||||||||||
3,702,400,000 | 6.000 | 04/28/28 | 964,519 | |||||||||||
8,305,000,000 | 6.250 | 11/26/25 | 2,300,030 | |||||||||||
4,000,000,000 | 7.000 | 06/30/32 | 1,043,155 | |||||||||||
15,686,400,000 | 7.500 | 08/26/26 | 4,517,634 | |||||||||||
Republic of Costa Rica | ||||||||||||||
$ | 1,075,000 | 6.125 | 02/19/31 | 1,118,202 | ||||||||||
607,000 | 7.158 | 03/12/45 | 627,410 | |||||||||||
Republic of Ecuador | ||||||||||||||
1,227,506 | 0.000 | (b) | 07/31/30 | 672,060 | ||||||||||
42,937 | 0.500 | (d) | 07/31/30 | 35,960 | ||||||||||
2,378,078 | 0.500 | (d) | 07/31/35 | 1,616,796 | ||||||||||
352,706 | 0.500 | (d) | 07/31/40 | 208,537 | ||||||||||
Republic of Egypt | ||||||||||||||
EGP | 11,500,000 | 14.483 | 04/06/26 | 732,717 | ||||||||||
Republic of Egypt | ||||||||||||||
$ | 3,744,000 | 7.625 | 05/29/32 | 3,958,812 | ||||||||||
200,000 | 7.903 | 02/21/48 | 195,913 | |||||||||||
EGP | 38,642,000 | 14.060 | 01/12/26 | 2,379,997 | ||||||||||
Republic of El Salvador(c) | ||||||||||||||
$ | 537,000 | 9.500 | 07/15/52 | 606,642 | ||||||||||
Republic of Gabon | ||||||||||||||
400,000 | 6.375 | 12/12/24 | 421,325 | |||||||||||
200,000 | 6.375 | 12/12/24 | 210,663 | |||||||||||
Republic of Ghana | ||||||||||||||
200,000 | 7.750 | (a) | 04/07/29 | 204,500 | ||||||||||
1,044,000 | 7.875 | 02/11/35 | 1,022,989 | |||||||||||
797,000 | 8.625 | (a) | 04/07/34 | 820,661 | ||||||||||
Republic of Guatemala(c) | ||||||||||||||
1,242,000 | 4.900 | 06/01/30 | 1,382,346 | |||||||||||
200,000 | 5.375 | 04/24/32 | 229,475 | |||||||||||
Republic of Indonesia | ||||||||||||||
3,289,000 | 2.850 | 02/14/30 | 3,383,148 | |||||||||||
1,536,000 | 3.500 | 01/11/28 | 1,661,568 | |||||||||||
807,000 | 4.625 | 04/15/43 | 908,026 | |||||||||||
IDR | 1,600,000,000 | 7.500 | 05/15/38 | 113,368 | ||||||||||
Republic of Ivory Coast(c)(d) | ||||||||||||||
$ | 149,165 | 5.750 | 12/31/32 | 150,499 | ||||||||||
441,841 | 5.750 | 12/31/32 | 445,790 | |||||||||||
Republic of Kazakhstan | ||||||||||||||
1,200,000 | 4.875 | 10/14/44 | 1,464,600 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of Kenya | ||||||||||||||
1,083,000 | 7.000 | 05/22/27 | 1,177,627 | |||||||||||
453,000 | 8.000 | 05/22/32 | 495,554 | |||||||||||
Republic of Korea | ||||||||||||||
624,000 | 1.000 | 09/16/30 | 579,435 | |||||||||||
Republic of Lebanon | ||||||||||||||
3,820,000 | 6.100 | 10/04/22 | 475,829 | |||||||||||
325,000 | 6.600 | 11/27/26 | 41,803 | |||||||||||
Republic of Nigeria | ||||||||||||||
400,000 | 7.143 | 02/23/30 | 423,200 | |||||||||||
1,182,000 | 7.875 | 02/16/32 | 1,268,286 | |||||||||||
938,000 | 8.747 | 01/21/31 | 1,068,910 | |||||||||||
Republic of Pakistan(a) | ||||||||||||||
945,000 | 7.375 | 04/08/31 | 992,250 | |||||||||||
Republic of Panama(c) | ||||||||||||||
2,117,000 | 2.252 | 09/29/32 | 2,028,086 | |||||||||||
679,000 | 3.750 | 03/16/25 | 738,328 | |||||||||||
1,468,000 | 3.870 | 07/23/60 | 1,462,770 | |||||||||||
1,093,000 | 4.500 | 04/01/56 | 1,200,797 | |||||||||||
Republic of Paraguay(c) | ||||||||||||||
959,000 | 2.739 | 01/29/33 | 911,829 | |||||||||||
291,000 | 5.400 | 03/30/50 | 327,793 | |||||||||||
Republic of Peru | ||||||||||||||
916,000 | 2.783 | (c) | 01/23/31 | 916,744 | ||||||||||
PEN | 1,730,000 | 5.940 | 02/12/29 | 496,373 | ||||||||||
6,255,000 | 6.150 | 08/12/32 | 1,726,125 | |||||||||||
4,210,000 | 6.350 | 08/12/28 | 1,238,701 | |||||||||||
4,591,000 | 6.950 | 08/12/31 | 1,358,768 | |||||||||||
Republic of Philippines | ||||||||||||||
$ | 2,253,000 | 1.648 | 06/10/31 | 2,152,623 | ||||||||||
740,000 | 2.457 | 05/05/30 | 761,356 | |||||||||||
262,000 | 2.650 | 12/10/45 | 239,943 | |||||||||||
483,000 | 3.750 | 01/14/29 | 541,352 | |||||||||||
Republic of Poland | ||||||||||||||
PLN | 15,966,000 | 1.250 | 10/25/30 | 4,040,760 | ||||||||||
Republic of Poland | ||||||||||||||
14,368,000 | 2.500 | 04/25/24 | 4,030,140 | |||||||||||
814,000 | 2.500 | 07/25/27 | 231,913 | |||||||||||
5,551,000 | 3.250 | 07/25/25 | 1,617,961 | |||||||||||
$ | 2,343,000 | 5.000 | 03/23/22 | 2,438,558 | ||||||||||
Republic of Qatar | ||||||||||||||
697,000 | 3.400 | 04/16/25 | 758,989 | |||||||||||
3,971,000 | 3.750 | 04/16/30 | 4,438,337 | |||||||||||
284,000 | 4.000 | 03/14/29 | 322,340 | |||||||||||
Republic of Romania | ||||||||||||||
842,000 | 3.000 | 02/14/31 | 856,367 | |||||||||||
RON | 13,980,000 | 3.250 | 04/29/24 | 3,500,341 | ||||||||||
750,000 | 3.650 | 07/28/25 | 191,170 | |||||||||||
3,120,000 | 4.250 | 06/28/23 | 793,135 | |||||||||||
3,295,000 | 4.750 | 02/24/25 | 868,832 | |||||||||||
3,980,000 | 5.000 | 02/12/29 | 1,109,907 | |||||||||||
2,600,000 | 5.850 | 04/26/23 | 678,826 | |||||||||||
Republic of Senegal | ||||||||||||||
$ | 380,000 | 6.750 | 03/13/48 | 381,378 | ||||||||||
|
|
34 | 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 South Africa | ||||||||||||||
$ | 1,489,000 | 4.850 | % | 09/30/29 | $ | 1,538,602 | ||||||||
2,647,000 | 5.750 | 09/30/49 | 2,544,098 | |||||||||||
ZAR | 69,169,835 | 6.250 | 03/31/36 | 3,183,951 | ||||||||||
28,902,697 | 7.000 | 02/28/31 | 1,651,604 | |||||||||||
123,226,857 | 8.000 | 01/31/30 | 7,841,057 | |||||||||||
88,505,777 | 8.250 | 03/31/32 | 5,356,857 | |||||||||||
78,551,630 | 8.500 | 01/31/37 | 4,392,794 | |||||||||||
13,495,150 | 8.875 | 02/28/35 | 800,464 | |||||||||||
Republic of Sri Lanka | ||||||||||||||
$ | 733,000 | 5.750 | 04/18/23 | 529,730 | ||||||||||
1,908,000 | 6.750 | 04/18/28 | 1,238,769 | |||||||||||
Republic of Turkey | ||||||||||||||
4,059,000 | 5.950 | 01/15/31 | 3,824,339 | |||||||||||
Republic of Turkey | ||||||||||||||
TRY | 4,070,000 | 11.700 | 11/13/30 | 357,162 | ||||||||||
Republic of Uruguay(c) | ||||||||||||||
$ | 3,681,791 | 4.375 | 01/23/31 | 4,272,718 | ||||||||||
Republic of Uzbekistan(a) | ||||||||||||||
242,000 | 3.700 | 11/25/30 | 240,835 | |||||||||||
Republic of Venezuela(e) | ||||||||||||||
85,000 | 6.000 | 12/09/20 | 8,500 | |||||||||||
190,000 | 7.000 | 03/31/38 | 19,475 | |||||||||||
199,000 | 7.650 | 04/21/25 | 20,398 | |||||||||||
110,000 | 7.750 | 10/13/19 | 11,000 | |||||||||||
175,000 | 8.250 | 10/13/24 | 17,500 | |||||||||||
203,000 | 9.000 | 05/07/23 | 20,300 | |||||||||||
165,000 | 9.250 | 09/15/27 | 16,500 | |||||||||||
145,000 | 9.250 | 05/07/28 | 14,863 | |||||||||||
152,000 | 9.375 | 01/13/34 | 15,580 | |||||||||||
205,000 | 11.750 | 10/21/26 | 21,013 | |||||||||||
205,000 | 11.950 | 08/05/31 | 21,013 | |||||||||||
140,000 | 12.750 | 08/23/22 | 14,000 | |||||||||||
Republic of Zambia | ||||||||||||||
675,000 | 5.375 | 09/20/22 | 405,759 | |||||||||||
Romanian Government International Bond | ||||||||||||||
358,000 | 6.750 | 02/07/22 | 374,625 | |||||||||||
Russian Federation Bond | ||||||||||||||
RUB | 340,726,000 | 4.500 | 07/16/25 | 4,215,248 | ||||||||||
Russian Federation Bond | ||||||||||||||
$ | 3,000,000 | 4.375 | 03/21/29 | 3,357,000 | ||||||||||
2,000,000 | 5.100 | 03/28/35 | 2,351,625 | |||||||||||
RUB | 151,234,000 | 6.900 | 05/23/29 | 2,015,037 | ||||||||||
89,286,000 | 7.050 | 01/19/28 | 1,204,220 | |||||||||||
208,111,000 | 7.400 | 12/07/22 | 2,837,720 | |||||||||||
142,800,000 | 7.650 | 04/10/30 | 1,991,159 | |||||||||||
48,269,000 | 7.700 | 03/16/39 | 681,250 | |||||||||||
62,500,000 | 8.150 | 02/03/27 | 890,071 | |||||||||||
46,005,000 | 8.500 | 09/17/31 | 677,417 | |||||||||||
Saudi Government International Bond | ||||||||||||||
$ | 1,497,000 | 3.250 | 10/22/30 | 1,579,335 | ||||||||||
Sri Lanka Government International Bond | ||||||||||||||
565,000 | 6.350 | 06/28/24 | 391,898 | |||||||||||
State of Israel(f) | ||||||||||||||
3,855,000 | 4.500 | 04/03/20 | 4,703,100 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Thailand Government Bond | ||||||||||||||
THB | 10,600,000 | 0.750 | 06/17/24 | 339,355 | ||||||||||
36,964,000 | 1.585 | 12/17/35 | 1,100,315 | |||||||||||
59,886,000 | 1.600 | 12/17/29 | 1,904,315 | |||||||||||
22,200,000 | 2.125 | 12/17/26 | 748,152 | |||||||||||
26,564,000 | 2.875 | 12/17/28 | 932,438 | |||||||||||
69,362,000 | 3.300 | 06/17/38 | 2,488,791 | |||||||||||
Turkey Government Bond | ||||||||||||||
TRY | 5,300,000 | 10.500 | 08/11/27 | 465,741 | ||||||||||
Turkey Government Bond | ||||||||||||||
3,300,000 | 12.600 | 10/01/25 | 336,129 | |||||||||||
Turkey Government International Bond | ||||||||||||||
$ | 1,275,000 | 4.750 | 01/26/26 | 1,223,602 | ||||||||||
Ukraine Government Bond | ||||||||||||||
1,573,000 | 7.253 | 03/15/33 | 1,576,244 | |||||||||||
696,000 | 7.375 | 09/25/32 | 702,220 | |||||||||||
399,000 | 7.750 | 09/01/27 | 427,753 | |||||||||||
572,000 | 8.994 | 02/01/24 | 628,628 | |||||||||||
Ukraine Government International Bond(a) | ||||||||||||||
1,000,000 | 6.876 | 05/21/29 | 1,002,000 | |||||||||||
United Mexican States | ||||||||||||||
2,416,000 | 2.659 | (c) | 05/24/31 | 2,318,303 | ||||||||||
MXN | 72,212,700 | 5.750 | 03/05/26 | 3,528,605 | ||||||||||
40,033,600 | 6.500 | 06/09/22 | 2,014,111 | |||||||||||
77,584,700 | 7.500 | 06/03/27 | 4,057,578 | |||||||||||
66,841,500 | 7.750 | 05/29/31 | 3,492,554 | |||||||||||
8,410,300 | 8.500 | 05/31/29 | 461,656 | |||||||||||
51,800,000 | 8.500 | 11/18/38 | 2,755,809 | |||||||||||
82,978,200 | 10.000 | 12/05/24 | 4,669,104 | |||||||||||
|
| |||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $348,029,017) | $ | 351,207,948 | ||||||||||||
|
| |||||||||||||
Corporate Obligations – 36.8% | ||||||||||||||
Advertising(c) – 0.4% | ||||||||||||||
Summer BC Holdco B S.a.r.l. | ||||||||||||||
$ | 727,000 | 5.750 | % | 10/31/26 | $ | 906,899 | ||||||||
Terrier Media Buyer, Inc.(a) | ||||||||||||||
2,908,000 | 8.875 | 12/15/27 | 3,151,545 | |||||||||||
|
| |||||||||||||
4,058,444 | ||||||||||||||
|
| |||||||||||||
Aerospace & Defense – 0.5% | ||||||||||||||
Embraer Netherlands Finance B.V.(a) | ||||||||||||||
780,000 | 6.950 | 01/17/28 | 873,600 | |||||||||||
F-Brasile SpA/F-Brasile US LLC(a)(c) | ||||||||||||||
611,000 | 7.375 | 08/15/26 | 619,401 | |||||||||||
TransDigm, Inc.(c) | ||||||||||||||
640,000 | 5.500 | 11/15/27 | 665,600 | |||||||||||
600,000 | 6.250 | (a) | 03/15/26 | 635,250 | ||||||||||
Triumph Group, Inc.(c) | ||||||||||||||
673,479 | 6.250 | (a) | 09/15/24 | 680,214 | ||||||||||
915,000 | 7.750 | 08/15/25 | 905,850 | |||||||||||
780,000 | 8.875 | (a) | 06/01/24 | 865,800 | ||||||||||
|
| |||||||||||||
5,245,715 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Agriculture(a)(c) – 0.7% | ||||||||||||||
Amaggi Luxembourg International Sarl | ||||||||||||||
$ | 1,510,000 | 5.250 | % | 01/28/28 | $ | 1,571,721 | ||||||||
Turning Point Brands, Inc. | ||||||||||||||
985,000 | 5.625 | 02/15/26 | 1,017,013 | |||||||||||
Vector Group Ltd. | ||||||||||||||
1,150,000 | 10.500 | 11/01/26 | 1,216,125 | |||||||||||
Vector Group, Ltd. | ||||||||||||||
3,498,000 | 5.750 | 02/01/29 | 3,515,490 | |||||||||||
|
| |||||||||||||
7,320,349 | ||||||||||||||
|
| |||||||||||||
Airlines – 0.3% | ||||||||||||||
Air Canada(a) | ||||||||||||||
140,000 | 4.000 | 07/01/25 | 214,760 | |||||||||||
Delta Air Lines, Inc. | ||||||||||||||
1,425,000 | 7.000 | (a) | 05/01/25 | 1,656,562 | ||||||||||
560,000 | 7.375 | (c) | 01/15/26 | 655,900 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.(a)(c) | ||||||||||||||
790,000 | 8.000 | 09/20/25 | 896,650 | |||||||||||
|
| |||||||||||||
3,423,872 | ||||||||||||||
|
| |||||||||||||
Automotive – 0.6% | ||||||||||||||
Dealer Tire LLC/DT Issuer LLC(a)(c) | ||||||||||||||
1,248,000 | 8.000 | 02/01/28 | 1,319,760 | |||||||||||
Ford Motor Co. | ||||||||||||||
650,000 | 8.500 | 04/21/23 | 727,998 | |||||||||||
1,010,000 | 9.000 | (c) | 04/22/25 | 1,232,141 | ||||||||||
225,000 | 9.625 | (c) | 04/22/30 | 316,225 | ||||||||||
Ford Motor Credit Co. LLC(c) | ||||||||||||||
50,000 | 3.810 | 01/09/24 | 51,878 | |||||||||||
100,000 | 4.063 | 11/01/24 | 105,269 | |||||||||||
824,000 | 4.125 | 08/17/27 | 861,559 | |||||||||||
435,000 | 5.584 | 03/18/24 | 474,110 | |||||||||||
IHO Verwaltungs GmbH(a)(c)(g) | ||||||||||||||
(PIK 6.750%, Cash 6.000%) | ||||||||||||||
685,000 | 6.000 | 05/15/27 | 714,969 | |||||||||||
(PIK 7.125%, Cash 6.375%) | ||||||||||||||
535,000 | 6.375 | 05/15/29 | 586,494 | |||||||||||
|
| |||||||||||||
6,390,403 | ||||||||||||||
|
| |||||||||||||
Banks – 2.8% | ||||||||||||||
| Banca Monte dei Paschi di Siena SpA(c)(h) (5 Year EUR Swap + | | ||||||||||||
EUR | 1,569,000 | 5.375 | 01/18/28 | 1,690,623 | ||||||||||
Banco Davivienda SA(a)(c)(h) (10 year CMT + 5.097%) | ||||||||||||||
$ | 640,000 | 6.650 | 12/31/99 | 650,592 | ||||||||||
Banco Santander SA(c)(h) (-1x 5 Year EUR Swap + 4.534%) | ||||||||||||||
EUR | 800,000 | 4.375 | 12/31/99 | 996,665 | ||||||||||
Barclays PLC(c)(h) | ||||||||||||||
(5 year CMT + 5.867%) | ||||||||||||||
$ | 2,400,000 | 6.125 | 12/31/99 | 2,655,000 | ||||||||||
(5 year UK Government Bond + 6.016%) | ||||||||||||||
GBP | 460,000 | 6.375 | 12/31/99 | 707,273 | ||||||||||
(5 Year USD Swap + 4.842%) | ||||||||||||||
$ | 2,255,000 | 7.750 | 12/31/99 | 2,477,681 | ||||||||||
Commerzbank AG(c)(h) | ||||||||||||||
(-1x 5 Year EUR Swap + 6.363%) | ||||||||||||||
EUR | 400,000 | 6.125 | 03/31/99 | 518,170 | ||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Banks – (continued) | ||||||||||||||
(5 year USD Swap + 5.228%) | ||||||||||||||
$ | 1,000,000 | 7.000 | 12/31/99 | 1,077,500 | ||||||||||
Deutsche Bank AG(c)(h) (5 Year CMT + 4.524%) | ||||||||||||||
1,200,000 | 6.000 | 12/31/99 | 1,252,500 | |||||||||||
Development Bank Of Kaza(a) | ||||||||||||||
450,000 | 2.950 | 05/06/31 | 447,159 | |||||||||||
Freedom Mortgage Corp.(a)(c) | ||||||||||||||
480,000 | 7.625 | 05/01/26 | 500,400 | |||||||||||
1,855,000 | 8.125 | 11/15/24 | 1,919,925 | |||||||||||
1,565,000 | 8.250 | 04/15/25 | 1,623,688 | |||||||||||
Ibercaja Banco SA(c)(h) (-1X 5 year EUR Swap + 2.882%) | ||||||||||||||
EUR | 600,000 | 2.750 | 07/23/30 | 718,580 | ||||||||||
Intesa Sanpaolo SpA | ||||||||||||||
$ | 1,300,000 | 5.710 | (a) | 01/15/26 | 1,457,096 | |||||||||
(5 Year EUR Swap + 7.192%) | ||||||||||||||
EUR | 582,000 | 7.750 | (c)(h) | 12/29/49 | 848,398 | |||||||||
(5 Year USD Swap + 5.462%) | ||||||||||||||
$ | 500,000 | 7.700 | (a)(c)(h) | 12/29/49 | 570,000 | |||||||||
Lloyds Banking Group PLC(c)(h) (5 Year USD Swap + 4.496%) | ||||||||||||||
1,790,000 | 7.500 | 12/31/99 | 2,074,162 | |||||||||||
Novo Banco SA/Luxembourg | ||||||||||||||
EUR | 95,000 | 3.500 | 01/02/43 | 101,166 | ||||||||||
1,015,000 | 3.500 | 01/23/43 | 1,085,088 | |||||||||||
UniCredit SpA | ||||||||||||||
$ | 1,000,000 | 6.572 | (a) | 01/14/22 | 1,038,520 | |||||||||
(5 Year USD ICE Swap + 3.703%) | ||||||||||||||
3,700,000 | 5.861 | (a)(c)(h) | 06/19/32 | 4,092,015 | ||||||||||
(5 Year USD Swap + 5.180%) | ||||||||||||||
1,270,000 | 8.000 | (c)(h) | 04/03/49 | 1,422,400 | ||||||||||
|
| |||||||||||||
29,924,601 | ||||||||||||||
|
| |||||||||||||
Building Materials – 0.6% | ||||||||||||||
CEMEX Materials LLC(a) | ||||||||||||||
1,098,000 | 7.700 | 07/21/25 | 1,258,582 | |||||||||||
Cemex SAB de CV(a)(c) | ||||||||||||||
3,075,000 | 5.200 | 09/17/30 | 3,346,215 | |||||||||||
Griffon Corp.(c) | ||||||||||||||
594,000 | 5.750 | 03/01/28 | 632,610 | |||||||||||
SRM Escrow Issuer LLC(a)(c) | ||||||||||||||
1,650,000 | 6.000 | 11/01/28 | 1,744,875 | |||||||||||
|
| |||||||||||||
6,982,282 | ||||||||||||||
|
| |||||||||||||
Chemicals(a)(c) – 1.1% | ||||||||||||||
Cornerstone Chemical Co. | ||||||||||||||
3,645,000 | 6.750 | 08/15/24 | 3,499,200 | |||||||||||
GPD Cos., Inc | ||||||||||||||
850,000 | 10.125 | 04/01/26 | 924,375 | |||||||||||
Innophos Holdings, Inc. | ||||||||||||||
965,000 | 9.375 | 02/15/28 | 1,049,437 | |||||||||||
Iris Holdings, Inc.(g) | ||||||||||||||
615,000 | 8.750 | 02/15/26 | 633,450 | |||||||||||
Nouryon Holding B.V. | ||||||||||||||
925,000 | 8.000 | 10/01/26 | 982,813 | |||||||||||
NOVA Chemicals Corp. | ||||||||||||||
1,108,000 | 4.250 | 05/15/29 | 1,102,460 | |||||||||||
Rain CII Carbon LLC/CII Carbon Corp. | ||||||||||||||
2,760,000 | 7.250 | 04/01/25 | 2,856,600 | |||||||||||
|
|
36 | 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) | ||||||||||||||
Chemicals(a)(c) – (continued) | ||||||||||||||
Rayonier AM Products, Inc. | ||||||||||||||
$ | 1,010,000 | 7.625 | % | 01/15/26 | $ | 1,071,862 | ||||||||
|
| |||||||||||||
12,120,197 | ||||||||||||||
|
| |||||||||||||
Commercial Services(c) – 0.8% | ||||||||||||||
Adtalem Global Education, Inc.(a) | ||||||||||||||
1,120,000 | 5.500 | 03/01/28 | 1,120,000 | |||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.(a) | ||||||||||||||
275,000 | 5.250 | 03/15/25 | 279,812 | |||||||||||
Avis Budget Finance Plc | ||||||||||||||
EUR | 747,000 | 4.750 | 01/30/26 | 910,654 | ||||||||||
CPI CG, Inc.(a) | ||||||||||||||
$ | 575,000 | 8.625 | 03/15/26 | 600,875 | ||||||||||
| GEMS MENASA Cayman Ltd./GEMS Education Delaware | | ||||||||||||
1,460,000 | 7.125 | 07/31/26 | 1,529,350 | |||||||||||
Metis Merger Sub LLC(a) | ||||||||||||||
955,000 | 6.500 | 05/15/29 | 955,000 | |||||||||||
Movida Europe SA(a) | ||||||||||||||
1,350,000 | 5.250 | 02/08/31 | 1,321,987 | |||||||||||
NESCO Holdings II, Inc.(a) | ||||||||||||||
705,000 | 5.500 | 04/15/29 | 725,269 | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(a) | ||||||||||||||
865,000 | 6.250 | 01/15/28 | 907,169 | |||||||||||
Team Health Holdings, Inc.(a) | ||||||||||||||
650,000 | 6.375 | 02/01/25 | 573,625 | |||||||||||
|
| |||||||||||||
8,923,741 | ||||||||||||||
|
| |||||||||||||
Computers(c) – 0.4% | ||||||||||||||
Banff Merger Sub, Inc. | ||||||||||||||
EUR | 1,150,000 | 8.375 | 09/01/26 | 1,456,210 | ||||||||||
$ | 375,000 | 9.750 | (a) | 09/01/26 | 398,906 | |||||||||
Flexential Intermediate Corp.(a) | ||||||||||||||
1,910,000 | 11.250 | 08/01/24 | 2,081,900 | |||||||||||
Unisys Corp.(a) | ||||||||||||||
550,000 | 6.875 | 11/01/27 | 605,000 | |||||||||||
|
| |||||||||||||
4,542,016 | ||||||||||||||
|
| |||||||||||||
Cosmetics/Personal Care(a)(c) – 0.1% | ||||||||||||||
Coty, Inc. | ||||||||||||||
800,000 | 5.000 | 04/15/26 | 809,000 | |||||||||||
|
| |||||||||||||
Distribution & Wholesale(c) – 0.2% | ||||||||||||||
Avient Corp.(a) | ||||||||||||||
705,000 | 5.750 | 05/15/25 | 745,537 | |||||||||||
G-III Apparel Group Ltd.(a) | ||||||||||||||
1,166,000 | 7.875 | 08/15/25 | 1,262,195 | |||||||||||
Parts Europe SA | ||||||||||||||
EUR | 520,000 | 6.500 | 07/16/25 | 660,286 | ||||||||||
|
| |||||||||||||
2,668,018 | ||||||||||||||
|
| |||||||||||||
Diversified Financial Services – 1.1% | ||||||||||||||
AG Issuer LLC(a)(c) | ||||||||||||||
$ | 1,000,000 | 6.250 | 03/01/28 | 1,035,000 | ||||||||||
Avation Capital SA(a)(c)(g) | ||||||||||||||
1,172,000 | 8.250 | 10/31/26 | 949,320 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Diversified Financial Services – (continued) | ||||||||||||||
| Global Aircraft Leasing Co. Ltd.(a)(c)(g) (PIK 7.250%, Cash | | ||||||||||||
2,257,490 | 6.500 | 09/15/24 | 2,251,846 | |||||||||||
LD Holdings Group LLC(a)(c) | ||||||||||||||
1,510,000 | 6.125 | 04/01/28 | 1,515,662 | |||||||||||
Midcap Financial Issuer Trust(a)(c) | ||||||||||||||
666,000 | 6.500 | 05/01/28 | 688,478 | |||||||||||
Nationstar Mortgage Holdings, Inc.(a)(c) | ||||||||||||||
1,113,000 | 6.000 | 01/15/27 | 1,163,085 | |||||||||||
OneMain Finance Corp. | ||||||||||||||
1,790,000 | 7.125 | 03/15/26 | 2,085,350 | |||||||||||
OneMain Finance Corp.(c) | ||||||||||||||
400,000 | 5.375 | 11/15/29 | 431,000 | |||||||||||
PRA Group, Inc.(a)(c) | ||||||||||||||
540,000 | 7.375 | 09/01/25 | 576,450 | |||||||||||
Voyager Aviation Holdings LLC/Voyager Finance Co.(a)(c) | ||||||||||||||
1,441,000 | 9.000 | 08/15/21 | 648,450 | |||||||||||
|
| |||||||||||||
11,344,641 | ||||||||||||||
|
| |||||||||||||
Electrical – 0.7% | ||||||||||||||
Aes Andres BV(a)(c) | ||||||||||||||
430,000 | 5.700 | 05/04/28 | 435,384 | |||||||||||
Comision Federal de Electricidad(c) | ||||||||||||||
401,000 | 3.348 | 02/09/31 | 384,835 | |||||||||||
Edison International(c)(h) (5 Year CMT + 4.698%) | ||||||||||||||
257,000 | 5.375 | 12/31/99 | 269,850 | |||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||||
742,000 | 6.750 | 08/06/23 | 775,065 | |||||||||||
NRG Energy, Inc.(c) | ||||||||||||||
585,000 | 7.250 | 05/15/26 | 606,206 | |||||||||||
Pacific Gas & Electric Co.(c) | ||||||||||||||
229,266 | 4.500 | 07/01/40 | 230,802 | |||||||||||
PG&E Corp.(c) | ||||||||||||||
824,000 | 5.000 | 07/01/28 | 866,230 | |||||||||||
Pike Corp.(a)(c) | ||||||||||||||
635,000 | 5.500 | 09/01/28 | 655,637 | |||||||||||
Talen Energy Supply LLC(a)(c) | ||||||||||||||
1,430,000 | 6.625 | 01/15/28 | 1,444,300 | |||||||||||
1,321,000 | 7.250 | 05/15/27 | 1,354,025 | |||||||||||
578,000 | 10.500 | 01/15/26 | 528,870 | |||||||||||
Vistra Operations Co. LLC(a)(c) | ||||||||||||||
480,000 | 5.500 | 09/01/26 | 495,000 | |||||||||||
|
| |||||||||||||
8,046,204 | ||||||||||||||
|
| |||||||||||||
Engineering & Construction – 0.5% | ||||||||||||||
| Abertis Infraestructuras Finance BV(c)(h) (-1X 5 year EUR Swap + | | ||||||||||||
EUR | 700,000 | 3.248 | 12/31/99 | 862,833 | ||||||||||
| ATP Tower Holdings LLC/Andean Tower Partners Colombia | | ||||||||||||
$ | 645,000 | 4.050 | 04/27/26 | 633,713 | ||||||||||
Bioceanico Sovereign Certificate Ltd.(b) | ||||||||||||||
1,294,060 | 0.000 | 06/05/34 | 943,046 | |||||||||||
New Enterprise Stone & Lime Co., Inc.(a)(c) | ||||||||||||||
1,245,000 | 6.250 | 03/15/26 | 1,285,462 | |||||||||||
PowerTeam Services LLC(a)(c) | ||||||||||||||
548,000 | 9.033 | 12/04/25 | 606,910 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Engineering & Construction – (continued) | ||||||||||||||
Tutor Perini Corp.(a)(c) | ||||||||||||||
$ | 1,565,000 | 6.875 | % | 05/01/25 | $ | 1,615,862 | ||||||||
|
| |||||||||||||
5,947,826 | ||||||||||||||
|
| |||||||||||||
Entertainment(c) – 1.1% | ||||||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||||||
130,000 | 5.750 | 06/15/25 | 93,600 | |||||||||||
235,000 | 6.125 | 05/15/27 | 168,025 | |||||||||||
Bally’s Corp.(a) | ||||||||||||||
765,000 | 6.750 | 06/01/27 | 814,725 | |||||||||||
Banijay Entertainment SASU(a) | ||||||||||||||
537,000 | 5.375 | 03/01/25 | 553,110 | |||||||||||
Banijay Group SAS | ||||||||||||||
1,204,000 | 6.500 | 03/01/26 | 1,484,116 | |||||||||||
Caesars Entertainment, Inc.(a) | ||||||||||||||
700,000 | 6.250 | 07/01/25 | 743,750 | |||||||||||
500,000 | 8.125 | 07/01/27 | 555,625 | |||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||||||||||||
1,342,000 | 5.250 | 10/15/25 | 1,348,710 | |||||||||||
Cinemark USA, Inc.(a) | ||||||||||||||
312,000 | 5.875 | 03/15/26 | 323,310 | |||||||||||
Cirsa Finance International S.a.r.l. | ||||||||||||||
EUR | 860,000 | 4.750 | 05/22/25 | 1,005,315 | ||||||||||
$ | 1,159,000 | 7.875 | (a) | 12/20/23 | 1,180,731 | |||||||||
International Game Technology PLC(a) | ||||||||||||||
765,000 | 6.250 | 01/15/27 | 855,844 | |||||||||||
Scientific Games International, Inc.(a) | ||||||||||||||
639,000 | 7.000 | 05/15/28 | 686,925 | |||||||||||
784,000 | 8.250 | 03/15/26 | 842,800 | |||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(a) | ||||||||||||||
1,255,000 | 7.750 | 04/15/25 | 1,352,263 | |||||||||||
|
| |||||||||||||
12,008,849 | ||||||||||||||
|
| |||||||||||||
Environmental(a)(c) – 0.2% | ||||||||||||||
GFL Environmental, Inc. | ||||||||||||||
300,000 | 8.500 | 05/01/27 | 328,875 | |||||||||||
Tervita Corp. | ||||||||||||||
1,700,000 | 11.000 | 12/01/25 | 1,925,250 | |||||||||||
|
| |||||||||||||
2,254,125 | ||||||||||||||
|
| |||||||||||||
Food & Drug Retailing – 0.3% | ||||||||||||||
Bellis Acquisition Co. PLC(a)(c) | ||||||||||||||
GBP | 750,000 | 3.250 | 02/16/26 | 1,038,221 | ||||||||||
New Albertsons LP | ||||||||||||||
$ | 1,015,000 | 8.700 | 05/01/30 | 1,273,825 | ||||||||||
Ulker Biskuvi Sanayi AS(a) | ||||||||||||||
1,272,000 | 6.950 | 10/30/25 | 1,375,191 | |||||||||||
|
| |||||||||||||
3,687,237 | ||||||||||||||
|
| |||||||||||||
Forest Products&Paper(a)(c) – 0.2% | ||||||||||||||
Resolute Forest Products, Inc. | ||||||||||||||
1,350,000 | 4.875 | 03/01/26 | 1,371,938 | |||||||||||
Schweitzer-Mauduit International, Inc. | ||||||||||||||
752,000 | 6.875 | 10/01/26 | 796,180 | |||||||||||
|
| |||||||||||||
2,168,118 | ||||||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Gaming(c) – 0.3% | ||||||||||||||
Inn of the Mountain Gods Resort & Casino(g) | ||||||||||||||
978,035 | 9.250 | 11/30/23 | 963,364 | |||||||||||
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP | | ||||||||||||
2,054,000 | 5.875 | 05/15/25 | 2,007,785 | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(a) | ||||||||||||||
60,000 | 4.250 | 05/30/23 | 61,500 | |||||||||||
325,000 | 5.250 | 05/15/27 | 343,688 | |||||||||||
140,000 | 5.500 | 03/01/25 | 149,100 | |||||||||||
|
| |||||||||||||
3,525,437 | ||||||||||||||
|
| |||||||||||||
Healthcare Providers & Services(c) – 0.4% | ||||||||||||||
Akumin, Inc.(a) | ||||||||||||||
1,952,000 | 7.000 | 11/01/25 | 2,034,960 | |||||||||||
Centene Corp. | ||||||||||||||
545,000 | 4.625 | 12/15/29 | 591,467 | |||||||||||
Lifepoint Health, Inc.(a) | ||||||||||||||
862,000 | 5.375 | 01/15/29 | 860,922 | |||||||||||
Tenet Healthcare Corp.(a) | ||||||||||||||
1,100,000 | 6.125 | 10/01/28 | 1,156,375 | |||||||||||
|
| |||||||||||||
4,643,724 | ||||||||||||||
|
| |||||||||||||
Home Builders(a)(c) – 0.2% | ||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. | ||||||||||||||
950,000 | 6.625 | 01/15/28 | 1,021,250 | |||||||||||
Empire Communities Corp. | ||||||||||||||
430,000 | 7.000 | 12/15/25 | 459,563 | |||||||||||
Mattamy Group Corp. | ||||||||||||||
605,000 | 4.625 | 03/01/30 | 612,562 | |||||||||||
|
| |||||||||||||
2,093,375 | ||||||||||||||
|
| |||||||||||||
Household Products(a)(c) – 0.1% | ||||||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. | ||||||||||||||
560,000 | 7.000 | 12/31/27 | 541,800 | |||||||||||
|
| |||||||||||||
Housewares(a)(c) – 0.1% | ||||||||||||||
American Greetings Corp. | ||||||||||||||
1,410,000 | 8.750 | 04/15/25 | 1,454,063 | |||||||||||
|
| |||||||||||||
Insurance – 0.4% | ||||||||||||||
| Highlands Holdings Bond Issuer, Ltd./Highlands Holdings Bond | | ||||||||||||
1,000,000 | 7.625 | 10/15/25 | 1,067,500 | |||||||||||
MGIC Investment Corp. | ||||||||||||||
740,000 | 5.250 | (c) | 08/15/28 | 780,700 | ||||||||||
1,500,000 | 9.000 | (a) | 04/01/63 | 2,010,000 | ||||||||||
|
| |||||||||||||
3,858,200 | ||||||||||||||
|
| |||||||||||||
Internet – 0.5% | ||||||||||||||
Arches Buyer, Inc.(a)(c) | ||||||||||||||
1,078,000 | 6.125 | 12/01/28 | 1,106,298 | |||||||||||
Cablevision Lightpath LLC(a)(c) | ||||||||||||||
795,000 | 5.625 | 09/15/28 | 813,881 | |||||||||||
Getty Images, Inc.(a)(c) | ||||||||||||||
845,000 | 9.750 | 03/01/27 | 899,925 | |||||||||||
MercadoLibre, Inc.(c) | ||||||||||||||
564,000 | 3.125 | 01/14/31 | 537,351 | |||||||||||
Netflix, Inc. | ||||||||||||||
EUR | 1,224,000 | 3.875 | 11/15/29 | 1,780,889 | ||||||||||
|
| |||||||||||||
5,138,344 | ||||||||||||||
|
|
38 | 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) | ||||||||||||||
Investment Companies(c) – 0.1% | ||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||||||
$ | 385,000 | 4.750 | % | 09/15/24 | $ | 401,844 | ||||||||
815,000 | 5.250 | 05/15/27 | 834,356 | |||||||||||
|
| |||||||||||||
1,236,200 | ||||||||||||||
|
| |||||||||||||
Iron/Steel(c) – 0.9% | ||||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP(a) | ||||||||||||||
4,890,000 | 8.750 | 07/15/26 | 5,189,512 | |||||||||||
Mineral Resources Ltd.(a) | ||||||||||||||
3,770,000 | 8.125 | 05/01/27 | 4,170,563 | |||||||||||
United States Steel Corp. | ||||||||||||||
94,000 | 6.250 | 03/15/26 | 95,880 | |||||||||||
|
| |||||||||||||
9,455,955 | ||||||||||||||
|
| |||||||||||||
Leisure Time(c) – 0.6% | ||||||||||||||
Carnival Corp.(a) | ||||||||||||||
1,000,000 | 9.875 | 08/01/27 | 1,175,000 | |||||||||||
550,000 | 10.500 | 02/01/26 | 646,938 | |||||||||||
175,000 | 11.500 | 04/01/23 | 200,156 | |||||||||||
Life Time, Inc.(a) | ||||||||||||||
610,000 | 5.750 | 01/15/26 | 629,825 | |||||||||||
796,000 | 8.000 | 04/15/26 | 835,800 | |||||||||||
NCL Corp., Ltd. Class C(a) | ||||||||||||||
760,000 | 12.250 | 05/15/24 | 921,500 | |||||||||||
Pinnacle Bidco PLC | ||||||||||||||
EUR | 730,000 | 5.500 | 02/15/25 | 891,096 | ||||||||||
Royal Caribbean Cruises Ltd.(a) | ||||||||||||||
$ | 775,000 | 9.125 | 06/15/23 | 854,438 | ||||||||||
|
| |||||||||||||
6,154,753 | ||||||||||||||
|
| |||||||||||||
Machinery-Diversified(a)(c) – 0.2% | ||||||||||||||
GrafTech Finance, Inc. | ||||||||||||||
1,691,000 | 4.625 | 12/15/28 | 1,729,048 | |||||||||||
|
| |||||||||||||
Media – 3.6% | ||||||||||||||
Altice Financing SA(a)(c) | ||||||||||||||
2,805,000 | 7.500 | 05/15/26 | 2,903,175 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(a)(c) | ||||||||||||||
150,000 | 5.375 | 06/01/29 | 162,375 | |||||||||||
Cengage Learning, Inc.(a)(c) | ||||||||||||||
1,250,000 | 9.500 | 06/15/24 | 1,275,000 | |||||||||||
CSC Holdings LLC(a)(c) | ||||||||||||||
150,000 | 6.500 | 02/01/29 | 165,000 | |||||||||||
1,695,000 | 7.500 | 04/01/28 | 1,866,619 | |||||||||||
Cumulus Media New Holdings, Inc.(a)(c) | ||||||||||||||
664,000 | 6.750 | 07/01/26 | 683,090 | |||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.(a)(c) | ||||||||||||||
2,225,000 | 5.375 | 08/15/26 | 1,618,687 | |||||||||||
1,769,000 | 6.625 | 08/15/27 | 955,260 | |||||||||||
DISH DBS Corp. | ||||||||||||||
615,000 | 5.000 | 03/15/23 | 641,138 | |||||||||||
180,000 | 5.875 | 11/15/24 | 194,625 | |||||||||||
555,000 | 7.375 | (c) | 07/01/28 | 597,319 | ||||||||||
275,000 | 7.750 | 07/01/26 | 316,938 | |||||||||||
Gray Television, Inc.(a)(c) | ||||||||||||||
1,186,000 | 7.000 | 05/15/27 | 1,291,257 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Media – (continued) | ||||||||||||||
Houghton Mifflin Harcourt Publishers, Inc.(a)(c) | ||||||||||||||
1,810,000 | 9.000 | 02/15/25 | 1,932,175 | |||||||||||
iHeartCommunications, Inc.(c) | ||||||||||||||
137,309 | 8.375 | 05/01/27 | 146,749 | |||||||||||
LCPR Senior Secured Financing DAC(a)(c) | ||||||||||||||
1,809,000 | 6.750 | 10/15/27 | 1,945,898 | |||||||||||
Liberty Interactive LLC | ||||||||||||||
342,787 | 3.750 | (c) | 02/15/30 | 262,232 | ||||||||||
3,975,219 | 4.000 | (c) | 11/15/29 | 3,021,167 | ||||||||||
45,000 | 8.250 | 02/01/30 | 51,581 | |||||||||||
| McGraw Hill LLC / McGraw-Hill Global Education Finance, | | ||||||||||||
1,215,000 | 8.000 | 11/30/24 | 1,237,781 | |||||||||||
Nexstar Broadcasting, Inc.(a)(c) | ||||||||||||||
880,000 | 5.625 | 07/15/27 | 929,500 | |||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(a)(c) | ||||||||||||||
1,208,000 | 6.500 | 09/15/28 | 1,259,340 | |||||||||||
Salem Media Group, Inc.(a)(c) | ||||||||||||||
1,810,000 | 6.750 | 06/01/24 | 1,791,900 | |||||||||||
Sinclair Television Group, Inc.(a)(c) | ||||||||||||||
1,000,000 | 5.500 | 03/01/30 | 995,000 | |||||||||||
986,000 | 5.875 | 03/15/26 | 1,014,347 | |||||||||||
Sirius XM Radio, Inc.(a)(c) | ||||||||||||||
475,000 | 5.500 | 07/01/29 | 512,406 | |||||||||||
Spanish Broadcasting System, Inc.(a)(c) | ||||||||||||||
1,045,000 | 9.750 | 03/01/26 | 1,005,813 | |||||||||||
TEGNA, Inc.(c) | ||||||||||||||
1,549,000 | 4.625 | 03/15/28 | 1,579,980 | |||||||||||
Telenet Finance Luxembourg Notes S.a.r.l.(a)(c) | ||||||||||||||
1,400,000 | 5.500 | 03/01/28 | 1,478,750 | |||||||||||
Univision Communications, Inc.(a)(c) | ||||||||||||||
1,613,000 | 6.625 | 06/01/27 | 1,742,040 | |||||||||||
UPC Holding B.V.(c) | ||||||||||||||
EUR | 770,000 | 3.875 | 06/15/29 | 938,424 | ||||||||||
Urban One, Inc.(a)(c) | ||||||||||||||
$ | 1,835,000 | 7.375 | 02/01/28 | 1,899,225 | ||||||||||
VTR Finance NV(a)(c) | ||||||||||||||
1,000,000 | 6.375 | 07/15/28 | 1,080,000 | |||||||||||
Ziggo B.V.(a)(c) | ||||||||||||||
1,725,000 | 5.500 | 01/15/27 | 1,791,844 | |||||||||||
|
| |||||||||||||
39,286,635 | ||||||||||||||
|
| |||||||||||||
Metal Fabricate/Hardware(a)(c) – 0.1% | ||||||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd. | ||||||||||||||
725,000 | 7.375 | 12/15/23 | 737,688 | |||||||||||
|
| |||||||||||||
Mining(c) – 1.6% | ||||||||||||||
Eldorado Gold Corp.(a) | ||||||||||||||
2,669,000 | 9.500 | 06/01/24 | 2,905,874 | |||||||||||
First Quantum Minerals Ltd.(a) | ||||||||||||||
1,560,000 | 6.500 | 03/01/24 | 1,600,950 | |||||||||||
735,000 | 7.250 | 04/01/23 | 746,944 | |||||||||||
2,915,000 | 7.500 | 04/01/25 | 3,026,134 | |||||||||||
Freeport-McMoRan, Inc. | ||||||||||||||
2,100,000 | 5.450 | 03/15/43 | 2,554,125 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Mining(c) – (continued) | ||||||||||||||
Hecla Mining Co. | ||||||||||||||
$ | 1,476,000 | 7.250 | % | 02/15/28 | $ | 1,614,375 | ||||||||
Hudbay Minerals, Inc.(a) | ||||||||||||||
525,000 | 6.125 | 04/01/29 | 555,844 | |||||||||||
Mountain Province Diamonds, Inc.(a) | ||||||||||||||
3,440,000 | 8.000 | 12/15/22 | 3,139,000 | |||||||||||
New Gold, Inc.(a) | ||||||||||||||
590,000 | 6.375 | 05/15/25 | 607,700 | |||||||||||
Northwest Acquisitions ULC/Dominion Finco, Inc.(a) | ||||||||||||||
1,260,000 | 7.125 | 11/01/22 | 3,150 | |||||||||||
|
| |||||||||||||
16,754,096 | ||||||||||||||
|
| |||||||||||||
Miscellaneous Manufacturing(a)(c) – 0.5% | ||||||||||||||
Bombardier, Inc. | ||||||||||||||
295,000 | 6.000 | 10/15/22 | 294,631 | |||||||||||
410,000 | 7.500 | 12/01/24 | 415,125 | |||||||||||
340,000 | 7.500 | 03/15/25 | 339,150 | |||||||||||
1,366,000 | 7.875 | 04/15/27 | 1,362,585 | |||||||||||
LSB Industries, Inc. | ||||||||||||||
3,055,000 | 9.625 | 05/01/23 | 3,154,288 | |||||||||||
|
| |||||||||||||
5,565,779 | ||||||||||||||
|
| |||||||||||||
Oil Field Services – 5.3% | ||||||||||||||
Antero Resources Corp.(a)(c) | ||||||||||||||
1,005,000 | 8.375 | 07/15/26 | 1,125,600 | |||||||||||
Apache Corp.(c) | ||||||||||||||
960,000 | 4.875 | 11/15/27 | 1,010,400 | |||||||||||
Chesapeake Energy Corp.(a)(c) | ||||||||||||||
780,000 | 5.500 | 02/01/26 | 820,950 | |||||||||||
Chesapeake Engery Corp.(c)(e)(i) | ||||||||||||||
195,000 | 7.000 | 10/01/24 | 3,900 | |||||||||||
935,000 | 7.500 | 10/01/26 | 19,869 | |||||||||||
CITGO Petroleum Corp.(a)(c) | ||||||||||||||
656,000 | 7.000 | 06/15/25 | 674,040 | |||||||||||
CNX Resources Corp.(a) | ||||||||||||||
205,000 | 2.250 | 05/01/26 | 260,350 | |||||||||||
415,000 | 7.250 | (c) | 03/14/27 | 447,163 | ||||||||||
Comstock Resources, Inc.(a)(c) | ||||||||||||||
810,000 | 6.750 | 03/01/29 | 824,175 | |||||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(a)(c) | ||||||||||||||
1,222,000 | 5.500 | 01/30/26 | 1,264,770 | |||||||||||
EQT Corp.(c) | ||||||||||||||
460,000 | 7.625 | 02/01/25 | 527,850 | |||||||||||
800,000 | 8.500 | 02/01/30 | 1,020,000 | |||||||||||
Guara Norte S.a.r.l.(a) | ||||||||||||||
1,320,000 | 5.198 | 06/15/34 | 1,324,950 | |||||||||||
KazMunayGas National Co. JSC(c) | ||||||||||||||
1,123,000 | 3.500 | 04/14/33 | 1,161,743 | |||||||||||
Matador Resources Co.(c) | ||||||||||||||
854,000 | 5.875 | 09/15/26 | 849,730 | |||||||||||
MEG Energy Corp.(a)(c) | ||||||||||||||
3,677,000 | 7.125 | 02/01/27 | 3,906,812 | |||||||||||
Murphy Oil Corp.(c) | ||||||||||||||
892,000 | 6.375 | 07/15/28 | 905,380 | |||||||||||
Northern Oil and Gas, Inc.(a)(c) | ||||||||||||||
875,000 | 8.125 | 03/01/28 | 896,875 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Oil Field Services – (continued) | ||||||||||||||
Occidental Petroleum Corp. | ||||||||||||||
410,000 | 2.700 | %(c) | 02/15/23 | 411,538 | ||||||||||
450,000 | 4.400 | (c) | 04/15/46 | 396,000 | ||||||||||
650,000 | 4.500 | (c) | 07/15/44 | 580,938 | ||||||||||
505,000 | 4.625 | (c) | 06/15/45 | 458,288 | ||||||||||
1,225,000 | 5.550 | (c) | 03/15/26 | 1,315,344 | ||||||||||
455,000 | 6.375 | (c) | 09/01/28 | 509,600 | ||||||||||
400,000 | 7.500 | 05/01/31 | 476,000 | |||||||||||
840,000 | 8.500 | (c) | 07/15/27 | 1,023,750 | ||||||||||
OQ SAOC(a) | ||||||||||||||
670,000 | 5.125 | 05/06/28 | 677,336 | |||||||||||
PBF Holding Co LLC/PBF Finance Corp.(c) | ||||||||||||||
450,000 | 7.250 | 06/15/25 | 380,250 | |||||||||||
440,000 | 9.250 | (a) | 05/15/25 | 459,800 | ||||||||||
Pertamina Persero PT(c) | ||||||||||||||
590,000 | 1.400 | 02/09/26 | 573,775 | |||||||||||
Petrobras Global Finance B.V. | ||||||||||||||
1,333,000 | 5.600 | (c) | 01/03/31 | 1,437,974 | ||||||||||
695,000 | 6.900 | 03/19/49 | 778,296 | |||||||||||
Petroleos de Venezuela SA(e) | ||||||||||||||
700,000 | 6.000 | 11/15/26 | 30,625 | |||||||||||
Petroleos del Peru SA | ||||||||||||||
3,217,000 | 5.625 | 06/19/47 | 3,281,340 | |||||||||||
Petroleos Mexicanos(c) | ||||||||||||||
1,202,000 | 6.875 | 10/16/25 | 1,316,190 | |||||||||||
Petroleos Mexicanos | ||||||||||||||
3,105,000 | 5.950 | (c) | 01/28/31 | 2,997,567 | ||||||||||
1,400,000 | 6.500 | 03/13/27 | 1,484,000 | |||||||||||
847,000 | 6.750 | 09/21/47 | 749,595 | |||||||||||
633,000 | 6.840 | (c) | 01/23/30 | 650,408 | ||||||||||
1,233,000 | 7.690 | (c) | 01/23/50 | 1,186,762 | ||||||||||
Petronas Capital Ltd.(c) | ||||||||||||||
2,150,000 | 2.480 | (a) | 01/28/32 | 2,130,650 | ||||||||||
1,012,000 | 3.404 | (a) | 04/28/61 | 995,676 | ||||||||||
2,703,000 | 3.500 | 04/21/30 | 2,916,807 | |||||||||||
1,553,000 | 4.550 | 04/21/50 | 1,838,325 | |||||||||||
Saudi Arabian Oil Co.(c) | ||||||||||||||
2,541,000 | 3.500 | 11/24/70 | 2,305,449 | |||||||||||
Shelf Drilling Holdings Ltd.(a)(c) | ||||||||||||||
2,215,000 | 8.250 | 02/15/25 | 1,639,100 | |||||||||||
Southwestern Energy Co.(c) | ||||||||||||||
690,000 | 7.500 | 04/01/26 | 729,675 | |||||||||||
70,000 | 7.750 | 10/01/27 | 75,075 | |||||||||||
Tengizchevroil Finance Co International Ltd.(c) | ||||||||||||||
711,000 | 2.625 | 08/15/25 | 725,353 | |||||||||||
Transocean Pontus Ltd.(a)(c) | ||||||||||||||
1,672,575 | 6.125 | 08/01/25 | 1,614,035 | |||||||||||
Transocean, Inc. | ||||||||||||||
480,000 | 7.500 | 04/15/31 | 249,600 | |||||||||||
1,030,000 | 11.500 | (a)(c) | 01/30/27 | 991,375 | ||||||||||
| USA Compression Partners LP/USA Compression Finance | | ||||||||||||
995,000 | 6.875 | 04/01/26 | 1,039,775 | |||||||||||
Vine Energy Holdings LLC(a)(c) | ||||||||||||||
1,490,000 | 6.750 | 04/15/29 | 1,491,743 | |||||||||||
Viper Energy Partners LP(a)(c) | ||||||||||||||
666,000 | 5.375 | 11/01/27 | 697,349 | |||||||||||
|
| |||||||||||||
57,659,920 | ||||||||||||||
|
|
40 | 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) | ||||||||||||||
Packaging(c) – 0.4% | ||||||||||||||
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 | 914,019 | |||||||||||
| Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. | | ||||||||||||
1,184,000 | 6.000 | 09/15/28 | 1,222,480 | |||||||||||
Intertape Polymer Group, Inc.(a) | ||||||||||||||
735,000 | 7.000 | 10/15/26 | 759,806 | |||||||||||
Trivium Packaging Finance BV | ||||||||||||||
EUR | 518,000 | 3.750 | 08/15/26 | 638,197 | ||||||||||
|
| |||||||||||||
4,113,627 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals – 1.1% | ||||||||||||||
AdaptHealth LLC(a)(c) | ||||||||||||||
$ | 880,000 | 4.625 | 08/01/29 | 877,800 | ||||||||||
Bausch Health Cos., Inc.(a)(c) | ||||||||||||||
1,500,000 | 5.250 | 01/30/30 | 1,507,500 | |||||||||||
1,320,000 | 6.250 | 02/15/29 | 1,395,900 | |||||||||||
Cheplapharm Arzneimittel GmbH(a)(c) | ||||||||||||||
882,000 | 5.500 | 01/15/28 | 918,383 | |||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(a)(c) | ||||||||||||||
946,000 | 6.000 | 06/30/28 | 718,960 | |||||||||||
638,000 | 9.500 | 07/31/27 | 676,280 | |||||||||||
Jazz Securities DAC(a)(c) | ||||||||||||||
447,000 | 4.375 | 01/15/29 | 455,040 | |||||||||||
Lannett Co, Inc.(a)(c) | ||||||||||||||
1,015,000 | 7.750 | 04/15/26 | 1,022,612 | |||||||||||
Nidda Healthcare Holding GmbH(a)(c) | ||||||||||||||
EUR | 665,000 | 3.500 | 09/30/24 | 802,462 | ||||||||||
Par Pharmaceutical, Inc.(a)(c) | ||||||||||||||
$ | 1,349,000 | 7.500 | 04/01/27 | 1,416,450 | ||||||||||
Teva Pharmaceutical Finance Co. B.V. | ||||||||||||||
1,800,000 | 2.950 | 12/18/22 | 1,804,500 | |||||||||||
Teva Pharmaceutical Finance Netherlands III B.V. | ||||||||||||||
529,000 | 3.150 | 10/01/26 | 495,938 | |||||||||||
|
| |||||||||||||
12,091,825 | ||||||||||||||
|
| |||||||||||||
Pipelines – 2.1% | ||||||||||||||
| Antero Midstream Partners LP/Antero Midstream Finance | | ||||||||||||
265,000 | 5.750 | 03/01/27 | 267,650 | |||||||||||
Cheniere Energy Partners LP(c) | ||||||||||||||
455,000 | 4.500 | 10/01/29 | 473,769 | |||||||||||
440,000 | 5.625 | 10/01/26 | 458,700 | |||||||||||
CNX Midstream Partners LP/CNX Midstream Finance Corp.(a)(c) | ||||||||||||||
1,755,000 | 6.500 | 03/15/26 | 1,816,425 | |||||||||||
| Crestwood Midstream Partners LP/Crestwood Midstream Finance | | ||||||||||||
1,020,000 | 5.750 | 04/01/25 | 1,045,500 | |||||||||||
DCP Midstream Operating LP | ||||||||||||||
620,000 | 5.625 | (c) | 07/15/27 | 676,575 | ||||||||||
425,000 | 8.125 | 08/16/30 | 552,500 | |||||||||||
EnLink Midstream LLC(c) | ||||||||||||||
665,000 | 5.375 | 06/01/29 | 665,000 | |||||||||||
765,000 | 5.625 | (a) | 01/15/28 | 787,950 | ||||||||||
EnLink Midstream Partners LP(c) | ||||||||||||||
165,000 | 4.850 | 07/15/26 | 166,238 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Pipelines – (continued) | ||||||||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||||||||
331,000 | 2.160 | %(a) | 03/31/34 | 324,380 | ||||||||||
1,315,000 | 2.625 | (a) | 03/31/36 | 1,275,550 | ||||||||||
2,662,000 | 2.940 | 09/30/40 | 2,590,126 | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp.(c) | ||||||||||||||
545,000 | 7.750 | 02/01/28 | 549,087 | |||||||||||
250,000 | 8.000 | 01/15/27 | 257,500 | |||||||||||
Global Partners LP/GLP Finance Corp.(c) | ||||||||||||||
533,000 | 6.875 | 01/15/29 | 575,640 | |||||||||||
942,000 | 7.000 | 08/01/27 | 1,003,230 | |||||||||||
KazTransGas JSC | ||||||||||||||
1,240,000 | 4.375 | 09/26/27 | 1,380,120 | |||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp.(a)(c) | ||||||||||||||
1,095,000 | 7.500 | 02/01/26 | 1,147,012 | |||||||||||
NGL Energy Partners LP/NGL Energy Finance Corp.(c) | ||||||||||||||
580,000 | 6.125 | 03/01/25 | 514,750 | |||||||||||
350,000 | 7.500 | 11/01/23 | 341,250 | |||||||||||
155,000 | 7.500 | 04/15/26 | 137,950 | |||||||||||
NuStar Logistics LP(c) | ||||||||||||||
801,000 | 6.375 | 10/01/30 | 879,097 | |||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a)(c) | ||||||||||||||
967,000 | 6.000 | 03/01/27 | 981,505 | |||||||||||
2,260,000 | 6.000 | 12/31/30 | 2,265,650 | |||||||||||
680,000 | 7.500 | 10/01/25 | 741,200 | |||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance | | ||||||||||||
945,000 | 5.375 | 02/01/27 | 981,619 | |||||||||||
|
| |||||||||||||
22,855,973 | ||||||||||||||
|
| |||||||||||||
Real Estate – 1.5% | ||||||||||||||
China Evergrande Group | ||||||||||||||
1,890,000 | 8.250 | (c) | 03/23/22 | 1,850,192 | ||||||||||
2,000,000 | 9.500 | 04/11/22 | 1,963,500 | |||||||||||
Haya Real Estate SA(c) | ||||||||||||||
EUR | 358,000 | 5.250 | 11/15/22 | 361,308 | ||||||||||
Kaisa Group Holdings Ltd.(c) | ||||||||||||||
$ | 650,000 | 9.375 | 06/30/24 | 645,450 | ||||||||||
1,000,000 | 11.950 | (a) | 10/22/22 | 1,051,125 | ||||||||||
720,000 | 11.950 | 10/22/22 | 756,810 | |||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp.(a)(c) | ||||||||||||||
550,000 | 5.750 | 01/15/29 | 570,625 | |||||||||||
Saracen Development LLC(a)(c)(g)(PIK 3.000%, Cash 11.000%) | ||||||||||||||
1,531,955 | 11.000 | 10/15/25 | 1,761,748 | |||||||||||
Sunac China Holdings Ltd.(c) | ||||||||||||||
1,620,000 | 8.350 | 04/19/23 | 1,691,685 | |||||||||||
WeWork Cos., Inc.(a) | ||||||||||||||
2,255,000 | 7.875 | 05/01/25 | 2,164,800 | |||||||||||
Yuzhou Group Holdings Co. Ltd.(c) | ||||||||||||||
739,000 | 7.375 | 01/13/26 | 623,531 | |||||||||||
880,000 | 7.700 | 02/20/25 | 771,925 | |||||||||||
Zhenro Properties Group Ltd.(c) | ||||||||||||||
1,697,000 | 7.350 | 02/05/25 | 1,667,091 | |||||||||||
|
| |||||||||||||
15,879,790 | ||||||||||||||
|
| |||||||||||||
Real Estate Investment Trust(c) – 0.7% | ||||||||||||||
Diversified Healthcare Trust | ||||||||||||||
225,000 | 4.375 | 03/01/31 | 218,172 | |||||||||||
1,000,000 | 9.750 | 06/15/25 | 1,120,293 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Real Estate Investment Trust(c) – (continued) | ||||||||||||||
Iron Mountain, Inc.(a) | ||||||||||||||
$ | 620,000 | 4.875 | % | 09/15/29 | $ | 630,850 | ||||||||
795,000 | 5.625 | 07/15/32 | 838,725 | |||||||||||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance | | ||||||||||||
880,000 | 5.250 | 03/15/22 | 883,300 | |||||||||||
130,000 | 5.250 | 10/01/25 | 131,625 | |||||||||||
New Residential Investment Corp.(a) | ||||||||||||||
3,770,000 | 6.250 | 10/15/25 | 3,821,837 | |||||||||||
|
| |||||||||||||
7,644,802 | ||||||||||||||
|
| |||||||||||||
Retailing – 1.2% | ||||||||||||||
| BCPE Ulysses Intermediate, Inc.(a)(c)(g) (PIK 8.500%, Cash | | ||||||||||||
466,667 | 7.750 | 04/01/27 | 481,834 | |||||||||||
Canwel Building Material Co.(a) | ||||||||||||||
CAD | 1,940,000 | 5.250 | 05/15/26 | 1,578,326 | ||||||||||
Carvana Co.(a)(c) | ||||||||||||||
$ | 824,000 | 5.875 | 10/01/28 | 853,870 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp.(a)(c) | ||||||||||||||
619,000 | 5.375 | 04/01/26 | 618,226 | |||||||||||
990,000 | 5.875 | 04/01/29 | 980,100 | |||||||||||
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America | | ||||||||||||
820,000 | 4.750 | 06/01/27 | 861,000 | |||||||||||
215,000 | 5.250 | 06/01/26 | 221,181 | |||||||||||
LBM Acquisition LLC(a)(c) | ||||||||||||||
1,456,000 | 6.250 | 01/15/29 | 1,492,400 | |||||||||||
Mariposa Borrower, Inc.(i)(j) | ||||||||||||||
605,000 | 8.000 | 10/15/21 | 214,861 | |||||||||||
Park River Holdings, Inc.(a)(c) | ||||||||||||||
657,000 | 5.625 | 02/01/29 | 638,111 | |||||||||||
Petsmart, Inc.(a)(c) | ||||||||||||||
370,000 | 7.750 | 02/15/29 | 400,525 | |||||||||||
Petsmart, Inc.(a)(c) | ||||||||||||||
250,000 | 4.750 | 02/15/28 | 257,812 | |||||||||||
Rite Aid Corp. | ||||||||||||||
125,000 | 6.875 | (a) | 12/15/28 | 109,688 | ||||||||||
230,000 | 7.700 | 02/15/27 | 224,538 | |||||||||||
611,000 | 8.000 | (a)(c) | 11/15/26 | 634,676 | ||||||||||
Sizzling Platter LLC / Sizzling Platter Finance Corp.(a)(c) | ||||||||||||||
563,000 | 8.500 | 11/28/25 | 569,334 | |||||||||||
Stonegate Pub Co Financing 2019 PLC(c) | ||||||||||||||
GBP | 840,000 | 8.250 | 07/31/25 | 1,224,408 | ||||||||||
White Cap Parent LLC(a)(c)(g) | ||||||||||||||
$ | 650,000 | 8.250 | 03/15/26 | 672,750 | ||||||||||
Yum! Brands, Inc. | ||||||||||||||
615,000 | 6.875 | 11/15/37 | 747,225 | |||||||||||
|
| |||||||||||||
12,780,865 | ||||||||||||||
|
| |||||||||||||
Software(a)(c) – 0.2% | ||||||||||||||
Castle US Holding Corp. | ||||||||||||||
750,000 | 9.500 | 02/15/28 | 765,000 | |||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | ||||||||||||||
880,000 | 7.500 | 09/01/25 | 913,000 | |||||||||||
|
| |||||||||||||
1,678,000 | ||||||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Sovereign – 0.2% | ||||||||||||||
1MDB Global Investments Ltd. | ||||||||||||||
600,000 | 4.400 | 03/09/23 | 605,250 | |||||||||||
CBB International Sukuk Programme Co.WLL | ||||||||||||||
415,000 | 3.950 | 09/16/27 | 421,095 | |||||||||||
KSA Sukuk Ltd. | ||||||||||||||
200,000 | 2.894 | 04/20/22 | 204,600 | |||||||||||
Malaysia Wakala Sukuk Bhd(a) | ||||||||||||||
1,070,000 | 2.070 | 04/28/31 | 1,069,200 | |||||||||||
|
| |||||||||||||
2,300,145 | ||||||||||||||
|
| |||||||||||||
Telecommunication Services – 1.5% | ||||||||||||||
Altice France Holding SA(c) | ||||||||||||||
EUR | 414,000 | 8.000 | 05/15/27 | 541,258 | ||||||||||
$ | 890,000 | 10.500 | (a) | 05/15/27 | 1,002,362 | |||||||||
Altice France SA(a)(c) | ||||||||||||||
2,875,000 | 7.375 | 05/01/26 | 2,979,219 | |||||||||||
CommScope Technologies LLC(a)(c) | ||||||||||||||
820,000 | 6.000 | 06/15/25 | 834,350 | |||||||||||
CommScope, Inc.(a)(c) | ||||||||||||||
2,175,000 | 8.250 | 03/01/27 | 2,327,250 | |||||||||||
Digicel Ltd.(a)(c) | ||||||||||||||
210,000 | 6.750 | 03/01/23 | 197,859 | |||||||||||
Frontier Communications Corp.(c) | ||||||||||||||
101,878 | 5.875 | 11/01/29 | 102,897 | |||||||||||
Intelsat Luxembourg SA(c)(e) | ||||||||||||||
255,000 | 8.125 | 06/01/23 | 10,200 | |||||||||||
LogMeIn, Inc.(a)(c) | ||||||||||||||
727,000 | 5.500 | 09/01/27 | 756,080 | |||||||||||
T-Mobile USA, Inc.(c) | ||||||||||||||
440,000 | 4.750 | 02/01/28 | 468,050 | |||||||||||
Telecom Italia Capital SA | ||||||||||||||
376,000 | 6.000 | 09/30/34 | 423,000 | |||||||||||
Telecom Italia Finance SA | ||||||||||||||
EUR | 475,000 | 7.750 | 01/24/33 | 843,742 | ||||||||||
Telecom Italia SpA(a) | ||||||||||||||
$ | 1,745,000 | 5.303 | 05/30/24 | 1,906,275 | ||||||||||
Telesat Canada/Telesat LLC(a)(c) | ||||||||||||||
311,000 | 4.875 | 06/01/27 | 304,003 | |||||||||||
1,376,000 | 6.500 | 10/15/27 | 1,351,920 | |||||||||||
Total Play Telecomunicaciones SA de CV(a)(c) | ||||||||||||||
846,000 | 7.500 | 11/12/25 | 842,827 | |||||||||||
| Trilogy International Partners LLC/Trilogy International Finance, | | ||||||||||||
700,000 | 8.875 | 05/01/22 | 690,375 | |||||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.(a)(c) | ||||||||||||||
565,000 | 7.750 | 08/15/28 | 587,600 | |||||||||||
|
| |||||||||||||
16,169,267 | ||||||||||||||
|
| |||||||||||||
Transportation(a)(c) – 0.1% | ||||||||||||||
Western Global Airlines LLC | ||||||||||||||
610,000 | 10.375 | 08/15/25 | 691,588 | |||||||||||
|
| |||||||||||||
Trucking & Leasing(a)(c) – 0.2% | ||||||||||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||||||||
710,000 | 5.500 | 05/01/28 | 735,737 | |||||||||||
370,000 | 6.500 | 10/01/25 | 384,338 | |||||||||||
376,000 | 6.750 | 03/15/22 | 376,075 | |||||||||||
1,000,000 | 9.750 | 08/01/27 | 1,155,000 | |||||||||||
|
| |||||||||||||
2,651,150 | ||||||||||||||
|
|
42 | 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) | ||||||||||||||
Water(a)(c) – 0.1% | ||||||||||||||
Solaris Midstream Holdings LLC | ||||||||||||||
$ | 535,000 | 7.625 | % | 04/01/26 | $ | 557,738 | ||||||||
|
| |||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $378,424,875) | $ | 397,115,425 | ||||||||||||
|
| |||||||||||||
Bank Loans(k) – 19.2% | ||||||||||||||
Advertising(h) – 0.3% | ||||||||||||||
Clear Channel Outdoor Holdings, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
$ | 3,453,709 | 3.686 | % | 08/21/26 | $ | 3,342,431 | ||||||||
|
| |||||||||||||
Aerospace & Defense(h) – 0.1% | ||||||||||||||
TransDigm, Inc. | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
244,347 | 2.363 | 08/22/24 | 241,363 | |||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
493,750 | 2.363 | 12/09/25 | 487,356 | |||||||||||
|
| |||||||||||||
728,719 | ||||||||||||||
|
| |||||||||||||
Airlines – 0.4% | ||||||||||||||
AAdvantage Loyalty IP Ltd.(l) | ||||||||||||||
1,500,000 | 0.000 | 04/20/28 | 1,541,250 | |||||||||||
Allegiant Travel Co.(h) (3M LIBOR + 3.000%) | ||||||||||||||
494,949 | 3.198 | 02/05/24 | 489,921 | |||||||||||
American Airlines, Inc.(h) | ||||||||||||||
(1M LIBOR + 2.000%) | ||||||||||||||
409,983 | 2.110 | 04/28/23 | 394,211 | |||||||||||
(1M LIBOR + 2.000%) | ||||||||||||||
188,580 | 2.115 | 12/15/23 | 181,450 | |||||||||||
Kestrel Bidco, Inc.(h) (6M LIBOR + 3.000%) | ||||||||||||||
984,806 | 4.000 | 12/11/26 | 951,263 | |||||||||||
Mileage Plus Holdings LLC(h) (3M LIBOR + 5.250%) | ||||||||||||||
250,000 | 6.250 | 06/21/27 | 266,608 | |||||||||||
United Airlines, Inc.(l) | ||||||||||||||
750,000 | 0.000 | 04/13/28 | 758,302 | |||||||||||
|
| |||||||||||||
4,583,005 | ||||||||||||||
|
| |||||||||||||
Apparel – 0.2% | ||||||||||||||
Birkenstock GmbH & Co. KG(l) | ||||||||||||||
1,000,000 | 0.000 | 04/26/28 | 996,880 | |||||||||||
Boardriders, Inc.(h) (3M LIBOR + 6.500%) | ||||||||||||||
455,257 | 7.500 | 04/23/24 | 422,023 | |||||||||||
CBI Buyer, Inc.(h) (1M LIBOR + 3.250%) | ||||||||||||||
750,000 | 3.750 | 01/06/28 | 747,188 | |||||||||||
|
| |||||||||||||
2,166,091 | ||||||||||||||
|
| |||||||||||||
Automotive(h) – 0.2% | ||||||||||||||
Navistar International Corp. (1M LIBOR + 3.500%) | ||||||||||||||
483,750 | 3.610 | 11/06/24 | 483,145 | |||||||||||
Truck Hero, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
1,250,000 | 4.500 | 01/31/28 | 1,246,738 | |||||||||||
|
| |||||||||||||
1,729,883 | ||||||||||||||
|
| |||||||||||||
Beverages(h) – 0.1% | ||||||||||||||
Triton Water Holdings, Inc (3M LIBOR + 3.500%) | ||||||||||||||
1,000,000 | 4.000 | 03/31/28 | 996,090 | |||||||||||
|
| |||||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Biotechnology – 0.1% | ||||||||||||||
Concordia International Corp. | ||||||||||||||
1,223,600 | 0.000 | 09/06/24 | 1,219,525 | |||||||||||
|
| |||||||||||||
Building Materials(h) – 0.1% | ||||||||||||||
Ingersoll-Rand Services Co. (1M LIBOR + 1.750%) | ||||||||||||||
95,259 | 1.863 | 03/01/27 | 93,949 | |||||||||||
Quikrete Holdings, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
740,625 | 2.613 | 02/01/27 | 732,908 | |||||||||||
|
| |||||||||||||
826,857 | ||||||||||||||
|
| |||||||||||||
Chemicals(h) – 0.1% | ||||||||||||||
H.B. Fuller Co. (1M LIBOR + 2.000%) | ||||||||||||||
287,510 | 2.116 | 10/20/24 | 286,757 | |||||||||||
PQ Corp. (3M LIBOR + 3.000%) | ||||||||||||||
547,816 | 4.000 | 02/07/27 | 547,405 | |||||||||||
|
| |||||||||||||
834,162 | ||||||||||||||
|
| |||||||||||||
Coal(h) – 0.0% | ||||||||||||||
Peabody Energy Corp. (1M LIBOR + 2.750%) | ||||||||||||||
112,909 | 2.863 | 03/31/25 | 36,978 | |||||||||||
|
| |||||||||||||
Commercial Services – 1.8% | ||||||||||||||
Fly Funding II S.a.r.l.(h) (3M LIBOR + 1.750%) | ||||||||||||||
927,329 | 1.950 | 08/11/25 | 908,783 | |||||||||||
Garda World Security Corp.(l) | ||||||||||||||
500,000 | 0.000 | 10/30/26 | 500,210 | |||||||||||
HGIM Corp.(h)(j) (3M LIBOR + 6.000%) | ||||||||||||||
184,091 | 7.000 | 07/02/23 | 125,182 | |||||||||||
Parexel International Corp.(h) (1M LIBOR + 2.750%) | ||||||||||||||
2,830,549 | 2.863 | 09/27/24 | 2,803,432 | |||||||||||
Prime Security Services Borrower LLC(h) (3M LIBOR + 2.750%) | ||||||||||||||
1,250,000 | 3.500 | 09/23/26 | 1,247,575 | |||||||||||
Sotheby’s(h) (3M LIBOR + 4.750%) | ||||||||||||||
1,246,875 | 5.500 | 01/15/27 | 1,255,453 | |||||||||||
Syniverse Holdings, Inc.(h) (3M LIBOR + 5.000%) | ||||||||||||||
5,037,324 | 6.000 | 03/09/23 | 4,962,923 | |||||||||||
Team Health Holdings, Inc.(h) (1M LIBOR + 2.750%) | ||||||||||||||
3,033,488 | 3.750 | 02/06/24 | 2,820,112 | |||||||||||
The Hertz Corp.(h) (1M LIBOR + 2.750%) | ||||||||||||||
2,768,054 | 3.500 | 06/30/23 | 2,774,975 | |||||||||||
| Travelport Finance (Luxembourg) S.a.r.l.(h) (3M LIBOR + | | ||||||||||||
1,357,554 | 2.500 | 02/28/25 | 1,383,524 | |||||||||||
Wand NewCo 3, Inc.(h) (1M LIBOR + 3.000%) | ||||||||||||||
493,750 | 3.113 | 02/05/26 | 486,694 | |||||||||||
|
| |||||||||||||
19,268,863 | ||||||||||||||
|
| |||||||||||||
Computers(h) – 0.5% | ||||||||||||||
Ahead Data Blue LLC (3M LIBOR + 5.000%) | ||||||||||||||
628,906 | 6.000 | 10/13/27 | 631,265 | |||||||||||
Clarke Holdings Corp. (3M LIBOR + 4.750%) | ||||||||||||||
131,870 | 5.750 | 11/03/23 | 121,132 | |||||||||||
Flexential Intermediate Corp. (3M LIBOR + 3.500%) | ||||||||||||||
832,842 | 3.703 | 08/01/24 | 772,611 | |||||||||||
McAfee LLC (1M LIBOR + 3.750%) | ||||||||||||||
1,776,194 | 3.860 | 09/30/24 | 1,774,861 | |||||||||||
NCR Corp. (3M LIBOR + 2.500%) | ||||||||||||||
375,294 | 2.690 | 08/28/26 | 368,726 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Computers(h) – (continued) | ||||||||||||||
NeuStar, Inc. (3M LIBOR + 8.000%) | ||||||||||||||
$ | 223,680 | 9.000 | % | 08/08/25 | $ | 201,113 | ||||||||
Perforce Software, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
246,875 | 3.863 | 07/01/26 | 243,532 | |||||||||||
Tempo Acquisition LLC (1M LIBOR + 2.750%) | ||||||||||||||
729,318 | 2.863 | 05/01/24 | 727,859 | |||||||||||
Virtusa Corp. (1M LIBOR + 4.250%) | ||||||||||||||
750,000 | 5.000 | 02/11/28 | 754,223 | |||||||||||
|
| |||||||||||||
5,595,322 | ||||||||||||||
|
| |||||||||||||
Cosmetics & Personal Care(h) – 0.2% | ||||||||||||||
Coty, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
81,496 | 2.360 | 04/07/25 | 77,982 | |||||||||||
Journey Personal Care Corp. (3M LIBOR + 4.250%) | ||||||||||||||
1,000,000 | 5.000 | 03/01/28 | 1,000,000 | |||||||||||
Revlon Consumer Products Corp.(i) (3M LIBOR + 3.500%) | ||||||||||||||
2,728,642 | 4.250 | 09/07/23 | 1,394,336 | |||||||||||
|
| |||||||||||||
2,472,318 | ||||||||||||||
|
| |||||||||||||
Distribution & Wholesale(h) – 0.1% | ||||||||||||||
American Tire Distributors Holdings, Inc. (1M LIBOR + 7.500%) | ||||||||||||||
1,596,576 | 8.500 | 09/02/24 | 1,566,640 | |||||||||||
|
| |||||||||||||
Diversified Financial Services – 0.1% | ||||||||||||||
Avolon TLB Borrower 1 (US) LLC(h) (1M LIBOR + 1.750%) | ||||||||||||||
554,569 | 2.500 | 01/15/25 | 550,931 | |||||||||||
Delos Finance S.a.r.l.(h) (3M LIBOR + 1.750%) | ||||||||||||||
130,000 | 1.953 | 10/06/23 | 129,790 | |||||||||||
Ditech Holding Corp.(j) | ||||||||||||||
234,152 | 0.000 | 06/30/22 | 43,124 | |||||||||||
|
| |||||||||||||
723,845 | ||||||||||||||
|
| |||||||||||||
Electronics(h) – 0.0% | ||||||||||||||
TTM Technologies, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
125,912 | 2.615 | 09/28/24 | 125,282 | |||||||||||
|
| |||||||||||||
Entertainment(h) – 1.1% | ||||||||||||||
AMC Entertainment Holdings, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
558,116 | 3.195 | 04/22/26 | 490,389 | |||||||||||
Crown Finance US, Inc. (6M LIBOR + 2.500%) | ||||||||||||||
912,052 | 3.500 | 02/28/25 | 781,191 | |||||||||||
Delta 2 (LUX) S.a.r.l. (1M LIBOR + 2.500%) | ||||||||||||||
1,715,000 | 3.500 | 02/01/24 | 1,703,355 | |||||||||||
| East Valley Tourist Development Authority(j) (3M LIBOR + | | ||||||||||||
731,223 | 9.000 | 03/07/22 | 720,254 | |||||||||||
Lions Gate Capital Holdings LLC (1M LIBOR + 2.250%) | ||||||||||||||
383,768 | 2.363 | 03/24/25 | 379,612 | |||||||||||
Metro-Goldwyn-Mayer, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
724,938 | 2.620 | 07/03/25 | 717,463 | |||||||||||
NASCAR Holdings, Inc (1M LIBOR + 2.750%) | ||||||||||||||
1,103,108 | 2.863 | 10/19/26 | 1,094,989 | |||||||||||
Scientific Games International, Inc. (1M LIBOR + 2.750%) | ||||||||||||||
764,502 | 2.863 | 08/14/24 | 752,889 | |||||||||||
SeaWorld Parks & Entertainment, Inc. (1M LIBOR + 3.000%) | ||||||||||||||
3,471,168 | 3.750 | 03/31/24 | 3,427,778 | |||||||||||
The Stars Group Holdings B.V. (3M LIBOR + 3.500%) | ||||||||||||||
1,100,579 | 3.703 | 07/10/25 | 1,102,714 | |||||||||||
|
| |||||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Entertainment(h) – (continued) | ||||||||||||||
| William Morris Endeavor Entertainment LLC (1M LIBOR + | | ||||||||||||
744,679 | 2.870 | 05/18/25 | 726,531 | |||||||||||
|
| |||||||||||||
11,897,165 | ||||||||||||||
|
| |||||||||||||
Food & Drug Retailing(h) – 0.1% | ||||||||||||||
B&G Foods, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
412,917 | 2.613 | 10/10/26 | 412,058 | |||||||||||
US Foods, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
466,939 | 1.863 | 06/27/23 | 461,354 | |||||||||||
UTZ Quality Foods, LLC (1M LIBOR + 3.000%) | ||||||||||||||
229,425 | 3.113 | 01/20/28 | 229,138 | |||||||||||
|
| |||||||||||||
1,102,550 | ||||||||||||||
|
| |||||||||||||
Food Service(h) – 0.0% | ||||||||||||||
8th Avenue Food & Provisions, Inc. (1M LIBOR + 3.500%) | ||||||||||||||
488,750 | 3.608 | 10/01/25 | 487,733 | |||||||||||
|
| |||||||||||||
Gaming(h) – 0.8% | ||||||||||||||
Boyd Gaming Corp. (1 Week LIBOR + 2.250%) | ||||||||||||||
187,089 | 2.337 | 09/15/23 | 186,679 | |||||||||||
Caesars Resort Collection LLC (1M LIBOR + 2.750%) | ||||||||||||||
2,362,293 | 2.863 | 12/23/24 | 2,334,820 | |||||||||||
CityCenter Holdings LLC (1M LIBOR + 2.250%) | ||||||||||||||
915,519 | 3.000 | 04/18/24 | 904,533 | |||||||||||
Golden Nugget, Inc. (2M LIBOR + 2.500%) | ||||||||||||||
4,887,022 | 3.250 | 10/04/23 | 4,823,295 | |||||||||||
Station Casinos LLC (1M LIBOR + 2.250%) | ||||||||||||||
97,097 | 2.500 | 02/08/27 | 95,618 | |||||||||||
|
| |||||||||||||
8,344,945 | ||||||||||||||
|
| |||||||||||||
Hand/Machine Tools(h) – 0.2% | ||||||||||||||
Alliance Laundry Systems LLC (3M LIBOR + 3.500%) | ||||||||||||||
997,500 | 4.250 | 10/08/27 | 996,772 | |||||||||||
Apex Tool Group LLC (1M LIBOR + 5.500%) | ||||||||||||||
977,725 | 6.750 | 08/01/24 | 977,725 | |||||||||||
|
| |||||||||||||
1,974,497 | ||||||||||||||
|
| |||||||||||||
Health Care – Services – 0.2% | ||||||||||||||
Phoenix Guarantor, Inc.(l) | ||||||||||||||
750,000 | 0.000 | 03/05/26 | 742,875 | |||||||||||
Verscend Holding Corp.(h) (3M LIBOR + 4.000%) | ||||||||||||||
1,250,000 | 4.113 | 08/27/25 | 1,248,825 | |||||||||||
|
| |||||||||||||
1,991,700 | ||||||||||||||
|
| |||||||||||||
Healthcare Providers & Services – 2.1% | ||||||||||||||
AHP Health Partners, Inc.(h) (1M LIBOR + 3.750%) | ||||||||||||||
1,500,000 | 4.750 | 06/30/25 | 1,500,945 | |||||||||||
Air Methods Corp.(h) (3M LIBOR + 3.500%) | ||||||||||||||
620,178 | 4.500 | 04/22/24 | 610,026 | |||||||||||
ATI Holdings Acquisition, Inc.(h) (6M LIBOR + 3.500%) | ||||||||||||||
371,078 | 4.500 | 05/10/23 | 370,633 | |||||||||||
BW NHHC Holdco, Inc.(h) (3M LIBOR + 5.000%) | ||||||||||||||
996,164 | 5.189 | 05/15/25 | 925,964 | |||||||||||
Carestream Dental Equiment, Inc(h) (3M LIBOR + 3.250%) | ||||||||||||||
$337,599 | 4.250 | % | 09/01/24 | $ | 332,535 | |||||||||
Carestream Health, Inc.(h) (3M LIBOR + 6.750%) | ||||||||||||||
1,363,865 | 7.750 | 05/08/23 | 1,362,160 | |||||||||||
|
|
44 | 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(k) – (continued) | ||||||||||||||
Healthcare Providers & Services – (continued) | ||||||||||||||
DaVita, Inc.(h) (1M LIBOR + 1.750%) | ||||||||||||||
$ | 93,763 | 1.863 | % | 08/12/26 | $ | 93,110 | ||||||||
Envision Healthcare Corp.(h) (1M LIBOR + 3.750%) | ||||||||||||||
2,535,016 | 3.863 | 10/10/25 | 2,120,313 | |||||||||||
Global Medical Response, Inc.(h)(3M LIBOR + 4.750%) | ||||||||||||||
997,500 | 5.750 | 10/02/25 | 998,498 | |||||||||||
Lifescan Global Corp.(h) (3M LIBOR + 6.000%) | ||||||||||||||
2,743,811 | 6.202 | 10/01/24 | 2,686,493 | |||||||||||
MED ParentCo. LP(h) (1M LIBOR + 4.250%) | ||||||||||||||
247,564 | 4.363 | 08/31/26 | 246,264 | |||||||||||
MMM Holdings, Inc.(h) (1M LIBOR + 5.750%) | ||||||||||||||
974,026 | 6.750 | 12/24/26 | 973,110 | |||||||||||
Onex TSG Intermediate Corp.(h) (3M LIBOR + 4.750%) | ||||||||||||||
500,000 | 5.500 | 02/28/28 | 494,375 | |||||||||||
Phoenix Guarantor Inc(l) | ||||||||||||||
500,000 | 0.000 | 03/05/26 | 496,389 | |||||||||||
Pluto Acquisition I, Inc.(h) (1M LIBOR + 5.000%) | ||||||||||||||
498,750 | 5.500 | 06/22/26 | 500,620 | |||||||||||
PPD, Inc.(h) (1M LIBOR + 2.250%) | ||||||||||||||
500,000 | 2.750 | 01/13/28 | 498,750 | |||||||||||
Quorum Health Corp.(h) (3M LIBOR + 8.250%) | ||||||||||||||
61,892 | 9.250 | 04/29/25 | 62,924 | |||||||||||
| RegionalCare Hospital Partners Holdings, Inc.(h) (1M LIBOR + | | ||||||||||||
2,509,556 | 3.863 | 11/16/25 | 2,498,941 | |||||||||||
Select Medical Corp.(h) (1M LIBOR + 2.250%) | ||||||||||||||
729,077 | 2.370 | 03/06/25 | 720,423 | |||||||||||
Surgery Center Holdings, Inc.(h) (1M LIBOR + 3.750%) | ||||||||||||||
3,603,550 | 4.250 | 09/03/24 | 3,588,343 | |||||||||||
Viant Medical Holdings, Inc.(h) (1M LIBOR + 3.750%) | ||||||||||||||
731,323 | 3.863 | 07/02/25 | 709,266 | |||||||||||
Vyaire Medical, Inc.(h) (3M LIBOR + 4.750%) | ||||||||||||||
584,338 | 5.750 | 04/16/25 | 497,172 | |||||||||||
|
| |||||||||||||
22,287,254 | ||||||||||||||
|
| |||||||||||||
Home Furnishings(h) – 0.0% | ||||||||||||||
Mattress Firm Inc (6M LIBOR + 5.250%) | ||||||||||||||
487,500 | 6.250 | 11/26/27 | 494,203 | |||||||||||
|
| |||||||||||||
Household Products(h) – 0.2% | ||||||||||||||
Kronos Acquisition Holdings, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
1,745,625 | 4.250 | 12/22/26 | 1,720,069 | |||||||||||
|
| |||||||||||||
Insurance(h) – 0.2% | ||||||||||||||
Acrisure LLC (3M LIBOR + 3.500%) | ||||||||||||||
495,000 | 3.703 | 02/15/27 | 486,748 | |||||||||||
Alliant Holdings Intermediate LLC (1M LIBOR + 3.250%) | ||||||||||||||
491,162 | 3.363 | 05/09/25 | 484,688 | |||||||||||
Asurion LLC (1M LIBOR + 3.250%) | ||||||||||||||
250,000 | 3.363 | 07/31/27 | 248,073 | |||||||||||
USI, Inc. | ||||||||||||||
(3M LIBOR + 3.000%) | ||||||||||||||
493,606 | 3.203 | 05/16/24 | 488,053 | |||||||||||
(3M LIBOR + 3.250%) | ||||||||||||||
249,370 | 3.453 | 12/02/26 | 246,921 | |||||||||||
|
| |||||||||||||
1,954,483 | ||||||||||||||
|
| |||||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Internet(h) – 0.1% | ||||||||||||||
Cablevision Lightpath LLC (1M LIBOR + 3.250%) | ||||||||||||||
995,000 | 3.750 | 11/30/27 | 990,523 | |||||||||||
|
| |||||||||||||
Leisure Time(h) – 0.5% | ||||||||||||||
Carnival Corp. (1M LIBOR + 7.500%) | ||||||||||||||
148,875 | 8.500 | 06/30/25 | 153,155 | |||||||||||
ClubCorp Holdings, Inc. (3M LIBOR + 2.750%) | ||||||||||||||
2,202,518 | 2.953 | 09/18/24 | 2,117,171 | |||||||||||
Equinox Holdings, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
1,891,891 | 4.000 | 03/08/24 | 1,794,666 | |||||||||||
Life Time Fitness Inc (3M LIBOR + 4.750%) | ||||||||||||||
1,496,250 | 5.750 | 12/16/24 | 1,500,933 | |||||||||||
|
| |||||||||||||
5,565,925 | ||||||||||||||
|
| |||||||||||||
Machinery(k) – 0.0% | ||||||||||||||
The Hillman Group, Inc. | ||||||||||||||
415,612 | 0.000 | 02/24/28 | 413,118 | |||||||||||
|
| |||||||||||||
Media – 1.7% | ||||||||||||||
Cengage Learning, Inc.(h) (3M LIBOR + 4.250%) | ||||||||||||||
3,830,911 | 5.250 | 06/07/23 | 3,811,143 | |||||||||||
CSC Holdings LLC(h) | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
879,503 | 2.365 | 07/17/25 | 868,536 | |||||||||||
178,629 | 2.365 | 01/15/26 | 176,524 | |||||||||||
Diamond Sports Group LLC(l) | ||||||||||||||
2,495,000 | 0.000 | 08/24/26 | 1,777,688 | |||||||||||
Entercom Media Corp.(h) (1M LIBOR + 2.500%) | ||||||||||||||
433,378 | 2.611 | 11/18/24 | 426,661 | |||||||||||
Gray Television, Inc.(h) (1M LIBOR + 2.500%) | ||||||||||||||
742,742 | 2.615 | 01/02/26 | 737,275 | |||||||||||
| Houghton Mifflin Harcourt Publishing Co.(h) (1M LIBOR + | | ||||||||||||
1,227,145 | 7.250 | 11/22/24 | 1,224,948 | |||||||||||
iHeartCommunications, Inc.(h) (1M LIBOR + 3.000%) | ||||||||||||||
2,866,921 | 3.113 | 05/01/26 | 2,829,307 | |||||||||||
LCPR Loan Financing LLC(h) (1M LIBOR + 3.750%) | ||||||||||||||
204,208 | 3.865 | 10/15/28 | 204,463 | |||||||||||
| McGraw-Hill Global Education Holdings LLC(h) (3M LIBOR + | | ||||||||||||
2,430,783 | 5.750 | 11/01/24 | 2,444,954 | |||||||||||
Meredith Corp.(h) (3M LIBOR + 4.250%) | ||||||||||||||
496,250 | 5.250 | 01/31/25 | 503,485 | |||||||||||
Nexstar Broadcasting, Inc.(h) (1M LIBOR + 2.250%) | ||||||||||||||
435,875 | 2.356 | 01/17/24 | 433,813 | |||||||||||
Nielsen Finance LLC(h)(1M LIBOR + 2.000%) | ||||||||||||||
55,193 | 2.113 | 10/04/23 | 55,042 | |||||||||||
Sinclair Television Group, Inc.(h) | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
525,911 | 2.370 | 01/03/24 | 520,936 | |||||||||||
(1M LIBOR + 2.500%) | ||||||||||||||
16,224 | 2.620 | 09/30/26 | 15,996 | |||||||||||
The McClatchy Co.(h)(j) (1M LIBOR + 10.000%) | ||||||||||||||
1,537,665 | 10.113 | 07/15/26 | 1,522,288 | |||||||||||
Univision Communications, Inc.(h) (1M LIBOR + 2.750%) | ||||||||||||||
179,320 | 3.750 | 03/15/24 | 178,673 | |||||||||||
WideOpenWest Finance LLC(h) (1M LIBOR + 3.250%) | ||||||||||||||
891,955 | 4.250 | 08/18/23 | 889,547 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Media – (continued) | ||||||||||||||
Ziggo Financing Partnership B.V.(h) (1M LIBOR + 2.500%) | ||||||||||||||
$ | 240,000 | 2.615 | % | 04/30/28 | $ | 237,367 | ||||||||
|
| |||||||||||||
18,858,646 | ||||||||||||||
|
| |||||||||||||
Metal Fabricate/Hardware(h) – 0.0% | ||||||||||||||
Advanced Drainage Systems, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
78,482 | 2.375 | 07/31/26 | 78,417 | |||||||||||
|
| |||||||||||||
Mining(h)(j) – 0.1% | ||||||||||||||
Arctic Canadian Diamond Co.Ltd | ||||||||||||||
(3M LIBOR + 5.000%) | ||||||||||||||
99,428 | 6.000 | 12/31/24 | 99,428 | |||||||||||
(3M LIBOR + 5.000%) | ||||||||||||||
591,278 | 5.000 | 12/31/27 | 591,278 | |||||||||||
|
| |||||||||||||
690,706 | ||||||||||||||
|
| |||||||||||||
Oil Field Services – 0.3% | ||||||||||||||
Citgo Petroleum Corp.(h) (6M LIBOR + 6.250%) | ||||||||||||||
397,779 | 7.250 | 03/28/24 | 397,612 | |||||||||||
Delek US Holdings, Inc.(h) (1M LIBOR + 2.250%) | ||||||||||||||
489,939 | 2.363 | 03/31/25 | 475,060 | |||||||||||
Fieldwood Energy LLC | ||||||||||||||
2,970,133 | 0.000 | (j) | 04/11/22 | 1,107,860 | ||||||||||
425,300 | 0.000 | 04/11/23 | 20,627 | |||||||||||
Gulf Finance LLC(h) (1M LIBOR + 5.250%) | ||||||||||||||
2,075,739 | 6.250 | 08/25/23 | 1,769,131 | |||||||||||
|
| |||||||||||||
3,770,290 | ||||||||||||||
|
| |||||||||||||
Packaging – 0.3% | ||||||||||||||
Klockner-Pentaplast of America, Inc.(l) | ||||||||||||||
1,000,000 | 0.000 | 02/12/26 | 996,560 | |||||||||||
Reynolds Group Holdings, Inc.(h) | ||||||||||||||
(1M LIBOR + 2.750%) | ||||||||||||||
540,831 | 2.863 | 02/05/23 | 539,403 | |||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
748,125 | 3.359 | 02/05/26 | 741,018 | |||||||||||
TricorBraun Holdings, Inc.(h) | ||||||||||||||
(3M LIBOR + 1.625%) | ||||||||||||||
4,162 | 1.625 | 03/03/28 | 3,795 | |||||||||||
(3M LIBOR + 3.250%) | ||||||||||||||
555,134 | 3.750 | 03/03/28 | 549,505 | |||||||||||
|
| |||||||||||||
2,830,281 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals(h) – 1.2% | ||||||||||||||
Alphabet Holding Co., Inc. | ||||||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
237,971 | 3.613 | 09/26/24 | 237,933 | |||||||||||
(1M LIBOR + 7.750%) | ||||||||||||||
350,000 | 7.863 | 09/26/25 | 351,313 | |||||||||||
Amneal Pharmaceuticals LLC (1M LIBOR + 3.500%) | ||||||||||||||
245,510 | 3.625 | 05/04/25 | 240,485 | |||||||||||
Bausch Health Cos., Inc. | ||||||||||||||
(1M LIBOR + 2.750%) | ||||||||||||||
1,997,426 | 2.863 | 11/27/25 | 1,991,195 | |||||||||||
(1M LIBOR + 3.000%) | ||||||||||||||
2,318,494 | 3.113 | 06/02/25 | 2,313,996 | |||||||||||
Change Healthcare Holdings LLC (3M LIBOR + 2.500%) | ||||||||||||||
1,046,885 | 3.500 | 03/01/24 | 1,045,220 | |||||||||||
|
| |||||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Pharmaceuticals(h) – (continued) | ||||||||||||||
Gainwell Acquisition Corp. (3M LIBOR + 4.000%) | ||||||||||||||
998,750 | 4.750 | 10/01/27 | 998,750 | |||||||||||
| Grifols Worldwide Operations USA, Inc. (1 Week LIBOR + | | ||||||||||||
478,788 | 2.087 | 11/15/27 | 472,870 | |||||||||||
Mallinckrodt International Finance S.A. | ||||||||||||||
(3M LIBOR + 5.250%) | ||||||||||||||
2,059,426 | 5.500 | 09/24/24 | 1,998,940 | |||||||||||
(3M LIBOR + 5.500%) | ||||||||||||||
2,192,172 | 5.750 | 02/24/25 | 2,128,358 | |||||||||||
Patterson Medical Holdings, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
778,622 | 7.000 | 08/29/22 | 774,729 | |||||||||||
|
| |||||||||||||
12,553,789 | ||||||||||||||
|
| |||||||||||||
Pipelines(h) – 0.2% | ||||||||||||||
Blackstone CQP Holdco LP (3M LIBOR + 3.500%) | ||||||||||||||
491,250 | 3.687 | 09/30/24 | 490,405 | |||||||||||
Epic Y-Grade Services LP (3M LIBOR + 6.000%) | ||||||||||||||
1,556,721 | 7.000 | 06/30/27 | 1,307,645 | |||||||||||
Traverse Midstream Partners LLC (1M LIBOR + 5.500%) | ||||||||||||||
684,934 | 6.500 | 09/27/24 | 684,291 | |||||||||||
|
| |||||||||||||
2,482,341 | ||||||||||||||
|
| |||||||||||||
Real Estate(h) – 0.0% | ||||||||||||||
Realogy Group LLC | ||||||||||||||
(1M LIBOR + 1.750%) | ||||||||||||||
185,019 | 1.863 | 02/08/23 | 183,400 | |||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
111,296 | 3.000 | 02/08/25 | 110,275 | |||||||||||
|
| |||||||||||||
293,675 | ||||||||||||||
|
| |||||||||||||
Regional (state/provnc)(h) – 0.1% | ||||||||||||||
Mashantucket (Western) Pequot Tribe (1M LIBOR + 7.125%) | ||||||||||||||
1,468,135 | 8.375 | 02/16/22 | 1,449,783 | |||||||||||
|
| |||||||||||||
Retail(h) – 0.0% | ||||||||||||||
Belk, Inc. | ||||||||||||||
(3M LIBOR + 10.000%) | ||||||||||||||
493,359 | 13.000 | 07/31/25 | 316,776 | |||||||||||
(3M LIBOR + 7.500%) | ||||||||||||||
112,852 | 8.500 | 07/31/25 | 112,663 | |||||||||||
|
| |||||||||||||
429,439 | ||||||||||||||
|
| |||||||||||||
Retailing(h) – 1.1% | ||||||||||||||
1011778 B.C. Unlimited Liability Co. (1M LIBOR + 1.750%) | ||||||||||||||
812,032 | 1.863 | 11/19/26 | 798,707 | |||||||||||
Academy Ltd. (1M LIBOR + 5.000%) | ||||||||||||||
1,496,250 | 5.750 | 10/28/27 | 1,497,806 | |||||||||||
CWGS Group LLC (1M LIBOR + 2.750%) | ||||||||||||||
1,529,437 | 3.500 | 11/08/23 | 1,523,701 | |||||||||||
EG America LLC (3M LIBOR + 4.000%) | ||||||||||||||
286,599 | 4.203 | 02/07/25 | 282,300 | |||||||||||
EG Group Ltd. (3M LIBOR + 4.000%) | ||||||||||||||
395,918 | 4.203 | 02/07/25 | 389,980 | |||||||||||
J.C. Penney Corp, Inc. (1M LIBOR + 8.500%) | ||||||||||||||
285,285 | 9.500 | 12/07/26 | 268,168 | |||||||||||
Jo-Ann Stores, Inc. (3M LIBOR + 5.000%) | ||||||||||||||
500,000 | 6.000 | 10/20/23 | 497,735 | |||||||||||
|
|
46 | 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(k) – (continued) | ||||||||||||||
Retailing(h) – (continued) | ||||||||||||||
Park River Holdings, Inc. (3M LIBOR + 3.250%) | ||||||||||||||
$ | 1,250,000 | 4.000 | % | 12/28/27 | $ | 1,242,187 | ||||||||
PetSmart, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
2,727,000 | 4.500 | 02/12/28 | 2,732,454 | |||||||||||
Serta Simmons Bedding LLC | ||||||||||||||
(1M LIBOR + 7.500%) | ||||||||||||||
1,031,000 | 8.500 | 08/10/23 | 983,708 | |||||||||||
(3M LIBOR + 3.500%) | ||||||||||||||
84,779 | 4.500 | (j) | 11/08/23 | 65,280 | ||||||||||
(3M LIBOR + 8.000%) | ||||||||||||||
156,560 | 9.000 | 11/08/24 | 104,113 | |||||||||||
Staples, Inc. (3M LIBOR + 5.000%) | ||||||||||||||
750,000 | 5.205 | 04/16/26 | 732,562 | |||||||||||
White Cap Buyer LLC (3M LIBOR + 4.000%) | ||||||||||||||
496,253 | 4.500 | 10/19/27 | 495,891 | |||||||||||
|
| |||||||||||||
11,614,592 | ||||||||||||||
|
| |||||||||||||
Semiconductors(h) – 0.0% | ||||||||||||||
Bright Bidco B.V. (6M LIBOR + 3.500%) | ||||||||||||||
76,770 | 4.500 | 06/30/24 | 58,533 | |||||||||||
| MACOM Technology Solutions Holdings, Inc. (1M LIBOR + | | ||||||||||||
89,956 | 2.363 | 05/17/24 | 89,281 | |||||||||||
|
| |||||||||||||
147,814 | ||||||||||||||
|
| |||||||||||||
Software(h) – 2.0% | ||||||||||||||
Banff Merger Sub, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
747,855 | 3.863 | 10/02/25 | 743,540 | |||||||||||
Blackboard, Inc. (3M LIBOR + 6.000%) | ||||||||||||||
991,851 | 7.000 | 06/30/24 | 989,997 | |||||||||||
Ceridian HCM Holding, Inc. (1 Week LIBOR + 2.500%) | ||||||||||||||
1,486,063 | 2.587 | 04/30/25 | 1,460,518 | |||||||||||
Dynatrace LLC (1M LIBOR + 2.250%) | ||||||||||||||
284,864 | 2.363 | 08/22/25 | 283,155 | |||||||||||
Epicor Software Corp. (1M LIBOR + 3.250%) | ||||||||||||||
1,994,987 | 4.000 | 07/30/27 | 1,990,898 | |||||||||||
Finastra USA, Inc. (6M LIBOR + 3.500%) | ||||||||||||||
3,102,067 | 4.500 | 06/13/24 | 3,045,858 | |||||||||||
Greeneden U.S. Holdings II LLC (1M LIBOR + 4.000%) | ||||||||||||||
498,750 | 4.750 | 12/01/27 | 499,498 | |||||||||||
Greenway Health LLC (3M LIBOR + 3.750%) | ||||||||||||||
124,757 | 4.750 | 02/16/24 | 117,888 | |||||||||||
Informatica LLC (1M LIBOR + 3.250%) | ||||||||||||||
1,984,975 | 3.363 | 02/25/27 | 1,966,018 | |||||||||||
MA FinanceCo. LLC (1M LIBOR + 2.750%) | ||||||||||||||
237,917 | 2.863 | % | 06/21/24 | 234,720 | ||||||||||
Mavenir Systems, Inc. (3M LIBOR + 6.000%) | ||||||||||||||
584,962 | 7.000 | 05/08/25 | 583,500 | |||||||||||
Rackspace Technology Global, Inc. (3M LIBOR + 2.750%) | ||||||||||||||
2,291,174 | 3.500 | 02/15/28 | 2,271,378 | |||||||||||
Riverbed Technology, Inc. (3M LIBOR + 6.000%) | ||||||||||||||
1,542,122 | 7.000 | 12/31/25 | 1,458,801 | |||||||||||
Seattle SpinCo, Inc. (1M LIBOR + 2.750%) | ||||||||||||||
1,606,713 | 2.863 | 06/21/24 | 1,585,118 | |||||||||||
SkillSoft Corp. (3M LIBOR + 7.500%) | ||||||||||||||
294,802 | 8.500 | 04/27/25 | 293,882 | |||||||||||
|
| |||||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Software(h) – (continued) | ||||||||||||||
Sophia, L.P. (3M LIBOR + 3.750%) | ||||||||||||||
1,246,875 | 4.500 | 10/07/27 | 1,245,840 | |||||||||||
SS&C Holdings Europe S.a.r.l. (1M LIBOR + 1.750%) | ||||||||||||||
318,389 | 1.863 | 04/16/25 | 314,441 | |||||||||||
SS&C Technologies, Inc. (1M LIBOR + 1.750%) | ||||||||||||||
429,311 | 1.863 | 04/16/25 | 423,987 | |||||||||||
The Dun & Bradstreet Corp. (1M LIBOR + 3.250%) | ||||||||||||||
748,125 | 3.361 | 02/06/26 | 743,681 | |||||||||||
The Ultimate Software Group, Inc. (3M LIBOR + 3.250%) | ||||||||||||||
748,125 | 4.000 | 05/04/26 | 748,357 | |||||||||||
Tibco Software, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
360,522 | 3.870 | 06/30/26 | 357,703 | |||||||||||
|
| |||||||||||||
21,358,778 | ||||||||||||||
|
| |||||||||||||
Technology – Software/Services – 0.3% | ||||||||||||||
NeuStar, Inc. (h) (3M LIBOR + 3.500%) | ||||||||||||||
964,792 | 4.500 | 08/08/24 | 904,145 | |||||||||||
Peraton Holding Corp.(h) (1M LIBOR + 3.750%) | ||||||||||||||
144,932 | 4.500 | 02/01/28 | 144,751 | |||||||||||
Pitney Bowes Inc.(h) (1M LIBOR + 4.000%) | ||||||||||||||
1,350,000 | 4.120 | 03/17/28 | 1,347,746 | |||||||||||
Syncsort Inc.(l) | ||||||||||||||
750,000 | 0.000 | 04/23/28 | 746,520 | |||||||||||
|
| |||||||||||||
3,143,162 | ||||||||||||||
|
| |||||||||||||
Telecommunication Services – 1.9% | ||||||||||||||
Altice France SA(h) | ||||||||||||||
(3M LIBOR + 3.688%) | ||||||||||||||
748,062 | 3.871 | 01/31/26 | 741,330 | |||||||||||
(3M LIBOR + 4.000%) | ||||||||||||||
977,450 | 4.198 | 08/14/26 | 973,608 | |||||||||||
Avaya, Inc.(h) (1M LIBOR + 4.250%) | ||||||||||||||
500,000 | 4.365 | 12/15/27 | 500,520 | |||||||||||
CenturyLink, Inc.(h) (1M LIBOR + 2.250%) | ||||||||||||||
483,775 | 2.363 | 03/15/27 | 477,849 | |||||||||||
CommScope, Inc.(h) (1M LIBOR + 3.250%) | ||||||||||||||
1,612,238 | 3.363 | 04/06/26 | 1,599,146 | |||||||||||
Delta TopCo, Inc.(h) (3M LIBOR + 3.750%) | ||||||||||||||
500,000 | 4.500 | 12/01/27 | 499,645 | |||||||||||
Eagle Broadband Investments LLC(h) (3M LIBOR + 3.000%) | ||||||||||||||
997,500 | 3.750 | 11/12/27 | 995,755 | |||||||||||
Frontier Communications Corp.(l) | ||||||||||||||
847,458 | 0.000 | 10/08/27 | 843,924 | |||||||||||
GOGO Intermediate Holdings LLC(l) | ||||||||||||||
750,000 | 0.000 | 04/21/28 | 744,998 | |||||||||||
Intelsat Jackson Holdings SA | ||||||||||||||
500,000 | 0.000 | (l) | 01/02/24 | 508,750 | ||||||||||
(1M LIBOR + 4.750%) | ||||||||||||||
7,327,000 | 8.000 | (h) | 11/27/23 | 7,437,858 | ||||||||||
iQor US Inc.(h) (1M LIBOR + 7.500%) | ||||||||||||||
60,737 | 7.608 | 11/20/24 | 60,838 | |||||||||||
167,901 | 8.500 | 11/20/25 | 165,718 | |||||||||||
Maxar Technologies Ltd.(h) (1M LIBOR + 2.750%) | ||||||||||||||
1,375,737 | 2.863 | 10/04/24 | 1,359,682 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(k) – (continued) | ||||||||||||||
Telecommunication Services – (continued) | ||||||||||||||
MLN US Holding Co. LLC(h) (1M LIBOR + 4.500%) | ||||||||||||||
$ | 178,596 | 4.610 | % | 11/30/25 | $ | 157,363 | ||||||||
Plantronics, Inc.(h) (1M LIBOR + 2.500%) | ||||||||||||||
455,522 | 2.613 | 07/02/25 | 449,386 | |||||||||||
West Corp.(h) | ||||||||||||||
(3M LIBOR + 3.500%) | ||||||||||||||
104,487 | 4.500 | 10/10/24 | 101,062 | |||||||||||
(3M LIBOR + 4.000%) | ||||||||||||||
2,481,562 | 5.000 | 10/10/24 | 2,420,565 | |||||||||||
|
| |||||||||||||
20,037,997 | ||||||||||||||
|
| |||||||||||||
Telecommunications – Internet & Data(h) – 0.2% | ||||||||||||||
Avaya, Inc.(1M LIBOR + 4.000%) | ||||||||||||||
2,000,000 | 4.115 | 12/15/27 | 2,001,780 | |||||||||||
|
| |||||||||||||
TOTAL BANK LOANS | ||||||||||||||
(Cost $208,441,934) | $ | 207,181,666 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – 0.7% | ||||||||
Automobiles(e)(i) – 0.0% | ||||||||
65,182 | Monitronics International, Inc. | $ | 489,517 | |||||
|
| |||||||
Chemicals(e) – 0.1% | ||||||||
42,218 | Hexion Holdings Corp. Class B | 654,379 | ||||||
|
| |||||||
Commercial Services & Supplies(e) – 0.0% | ||||||||
10,879 | Cenveo, Inc. | 130,548 | ||||||
|
| |||||||
Diversified Consumer Services(e)(j) – 0.0% | ||||||||
7,679 | Premier Brands Group Holdings LLC | 10,881 | ||||||
|
| |||||||
Diversified Financial Services(e) (i) – 0.0% | ||||||||
5,500 | Copper Earnout Trust | 58,096 | ||||||
|
| |||||||
Diversified Telecommunication Services(e) – 0.1% | ||||||||
33,198 | Frontier Communications Corp. | 995,940 | ||||||
|
| |||||||
Energy Equipment & Services(e) – 0.0% | ||||||||
14,704 | Noble Corp.(j) (Energy Equipment & Services) | 276,436 | ||||||
17,981 | Parker Drilling Co. | 97,097 | ||||||
|
| |||||||
373,533 | ||||||||
|
| |||||||
Health Care Technology(e)(j) – 0.0% | ||||||||
2,776 | MModal, Inc. | 347 | ||||||
|
| |||||||
Internet Software & Services(e)(j) – 0.0% | ||||||||
2,768 | Skillsoft Class A Shares | 456,720 | ||||||
|
| |||||||
Media(e) – 0.1% | ||||||||
123,364 | Clear Channel Outdoor Holdings, Inc. | 309,643 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Media(e) – (continued) | ||||||||
18,534 | Cumulus Media, Inc. Class A | 178,112 | ||||||
13,819 | iHeartMedia, Inc. Class A | 264,496 | ||||||
|
| |||||||
752,251 | ||||||||
|
| |||||||
Metals & Mining(e)(j) – 0.0% | ||||||||
627 | Arctic Canadian Diamond Co.Ltd | — | ||||||
|
| |||||||
Multiline Retail(e)(j) – 0.0% | ||||||||
68 | Belk, Inc. | 1,496 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.2% | ||||||||
4,818 | California Resources Corp.(e) | 114,187 | ||||||
1,342 | Chesapeake Energy Corp.(e) | 61,155 | ||||||
38,186 | Extraction Oil & Gas, Inc.(e) | 1,595,411 | ||||||
9,744 | Tourmaline Oil Corp.(i) | 210,235 | ||||||
4,245 | Valaris Ltd.(e) | 93,347 | ||||||
|
| |||||||
2,074,335 | ||||||||
|
| |||||||
Real Estate – 0.1% | ||||||||
41,250 | Copper Property CTL Pass Through Trust | 733,219 | ||||||
|
| |||||||
Specialty Retail(e)(j) – 0.1% | ||||||||
7,504 | GTRC | 1,107,966 | ||||||
|
| |||||||
Wireless Telecommunication Services(e) – 0.0% | ||||||||
5,606 | iQor US Inc. | 74,840 | ||||||
16,319 | Windstream Corp. | 203,988 | ||||||
|
| |||||||
278,828 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $9,644,207) | $ | 8,118,056 | ||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Obligations – 2.2% | ||||||||||||||
Collateralized Mortgage Obligations – 1.4% | ||||||||||||||
Interest Only(m) – 0.8% | ||||||||||||||
GNMA REMIC Series 2020-104, Class HI | ||||||||||||||
$ | 7,996,367 | 3.000 | % | 07/20/50 | $ | 1,049,371 | ||||||||
GNMA REMIC Series 2020-123, Class IN | ||||||||||||||
7,963,999 | 2.500 | 08/20/50 | 1,049,968 | |||||||||||
GNMA REMIC Series 2020-133, Class GI | ||||||||||||||
3,908,526 | 2.500 | 09/20/50 | 526,608 | |||||||||||
GNMA REMIC Series 2020-167, Class BI | ||||||||||||||
4,228,846 | 2.500 | 11/20/50 | 528,223 | |||||||||||
GNMA REMIC Series 2020-176, Class NI | ||||||||||||||
5,684,236 | 2.500 | 11/20/50 | 625,021 | |||||||||||
GNMA REMIC Series 2020-51, Class IO | ||||||||||||||
13,576,171 | 3.000 | 04/20/50 | 1,868,203 | |||||||||||
|
|
|
|
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 | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Interest Only(m) – (continued) | ||||||||||||||
GNMA REMIC Series 2020-62, Class MI | ||||||||||||||
$ | 2,022,418 | 3.000 | % | 05/20/50 | $ | 221,895 | ||||||||
| GNMA REMIC Series 2020-65, Class ES(h) (-1X 1M USD | | ||||||||||||
5,466,487 | 5.934 | 05/20/50 | 1,237,220 | |||||||||||
| GNMA REMIC Series 2020-78, Class AS(h) (-1x1M USD LIBOR | | ||||||||||||
7,414,732 | 6.034 | 06/20/50 | 1,657,588 | |||||||||||
| GNMA REMIC Series 2020-78, Class SQ(h) (-1x1M USD LIBOR | | ||||||||||||
1,910,898 | 6.034 | 06/20/50 | 405,623 | |||||||||||
|
| |||||||||||||
9,169,720 | ||||||||||||||
|
| |||||||||||||
Regular Floater(a)(h) – 0.2% | ||||||||||||||
| Bellemeade Re Ltd Series 2020-4A Class M2B (1M USD LIBOR | | ||||||||||||
250,000 | 3.706 | 06/25/30 | 252,327 | |||||||||||
| CHL GMSR Issuer Trust Series 2018-GT1, Class A (1M USD | | ||||||||||||
1,975,000 | 2.856 | 05/25/23 | 1,969,786 | |||||||||||
|
| |||||||||||||
2,222,113 | ||||||||||||||
|
| |||||||||||||
Sequential Fixed Rate(a) – 0.1% | ||||||||||||||
L1C LLC Series 2020-1 | ||||||||||||||
1,000,000 | 5.290 | 08/25/51 | 1,005,498 | |||||||||||
|
| |||||||||||||
Sequential Fixed Rate – 0.3% | ||||||||||||||
Credit Suisse Mortgage Trust 04/23 1 | ||||||||||||||
3,000,000 | 1.000 | 04/15/23 | 3,017,471 | |||||||||||
|
| |||||||||||||
15,414,802 | ||||||||||||||
|
| |||||||||||||
Commercial Mortgage-Backed Securities(h) – 0.8% | ||||||||||||||
Interest Only – 0.4% | ||||||||||||||
GNMA REMIC Series 2020-118 Class IO | ||||||||||||||
9,975,167 | 1.022 | 06/16/62 | 857,439 | |||||||||||
GNMA REMIC Series 2021-45 Class IO | ||||||||||||||
12,233,141 | 0.842 | 04/16/63 | 1,015,753 | |||||||||||
GNMA REMIC Series 2021-70 Class IO | ||||||||||||||
13,000,000 | 0.751 | 04/16/63 | 1,002,790 | |||||||||||
GNMA REMIC Series 2019-156, Class IO | ||||||||||||||
12,340,544 | 0.699 | 11/16/61 | 819,216 | |||||||||||
GNMA REMIC Series 2020-52, Class IO | ||||||||||||||
6,623,990 | 0.899 | 10/16/62 | 570,825 | |||||||||||
GNMA REMIC Series 2020-81, Class IO | ||||||||||||||
3,415,364 | 0.922 | 02/16/61 | 254,789 | |||||||||||
|
| |||||||||||||
4,520,812 | ||||||||||||||
|
| |||||||||||||
Regular Floater(a) (h) – 0.2% | ||||||||||||||
| CSMC TMIC Series 2020 TMIC Class A (1M USD LIBOR + | | ||||||||||||
1,000,000 | 3.250 | 12/15/35 | 1,011,239 | |||||||||||
| CSMC TMIC Series 2020 TMIC Class B (1M USD LIBOR + | | ||||||||||||
350,000 | 5.250 | 12/15/35 | 353,076 | |||||||||||
|
| |||||||||||||
1,364,315 | ||||||||||||||
|
| |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Sequential Floating Rate(a) (h) – 0.2% | ||||||||||||||
| CSMC Trust Series 2020-LOTS, Class A (1M USD LIBOR + | | ||||||||||||
2,044,860 | 4.725 | 07/15/22 | 2,042,468 | |||||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL MORTGAGE- BACKED SECURITIES | $ | 7,927,595 | |||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $22,612,727) | $ | 23,342,397 | ||||||||||||
|
| |||||||||||||
Asset-Backed Securities – 2.3% | ||||||||||||||
Automotive(a) – 0.1% | ||||||||||||||
Hertz Vehicle Financing II LP Series 2016-4A, Class A | ||||||||||||||
$ | 226,332 | 2.650 | % | 07/25/22 | $ | 227,311 | ||||||||
Hertz Vehicle Financing II LP Series 2017-1A, Class A | ||||||||||||||
273,202 | 2.960 | 10/25/21 | 274,969 | |||||||||||
Hertz Vehicle Financing II LP Series 2019-3A, Class A | ||||||||||||||
214,967 | 2.670 | 12/26/25 | 215,216 | |||||||||||
|
| |||||||||||||
717,496 | ||||||||||||||
|
| |||||||||||||
Collateralized Loan Obligations(a)(h) – 1.7% | ||||||||||||||
| Bain Capital Credit CLO Series 2021-3A, Class E (-1X 3M USD | | ||||||||||||
500,000 | 1.000 | 07/24/34 | 500,000 | |||||||||||
| BlueMountain CLO XXXI Ltd. Series 2021-31A, Class E (-1X | | ||||||||||||
1,000,000 | 1.000 | 04/19/34 | 995,000 | |||||||||||
| Carlyle U.S. CLO Ltd. Series 2020-1A, Class D (3M USD | | ||||||||||||
500,000 | 7.978 | 07/20/31 | 501,079 | |||||||||||
| CBAM, Ltd. Series 2018-5A Class A (3M USD LIBOR + | | ||||||||||||
975,000 | 1.210 | 04/17/31 | 975,258 | |||||||||||
| CIFC Funding III, Ltd. Series 2017-3A Class A1 (3M USD | | ||||||||||||
305,000 | 1.408 | 07/20/30 | 305,411 | |||||||||||
| Dryden 64 CLO, Ltd. Series 2018-64A Class A (3M USD LIBOR | | ||||||||||||
1,000,000 | 1.160 | 04/18/31 | 1,000,602 | |||||||||||
| ICG U.S. CLO Ltd. Series 2020-1A, Class C (-1X 3M USD | | ||||||||||||
1,000,000 | 4.434 | 10/22/31 | 1,003,685 | |||||||||||
| Mountain View CLO XIV Ltd. Series 2019-1A, Class D (3M | | ||||||||||||
1,040,000 | 3.968 | 04/15/29 | 1,040,320 | |||||||||||
| Octagon Investment Partners 48 Ltd. Series 2020-3A, Class D | | ||||||||||||
1,400,000 | 4.188 | 10/20/31 | 1,404,904 | |||||||||||
| Octagon Loan Funding, Ltd. Series 2014-1A Class ARR (3M | | ||||||||||||
2,000,000 | 1.369 | 11/18/31 | 2,000,046 | |||||||||||
| OHA Credit Funding 9 Ltd. Series 2021-9A, Class D (-1X 3M | | ||||||||||||
1,500,000 | 1.000 | 07/19/35 | 1,500,000 | |||||||||||
|
|
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)
April 30, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||
Collateralized Loan Obligations(a)(h) – (continued) | ||||||||||||||
| OHA Loan Funding, Ltd. Series 2016-1A Class AR (3M USD | | ||||||||||||
$ | 280,000 | 1.448 | % | 01/20/33 | $ | 280,471 | ||||||||
| Sound Point CLO XXIII Series 2019-2A, Class D (3M USD | | ||||||||||||
2,629,000 | 4.044 | 04/15/32 | 2,632,107 | |||||||||||
| Stratus CLO Ltd. Series 2020-2A, Class D (3M USD LIBOR + | | ||||||||||||
1,000,000 | 3.834 | 10/15/28 | 1,001,857 | |||||||||||
| Stratus CLO Ltd. Series 2020-2A, Class E (3M USD LIBOR + | | ||||||||||||
500,000 | 7.284 | 10/15/28 | 500,980 | |||||||||||
| Symphony CLO XVIII Ltd. Series 2016-18A, Class D (3M USD | | ||||||||||||
1,100,000 | 4.173 | 01/23/28 | 1,100,882 | |||||||||||
| Venture 32 CLO, Ltd. Series 2018-32A Class A1 (3M USD | | ||||||||||||
1,000,000 | 1.290 | 07/18/31 | 998,895 | |||||||||||
| Voya CLO Ltd. Series 2017-1A, Class C (3M USD LIBOR + | | ||||||||||||
1,000,000 | 3.520 | 04/17/30 | 982,438 | |||||||||||
|
| |||||||||||||
18,723,935 | ||||||||||||||
|
| |||||||||||||
Home Equity(h) – 0.1% | ||||||||||||||
| Countrywide Asset-Backed Certificates Series 2007-BC3, | | ||||||||||||
422,106 | 0.286 | 11/25/47 | 416,613 | |||||||||||
Nationstar HECM Loan Trust Series 2020-1A, Class M3(a) | ||||||||||||||
1,000,000 | 2.820 | 09/25/30 | 1,003,369 | |||||||||||
|
| |||||||||||||
1,419,982 | ||||||||||||||
|
| |||||||||||||
Other(a) – 0.4% | ||||||||||||||
AASET U.S. Ltd. Series 2018-2A, Class A | ||||||||||||||
1,673,338 | 4.454 | 11/18/38 | 1,671,558 | |||||||||||
Business Jet Securities LLC Series 2019-1, Class A | ||||||||||||||
515,095 | 4.212 | 07/15/34 | 525,580 | |||||||||||
Business Jet Securities Series 2021-1A, Class B | ||||||||||||||
735,827 | 2.918 | 04/15/36 | 734,187 | |||||||||||
Labrador Aviation Finance, Ltd. Series 2016-1A, Class A1 | ||||||||||||||
1,008,927 | 4.300 | 01/15/42 | 988,536 | |||||||||||
Oasis Securitization Funding LLC Series 2021-1A, Class A | ||||||||||||||
234,267 | 2.579 | 02/15/33 | 234,238 | |||||||||||
|
| |||||||||||||
4,154,099 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $24,413,268) | $ | 25,015,512 | ||||||||||||
|
| |||||||||||||
U.S. Treasury Obligation – 0.2% | ||||||||||||||
United States Treasury Notes | ||||||||||||||
$ | 1,790,000 | 0.500 | % | 02/28/26 | $ | 1,763,290 | ||||||||
(Cost $1,767,291) | ||||||||||||||
|
|
Shares | Dividend Rate | Value | ||||||||
Preferred Stocks – 0.1% | ||||||||||
Pipelines – 0.1% | ||||||||||
Crestwood Equity Partners LP |
| |||||||||
66,598 | 9.250% | $ | 602,046 | |||||||
| ||||||||||
Specialty Retail(j) – 0.0% | ||||||||||
GTRC Junior |
| |||||||||
104 | 0.000 | 9,766 | ||||||||
| ||||||||||
TOTAL PREFERRED STOCKS |
| |||||||||
(Cost $620,190) |
| $ | 611,812 | |||||||
| ||||||||||
Units | Description | Expiration Date | Value | |||||||
Warrants(e) – 0.1% | ||||||||||
Energy Equipment & Services – 0.0% | ||||||||||
Noble Corp. |
| |||||||||
9,802 | 02/05/28 | $ | 58,508 | |||||||
| ||||||||||
Oil, Gas & Consumable Fuels – 0.0% | ||||||||||
California Resources Corp. |
| |||||||||
670 | 10/27/24 | 2,680 | ||||||||
Chesapeake Energy Corp. |
| |||||||||
3,370 | 02/09/26 | 68,876 | ||||||||
|
| |||||||||
71,556 | ||||||||||
| ||||||||||
Specialty Retail(j) – 0.0% | ||||||||||
Guitar Center, Inc. |
| |||||||||
1,825 | 128,407 | |||||||||
1,986 | 91,276 | |||||||||
161 | 7,400 | |||||||||
|
| |||||||||
227,083 | ||||||||||
| ||||||||||
Wireless Telecommunication Services(j) – 0.1% | ||||||||||
Windstream Corp. |
| |||||||||
27,912 | 397,746 | |||||||||
| ||||||||||
TOTAL WARRANTS (Cost $787,666) |
| $ | 754,893 | |||||||
|
Shares | Dividend Rate | Value | ||||||
Investment Company(n) – 6.0% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
64,729,628 | 0.026 | % | $ | 64,729,628 | ||||
(Cost $64,729,628) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 100.2% |
| |||||||
(Cost $1,059,470,803) |
| $ | 1,079,840,627 | |||||
| ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)% |
| (1,864,736 | ) | |||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 1,077,975,891 | |||||
|
50 | 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) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(c) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(d) | Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on April 30, 2021. | |
(e) | Security is currently in default and/or non-income producing. | |
(f) | Actual maturity date is April 03, 2120. | |
(g) | Pay-in-kind securities. | |
(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 April 30, 2021. | |
(i) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $2,600,886, which represents approximately 0.2% of the Fund’s net assets as of April 30, 2021. |
Restricted Security | Acquisition Date | Cost | ||||||
Revlon Consumer Products Corp. (Bank Loans) | 12/31/20 | $ | 2,432,424 | |||||
Monitronics International, Inc. (Common Stocks) | 04/01/20 | 1,069,075 | ||||||
Mariposa Borrower, Inc. (Corporate Obligations) | 514,762 | |||||||
Tourmaline Oil Corp. (Common Stocks) | 12/18/20 | 131,948 | ||||||
Chesapeake Energy Corp. (Corporate Obligations) | 12/06/19 | 51,482 | ||||||
Chesapeake Energy Corp. (Corporate Obligations) | 06/21/19 | 433,309 | ||||||
Copper Earnout Trust (Common Stocks) | 11/20/20 | 39,600 |
(j) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(k) | 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 April 30, 2021. 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. | |
(l) | 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. | |
(m) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(n) | 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 | |
USD | —U.S. Dollar | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
CLO | —Collateralized Loan Obligation | |
CMT | —Constant Maturity Treasury Indexes | |
CPI | —Consumer Price Index | |
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. | 51 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
UNFUNDED LOAN COMMITMENTS — At April 30, 2021, 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) | |||||||||
Frontier Communications Corp., due 10/08/27 | $ | 152,540 | $ | 151,904 | $ | (636 | ) | |||||
Peraton Holding Corp., due 02/01/28 | 255,068 | 254,748 | (1,595 | ) | ||||||||
The Hertz Corp., due 06/30/21 | 340,000 | 340,850 | 41,650 | |||||||||
The Hillman Group, Inc., due 02/23/28 | 84,388 | 83,882 | (712 | ) | ||||||||
TricorBraun Holdings, Inc., due 03/03/28 | 120,704 | 119,805 | (1,227 | ) | ||||||||
TOTAL | $ | 37,480 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2021, 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 | MYR | 7,511,540 | USD | 1,816,000 | 05/24/21 | $ | 13,687 | |||||||||||||
THB | 325,560,408 | USD | 10,396,248 | 07/06/21 | 55,398 | |||||||||||||||
TRY | 22,004,640 | USD | 2,183,000 | 03/29/22 | 37,199 | |||||||||||||||
BNP Paribas SA | BRL | 9,626,650 | USD | 1,685,699 | 05/10/21 | 84,862 | ||||||||||||||
USD | 1,802,282 | INR | 133,074,000 | 05/03/21 | 7,743 | |||||||||||||||
USD | 1,746,000 | RUB | 129,980,334 | 06/18/21 | 28,705 | |||||||||||||||
BofA Securities LLC | BRL | 4,110,872 | USD | 724,000 | 05/10/21 | 32,084 | ||||||||||||||
PLN | 7,394,005 | USD | 1,909,726 | 07/06/21 | 40,787 | |||||||||||||||
RUB | 92,005,334 | USD | 1,193,046 | 06/18/21 | 22,525 | |||||||||||||||
THB | 14,449,980 | USD | 460,000 | 07/06/21 | 3,896 | |||||||||||||||
TRY | 7,013,690 | USD | 680,000 | 03/29/22 | 27,659 | |||||||||||||||
USD | 1,796,906 | INR | 133,074,000 | 05/03/21 | 2,367 | |||||||||||||||
ZAR | 24,563,822 | USD | 1,623,518 | 05/25/21 | 64,213 | |||||||||||||||
Citibank NA | CAD | 1,059,831 | USD | 828,515 | 05/12/21 | 33,749 | ||||||||||||||
EUR | 1,830,000 | USD | 2,184,782 | 05/12/21 | 15,854 | |||||||||||||||
GBP | 583,343 | USD | 796,445 | 05/12/21 | 9,201 | |||||||||||||||
USD | 2,561,109 | EUR | 2,121,273 | 05/12/21 | 10,207 | |||||||||||||||
USD | 982,037 | GBP | 700,000 | 05/12/21 | 15,278 | |||||||||||||||
Income Repatriation Boston | USD | 111,390 | RON | 454,350 | 05/04/21 | 491 | ||||||||||||||
JPMorgan Securities, Inc. | BRL | 9,294,504 | USD | 1,600,015 | 05/10/21 | 109,457 | ||||||||||||||
CLP | 175,972,800 | USD | 244,000 | 06/17/21 | 3,524 | |||||||||||||||
RUB | 134,343,360 | USD | 1,752,000 | 07/23/21 | 14,219 | |||||||||||||||
ZAR | 9,603,368 | USD | 643,000 | 05/25/21 | 16,828 | |||||||||||||||
Morgan Stanley & Co. | USD | 1,229,517 | BRL | 6,604,104 | 05/10/21 | 14,871 | ||||||||||||||
TOTAL | $ | 664,804 |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Barclays Bank PLC | EUR | 43,250,000 | USD | 52,954,102 | 05/14/21 | $ | (942,384 | ) | ||||||||||||
GBP | 4,090,000 | USD | 5,784,259 | 05/14/21 | (135,597 | ) | ||||||||||||||
IDR | 16,098,500,000 | USD | 1,100,000 | 08/03/21 | (560 | ) | ||||||||||||||
MYR | 21,863,066 | USD | 5,398,270 | 05/24/21 | (72,790 | ) | ||||||||||||||
RON | 3,930,073 | USD | 973,950 | 05/24/21 | (15,514 | ) | ||||||||||||||
USD | 1,196,519 | MYR | 4,950,000 | 05/24/21 | (9,219 | ) | ||||||||||||||
USD | 768,847 | RON | 3,199,942 | 05/24/21 | (11,530 | ) | ||||||||||||||
BNP Paribas SA | INR | 133,074,000 | USD | 1,796,906 | 05/03/21 | (2,367 | ) | |||||||||||||
PLN | 7,951,000 | USD | 2,101,228 | 07/06/21 | (3,782 | ) | ||||||||||||||
USD | 1,177,178 | BRL | 6,410,368 | 05/10/21 | (1,836 | ) | ||||||||||||||
USD | 1,163,000 | RON | 4,783,768 | 05/24/21 | (3,629 | ) | ||||||||||||||
USD | 2,319,994 | ZAR | 33,868,326 | 05/25/21 | (7,030 | ) | ||||||||||||||
BofA Securities LLC | INR | 133,074,000 | USD | 1,800,000 | 05/03/21 | (5,462 | ) | |||||||||||||
PEN | 962,780 | USD | 260,000 | 06/22/21 | (5,476 | ) | ||||||||||||||
RON | 1,221,492 | USD | 301,253 | 05/24/21 | (3,365 | ) | ||||||||||||||
RUB | 37,975,000 | USD | 506,764 | 06/18/21 | (5,040 | ) | ||||||||||||||
USD | 2,219,073 | ZAR | 32,500,571 | 05/25/21 | (13,976 | ) | ||||||||||||||
Citibank NA | EUR | 14,863,382 | USD | 17,900,301 | 05/12/21 | (26,586 | ) | |||||||||||||
GBP | 728,921 | USD | 1,014,255 | 05/12/21 | (7,553 | ) | ||||||||||||||
USD | 870,000 | EUR | 736,028 | 05/12/21 | (15,098 | ) | ||||||||||||||
JPMorgan Securities, Inc. | RON | 2,832,145 | USD | 702,678 | 05/24/21 | (11,996 | ) | |||||||||||||
USD | 1,812,243 | BRL | 10,017,554 | 05/10/21 | (30,214 | ) | ||||||||||||||
USD | 3,418,492 | ZAR | 50,440,586 | 05/25/21 | (47,179 | ) | ||||||||||||||
ZAR | 4,725,000 | USD | 329,212 | 05/25/21 | (4,567 | ) | ||||||||||||||
Morgan Stanley & Co. | PLN | 1,950,000 | USD | 515,851 | 07/06/21 | (1,448 | ) | |||||||||||||
ZAR | 16,730,651 | USD | 1,166,000 | 05/25/21 | (16,471 | ) | ||||||||||||||
TOTAL | $ | (1,400,669 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Referenced Obligation/Index | Financing Rate Received/(Paid) by the Fund(a) | Credit Spread at April 30, 2021(b) | Termination Date | Notional Amount (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||||
CDX.NA.HY Index 35 | (5.000 | )% | 2.669% | 12/20/25 | $ | 9,770 | $ | (1,022,943 | ) | $ | (816,408 | ) | $ | (206,535 | ) | |||||||||||
Protection Sold: | ||||||||||||||||||||||||||
ICE CD CXPHY | 5.000 | 2.870 | 06/20/26 | 32,000 | 3,326,677 | 2,894,119 | 432,558 | |||||||||||||||||||
TOTAL | $ | 2,303,734 | $ | 2,077,711 | $ | 226,023 |
(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. |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 97.2% | ||||||||
Australia – 3.7% | ||||||||
124,900 | Goodman Group (Equity Real Estate Investment Trusts (REITs)) | $ | 1,821,362 | |||||
597,318 | Ingenia Communities Group (Equity Real Estate Investment Trusts (REITs)) | 2,432,930 | ||||||
2,217,563 | Mirvac Group (Equity Real Estate Investment Trusts (REITs)) | 4,594,825 | ||||||
116,831 | NEXTDC Ltd.* (IT Services) | 1,039,020 | ||||||
699,009 | Stockland (Equity Real Estate Investment Trusts (REITs)) | 2,519,000 | ||||||
622,790 | Sydney Airport* (Transportation Infrastructure) | 2,961,750 | ||||||
695,117 | Transurban Group (Transportation Infrastructure) | 7,579,742 | ||||||
|
| |||||||
22,948,629 | ||||||||
|
| |||||||
Belgium – 1.2% | ||||||||
35,641 | Aedifica SA (Equity Real Estate Investment Trusts (REITs)) | 4,353,854 | ||||||
2,334 | Elia Group SA (Electric Utilities) | 252,653 | ||||||
10,084 | VGP NV (Real Estate Management & Development) | 1,760,330 | ||||||
35,207 | Warehouses De Pauw CVA (Equity Real Estate Investment Trusts (REITs)) | 1,241,688 | ||||||
|
| |||||||
7,608,525 | ||||||||
|
| |||||||
Brazil – 0.1% | ||||||||
566,004 | Santos Brasil Participacoes SA (Transportation Infrastructure) | 735,632 | ||||||
|
| |||||||
Canada – 8.4% | ||||||||
51,500 | Allied Properties Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 1,786,987 | ||||||
29,795 | Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs)) | 1,324,492 | ||||||
12,060 | Canadian National Railway Co. (Road & Rail) | 1,298,377 | ||||||
3,762 | Canadian Pacific Railway Ltd. (Road & Rail) | 1,403,951 | ||||||
195,300 | Dream Industrial Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 2,165,675 | ||||||
231,786 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 8,940,304 | ||||||
138,786 | Gibson Energy, Inc. (Oil, Gas & Consumable Fuels) | 2,534,878 | ||||||
256,175 | Hydro One Ltd.(a) (Electric Utilities) | 6,142,031 | ||||||
135,248 | InterRent Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 1,689,018 | ||||||
301,684 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 9,312,037 | ||||||
206,867 | Summit Industrial Income REIT (Equity Real Estate Investment Trusts (REITs)) | 2,627,176 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Canada – (continued) | ||||||||
240,237 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 11,885,296 | ||||||
8,060 | Waste Connections, Inc. (Commercial Services & Supplies) | 960,027 | ||||||
|
| |||||||
52,070,249 | ||||||||
|
| |||||||
China – 0.8% | ||||||||
188,800 | ENN Energy Holdings Ltd. (Gas Utilities) | 3,221,791 | ||||||
82,751 | GDS Holdings, Ltd. Class A* (IT Services) | 855,501 | ||||||
840,000 | Zhejiang Expressway Co. Ltd. Class H (Transportation Infrastructure) | 730,172 | ||||||
|
| |||||||
4,807,464 | ||||||||
|
| |||||||
Denmark(a) – 0.2% | ||||||||
9,354 | Orsted A/S (Electric Utilities) | 1,359,743 | ||||||
|
| |||||||
France – 4.0% | ||||||||
14,729 | Eiffage SA* (Construction & Engineering) | 1,613,378 | ||||||
21,887 | Engie SA* (Multi-Utilities) | 326,016 | ||||||
17,900 | Gecina SA (Equity Real Estate Investment Trusts (REITs)) | 2,620,158 | ||||||
210,914 | Getlink SE* (Transportation Infrastructure) | 3,355,090 | ||||||
24,414 | Klepierre SA (Equity Real Estate Investment Trusts (REITs)) | 647,975 | ||||||
19,758 | Unibail-Rodamco-Westfield* (Equity Real Estate Investment Trusts (REITs)) | 1,627,104 | ||||||
135,669 | Vinci SA (Construction & Engineering) | 14,886,917 | ||||||
|
| |||||||
25,076,638 | ||||||||
|
| |||||||
Germany – 2.1% | ||||||||
93,236 | alstria office REIT AG (Equity Real Estate Investment Trusts (REITs)) | 1,669,371 | ||||||
176,712 | Vonovia SE (Real Estate Management & Development) | 11,610,812 | ||||||
|
| |||||||
13,280,183 | ||||||||
|
| |||||||
Hong Kong – 5.3% | ||||||||
558,000 | China Gas Holdings Ltd. (Gas Utilities) | 2,011,287 | ||||||
256,000 | China Resources Gas Group Ltd. (Gas Utilities) | 1,385,108 | ||||||
696,306 | CK Asset Holdings Ltd. (Real Estate Management & Development) | 4,359,305 | ||||||
1,306,049 | COSCO SHIPPING Ports Ltd. (Transportation Infrastructure) | 1,097,072 | ||||||
295,774 | ESR Cayman Ltd.*(a) (Real Estate Management & Development) | 1,010,127 | ||||||
640,000 | Guangdong Investment Ltd. (Water Utilities) | 985,360 | ||||||
855,361 | Hang Lung Properties Ltd. (Real Estate Management & Development) | 2,333,611 | ||||||
|
|
54 | 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) | ||||||||
3,037,000 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | $ | 4,871,491 | |||||
181,700 | Hongkong Land Holdings Ltd. (Real Estate Management & Development) | 898,545 | ||||||
414,883 | Link REIT (Equity Real Estate Investment Trusts (REITs)) | 3,913,616 | ||||||
229,719 | New World Development Co. Ltd. (Real Estate Management & Development) | 1,215,597 | ||||||
305,131 | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | 4,589,888 | ||||||
1,275,000 | Towngas China Co. Ltd. (Gas Utilities) | 627,388 | ||||||
649,314 | Wharf Real Estate Investment Co. Ltd. (Real Estate Management & Development) | 3,731,627 | ||||||
|
| |||||||
33,030,022 | ||||||||
|
| |||||||
Italy – 0.6% | ||||||||
174,137 | Enel SpA (Electric Utilities) | 1,729,063 | ||||||
319,028 | Snam SpA (Gas Utilities) | 1,795,187 | ||||||
|
| |||||||
3,524,250 | ||||||||
|
| |||||||
Japan – 6.6% | ||||||||
447 | Activia Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,061,176 | ||||||
17,800 | East Japan Railway Co. (Road & Rail) | 1,219,080 | ||||||
693 | GLP J-REIT (Equity Real Estate Investment Trusts (REITs)) | 1,161,658 | ||||||
5,823 | Invincible Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,092,610 | ||||||
4,039 | Japan Hotel REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,312,956 | ||||||
843 | Japan Metropolitan Fund Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 830,745 | ||||||
327 | Kenedix Office Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,407,872 | ||||||
188,704 | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | 3,105,857 | ||||||
287,268 | Mitsui Fudosan Co. Ltd. (Real Estate Management & Development) | 6,245,002 | ||||||
460 | Mitsui Fudosan Logistics Park, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,380,856 | ||||||
563 | Nippon Building Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,694,963 | ||||||
530 | Nippon Prologis REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,698,371 | ||||||
1,130 | Nomura Real Estate Master Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,785,464 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
1,563 | Orix JREIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,757,092 | ||||||
192,971 | Seibu Holdings, Inc.* (Road & Rail) | 2,075,179 | ||||||
75,842 | Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development) | 2,531,675 | ||||||
82,800 | The Kansai Electric Power Co., Inc. (Electric Utilities) | 822,431 | ||||||
61,600 | Tokyo Gas Co. Ltd. (Gas Utilities) | 1,250,104 | ||||||
6,200 | West Japan Railway Co. (Road & Rail) | 342,772 | ||||||
|
| |||||||
40,775,863 | ||||||||
|
| |||||||
Luxembourg – 0.4% | ||||||||
275,286 | Aroundtown SA (Real Estate Management & Development) | 2,119,732 | ||||||
10,403 | Shurgard Self Storage SA (Real Estate Management & Development) | 483,958 | ||||||
|
| |||||||
2,603,690 | ||||||||
|
| |||||||
Mexico* – 0.7% | ||||||||
18,645 | Grupo Aeroportuario del Pacifico SAB de CV ADR (Transportation Infrastructure) | 1,914,841 | ||||||
136,132 | Grupo Aeroportuario del Pacifico SAB de CV Class B (Transportation Infrastructure) | 1,399,424 | ||||||
4,090 | Grupo Aeroportuario del Sureste SAB de CV ADR (Transportation Infrastructure) | 695,709 | ||||||
|
| |||||||
4,009,974 | ||||||||
|
| |||||||
Netherlands – 0.1% | ||||||||
17,646 | Koninklijke Vopak NV (Oil, Gas & Consumable Fuels) | 807,979 | ||||||
|
| |||||||
New Zealand* – 0.4% | ||||||||
502,350 | Auckland International Airport Ltd. (Transportation Infrastructure) | 2,716,735 | ||||||
|
| |||||||
Singapore – 1.0% | ||||||||
961,200 | CapitaLand Ltd. (Real Estate Management & Development) | 2,679,500 | ||||||
625,270 | Frasers Centrepoint Trust (Equity Real Estate Investment Trusts (REITs)) | 1,139,359 | ||||||
1,568,070 | Frasers Logistics & Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 1,727,961 | ||||||
351,184 | Keppel DC REIT (Equity Real Estate Investment Trusts (REITs)) | 708,941 | ||||||
|
| |||||||
6,255,761 | ||||||||
|
| |||||||
Spain – 4.1% | ||||||||
34,986 | Aena SME SA*(a) (Transportation Infrastructure) | 6,080,411 | ||||||
190,424 | Cellnex Telecom SA(a) (Diversified Telecommunication Services) | 10,771,155 | ||||||
173,397 | Ferrovial SA (Construction & Engineering) | 4,922,914 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Spain – (continued) | ||||||||
205,193 | Inmobiliaria Colonial Socimi SA (Equity Real Estate Investment Trusts (REITs)) | $ | 2,081,575 | |||||
170,900 | Merlin Properties Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 1,888,846 | ||||||
|
| |||||||
25,744,901 | ||||||||
|
| |||||||
Sweden* – 0.5% | ||||||||
180,145 | Pandox AB (Hotels, Restaurants & Leisure) | 3,145,394 | ||||||
|
| |||||||
Thailand – 0.1% | ||||||||
339,000 | Airports of Thailand PCL (Transportation Infrastructure) | 673,773 | ||||||
|
| |||||||
United Kingdom – 5.3% | ||||||||
103,995 | Big Yellow Group PLC (Equity Real Estate Investment Trusts (REITs)) | 1,720,780 | ||||||
895,621 | Capital & Counties Properties PLC* (Equity Real Estate Investment Trusts (REITs)) | 2,246,456 | ||||||
1,027 | Derwent London PLC (Equity Real Estate Investment Trusts (REITs)) | 47,239 | ||||||
674,000 | Grainger PLC (Real Estate Management & Development) | 2,660,758 | ||||||
283,000 | Great Portland Estates PLC (Equity Real Estate Investment Trusts (REITs)) | 2,708,839 | ||||||
81,013 | Land Securities Group PLC (Equity Real Estate Investment Trusts (REITs)) | 807,299 | ||||||
818,133 | National Grid PLC (Multi-Utilities) | 10,313,009 | ||||||
301,718 | Segro PLC (Equity Real Estate Investment Trusts (REITs)) | 4,191,640 | ||||||
21,291 | Severn Trent PLC (Water Utilities) | 728,797 | ||||||
487,767 | The British Land Co. PLC (Equity Real Estate Investment Trusts (REITs)) | 3,495,420 | ||||||
148,939 | The UNITE Group PLC (Equity Real Estate Investment Trusts (REITs)) | 2,396,313 | ||||||
108,085 | United Utilities Group PLC (Water Utilities) | 1,445,722 | ||||||
|
| |||||||
32,762,272 | ||||||||
|
| |||||||
United States – 51.6% | ||||||||
120,598 | Acadia Realty Trust (Equity Real Estate Investment Trusts (REITs)) | 2,519,292 | ||||||
23,598 | Agree Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,660,355 | ||||||
19,508 | Alliant Energy Corp. (Electric Utilities) | 1,095,764 | ||||||
73,401 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 18,700,373 | ||||||
45,120 | American Water Works Co., Inc. (Water Utilities) | 7,038,269 | ||||||
110,758 | Americold Realty Trust (Equity Real Estate Investment Trusts (REITs)) | 4,473,516 | ||||||
26,200 | AvalonBay Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,030,400 | ||||||
244,400 | Brixmor Property Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,459,896 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
68,630 | Camden Property Trust (Equity Real Estate Investment Trusts (REITs)) | 8,268,542 | ||||||
73,050 | CareTrust REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,766,349 | ||||||
131,222 | CenterPoint Energy, Inc. (Multi-Utilities) | 3,213,627 | ||||||
155,520 | Cheniere Energy, Inc.* (Oil, Gas & Consumable Fuels) | 12,055,910 | ||||||
37,989 | Community Healthcare Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,934,400 | ||||||
88,828 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 16,793,822 | ||||||
7,230 | CSX Corp. (Road & Rail) | 728,423 | ||||||
14,754 | CyrusOne, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,074,534 | ||||||
55,818 | Digital Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 8,613,276 | ||||||
66,919 | Duke Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 3,113,072 | ||||||
54,533 | Edison International (Electric Utilities) | 3,241,987 | ||||||
1,332 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 960,052 | ||||||
69,005 | Equity LifeStyle Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 4,788,947 | ||||||
81,181 | Equity Residential (Equity Real Estate Investment Trusts (REITs)) | 6,026,066 | ||||||
161,796 | Essential Properties Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 4,237,437 | ||||||
45,554 | Essential Utilities, Inc. (Water Utilities) | 2,146,960 | ||||||
19,896 | Essex Property Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,780,186 | ||||||
29,145 | Evergy, Inc. (Electric Utilities) | 1,864,406 | ||||||
62,461 | Eversource Energy (Electric Utilities) | 5,385,387 | ||||||
22,700 | Extra Space Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,375,263 | ||||||
61,834 | FirstEnergy Corp. (Electric Utilities) | 2,344,745 | ||||||
14,901 | Gaming & Leisure Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 692,747 | ||||||
247,191 | Global Medical REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,549,663 | ||||||
41,012 | Highwoods Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,836,927 | ||||||
125,390 | Host Hotels & Resorts, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,277,082 | ||||||
242,599 | Hudson Pacific Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 6,819,458 | ||||||
179,119 | Invitation Homes, Inc. (Equity Real Estate Investment Trusts (REITs)) | 6,279,912 | ||||||
40,375 | Kilroy Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,767,303 | ||||||
156,400 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 2,666,620 | ||||||
|
|
56 | 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) | ||||||||
48,456 | Life Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | $ | 4,654,683 | |||||
54,682 | MGM Growth Properties LLC Class A (Equity Real Estate Investment Trusts (REITs)) | 1,969,646 | ||||||
88,386 | National Retail Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 4,102,878 | ||||||
12,038 | NETSTREIT Corp. (Equity Real Estate Investment Trusts (REITs)) | 250,752 | ||||||
405,666 | New Senior Investment Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,685,509 | ||||||
19,292 | NextEra Energy, Inc. (Electric Utilities) | 1,495,323 | ||||||
277,193 | NiSource, Inc. (Multi-Utilities) | 7,212,562 | ||||||
11,775 | Norfolk Southern Corp. (Road & Rail) | 3,288,051 | ||||||
26,256 | NorthWestern Corp. (Multi-Utilities) | 1,786,196 | ||||||
88,735 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4,644,390 | ||||||
312,800 | Paramount Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,318,808 | ||||||
55,558 | Park Hotels & Resorts, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,239,499 | ||||||
82,119 | Pebblebrook Hotel Trust (Equity Real Estate Investment Trusts (REITs)) | 1,961,002 | ||||||
216,740 | PG&E Corp.* (Electric Utilities) | 2,453,497 | ||||||
24,598 | Portland General Electric Co. (Electric Utilities) | 1,251,054 | ||||||
175,899 | Prologis, Inc. (Equity Real Estate Investment Trusts (REITs)) | 20,497,510 | ||||||
17,222 | Public Service Enterprise Group, Inc. (Multi-Utilities) | 1,087,742 | ||||||
6,178 | Public Storage (Equity Real Estate Investment Trusts (REITs)) | 1,737,006 | ||||||
21,603 | QTS Realty Trust, Inc. Class A (Equity Real Estate Investment Trusts (REITs)) | 1,436,383 | ||||||
36,939 | Regency Centers Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,351,537 | ||||||
27,242 | Rexford Industrial Realty, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,513,293 | ||||||
145,163 | RLJ Lodging Trust (Equity Real Estate Investment Trusts (REITs)) | 2,342,931 | ||||||
114,200 | Sabra Health Care REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,075,014 | ||||||
41,377 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | 12,401,514 | ||||||
65,792 | Sempra Energy (Multi-Utilities) | 9,051,005 | ||||||
39,835 | Simon Property Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 4,849,513 | ||||||
49,142 | SL Green Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 3,636,999 | ||||||
16,361 | Spire, Inc. (Gas Utilities) | 1,232,638 | ||||||
14,660 | Sun Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,445,728 | ||||||
172,834 | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 5,995,611 | ||||||
453,949 | The Williams Cos., Inc. (Oil, Gas & Consumable Fuels) | 11,058,198 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
73,705 | UDR, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,423,597 | ||||||
6,620 | Union Pacific Corp. (Road & Rail) | 1,470,236 | ||||||
77,398 | Urban Edge Properties (Equity Real Estate Investment Trusts (REITs)) | 1,458,952 | ||||||
25,971 | VICI Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 823,281 | ||||||
7,882 | Waste Management, Inc. (Commercial Services & Supplies) | 1,087,480 | ||||||
166,573 | Welltower, Inc. (Equity Real Estate Investment Trusts (REITs)) | 12,497,972 | ||||||
39,300 | WP Carey, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,943,177 | ||||||
Common Stocks – (continued) | ||||||||
84,932 | Xenia Hotels & Resorts, Inc.* (Equity Real Estate Investment Trusts (REITs)) | 1,650,229 | ||||||
|
| |||||||
321,962,364 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $495,898,736) | $ | 605,900,041 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 2.4% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
14,924,840 | 0.026% | $ | 14,924,840 | |||||
(Cost $14,924,840) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.6% | ||||||||
(Cost $510,823,576) | $ | 620,824,881 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% | 2,760,240 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 623,585,121 | ||||||
|
|
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: | ||
GBP | —Great British Pound | |
JPY | —Japanese Yen | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
LLC | —Limited Liability Company | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments (continued)
April 30, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2021, 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 | ||||||||||||||
State Street Bank and Trust | USD | 76,849 | GBP | 55,635 | 05/05/21 | $ | 14 | |||||||||||
USD | 509,727 | JPY | 55,534,769 | 05/06/21 | 1,566 | |||||||||||||
USD | 17,461 | JPY | 1,904,938 | 05/07/21 | 30 | |||||||||||||
TOTAL |
| $ | 1,610 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
State Street Bank and Trust | USD | 872,103 | JPY | 95,365,095 | 05/06/21 | $ | (522 | ) |
FUTURES CONTRACTS — At April 30, 2021, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
Long position contracts |
| |||||||||||
Dow Jones U.S.Real Estate Index | 340 | 06/18/21 | $ | 13,124,000 | $ | 967,081 |
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Assets and Liabilities
April 30, 2021 (Unaudited)
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 $353,258,380, $994,741,175 and $495,898,736, respectively) | $ | 492,675,170 | $ | 1,015,110,999 | $ | 605,900,041 | ||||||||
Investments of affiliated issuers, at value (cost $18,302,913, $64,729,628 and $14,924,840, respectively) | 18,302,913 | 64,729,628 | 14,924,840 | |||||||||||
Cash | 1,045,677 | 8,777,144 | 332,043 | |||||||||||
Foreign currencies, at value (cost $358,631, $2,347,731 and $722,032, respectively) | 359,394 | 2,347,043 | 721,956 | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | 423,218 | 664,804 | 1,610 | |||||||||||
Variation margin on futures contracts | — | — | 47,579 | |||||||||||
Unrealized gain on unfunded loan commitments | — | 37,480 | — | |||||||||||
Receivables: | ||||||||||||||
Investments sold | 41,131,446 | 34,992,414 | 12,481,415 | |||||||||||
Collateral on certain derivative contracts(a) | 6,820,450 | 8,787,238 | 860,200 | |||||||||||
Investments sold on an extended settlement basis | 2,748,329 | 9,527,967 | 1,573,589 | |||||||||||
Dividends and interest | 666,852 | 12,309,842 | 1,286,057 | |||||||||||
Foreign tax reclaims | 549,276 | 181,784 | 106,775 | |||||||||||
Reimbursement from investment adviser | 69,639 | — | — | |||||||||||
Fund shares sold | — | 270,000 | — | |||||||||||
Other assets | 11,261 | 25,387 | 12,636 | |||||||||||
Total assets | 564,803,625 | 1,157,761,730 | 638,248,741 | |||||||||||
Liabilities: | ||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 1,705,914 | 1,400,669 | 522 | |||||||||||
Variation margin on futures contracts | 127,947 | — | — | |||||||||||
Variation margin on swaps contracts | — | 135 | — | |||||||||||
Payables: | ||||||||||||||
Fund shares redeemed | 35,504,947 | 31,860,312 | 12,256,642 | |||||||||||
Investments purchased | 1,629,164 | 28,641,158 | 1,383,983 | |||||||||||
Management fees | 184,674 | 391,260 | 277,345 | |||||||||||
Investments purchased on an extended settlement basis | 147,588 | 16,139,448 | — | |||||||||||
Transfer Agency Fees | 9,333 | 18,394 | 10,297 | |||||||||||
Collateral on certain derivative contracts(b) | — | 230,000 | — | |||||||||||
Distributions payable | — | 101,993 | — | |||||||||||
Accrued expenses and other liabilities | 2,530,734 | 1,002,470 | 734,831 | |||||||||||
Total liabilities | 41,840,301 | 79,785,839 | 14,663,620 | |||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 326,089,614 | 1,075,942,263 | 534,056,576 | |||||||||||
Total distributable earnings | 196,873,710 | 2,033,628 | 89,528,545 | |||||||||||
NET ASSETS | $ | 522,963,324 | $ | 1,077,975,891 | $ | 623,585,121 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 38,068,183 | 118,099,707 | 57,346,689 | |||||||||||
Net asset value, offering and redemption price per share: | $13.74 | $9.13 | $10.87 |
(a) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Forward | Swaps | |||||||||
Multi-Manager Global Equity | $ | 2,760,450 | $ | 4,060,000 | $ | — | ||||||
Multi-Manager Non-Core Fixed Income | — | 650,000 | 8,137,238 | |||||||||
Multi-Manager Real Assets Strategy | 860,200 | — | — |
(b) | Segregated for initial margin and/or collateral for swaps contracts. |
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2021 (Unaudited)
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 $298,025, $1,254 and $380,459, respectively) | $ | 3,919,668 | $ | 32,403 | $ | 6,400,622 | ||||||||
Dividends — affiliated issuers | 4,619 | 10,804 | 1,832 | |||||||||||
Non-cash dividends — unaffiliated issuers | 618,987 | — | — | |||||||||||
Interest | 1,354 | 27,273,246 | — | |||||||||||
Total investment income | 4,544,628 | 27,316,453 | 6,402,454 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 2,902,644 | 4,343,322 | 2,719,773 | |||||||||||
Custody, accounting and administrative services | 618,622 | 447,074 | 185,781 | |||||||||||
Professional fees | 148,274 | 110,269 | 98,937 | |||||||||||
Transfer Agency fees | 56,362 | 102,196 | 54,395 | |||||||||||
Trustee fees | 17,667 | 19,784 | 17,421 | |||||||||||
Printing and mailing costs | 15,765 | 18,455 | 16,201 | |||||||||||
Registration fees | 9,118 | 16,628 | 9,354 | |||||||||||
Prime broker fees | 4,434 | 408 | — | |||||||||||
Other | 51,887 | 36,941 | 18,620 | |||||||||||
Total expenses | 3,824,773 | 5,095,077 | 3,120,482 | |||||||||||
Less — expense reductions | (2,398,961 | ) | (2,163,533 | ) | (1,247,247 | ) | ||||||||
Net expenses | 1,425,812 | 2,931,544 | 1,873,235 | |||||||||||
NET INVESTMENT INCOME | 3,118,816 | 24,384,909 | 4,529,219 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments — unaffiliated issuers(including commission recapture of $3,048, $0 and $0, respectively) | 57,935,146 | (219,780 | ) | 19,017,985 | ||||||||||
Purchased options | — | (71,492 | ) | — | ||||||||||
Futures contracts | 7,288,062 | 5,706 | — | |||||||||||
Written options | — | 10,980 | — | |||||||||||
Swap contracts | — | (352,363 | ) | — | ||||||||||
Forward foreign currency exchange contracts | (1,262,244 | ) | 2,122,948 | 19,626 | ||||||||||
Foreign currency transactions | 117,990 | (96,962 | ) | (22,086 | ) | |||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments — unaffiliated issuers | 84,288,336 | 45,360,486 | 90,165,202 | |||||||||||
Purchased options | — | (4,810 | ) | — | ||||||||||
Futures contracts | 3,348,546 | (5,618 | ) | 967,081 | ||||||||||
Unfunded loan commitments | — | 23,735 | — | |||||||||||
Swap contracts | — | 234,134 | — | |||||||||||
Forward foreign currency exchange contracts | (666,703 | ) | 788,205 | 1,088 | ||||||||||
Foreign currency translation | (48,518 | ) | 6,035 | (4,351 | ) | |||||||||
Net realized and unrealized gain | 151,000,615 | 47,801,204 | 110,144,545 | |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 154,119,431 | $ | 72,186,113 | $ | 114,673,764 |
60 | 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 Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 3,118,816 | $ | 6,540,662 | $ | 24,384,909 | $ | 44,385,074 | ||||||||||||||
Net realized gain (loss) | 64,078,954 | 6,792,368 | 1,399,037 | (6,500,583 | ) | |||||||||||||||||
Net change in unrealized gain (loss) | 86,921,661 | 3,779,630 | 46,402,167 | (28,859,272 | ) | |||||||||||||||||
Net increase in net assets resulting from operations | 154,119,431 | 17,112,660 | 72,186,113 | 9,025,219 | ||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings | (11,198,105 | ) | (26,403,118 | ) | (24,946,901 | ) | (38,347,018 | ) | ||||||||||||||
From return of capital | — | — | — | (6,283,078 | ) | |||||||||||||||||
Total distributions to shareholders | (11,198,105 | ) | (26,403,118 | ) | (24,946,901 | ) | (44,630,096 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | — | 77,760,000 | 192,570,000 | 186,180,000 | ||||||||||||||||||
Reinvestment of distributions | 11,198,105 | 26,403,118 | 24,844,908 | 44,630,096 | ||||||||||||||||||
Cost of shares redeemed | (158,604,947 | ) | (29,865,000 | ) | (126,702,312 | ) | (75,344,998 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (147,406,842 | ) | 74,298,118 | 90,712,596 | 155,465,098 | |||||||||||||||||
TOTAL INCREASE (DECREASE) | (4,485,516 | ) | 65,007,660 | 137,951,808 | 119,860,221 | |||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of period | 527,448,840 | 462,441,180 | 940,024,083 | 820,163,862 | ||||||||||||||||||
End of period | $ | 522,963,324 | $ | 527,448,840 | $ | 1,077,975,891 | $ | 940,024,083 |
The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Changes in Net Assets (continued)
Multi-Manager Real Assets Strategy Fund | ||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 4,529,219 | $ | 8,982,555 | ||||||
Net realized gain (loss) | 19,015,525 | (30,414,442 | ) | |||||||
Net change in unrealized gain (loss) | 91,129,020 | (38,525,254 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | 114,673,764 | (59,957,141 | ) | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings | (7,892,296 | ) | (22,252,923 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 103,230,000 | 85,869,000 | ||||||||
Reinvestment of distributions | 7,892,296 | 22,252,923 | ||||||||
Cost of shares redeemed | (54,268,642 | ) | (15,900,000 | ) | ||||||
Net increase in net assets resulting from share transactions | 56,853,654 | 92,221,923 | ||||||||
TOTAL INCREASE | 163,635,122 | 10,011,859 | ||||||||
Net assets: | ||||||||||
Beginning of period | 459,949,999 | 449,938,140 | ||||||||
End of period | $ | 623,585,121 | $ | 459,949,999 |
62 | 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 Period
Goldman Sachs Multi-Manager Global Equity Fund | ||||||||||||||||||||||||||
Class R6 Shares(a) | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.64 | $ | 10.97 | $ | 10.62 | $ | 11.36 | $ | 9.49 | $ | 9.46 | ||||||||||||||
Net investment income(b) | 0.07 | 0.14 | 0.19 | 0.15 | 0.11 | 0.11 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.27 | 0.15 | 0.91 | (0.52 | ) | 1.91 | (0.04 | ) | ||||||||||||||||||
Total from investment operations | 3.34 | 0.29 | 1.10 | (0.37 | ) | 2.02 | 0.07 | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.33 | ) | (0.19 | ) | (0.15 | ) | (0.15 | ) | (0.04 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.15 | ) | (0.29 | ) | (0.56 | ) | (0.22 | ) | — | — | ||||||||||||||||
Total distributions | (0.24 | ) | (0.62 | ) | (0.75 | ) | (0.37 | ) | (0.15 | ) | (0.04 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.74 | $ | 10.64 | $ | 10.97 | $ | 10.62 | $ | 11.36 | $ | 9.49 | ||||||||||||||
Total return(c) | 31.72 | % | 2.60 | % | 11.39 | % | (3.43 | )% | 21.63 | % | 0.74 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 522,963 | $ | 527,449 | $ | 462,441 | $ | 633,577 | $ | 490,497 | $ | 605,053 | ||||||||||||||
Ratio of net expenses to average net assets | 0.51 | %(d) | 0.46 | % | 0.72 | % | 0.80 | % | 0.85 | % | 0.85 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.36 | %(d) | 1.53 | % | 1.42 | % | 1.39 | % | 1.47 | % | 1.31 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.11 | %(d) | 1.34 | % | 1.81 | % | 1.29 | % | 1.03 | % | 1.19 | % | ||||||||||||||
Portfolio turnover rate(e) | 40 | % | 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 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. |
The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Multi-Manager Non-Core Fixed Income Fund | ||||||||||||||||||||||||||
Class R6 Shares(a) | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.70 | $ | 9.06 | $ | 8.83 | $ | 9.60 | $ | 9.60 | $ | 9.37 | ||||||||||||||
Net investment income(b) | 0.22 | 0.45 | 0.54 | 0.51 | 0.50 | 0.46 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.43 | (0.35 | ) | 0.31 | (0.77 | ) | — | 0.23 | ||||||||||||||||||
Total from investment operations | 0.65 | 0.10 | 0.85 | (0.26 | ) | 0.50 | 0.69 | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (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 | (0.22 | ) | (0.46 | ) | (0.62 | ) | (0.51 | ) | (0.50 | ) | (0.46 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.13 | $ | 8.70 | $ | 9.06 | $ | 8.83 | $ | 9.60 | $ | 9.60 | ||||||||||||||
Total return(c) | 7.51 | % | 1.21 | % | 9.03 | % | (2.84 | )% | 5.38 | % | 7.54 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,077,976 | $ | 940,024 | $ | 820,164 | $ | 683,830 | $ | 401,682 | $ | 304,046 | ||||||||||||||
Ratio of net expenses to average net assets | 0.57 | %(d) | 0.60 | % | 0.61 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.00 | %(d) | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | 1.20 | % | ||||||||||||||
Ratio of net investment income to average net assets | 4.77 | %(d) | 5.20 | % | 6.01 | % | 5.52 | % | 5.26 | % | 4.91 | % | ||||||||||||||
Portfolio turnover rate(e) | 55 | % | 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 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. |
64 | 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 Period
Goldman Sachs Multi-Manager Real Assets Strategy Fund | ||||||||||||||||||||||||||
Class R6 Shares(a) | ||||||||||||||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.93 | $ | 10.78 | $ | 9.24 | $ | 9.66 | $ | 9.17 | $ | 9.57 | ||||||||||||||
Net investment income(b) | 0.08 | 0.19 | 0.22 | 0.23 | (c) | 0.20 | 0.18 | |||||||||||||||||||
Net realized and unrealized gain (loss) | 2.01 | (1.51 | ) | 1.57 | (0.41 | ) | 0.58 | (0.38 | ) | |||||||||||||||||
Total from investment operations | 2.09 | (1.32 | ) | 1.79 | (0.18 | ) | 0.78 | (0.20 | ) | |||||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (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 | (0.15 | ) | (0.53 | ) | (0.25 | ) | (0.24 | ) | (0.29 | ) | (0.20 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.87 | $ | 8.93 | $ | 10.78 | $ | 9.24 | $ | 9.66 | $ | 9.17 | ||||||||||||||
Total return(d) | 23.58 | % | (12.86 | )% | 20.04 | % | (1.88 | )% | 8.65 | % | (2.14 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 623,585 | $ | 459,950 | $ | 449,938 | $ | 387,008 | $ | 212,441 | $ | 308,375 | ||||||||||||||
Ratio of net expenses to average net assets | 0.69 | %(e) | 0.77 | % | 0.81 | % | 0.90 | % | 0.90 | % | 0.87 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.15 | %(e) | 1.21 | % | 1.24 | % | 1.32 | % | 1.32 | % | 1.33 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.67 | %(e) | 2.02 | % | 2.23 | % | 2.37 | % | 2.10 | % | 1.96 | % | ||||||||||||||
Portfolio turnover rate(f) | 54 | % | 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 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. | 65 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
April 30, 2021 (Unaudited)
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 April 30, 2021, GSAM had sub-advisory agreements (the “Sub-Advisory Agreements”) for the Multi-Manager Global Equity Fund with Axiom 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, doing business as 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., Nuveen Asset Management, LLC, River Canyon Fund 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.
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 and underlying funds (“Underlying Funds”) is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. 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.
66
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
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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Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
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.
The Multi-Manager Non-Core Fixed Income Fund may also enter into certain credit arrangements, all or a portion of which may be unfunded. Unfunded loan commitments represent the remaining obligation of the Fund to the borrower. The Fund is obligated to fund these commitments at the borrower’s discretion. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit of a loan. All loans and unfunded loan commitments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower. Loans, including unfunded loan commitments, are marked to market daily using pricing vendor quotations and the change in value, if any, is recorded as an unrealized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
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
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April 30, 2021 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
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
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of 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 April 30, 2021:
MULTI-MANAGER GLOBAL EQUITY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | 364,848 | $ | 1,130,498 | $ | — | ||||||
Asia | 10,778,327 | 79,288,692 | — | |||||||||
Australia and Oceania | — | 3,102,874 | — | |||||||||
Europe | 18,421,489 | 104,398,286 | — | |||||||||
North America | 239,095,367 | 223,710 | — | |||||||||
South America | 2,556,457 | 798,360 | — | |||||||||
Warrants | — | 8,148 | — | |||||||||
Rights | — | 18,192 | ||||||||||
Exchange Traded Funds | 32,189,940 | — | — | |||||||||
Fixed Income | ||||||||||||
U.S. Treasury Obligations | 299,982 | — | — | |||||||||
Investment Companies | 18,302,913 | — | — | |||||||||
Total | $ | 322,009,323 | $ | 188,968,760 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 423,218 | $ | — | ||||||
Futures Contracts | 2,518,859 | — | — | |||||||||
Total | $ | 2,518,859 | $ | 423,218 | $ | — | ||||||
Liabilities(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,705,914 | ) | $ | — | |||||
Futures Contracts | (191,274 | ) | — | — | ||||||||
Total | $ | (191,274 | ) | $ | (1,705,914 | ) | $ | — |
(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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April 30, 2021 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER NON-CORE FIXED INCOME |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | $ | 4,574,002 | $ | 2,385,686 | $ | 1,770,180 | ||||||
Fixed Income | ||||||||||||
Foreign Debt Obligations | — | 351,207,948 | — | |||||||||
Corporate Obligations | — | 396,900,564 | 214,861 | |||||||||
Bank Loans | — | 204,843,490 | 2,338,176 | |||||||||
Mortgage-Backed Obligations | — | 23,342,397 | — | |||||||||
Asset-Backed Securities | — | 25,015,512 | — | |||||||||
U.S. Treasury Obligations | 1,763,290 | — | — | |||||||||
Warrants | — | 130,064 | 624,829 | |||||||||
Investment Company | 64,729,628 | — | — | |||||||||
Total | $ | 71,066,920 | $ | 1,003,825,661 | $ | 4,948,046 | ||||||
Assets(b) | ||||||||||||
Fixed Income | ||||||||||||
Unfunded Loan Committment | $ | — | $ | 37,480 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 664,804 | $ | — | ||||||
Credit Default Swap Contracts | — | 432,558 | — | |||||||||
Total | $ | — | $ | 1,097,362 | $ | — | ||||||
Liabilities(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,400,669 | ) | $ | — | |||||
Credit Default Swap Contracts | — | (206,535 | ) | — | ||||||||
Total | $ | — | $ | (1,607,204 | ) | $ | — | |||||
MULTI-MANAGER REAL ASSETS STRATEGY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 1,161,658 | $ | 83,371,097 | $ | — | ||||||
Australia and Oceania | — | 25,665,364 | — | |||||||||
Europe | 5,783,747 | 110,129,829 | — | |||||||||
North America | 378,042,587 | 1,010,127 | — | |||||||||
South America | 735,632 | — | — | |||||||||
Investment Company | 14,924,840 | — | — | |||||||||
Total | $ | 400,648,464 | $ | 220,176,417 | $ | — |
(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 (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,610 | $ | — | ||||||
Futures Contracts | 967,081 | — | — | |||||||||
Total | $ | 967,081 | $ | 1,610 | $ | — | ||||||
Liabilities(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (522 | ) | $ | — |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2021. 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 | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreigncurrency exchange contracts | $ | 423,218 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (1,705,914) | ||||||
Equity | Variation margin on futures contracts | 2,518,859 | (a) | Variation margin on futures contracts | (191,274) | (a) | ||||||
Total | $ | 2,942,077 | $ | (1,897,188) | ||||||||
Multi-Manager Non-Core Fixed Income | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Credit | Variation margin on swap contracts | $ | 432,558 | (a) | Variation margin on swap contracts | $ | (206,535) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency contracts | 664,804 | Payable for unrealized loss on forward foreign currency exchange contracts | (1,400,669) | ||||||||
Total | $ | 1,097,362 | $ | (1,607,204) |
(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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April 30, 2021 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
Multi-Manager Real Assets Strategy | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 1,610 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (522) | ||||||
Equity | Variation margin on futures contracts | 967,081 | (a) | — | — | |||||||
Total | $ | 968,691 | $ | (522) |
(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. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2021. 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) | |||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | (1,262,244 | ) | $ | (666,703 | ) | |||
Equity | Net realized gain from futures contracts/Net unrealized gain (loss) on futures contracts | 7,288,062 | 3,348,546 | |||||||
Total | $ | 6,025,818 | $2,681,843 | |||||||
Multi-Manager Non-Core Fixed Income | ||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Interest | Net realized gain (loss) from futures contracts/ Net change in unrealized gain (loss) on futures contracts | $ | 5,706 | $ | (5,618 | ) | ||||
Credit | Net realized gain (loss) from swap contracts/ Net change in unrealized gain (loss) on swap contracts | (352,363 | ) | 234,134 | ||||||
Currency | Net realized gain (loss) from purchased options, written options and forward foreign currency exchange contracts/ Net change in unrealized gain (loss) on purchased options and forward foreign currency exchange contracts | 2,062,436 | 783,395 | |||||||
Total | $ | 1,715,779 | $1,011,911 |
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4. INVESTMENTS IN DERIVATIVES (continued) |
Multi-Manager Real Assets Strategy | ||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain(loss) on forward foreign currency exchange contracts | $ | 19,626 | $ | 1,088 | |||||
Equity | Net realized gain from futures contracts/Net unrealized gain (loss) on futures contracts | — | 967,081 | |||||||
Total | $ | 19,626 | $968,169 |
For the six months ended April 30 2021, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts(a) | ||||||||||||||||||||
Fund | Futures contracts | Forward contracts | Swap Agreements | Purchased Options | Written Options | |||||||||||||||
Multi-Manager Global Equity | $ | 251 | $ | 298,189,976 | $ | — | — | — | ||||||||||||
Multi Manager Non Core Fixed Income | 4 | 190,950,582 | 28,770,000 | 7,171,667 | 1,800,000 | |||||||||||||||
Multi-Manager Real Asset Strategy | 340 | 1,036,674 | — | — | — |
(a) | Amounts(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased options and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that the Fund held such derivatives during the six months ended April 30, 2021. |
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 six months ended April 30, 2021, 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 | 0.38 | ||||||||||||||||
Multi-Manager Non-Core Fixed Income | 0.85 | 0.85 | 0.77 | 0.73 | 0.71 | 0.85 | 0.43 | |||||||||||||||||||||
Multi-Manager Real Asset Strategy | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 | 1.00 | 0.55 |
* | 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, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Board of Trustees. |
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 six months ended April 30, 2021, GSAM waived $ 27,751, $ 62,029 and $ 10,708 of the Multi-Manager Global Equity, Multi-Manager Non-Core Fixed Income and Multi-Manager Real Assets Strategy Funds’ management fees, respectively.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 each Fund’s “Total Annual Operating Expenses” (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such 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 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. In addition, GSAM has agreed to reduce or limit certain “Other Expenses” of the Multi-Manager Global Equity Fund (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 its average daily net assets. The Total Annual Operating Expenses and Other Expense limitations will remain in place through at least February 28, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended April 30, 2021, these expense reductions, including any fee waivers, Total Annual Operating Expense limitations and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursements | Total Annual Operating Expense Reductions | |||||||||||
Multi-Manager Global Equity | $ | 1,819,437 | $ | 579,524 | $ | 2,398,961 | ||||||||
Multi-Manager Non-Core Fixed Income | 2,163,533 | — | 2,163,533 | |||||||||||
Multi-Manager Real Assets Strategy | 1,247,247 | — | 1,247,247 |
D. Line of Credit Facility — As of April 30, 2021, the Funds participated in a $1,000,000,000 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 six months ended April 30, 2021, the Funds did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
E. Other Transactions with Affiliates — For the six months ended April 30, 2021 , Goldman Sachs earned $137 and $2,058 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.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2021:
Fund | Market Value as of October 31, 2020 | Purchases at Cost | Proceeds from Sales | Market Value as of April 30, 2021 | Shares April 30, 2021 | Dividend Income | ||||||||||||||||||
Multi-Manager Global Equity | ||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||||||||||||||||||
Institutional Shares | $ | 7,928,047 | $ | 90,497,382 | $ | (85,490,393 | ) | $ | 12,935,036 | 12,935,036 | $ | 1,183 | ||||||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||||||||||||||||||
Class R6 Shares | 31,021,110 | 60,783,186 | (86,436,418 | ) | 5,367,878 | 5,367,878 | 3,436 | |||||||||||||||||
Multi-Manager Non-Core Fixed Income |
| |||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||||||||||||||||||
Institutional Shares | 70,980,616 | 429,724,082 | (435,975,070 | ) | 64,729,628 | 64,729,628 | 10,804 | |||||||||||||||||
Multi-Manager Real Asset Strategy | ||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||||||||||||||||||
Institutional Shares | 12,797,235 | 148,326,829 | (146,199,224 | ) | 14,924,840 | 14,924,840 | 1,832 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2021, were as follows:
Fund | Purchases of Government Securities | Purchases Government Securities | Sales of Government Securities | Sales Excluding Government Securities | ||||||||||||||
Multi-Manager Global Equity | $ | — | $ | 202,937,393 | $ | — | $ | 334,631,898 | ||||||||||
Multi-Manager Non-Core Fixed Income | 16,434,907 | 601,858,261 | 14,675,288 | 502,485,729 | ||||||||||||||
Multi-Manager Real Asset Strategy | — | 333,379,642 | — | 285,569,422 |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, October 31, 2020, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Multi-Manager Global Equity | Multi-Manager Non-Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||||
Capital loss carryforwards: | ||||||||||||||
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 | ) | ||||||
Timing differences (Straddle Loss Deferral) | $ | (588 | ) | $ | (2,038,164 | ) | $ | — |
As of April 30, 2021, 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 | $ | 381,375,582 | $ | 1,060,015,399 | $ | 525,488,020 | ||||||||
Gross unrealized gain | 141,938,554 | 38,528,095 | 112,167,008 | |||||||||||
Gross unrealized loss | (12,336,053 | ) | (18,702,867 | ) | (16,830,147 | ) | ||||||||
Net unrealized gains (losses) on securities | $ | 129,602,501 | $ | 19,825,228 | $ | 95,336,861 |
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.
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.
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.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
8. OTHER RISKS (continued) |
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 a Fund invests. 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 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 — A Fund invests in foreign securities, and as such 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 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 — The Multi-Manager Real Assets Strategy Fund concentrates its investments in the real estate group of industries, which has historically experienced substantial price volatility. Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject the 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.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
8. OTHER RISKS (continued) |
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
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 a 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 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 a 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 a 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
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
8. OTHER RISKS (continued) |
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 Funds 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.
10. OTHER MATTERS |
In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria aremet. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. As of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2021 (Unaudited)
11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Asset 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 Global Equity Fund | ||||||||||||||||
| ||||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | — | $ | — | 7,760,795 | $ | 77,760,000 | ||||||||||
Reinvestment of distributions | 926,962 | 11,198,105 | 2,381,106 | 26,403,118 | ||||||||||||
Shares redeemed | (12,435,609 | ) | (158,604,947 | ) | (2,724,576 | ) | (29,865,000 | ) | ||||||||
NET INCREASE (DECREASE) | (11,508,647 | ) | $ | (147,406,842 | ) | 7,417,325 | $ | 74,298,118 | ||||||||
Multi-Manager Non-Core Fixed Income Fund | ||||||||||||||||
| ||||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 21,276,796 | $ | 192,570,000 | 20,983,239 | $ | 186,180,000 | ||||||||||
Reinvestment of distributions | 2,725,144 | 24,844,908 | 5,146,539 | 44,630,096 | ||||||||||||
Shares redeemed | (13,919,721 | ) | (126,702,312 | ) | (8,667,847 | ) | (75,344,998 | ) | ||||||||
NET INCREASE | 10,082,219 | $ | 90,712,596 | 17,461,931 | $ | 155,465,098 | ||||||||||
Multi-Manager Real Assets Strategy Fund | ||||||||||||||||
| ||||||||||||||||
For the Six Months Ended April 30, 2021 (Unaudited) | For the Fiscal Year Ended October 31, 2020 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 10,261,386 | $ | 103,230,000 | 9,272,253 | $ | 85,869,000 | ||||||||||
Reinvestment of distributions | 807,809 | 7,892,296 | 2,150,776 | 22,252,923 | ||||||||||||
Shares redeemed | (5,230,050 | ) | (54,268,642 | ) | (1,653,689 | ) | (15,900,000 | ) | ||||||||
NET INCREASE | 5,839,145 | $ | 56,853,654 | 9,769,340 | $ | 92,221,923 |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 2-3, 2021, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2020 through December 31, 2020 (the “Reporting Period”). Among other things, the annual report and related materials discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of the COVID-19 pandemic on liquidity and management of liquidity risk during the Reporting Period, including during stressed market conditions caused by the COVID-19 pandemic. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Fund Expenses — Six Month Period Ended April 30, 2021 (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 November 1, 2020 through April 30, 2021, which represents a period of 181 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 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | Beginning Account Value 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | Beginning Account Value 11/1/20 | Ending Account Value 4/30/21 | Expenses Paid for the 6 months ended 4/30/21* | |||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,317.20 | $ | 2.93 | $ | 1,000.00 | $ | 1,075.10 | $ | 2.93 | $ | 1,000.00 | $ | 1,235.80 | $ | 3.83 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.27 | + | 2.56 | 1,000.00 | 1,021.97 | + | 2.86 | 1,000.00 | 1,021.37 | + | 3.46 |
* | 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 April 30, 2021. 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 | 0.51 | % | ||
Multi-Manager Non-Core Fixed Income | 0.57 | |||
Multi-Manager Real Assets Strategy | 0.69 |
+ | 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. |
84
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Multi-Manager Real Assets Strategy 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 assets of the Fund among them, and overseeing their day-to-day management of Fund assets.
Upon the recommendation of the Investment Adviser, at a meeting held on February 2-3, 2021, the Trustees present, including those Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), approved a sub-advisory agreement (the “Sub-Advisory Agreement”) between the Investment Adviser and Presima, Inc. (the “Sub-Adviser”) on behalf of the Fund. In connection with their evaluation of the Sub-Advisory Agreement, the Trustees received written materials and oral presentations prepared by the Investment Adviser and the Sub-Adviser on the topics covered, and were advised by their independent legal counsel. In addition, the Trustees received information prepared by the Sub-Adviser in a written response to a formal request from the Investment Adviser.
Nature, Extent, and Quality of the Services to be Provided Under the Sub-Advisory Agreement
In evaluating the Sub-Advisory Agreement, the Trustees relied on the information provided by the Investment Adviser and the Sub-Adviser. In evaluating the nature, extent and quality of services to be provided by the Sub-Adviser, the Trustees considered information about the Sub-Adviser’s (a) personnel and compensation structure; (b) track record in managing other funds and accounts with investment strategies similar to those to be 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, the Trustees 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 considered that the Sub-Adviser currently manages other assets for the Investment Adviser’s clients. They considered and evaluated performance information related to the Sub-Adviser’s management of the Fund. The Trustees noted that the services contemplated under the Sub-Advisory Agreement are substantially similar to those offered under a prior agreement between the Investment Adviser and Sub-Adviser with respect to the Fund.
Costs of Services to be Provided
The Trustees reviewed the terms of the Sub-Advisory Agreement and the proposed fee schedule, which include breakpoints. They noted that the compensation paid to the Sub-Adviser would be paid by the Investment Adviser, not by the Fund. They also noted that the terms of the Sub-Advisory Agreement were the result of arms’ length negotiations between the Investment Adviser and the Sub-Adviser. The Trustees reviewed the anticipated blended average of all sub-advisory fees to be paid by the Investment Adviser with respect to the Fund. The Trustees considered the Investment Adviser’s undertaking to waive the portion of its management fee which is in excess of the weighted average of the Fund’s sub-advisory fees. They considered that the costs contemplated under the Agreement were the same as those under a prior agreement between the Investment Adviser and Sub-Adviser with respect to the Fund.
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 present, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees to be paid by Investment Adviser to the Sub-Adviser were reasonable in light of the factors considered, and that the Sub-Advisory Agreement, and the terms thereof, should be approved.
85
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.00 trillion in assets under supervision as of March 31, 2021, 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 Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion 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 Fund4 |
∎ | Income Builder 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 Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity 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 Fund5 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income 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 |
∎ | Strategic Volatility Premium Fund |
∎ | Target Date Retirement Portfolio |
∎ | 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 on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
5 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
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.
© 2021 Goldman Sachs. All rights reserved. 242258-OTU-1430326 SMACSAR-21
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. |
The information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the 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: | July 2, 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: | July 2, 2021 | |||
By: | /s/ Joseph F. DiMaria | |||
Joseph F. DiMaria | ||||
Principal Financial Officer | ||||
Goldman Sachs Trust II | ||||
Date: | July 2, 2021 |