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 | Stephen H. Bier, Esq. | |
Goldman Sachs & Co. LLC | Dechert LLP | |
200 West Street | 1095 Avenue of the Americas | |
New York, New York 10282 | New York, NY 10036 |
(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, 2022
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | April 30, 2022 | |||
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 | ||||
6 | ||||
17 | ||||
20 | ||||
20 | ||||
21 | ||||
22 | ||||
34 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Active Multi-Manager Funds
The following are highlights both of key factors affecting the equity markets and of any key changes made to the Goldman Sachs Active Multi-Manager Funds (the “Funds”) during the six months ended April 30, 2022 (the “Reporting Period”). Attribution highlights are provided for those Funds that materially outperformed or underperformed their respective benchmarks during the Reporting Period. A fuller review of the markets and these changes will appear in the Funds’ annual shareholder report covering the 12 months ended October 31, 2022.
Market and Economic Review
Equity Markets
• | Global equities, as represented by the MSCI All Country World Index (“MSCI ACWI”) Investable Market Index, returned -11.87% during the Reporting Period. |
• | When the Reporting Period began in November 2021, global equities suffered a sharp sell-off amid worries about rising inflation. |
• | Global equities then rebounded in December 2021 on expectations of healthy economic growth globally, as the COVID-19 Omicron variant proved to be less severe than previously expected. |
• | In the first four months of 2022, global equities declined amid persistent inflation and anticipation of a change in Federal Reserve (“Fed”) monetary policy. |
• | At their March policy meeting, Fed officials raised the targeted federal funds rate by 25 basis points — the first rate hike in more than three years. (A basis point is 1/100th of a percentage point.) |
• | The Fed’s policy shift led to a spike in interest rates that proved to be a substantial headwind for longer duration growth stocks. The information technology sector was especially challenged, as technology companies tend to deliver a higher proportion of their cash flows in the distant future. |
• | Market volatility increased in late February 2022 and through the end of the Reporting Period in response to Russia’s invasion of Ukraine. |
• | From a style perspective, growth stocks underperformed value stocks during the Reporting Period. High dividend and minimum volatility factors significantly outperformed momentum and quality factors. |
• | From a regional perspective, both developed markets and emerging markets equities produced negative returns. |
• | Within the developed markets, Japanese equities were weak, driven by the depreciation of the Japanese yen versus the U.S. dollar. |
• | Emerging markets stocks lagged developed market stocks. China’s equity market declined, as its government’s zero-tolerance COVID-19 policy dampened economic growth expectations. Continued regulatory headwinds for technology companies also weighed on Chinese equities. |
• | A number of index providers, including MSCI, excluded Russia from their indices beginning in March, declaring the Russian equity market had become inaccessible to foreign investors. |
Fund Changes and Highlights
No material changes were made to the Funds during the Reporting Period.
1
Multi-Manager International Equity Fund
as of April 30, 2022
PERFORMANCE REVIEW | ||||||||||
November 1, 2021–April 30, 2022 | Fund Total Return (based on NAV)1 | MSCI® EAFE® Index (Net, USD, Unhedged)2 | ||||||||
Class P Shares | -14.65 | % | -11.80 | % |
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 4/30/223 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Nestle SA | 1.9 | % | Food Products | |||||
Roche Holding AG | 1.7 | Pharmaceuticals | ||||||
Pernod Ricard SA | 1.6 | Beverages | ||||||
Amadeus IT Group SA | 1.6 | IT Services | ||||||
RELX PLC | 1.6 | Professional Services | ||||||
AIA Group Ltd. | 1.5 | Insurance | ||||||
Novo Nordisk A/S Class B | 1.5 | Pharmaceuticals | ||||||
Compass Group PLC | 1.4 | Hotels, Restaurants & Leisure | ||||||
Novartis AG | 1.4 | Pharmaceuticals | ||||||
Aon PLC Class A | 1.4 | Insurance |
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. |
2
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 | ||||||
As of April 30, 2022 |
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.
3
FUND BASICS
Multi-Manager U.S. Small Cap Equity Fund
as of April 30, 2022
PERFORMANCE REVIEW |
| |||||||||
November 1, 2021–April 30, 2022 | Fund Total Return (based on NAV)1 | Russell 2000® Total Return Index2 | ||||||||
Class P Shares | -15.15 | % | -18.38 | % |
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 4/30/223 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Genpact Ltd. | 1.0 | % | IT Services | |||||
Waste Connections, Inc. | 0.9 | Commercial Services & Supplies | ||||||
Zynga, Inc. Class A | 0.9 | Entertainment | ||||||
Graphic Packaging Holding Co. | 0.9 | Containers & Packaging | ||||||
ABM Industries, Inc. | 0.9 | Commercial Services & Supplies | ||||||
Prosperity Bancshares, Inc. | 0.8 | Banks | ||||||
Bright Horizons Family Solutions, Inc. | 0.8 | Diversified Consumer Services | ||||||
Casey’s General Stores, Inc. | 0.8 | Food & Staples Retailing | ||||||
Workiva, Inc. | 0.8 | Software | ||||||
Evo Payments, Inc. Class A | 0.7 | IT Services |
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. |
4
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
As of April 30, 2022 |
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.
5
MULTI-MANAGER INTERNATIONAL EQUITY FUND
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 95.3% | ||||||||
Australia – 0.9% | ||||||||
59,793 | CSL Ltd. (Biotechnology) | $ | 11,411,501 | |||||
|
| |||||||
Belgium – 0.2% | ||||||||
39,738 | KBC Group NV (Banks) | 2,703,449 | ||||||
|
| |||||||
Canada – 5.5% | ||||||||
112,350 | Air Canada* (Airlines) | 1,967,754 | ||||||
38,300 | Alimentation Couche-Tard, Inc. (Food & Staples Retailing) | 1,705,038 | ||||||
32,114 | BRP, Inc. (Leisure Products) | 2,601,568 | ||||||
286,483 | CAE, Inc.* (Aerospace & Defense) | 6,812,794 | ||||||
107,953 | Canadian National Railway Co. (Road & Rail) | 12,696,765 | ||||||
196,740 | Canadian Pacific Railway Ltd. (Road & Rail) | 14,402,010 | ||||||
20,023 | Intact Financial Corp. (Insurance) | 2,801,178 | ||||||
88,648 | National Bank of Canada (Banks) | 6,191,179 | ||||||
7,430 | Shopify, Inc. Class A* (IT Services) | 3,171,273 | ||||||
263,163 | Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 9,460,061 | ||||||
58,303 | The Toronto-Dominion Bank (Banks) | 4,211,213 | ||||||
34,388 | TMX Group Ltd. (Capital Markets) | 3,501,036 | ||||||
|
| �� | ||||||
69,521,869 | ||||||||
|
| |||||||
China – 2.3% | ||||||||
3,564,000 | Beijing Capital International Airport Co. Ltd. Class H* (Transportation Infrastructure) | 1,947,039 | ||||||
1,772,000 | China Longyuan Power Group Corp. Ltd. Class H (Independent Power and Renewable Electricity Producers) | 3,417,856 | ||||||
3,333 | JD.com, Inc. Class A* (Internet & Direct Marketing Retail) | 103,918 | ||||||
680,000 | Li Ning Co. Ltd. (Textiles, Apparel & Luxury Goods) | 5,300,033 | ||||||
853,861 | Ming Yang Smart Energy Group Ltd. (Electrical Equipment) | 2,807,892 | ||||||
110,200 | NetEase, Inc. (Entertainment) | 2,110,911 | ||||||
744,817 | Ping An Bank Co. Ltd. (Banks) | 1,706,969 | ||||||
350,700 | Shenzhou International Group Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 4,758,636 | ||||||
88,200 | Tencent Holdings Ltd. (Interactive Media & Services) | 4,156,415 | ||||||
61,331 | Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 2,563,636 | ||||||
|
| |||||||
28,873,305 | ||||||||
|
| |||||||
Denmark – 2.7% | ||||||||
73,619 | Carlsberg AS Class B (Beverages) | 9,352,052 | ||||||
21,683 | DSV A/S (Air Freight & Logistics) | 3,554,964 | ||||||
8,851 | Genmab A/S* (Biotechnology) | 3,112,378 | ||||||
162,911 | Novo Nordisk A/S Class B (Pharmaceuticals) | 18,608,710 | ||||||
|
| |||||||
34,628,104 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Finland – 0.5% | ||||||||
104,070 | Sampo Oyj Class A (Insurance) | 5,053,373 | ||||||
56,466 | Valmet Oyj (Machinery) | 1,512,204 | ||||||
|
| |||||||
6,565,577 | ||||||||
|
| |||||||
France – 14.1% | ||||||||
81,409 | Air Liquide SA (Chemicals) | 14,084,430 | ||||||
32,331 | Airbus SE (Aerospace & Defense) | 3,539,334 | ||||||
308,038 | Alstom SA (Machinery) | 6,770,801 | ||||||
234,852 | AXA SA (Insurance) | 6,213,014 | ||||||
52,349 | BNP Paribas SA (Banks) | 2,714,368 | ||||||
81,996 | Bureau Veritas SA (Professional Services) | 2,355,475 | ||||||
47,703 | Capgemini SE (IT Services) | 9,711,328 | ||||||
93,008 | Carrefour SA (Food & Staples Retailing) | 1,972,473 | ||||||
40,224 | Cie de Saint-Gobain (Building Products) | 2,346,594 | ||||||
22,577 | Cie Generale des Etablissements Michelin SCA (Auto Components) | 2,796,385 | ||||||
138,040 | Danone SA (Food Products) | 8,347,451 | ||||||
57,471 | Dassault Systemes SE (Software) | 2,541,618 | ||||||
779,347 | Engie SA (Multi-Utilities) | 9,196,661 | ||||||
33,489 | EssilorLuxottica SA (Textiles, Apparel & Luxury Goods) | 5,701,426 | ||||||
9,708 | L’Oreal SA (Personal Products) | 3,531,866 | ||||||
40,718 | Legrand SA (Electrical Equipment) | 3,608,192 | ||||||
26,120 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 16,903,166 | ||||||
96,820 | Pernod Ricard SA (Beverages) | 19,982,109 | ||||||
164,701 | Sanofi (Pharmaceuticals) | 17,408,053 | ||||||
115,130 | Schneider Electric SE (Electrical Equipment) | 16,517,600 | ||||||
30,554 | Thales SA (Aerospace & Defense) | 3,911,672 | ||||||
234,217 | TotalEnergies SE (Oil, Gas & Consumable Fuels) | 11,500,749 | ||||||
169,639 | Valeo (Auto Components) | 3,084,225 | ||||||
50,950 | Vinci SA (Construction & Engineering) | 4,943,875 | ||||||
|
| |||||||
179,682,865 | ||||||||
|
| |||||||
Germany – 5.6% | ||||||||
185,413 | Bayer AG* (Pharmaceuticals) | 12,213,347 | ||||||
67,885 | Beiersdorf AG (Personal Products) | 6,818,404 | ||||||
44,921 | Continental AG* (Auto Components) | 3,078,935 | ||||||
47,143 | Deutsche Boerse AG (Capital Markets) | 8,207,339 | ||||||
132,108 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 3,749,649 | ||||||
37,167 | Merck KGaA (Pharmaceuticals) | 6,895,492 | ||||||
11,375 | MTU Aero Engines AG* (Aerospace & Defense) | 2,293,946 | ||||||
195,613 | RWE AG (Independent Power and Renewable Electricity Producers) | 8,121,734 | ||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Germany – (continued) | ||||||||
164,335 | SAP SE (Software) | $ | 16,654,686 | |||||
80,562 | Vonovia SE (Real Estate Management & Development) | 3,209,668 | ||||||
|
| |||||||
71,243,200 | ||||||||
|
| |||||||
Hong Kong – 1.8% | ||||||||
1,920,790 | AIA Group Ltd. (Insurance) | 18,869,375 | ||||||
1,348,200 | ESR Cayman Ltd.*(a) (Real Estate Management & Development) | 4,092,605 | ||||||
|
| |||||||
22,961,980 | ||||||||
|
| |||||||
India – 1.0% | ||||||||
97,693 | HDFC Bank Ltd. (Banks) | 1,751,423 | ||||||
203,960 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 5,884,642 | ||||||
98,003 | Tata Consultancy Services Ltd. (IT Services) | 4,516,795 | ||||||
|
| |||||||
12,152,860 | ||||||||
|
| |||||||
Indonesia – 0.0% | ||||||||
978,900 | Bank Mandiri Persero Tbk PT (Banks) | 601,079 | ||||||
|
| |||||||
Ireland – 6.3% | ||||||||
47,502 | Accenture PLC Class A (IT Services) | 14,267,701 | ||||||
61,701 | Aon PLC Class A (Insurance) | 17,769,271 | ||||||
363,343 | Experian PLC (Professional Services) | 12,547,814 | ||||||
32,040 | ICON PLC* (Life Sciences Tools & Services) | 7,247,769 | ||||||
33,263 | Linde PLC (Chemicals) | 10,432,527 | ||||||
41,064 | Medtronic PLC (Health Care Equipment & Supplies) | 4,285,439 | ||||||
161,597 | Ryanair Holdings PLC ADR* (Airlines) | 14,110,650 | ||||||
|
| |||||||
80,661,171 | ||||||||
|
| |||||||
Israel – 1.0% | ||||||||
719,515 | Bank Leumi Le-Israel BM (Banks) | 7,551,127 | ||||||
38,746 | Check Point Software Technologies Ltd. (Software) | 4,893,232 | ||||||
|
| |||||||
12,444,359 | ||||||||
|
| |||||||
Italy – 3.1% | ||||||||
2,176,125 | Enel SpA (Electric Utilities) | 14,151,107 | ||||||
191,265 | Eni SpA (Oil, Gas & Consumable Fuels) | 2,673,653 | ||||||
36,324 | Ferrari NV (Automobiles) | 7,648,191 | ||||||
1,996,122 | Intesa Sanpaolo SpA (Banks) | 4,067,531 | ||||||
1,232,687 | UniCredit SpA (Banks) | 11,408,616 | ||||||
|
| |||||||
39,949,098 | ||||||||
|
| |||||||
Japan – 9.5% | ||||||||
11,700 | BayCurrent Consulting, Inc. (Professional Services) | 3,836,046 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
63,900 | Daikin Industries Ltd. (Building Products) | 9,765,043 | ||||||
50,300 | Denso Corp. (Auto Components) | 3,065,546 | ||||||
69,300 | FANUC Corp. (Machinery) | 10,618,704 | ||||||
159,500 | Hitachi Ltd. (Industrial Conglomerates) | 7,564,519 | ||||||
34,800 | Hoya Corp. (Health Care Equipment & Supplies) | 3,453,625 | ||||||
15,800 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 6,351,665 | ||||||
83,400 | Kobe Bussan Co. Ltd. (Food & Staples Retailing) | 2,033,234 | ||||||
57,100 | Koito Manufacturing Co. Ltd. (Auto Components) | 2,095,257 | ||||||
25,700 | Kose Corp. (Personal Products) | 2,638,387 | ||||||
291,400 | Kubota Corp. (Machinery) | 4,950,495 | ||||||
74,500 | Kyocera Corp. (Electronic Equipment, Instruments & Components) | 3,911,767 | ||||||
40,200 | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | 5,370,774 | ||||||
107,400 | Makita Corp. (Machinery) | 3,174,405 | ||||||
89,300 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 5,322,948 | ||||||
455,700 | Olympus Corp. (Health Care Equipment & Supplies) | 8,020,830 | ||||||
14,000 | Shimano, Inc. (Leisure Products) | 2,480,580 | ||||||
15,600 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 2,143,978 | ||||||
7,200 | SMC Corp. (Machinery) | 3,486,385 | ||||||
52,400 | Sony Group Corp. (Household Durables) | 4,522,173 | ||||||
146,600 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 4,429,363 | ||||||
69,800 | Suzuki Motor Corp. (Automobiles) | 2,104,128 | ||||||
269,000 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 7,805,445 | ||||||
150,900 | Terumo Corp. (Health Care Equipment & Supplies) | 4,491,559 | ||||||
9,200 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 3,881,907 | ||||||
76,200 | Yamaha Corp. (Leisure Products) | 2,911,371 | ||||||
|
| |||||||
120,430,134 | ||||||||
|
| |||||||
Macau* – 0.5% | ||||||||
2,609,600 | Sands China Ltd. (Hotels, Restaurants & Leisure) | 5,752,015 | ||||||
|
| |||||||
Mexico – 0.3% | ||||||||
547,400 | Arca Continental SAB de CV (Beverages) | 3,473,542 | ||||||
|
| |||||||
Netherlands – 4.6% | ||||||||
2,700 | Adyen NV*(a) (IT Services) | 4,528,692 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Netherlands – (continued) | ||||||||
154,323 | Akzo Nobel NV (Chemicals) | $ | 13,386,977 | |||||
16,716 | ASM International NV (Semiconductors & Semiconductor Equipment) | 5,023,026 | ||||||
15,557 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 8,770,570 | ||||||
865,744 | ING Groep NV (Banks) | 8,202,240 | ||||||
266,826 | Koninklijke Philips NV (Health Care Equipment & Supplies) | 6,972,462 | ||||||
65,159 | QIAGEN NV* (Life Sciences Tools & Services) | 3,004,943 | ||||||
59,186 | Randstad NV (Professional Services) | 3,129,705 | ||||||
207,479 | Universal Music Group NV (Entertainment) | 4,814,843 | ||||||
|
| |||||||
57,833,458 | ||||||||
|
| |||||||
Portugal – 0.2% | ||||||||
224,726 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | 2,735,285 | ||||||
|
| |||||||
Singapore – 0.4% | ||||||||
207,100 | DBS Group Holdings Ltd. (Banks) | 5,024,374 | ||||||
|
| |||||||
South Korea – 1.3% | ||||||||
68,056 | NHN KCP Corp.* (IT Services) | 1,118,851 | ||||||
8,814 | Samsung Electronics Co. Ltd. GDR (Technology Hardware, Storage & Peripherals) | 11,513,388 | ||||||
39,514 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 3,462,536 | ||||||
|
| |||||||
16,094,775 | ||||||||
|
| |||||||
Spain – 3.7% | ||||||||
42,735 | Aena SME SA*(a) (Transportation Infrastructure) | 6,064,504 | ||||||
318,801 | Amadeus IT Group SA* (IT Services) | 19,977,000 | ||||||
501,619 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 2,632,121 | ||||||
524,009 | Bankinter SA (Banks) | 3,083,727 | ||||||
1,633,347 | CaixaBank SA (Banks) | 5,272,272 | ||||||
207,819 | Iberdrola SA (Electric Utilities) | 2,388,007 | ||||||
259,246 | Industria de Diseno Textil SA (Specialty Retail) | 5,435,679 | ||||||
562,318 | Linea Directa Aseguradora SA Cia de Seguros y Reaseguros (Insurance) | 807,835 | ||||||
71,676 | Siemens Gamesa Renewable Energy SA* (Electrical Equipment) | 1,141,696 | ||||||
|
| |||||||
46,802,841 | ||||||||
|
| |||||||
Sweden – 1.6% | ||||||||
76,423 | Atlas Copco AB Class A (Machinery) | 3,464,778 | ||||||
67,929 | Evolution AB(a) (Hotels, Restaurants & Leisure) | 6,969,400 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Sweden – (continued) | ||||||||
267,012 | Hexagon AB Class B (Electronic Equipment, Instruments & Components) | 3,445,235 | ||||||
365,306 | Swedbank AB Class A (Banks) | 5,778,863 | ||||||
173,298 | Volvo Car AB* (Automobiles) | 1,271,344 | ||||||
|
| |||||||
20,929,620 | ||||||||
|
| |||||||
Switzerland – 10.3% | ||||||||
217,613 | ABB Ltd. (Electrical Equipment) | 6,528,812 | ||||||
103,604 | Alcon, Inc. (Health Care Equipment & Supplies) | 7,397,409 | ||||||
56,873 | Cie Financiere Richemont SA Class A (Textiles, Apparel & Luxury Goods) | 6,608,113 | ||||||
488,355 | Credit Suisse Group AG (Capital Markets) | 3,314,620 | ||||||
67,101 | Idorsia, Ltd.* (Biotechnology) | 1,145,305 | ||||||
51,940 | Julius Baer Group Ltd. (Capital Markets) | 2,482,099 | ||||||
11,312 | Lonza Group AG (Life Sciences Tools & Services) | 6,669,938 | ||||||
185,901 | Nestle SA (Food Products) | 23,998,718 | ||||||
201,645 | Novartis AG (Pharmaceuticals) | 17,819,216 | ||||||
58,299 | Roche Holding AG (Pharmaceuticals) | 21,618,069 | ||||||
38,722 | Sika AG (Chemicals) | 11,827,944 | ||||||
455,238 | UBS Group AG (Capital Markets) | 7,728,408 | ||||||
28,922 | Zurich Insurance Group AG (Insurance) | 13,167,305 | ||||||
|
| |||||||
130,305,956 | ||||||||
|
| |||||||
Taiwan – 1.0% | ||||||||
122,000 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 2,206,083 | ||||||
113,695 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 10,565,676 | ||||||
|
| |||||||
12,771,759 | ||||||||
|
| |||||||
United Kingdom – 13.5% | ||||||||
75,940 | AstraZeneca PLC (Pharmaceuticals) | 10,133,530 | ||||||
312,547 | Balfour Beatty PLC (Construction & Engineering) | 946,927 | ||||||
3,295,833 | Barclays PLC (Banks) | 6,058,206 | ||||||
1,757,163 | BP PLC (Oil, Gas & Consumable Fuels) | 8,483,220 | ||||||
139,057 | British American Tobacco PLC (Tobacco) | 5,828,205 | ||||||
137,799 | Coca-Cola European Partners PLC (Beverages) | 7,018,199 | ||||||
854,537 | Compass Group PLC (Hotels, Restaurants & Leisure) | 18,032,301 | ||||||
145,035 | Diageo PLC (Beverages) | 7,235,630 | ||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
193,450 | GlaxoSmithKline PLC (Pharmaceuticals) | $ | 4,360,862 | |||||
468,956 | Informa PLC* (Media) | 3,326,725 | ||||||
24,629 | London Stock Exchange Group PLC (Capital Markets) | 2,428,216 | ||||||
733,711 | Prudential PLC (Insurance) | 9,133,567 | ||||||
159,783 | Reckitt Benckiser Group PLC (Household Products) | 12,460,767 | ||||||
792,644 | RELX PLC (Professional Services) | 23,615,444 | ||||||
135,779 | Rio Tinto PLC (Metals & Mining) | 9,593,621 | ||||||
13,258,526 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 13,592,115 | ||||||
350,586 | Shell PLC (Oil, Gas & Consumable Fuels) | 9,465,977 | ||||||
208,094 | Smith & Nephew PLC (Health Care Equipment & Supplies) | 3,372,904 | ||||||
1,143,359 | Tesco PLC (Food & Staples Retailing) | 3,884,354 | ||||||
194,243 | Unilever PLC (Personal Products) | 9,030,380 | ||||||
217,089 | WH Smith PLC* (Specialty Retail) | 3,905,707 | ||||||
|
| |||||||
171,906,857 | ||||||||
|
| |||||||
United States – 3.4% | ||||||||
22,539 | Atlassian Corp. PLC Class A* (Software) | 5,067,443 | ||||||
13,440 | EPAM Systems, Inc.* (IT Services) | 3,561,465 | ||||||
34,867 | Ferguson PLC (Trading Companies & Distributors) | 4,374,037 | ||||||
20,847 | Lululemon Athletica, Inc.* (Textiles, Apparel & Luxury Goods) | 7,392,972 | ||||||
5,451 | Mettler-Toledo International, Inc.* (Life Sciences Tools & Services) | 6,963,816 | ||||||
42,745 | ResMed, Inc. (Health Care Equipment & Supplies) | 8,547,718 | ||||||
30,161 | STERIS PLC (Health Care Equipment & Supplies) | 6,757,572 | ||||||
|
| |||||||
42,665,023 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,095,719,010) | $ | 1,210,126,056 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 0.6% | ||||||||
Germany – 0.6% | ||||||||
Volkswagen AG (Automobiles) | ||||||||
52,804 | 3.306% | $ | 8,177,566 | |||||
(Cost $11,424,576) | ||||||||
|
| |||||||
Investment Company(b) – 3.7% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
47,129,290 | 0.317% | 47,129,290 | ||||||
(Cost $47,129,290) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.6% | ||||||||
(Cost $1,154,272,876) | $ | 1,265,432,912 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% | 4,933,414 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,270,366,326 | ||||||
|
|
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 | |||
|
Sector Allocation as of April 30, 2022 | ||||
Sector Name | % of Total Market Value | |||
| ||||
Industrials | 17.7 | % | ||
Health Care | 16.5 | |||
Financials | 15.0 | |||
Information Technology | 12.9 | |||
Consumer Discretionary | 10.6 | |||
Consumer Staples | 10.2 | |||
Materials | 4.8 | |||
Investment Companies | 3.8 | |||
Energy | 3.5 | |||
Utilities | 2.9 | |||
Communication Services | 1.1 | |||
Real Estate | 0.6 | |||
| ||||
TOTAL INVESTMENTS | 99.6 | |||
|
The accompanying notes are an integral part of these financial statements. | 9 |
MULTI-MANAGER INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2022, 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 | GBP | 2,294 | USD | 2,882 | 05/04/22 | $ | 3 | |||||||||||||
USD | 89,205 | GBP | 70,755 | 05/04/22 | 234 | |||||||||||||||
USD | 95,841 | IDR | 1,388,193,080 | 05/09/22 | 455 | |||||||||||||||
USD | 56,474 | JPY | 7,234,259 | 05/02/22 | 725 | |||||||||||||||
TOTAL |
| $ | 1,417 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
State Street Bank and Trust | GBP | 296,438 | USD | 372,827 | 05/04/22 | $ | (74 | ) |
10 | The accompanying notes are an integral part of these financial statements. |
MULTI-MANAGER U.S. SMALL CAP EQUITY FUND
Schedule of Investments
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 93.8% | ||||||||
Aerospace & Defense – 1.2% | ||||||||
11,240 | AAR Corp.* | $ | 528,055 | |||||
12,372 | BWX Technologies, Inc. | 642,354 | ||||||
16,114 | Curtiss-Wright Corp. | 2,302,852 | ||||||
33,000 | Hexcel Corp. | 1,793,880 | ||||||
16,079 | Woodward, Inc. | 1,776,408 | ||||||
|
| |||||||
7,043,549 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.4% | ||||||||
7,550 | Forward Air Corp. | 732,123 | ||||||
27,129 | Hub Group, Inc. Class A* | 1,821,984 | ||||||
|
| |||||||
2,554,107 | ||||||||
|
| |||||||
Airlines* – 0.1% | ||||||||
42,300 | Frontier Group Holdings, Inc. | 448,803 | ||||||
|
| |||||||
Auto Components – 1.0% | ||||||||
4,340 | Fox Factory Holding Corp.* | 355,359 | ||||||
17,320 | Gentherm, Inc.* | 1,167,714 | ||||||
23,747 | LCI Industries | 2,311,058 | ||||||
10,336 | Standard Motor Products, Inc. | 441,141 | ||||||
15,200 | Visteon Corp.* | 1,591,592 | ||||||
|
| |||||||
5,866,864 | ||||||||
|
| |||||||
Automobiles – 0.5% | ||||||||
75,694 | Harley-Davidson, Inc. | 2,759,046 | ||||||
4,405 | Thor Industries, Inc. | 337,203 | ||||||
|
| |||||||
3,096,249 | ||||||||
|
| |||||||
Banks – 5.6% | ||||||||
10,926 | Ameris Bancorp | 455,614 | ||||||
26,250 | Bank of Hawaii Corp. | 1,951,425 | ||||||
35,702 | BankUnited, Inc. | 1,340,253 | ||||||
16,653 | Columbia Banking System, Inc. | 467,616 | ||||||
18,720 | Customers Bancorp, Inc.* | 787,550 | ||||||
25,350 | Eagle Bancorp, Inc. | 1,276,373 | ||||||
45,220 | First Hawaiian, Inc. | 1,067,644 | ||||||
25,657 | First Merchants Corp. | 1,005,498 | ||||||
31,350 | Independent Bank Corp. | 2,418,966 | ||||||
13,900 | Lakeland Financial Corp. | 1,012,198 | ||||||
59,874 | PacWest Bancorp. | 1,969,256 | ||||||
11,525 | Pinnacle Financial Partners, Inc. | 893,764 | ||||||
9,919 | Preferred Bank | 665,763 | ||||||
77,819 | Prosperity Bancshares, Inc. | 5,087,806 | ||||||
48,700 | Renasant Corp. | 1,450,773 | ||||||
36,480 | SouthState Corp. | 2,825,011 | ||||||
39,844 | Synovus Financial Corp. | 1,655,120 | ||||||
23,200 | UMB Financial Corp. | 2,092,176 | ||||||
60,811 | Umpqua Holdings Corp. | 1,005,814 | ||||||
108,001 | Valley National Bancorp | 1,293,852 | ||||||
37,512 | Wintrust Financial Corp. | 3,275,548 | ||||||
|
| |||||||
33,998,020 | ||||||||
|
| |||||||
Biotechnology* – 2.6% | ||||||||
101,229 | Abcam PLC ADR | 1,571,074 | ||||||
20,420 | Apellis Pharmaceuticals, Inc. | 888,883 | ||||||
14,388 | Ascendis Pharma A/S ADR | 1,313,193 | ||||||
15,670 | Beam Therapeutics, Inc. | 588,095 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Biotechnology* – (continued) | ||||||||
10,910 | Bicycle Therapeutics PLC ADR | 256,167 | ||||||
75,700 | BioCryst Pharmaceuticals, Inc. | 703,253 | ||||||
22,520 | Biohaven Pharmaceutical Holding Co. Ltd. | 2,008,108 | ||||||
26,520 | Blueprint Medicines Corp. | 1,547,442 | ||||||
18,620 | Compass Pathways PLC ADR | 168,697 | ||||||
24,550 | DermTech, Inc. | 209,902 | ||||||
68,470 | Equillium, Inc. | 167,409 | ||||||
38,319 | Fate Therapeutics, Inc. | 1,094,391 | ||||||
7,850 | Karuna Therapeutics, Inc. | 874,961 | ||||||
36,560 | Kezar Life Sciences, Inc. | 434,333 | ||||||
31,153 | Neurocrine Biosciences, Inc. | 2,804,704 | ||||||
24,710 | Opthea, Ltd. ADR | 141,341 | ||||||
13,380 | Scholar Rock Holding Corp. | 94,597 | ||||||
17,600 | SpringWorks Therapeutics, Inc. | 755,216 | ||||||
|
| |||||||
15,621,766 | ||||||||
|
| |||||||
Building Products – 2.2% | ||||||||
3,000 | Carlisle Cos., Inc. | 778,080 | ||||||
17,600 | Gibraltar Industries, Inc.* | 665,984 | ||||||
7,303 | Masonite International Corp.* | 566,128 | ||||||
98,936 | Resideo Technologies, Inc.* | 2,225,071 | ||||||
8,420 | Simpson Manufacturing Co., Inc. | 872,901 | ||||||
99,726 | The AZEK Co., Inc.* | 2,118,180 | ||||||
26,100 | UFP Industries, Inc. | 2,019,357 | ||||||
118,653 | Zurn Water Solutions Corp. | 3,704,347 | ||||||
|
| |||||||
12,950,048 | ||||||||
|
| |||||||
Capital Markets – 0.9% | ||||||||
27,550 | Artisan Partners Asset Management, Inc. Class A | 885,457 | ||||||
17,150 | Cohen & Steers, Inc. | 1,332,384 | ||||||
21,099 | Evercore, Inc. Class A | 2,231,219 | ||||||
28,020 | Focus Financial Partners, Inc. Class A* | 1,105,389 | ||||||
|
| |||||||
5,554,449 | ||||||||
|
| |||||||
Chemicals – 2.8% | ||||||||
14,760 | Avient Corp. | 726,782 | ||||||
26,541 | Cabot Corp. | 1,747,725 | ||||||
46,447 | Ecovyst, Inc. | 467,257 | ||||||
49,673 | H.B. Fuller Co. | 3,313,189 | ||||||
14,796 | Ingevity Corp.* | 886,280 | ||||||
15,425 | Innospec, Inc. | 1,470,157 | ||||||
25,458 | Minerals Technologies, Inc. | 1,619,383 | ||||||
16,853 | Quaker Chemical Corp. | 2,742,152 | ||||||
41,419 | Schweitzer-Mauduit International, Inc. | 1,042,102 | ||||||
98,260 | Valvoline, Inc. | 2,970,400 | ||||||
|
| |||||||
16,985,427 | ||||||||
|
| |||||||
Commercial Services & Supplies – 4.2% | ||||||||
108,418 | ABM Industries, Inc. | 5,233,337 | ||||||
98,030 | ACCO Brands Corp. | 718,560 | ||||||
57,332 | BrightView Holdings, Inc.* | 725,823 | ||||||
59,258 | Harsco Corp.* | 605,617 | ||||||
119,102 | IAA, Inc.* | 4,365,088 | ||||||
68,923 | KAR Auction Services, Inc.* | 1,010,411 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Commercial Services & Supplies – (continued) | ||||||||
16,037 | MSA Safety, Inc. | $ | 1,935,505 | |||||
48,416 | Steelcase, Inc. Class A | 567,920 | ||||||
21,553 | The Brink’s Co. | 1,270,549 | ||||||
7,200 | UniFirst Corp. | 1,240,560 | ||||||
49,032 | Viad Corp.* | 1,605,798 | ||||||
41,380 | Waste Connections, Inc. | 5,709,199 | ||||||
|
| |||||||
24,988,367 | ||||||||
|
| |||||||
Communications Equipment – 0.7% | ||||||||
18,825 | ADTRAN, Inc. | 327,367 | ||||||
93,328 | CommScope Holding Co., Inc.* | 562,768 | ||||||
318,157 | Infinera Corp.* | 2,446,627 | ||||||
48,650 | NETGEAR, Inc.* | 1,055,705 | ||||||
|
| |||||||
4,392,467 | ||||||||
|
| |||||||
Construction & Engineering – 1.3% | ||||||||
11,975 | Comfort Systems USA, Inc. | 1,010,930 | ||||||
29,626 | EMCOR Group, Inc. | 3,154,576 | ||||||
7,600 | MYR Group, Inc.* | 601,084 | ||||||
12,687 | Valmont Industries, Inc. | 3,156,652 | ||||||
|
| |||||||
7,923,242 | ||||||||
|
| |||||||
Construction Materials – 0.3% | ||||||||
5,900 | Eagle Materials, Inc. | 727,588 | ||||||
44,210 | Summit Materials, Inc. Class A* | 1,229,038 | ||||||
|
| |||||||
1,956,626 | ||||||||
|
| |||||||
Consumer Finance – 1.4% | ||||||||
91,488 | Navient Corp. | 1,453,744 | ||||||
8,905 | Nelnet, Inc. Class A | 730,834 | ||||||
43,843 | PRA Group, Inc.* | 1,842,721 | ||||||
11,960 | PROG Holdings, Inc.* | 316,581 | ||||||
227,068 | SLM Corp. | 3,798,848 | ||||||
|
| |||||||
8,142,728 | ||||||||
|
| |||||||
Containers & Packaging – 1.7% | ||||||||
247,731 | Graphic Packaging Holding Co. | 5,400,536 | ||||||
42,300 | Silgan Holdings, Inc. | 1,876,851 | ||||||
32,000 | Sonoco Products Co. | 1,981,120 | ||||||
41,900 | TriMas Corp. | 1,237,726 | ||||||
|
| |||||||
10,496,233 | ||||||||
|
| |||||||
Diversified Consumer Services – 2.3% | ||||||||
42,160 | Bright Horizons Family Solutions, Inc.* | 4,816,359 | ||||||
31,656 | Frontdoor, Inc.* | 978,487 | ||||||
19,234 | H&R Block, Inc. | 501,430 | ||||||
80,017 | Stride, Inc.* | 3,144,668 | ||||||
97,856 | Terminix Global Holdings, Inc.* | 4,490,612 | ||||||
|
| |||||||
13,931,556 | ||||||||
|
| |||||||
Diversified Telecommunication Services – 0.3% | ||||||||
32,748 | Cogent Communications Holdings, Inc. | 1,915,758 | ||||||
|
| |||||||
Electric Utilities – 0.4% | ||||||||
19,075 | ALLETE, Inc. | 1,131,911 | ||||||
14,100 | MGE Energy, Inc. | 1,097,967 | ||||||
|
| |||||||
2,229,878 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Electrical Equipment – 0.3% | ||||||||
16,645 | EnerSys | 1,089,582 | ||||||
69,164 | GrafTech International Ltd. | 628,009 | ||||||
|
| |||||||
1,717,591 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 3.7% | ||||||||
43,115 | Advanced Energy Industries, Inc. | 3,299,160 | ||||||
71,201 | Avnet, Inc. | 3,108,636 | ||||||
66,996 | Belden, Inc. | 3,459,003 | ||||||
11,700 | Fabrinet* | 1,148,823 | ||||||
41,259 | Insight Enterprises, Inc.* | 4,099,907 | ||||||
14,506 | Littelfuse, Inc. | 3,325,500 | ||||||
13,850 | Plexus Corp.* | 1,123,789 | ||||||
35,400 | ScanSource, Inc.* | 1,212,096 | ||||||
12,951 | TD SYNNEX Corp. | 1,296,266 | ||||||
|
| |||||||
22,073,180 | ||||||||
|
| |||||||
Energy Equipment & Services – 1.2% | ||||||||
81,655 | Cactus, Inc. Class A | 4,077,034 | ||||||
51,730 | ChampionX Corp. | 1,091,503 | ||||||
130,150 | Helix Energy Solutions Group, Inc.* | 534,917 | ||||||
41,374 | National Energy Services Reunited Corp.* | 276,792 | ||||||
95,966 | NexTier Oilfield Solutions, Inc.* | 1,058,505 | ||||||
|
| |||||||
7,038,751 | ||||||||
|
| |||||||
Entertainment – 0.9% | ||||||||
3,720 | World Wrestling Entertainment, Inc. Class A | 217,211 | ||||||
653,142 | Zynga, Inc. Class A* | 5,401,484 | ||||||
|
| |||||||
5,618,695 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||||||||
116,550 | Apple Hospitality REIT, Inc. | 2,061,770 | ||||||
74,425 | Corporate Office Properties Trust | 1,986,403 | ||||||
54,025 | Cousins Properties, Inc. | 1,939,498 | ||||||
238,299 | DigitalBridge Group, Inc.* | 1,658,561 | ||||||
21,439 | EastGroup Properties, Inc. | 4,019,812 | ||||||
31,100 | First Industrial Realty Trust, Inc. | 1,803,800 | ||||||
67,125 | Four Corners Property Trust, Inc. | 1,843,253 | ||||||
19,850 | National Storage Affiliates Trust | 1,123,510 | ||||||
50,300 | Rayonier, Inc. | 2,172,960 | ||||||
13,923 | Spirit Realty Capital, Inc. | 604,954 | ||||||
|
| |||||||
19,214,521 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.3% | ||||||||
15,470 | BJ’s Wholesale Club Holdings, Inc.* | 995,494 | ||||||
23,439 | Casey’s General Stores, Inc. | 4,718,271 | ||||||
41,300 | Performance Food Group Co.* | 2,034,025 | ||||||
|
| |||||||
7,747,790 | ||||||||
|
| |||||||
Food Products – 1.7% | ||||||||
44,515 | Fresh Del Monte Produce, Inc. | 1,159,616 | ||||||
13,340 | Freshpet, Inc.* | 1,245,289 | ||||||
19,775 | Ingredion, Inc. | 1,683,050 | ||||||
6,175 | Lancaster Colony Corp. | 958,237 | ||||||
|
|
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) | ||||||||
Food Products – (continued) | ||||||||
80,148 | Nomad Foods Ltd.* | $ | 1,479,532 | |||||
18,900 | The Hain Celestial Group, Inc.* | 633,906 | ||||||
74,891 | The Simply Good Foods Co.* | 3,119,210 | ||||||
|
| |||||||
10,278,840 | ||||||||
|
| |||||||
Gas Utilities – 0.2% | ||||||||
13,375 | ONE Gas, Inc. | 1,128,449 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 3.6% | ||||||||
47,650 | AngioDynamics, Inc.* | 1,003,032 | ||||||
12,490 | Axonics, Inc.* | 647,232 | ||||||
5,620 | CONMED Corp. | 747,235 | ||||||
31,838 | CryoPort, Inc.* | 718,265 | ||||||
51,795 | Envista Holdings Corp.* | 2,052,118 | ||||||
48,869 | Establishment Labs Holdings, Inc.* | 3,457,970 | ||||||
9,859 | Haemonetics Corp.* | 499,556 | ||||||
19,920 | Inari Medical, Inc.* | 1,607,544 | ||||||
11,100 | Integer Holdings Corp.* | 834,387 | ||||||
11,860 | LivaNova PLC* | 909,188 | ||||||
32,000 | Natus Medical, Inc.* | 1,064,640 | ||||||
29,799 | Nevro Corp.* | 1,838,300 | ||||||
99,287 | Ortho Clinical Diagnostics Holdings PLC* | 1,748,444 | ||||||
40,596 | OrthoPediatrics Corp.* | 1,830,068 | ||||||
6,260 | Shockwave Medical, Inc.* | 946,074 | ||||||
103,298 | SI-BONE, Inc.* | 2,063,894 | ||||||
|
| |||||||
21,967,947 | ||||||||
|
| |||||||
Health Care Providers & Services – 3.1% | ||||||||
14,900 | Acadia Healthcare Co., Inc.* | 1,011,412 | ||||||
127,943 | Accolade, Inc.* | 711,363 | ||||||
105,107 | agilon health, Inc.* | 1,867,751 | ||||||
143,890 | Alignment Healthcare, Inc.* | 1,382,783 | ||||||
2,525 | Chemed Corp. | 1,240,760 | ||||||
38,172 | Encompass Health Corp. | 2,627,379 | ||||||
62,300 | Hanger, Inc.* | 1,024,212 | ||||||
69,643 | HealthEquity, Inc.* | 4,340,152 | ||||||
22,720 | Option Care Health, Inc.* | 678,873 | ||||||
49,951 | PetIQ, Inc.* | 994,025 | ||||||
13,804 | Progyny, Inc.* | 530,764 | ||||||
31,867 | R1 RCM, Inc.* | 717,645 | ||||||
33,010 | Surgery Partners, Inc.* | 1,688,791 | ||||||
|
| |||||||
18,815,910 | ||||||||
|
| |||||||
Health Care Technology* – 1.2% | ||||||||
176,213 | Change Healthcare, Inc. | 4,151,579 | ||||||
24,230 | Health Catalyst, Inc. | 403,187 | ||||||
7,550 | Inspire Medical Systems, Inc. | 1,553,488 | ||||||
49,290 | Phreesia, Inc. | 1,127,755 | ||||||
|
| |||||||
7,236,009 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 3.0% | ||||||||
23,951 | Choice Hotels International, Inc. | 3,364,157 | ||||||
18,275 | Churchill Downs, Inc. | 3,708,728 | ||||||
32,327 | First Watch Restaurant Group, Inc.* | 420,251 | ||||||
14,300 | Hyatt Hotels Corp. Class A* | 1,357,928 | ||||||
40,030 | International Game Technology PLC | 873,855 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
120,482 | MakeMyTrip Ltd.* | 3,068,677 | ||||||
9,010 | Papa John’s International, Inc. | 820,360 | ||||||
15,510 | Planet Fitness, Inc. Class A* | 1,241,265 | ||||||
14,240 | SeaWorld Entertainment, Inc.* | 960,346 | ||||||
31,970 | Travel + Leisure Co. | 1,773,696 | ||||||
6,830 | Wingstop, Inc. | 626,721 | ||||||
|
| |||||||
18,215,984 | ||||||||
|
| |||||||
Household Durables – 0.9% | ||||||||
5,100 | Helen of Troy Ltd.* | 1,094,001 | ||||||
10,333 | Meritage Homes Corp.* | 852,989 | ||||||
42,957 | Tempur Sealy International, Inc. | 1,164,564 | ||||||
11,612 | Toll Brothers, Inc. | 538,449 | ||||||
8,353 | TopBuild Corp.* | 1,513,062 | ||||||
|
| |||||||
5,163,065 | ||||||||
|
| |||||||
Household Products – 0.9% | ||||||||
17,175 | Central Garden & Pet Co. Class A* | 710,702 | ||||||
55,025 | Energizer Holdings, Inc. | 1,666,707 | ||||||
32,973 | Spectrum Brands Holdings, Inc. | 2,805,013 | ||||||
|
| |||||||
5,182,422 | ||||||||
|
| |||||||
Insurance – 2.9% | ||||||||
23,350 | AMERISAFE, Inc. | 1,082,272 | ||||||
37,149 | Assured Guaranty Ltd. | 2,048,767 | ||||||
40,542 | Axis Capital Holdings Ltd. | 2,324,273 | ||||||
34,190 | Bright Health Group, Inc.* | 61,542 | ||||||
15,955 | Employers Holdings, Inc. | 627,670 | ||||||
28,918 | First American Financial Corp. | 1,686,208 | ||||||
44,614 | ProAssurance Corp. | 1,096,166 | ||||||
3,650 | RenaissanceRe Holdings Ltd. | 523,848 | ||||||
27,100 | Ryan Specialty Group Holdings, Inc. Class A* | 1,002,429 | ||||||
16,700 | Selective Insurance Group, Inc. | 1,375,412 | ||||||
17,150 | Stewart Information Services Corp. | 884,940 | ||||||
20,130 | The Hanover Insurance Group, Inc. | 2,955,487 | ||||||
1,832 | White Mountains Insurance Group Ltd. | 1,919,973 | ||||||
|
| |||||||
17,588,987 | ||||||||
|
| |||||||
Interactive Media & Services* – 0.6% | ||||||||
390,771 | Angi, Inc. | 1,723,300 | ||||||
32,872 | Yelp, Inc. | 1,069,326 | ||||||
41,180 | ZipRecruiter, Inc. | 926,962 | ||||||
|
| |||||||
3,719,588 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail* – 0.0% | ||||||||
62,940 | Porch Group, Inc. | 232,878 | ||||||
|
| |||||||
IT Services – 3.7% | ||||||||
8,284 | Concentrix Corp. | 1,304,564 | ||||||
19,970 | DigitalOcean Holdings, Inc.* | 787,417 | ||||||
17,267 | EVERTEC, Inc. | 680,320 | ||||||
200,126 | Evo Payments, Inc. Class A* | 4,508,839 | ||||||
8,570 | Flywire Corp.* | 261,471 | ||||||
145,663 | Genpact Ltd. | 5,865,849 | ||||||
18,852 | MAXIMUS, Inc. | 1,373,934 | ||||||
63,490 | Paya Holdings, Inc.* | 323,164 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
IT Services – (continued) | ||||||||
25,000 | Paymentus Holdings, Inc. Class A* | $ | 414,000 | |||||
25,595 | Rackspace Technology, Inc.* | 253,134 | ||||||
19,202 | TTEC Holdings, Inc. | 1,417,299 | ||||||
74,747 | Unisys Corp.* | 1,062,155 | ||||||
14,354 | WEX, Inc.* | 2,386,209 | ||||||
19,810 | WNS Holdings Ltd. ADR* | 1,552,510 | ||||||
|
| |||||||
22,190,865 | ||||||||
|
| |||||||
Leisure Products – 1.5% | ||||||||
29,490 | Acushnet Holdings Corp. | 1,201,423 | ||||||
111,502 | Callaway Golf Co.* | 2,446,354 | ||||||
110,458 | Clarus Corp. | 2,468,736 | ||||||
83,350 | Mattel, Inc.* | 2,026,238 | ||||||
22,840 | YETI Holdings, Inc.* | 1,116,191 | ||||||
|
| |||||||
9,258,942 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.3% | ||||||||
34,904 | Bruker Corp. | 2,006,631 | ||||||
6,390 | Charles River Laboratories International, Inc.* | 1,543,249 | ||||||
20,990 | Codexis, Inc.* | 252,510 | ||||||
187,636 | NeoGenomics, Inc.* | 1,773,160 | ||||||
26,705 | Syneos Health, Inc.* | 1,951,868 | ||||||
|
| |||||||
7,527,418 | ||||||||
|
| |||||||
Machinery – 3.2% | ||||||||
10,525 | Alamo Group, Inc. | 1,330,781 | ||||||
22,556 | Allison Transmission Holdings, Inc. | 844,497 | ||||||
51,209 | Altra Industrial Motion Corp. | 1,997,151 | ||||||
24,650 | Astec Industries, Inc. | 963,815 | ||||||
6,860 | Chart Industries, Inc.* | 1,158,105 | ||||||
21,875 | Columbus McKinnon Corp. | 775,469 | ||||||
14,500 | Crane Co. | 1,395,335 | ||||||
50,440 | Evoqua Water Technologies Corp.* | 2,102,843 | ||||||
41,912 | Hillenbrand, Inc. | 1,710,848 | ||||||
4,640 | IDEX Corp. | 880,765 | ||||||
16,145 | John Bean Technologies Corp. | 1,903,334 | ||||||
36,200 | Kennametal, Inc. | 931,426 | ||||||
23,300 | Mueller Industries, Inc. | 1,261,695 | ||||||
12,911 | Terex Corp. | 438,974 | ||||||
31,550 | The Manitowoc Co., Inc.* | 417,722 | ||||||
38,837 | Wabash National Corp. | 555,757 | ||||||
5,300 | Watts Water Technologies, Inc. Class A | 675,538 | ||||||
|
| |||||||
19,344,055 | ||||||||
|
| |||||||
Media – 1.0% | ||||||||
46,817 | Gray Television, Inc. | 867,051 | ||||||
14,094 | Nexstar Media Group, Inc. Class A | 2,232,772 | ||||||
65,209 | TEGNA, Inc. | 1,437,858 | ||||||
86,250 | The E.W. Scripps Co. Class A* | 1,419,675 | ||||||
|
| |||||||
5,957,356 | ||||||||
|
| |||||||
Metals & Mining – 0.4% | ||||||||
17,100 | Kaiser Aluminum Corp. | 1,650,150 | ||||||
18,300 | Worthington Industries, Inc. | 870,531 | ||||||
|
| |||||||
2,520,681 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.6% | ||||||||
29,063 | Ares Commercial Real Estate Corp. | 437,979 | ||||||
53,298 | Blackstone Mortgage Trust, Inc. Class A | 1,601,072 | ||||||
63,725 | Starwood Property Trust, Inc. | 1,458,028 | ||||||
|
| |||||||
3,497,079 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% | ||||||||
20,125 | NorthWestern Corp. | 1,140,886 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 3.3% | ||||||||
145,988 | Delek U.S. Holdings, Inc.* | 3,532,909 | ||||||
121,907 | Enerplus Corp. | 1,492,142 | ||||||
209,338 | Kosmos Energy Ltd.* | 1,415,125 | ||||||
65,350 | Magnolia Oil & Gas Corp. Class A | 1,518,734 | ||||||
28,590 | Matador Resources Co. | 1,395,764 | ||||||
40,098 | Par Pacific Holdings, Inc.* | 588,238 | ||||||
62,291 | PDC Energy, Inc. | 4,344,174 | ||||||
27,240 | Ranger Oil Corp.* | 867,594 | ||||||
61,312 | Viper Energy Partners LP | 1,761,494 | ||||||
11,848 | Whiting Petroleum Corp. | 865,496 | ||||||
86,955 | World Fuel Services Corp. | 2,106,050 | ||||||
|
| |||||||
19,887,720 | ||||||||
|
| |||||||
Personal Products – 0.6% | ||||||||
30,750 | BellRing Brands, Inc.* | 658,973 | ||||||
20,425 | Edgewell Personal Care Co. | 779,010 | ||||||
65,550 | elf Beauty, Inc.* | 1,594,831 | ||||||
41,470 | The Beauty Health Co.* | 543,257 | ||||||
|
| |||||||
3,576,071 | ||||||||
|
| |||||||
Pharmaceuticals* – 0.3% | ||||||||
8,645 | Catalent, Inc. | 782,891 | ||||||
18,650 | Intra-Cellular Therapies, Inc. | 943,877 | ||||||
|
| |||||||
1,726,768 | ||||||||
|
| |||||||
Professional Services – 2.8% | ||||||||
21,035 | ASGN, Inc.* | 2,386,421 | ||||||
26,875 | CBIZ, Inc.* | 1,125,794 | ||||||
28,146 | FTI Consulting, Inc.* | 4,438,905 | ||||||
17,000 | ICF International, Inc. | 1,679,770 | ||||||
20,623 | Korn Ferry | 1,267,077 | ||||||
49,832 | ManTech International Corp. Class A | 4,003,503 | ||||||
23,118 | Science Applications International Corp. | 1,924,111 | ||||||
|
| |||||||
16,825,581 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.5% | ||||||||
9,350 | Colliers International Group, Inc. | 1,030,838 | ||||||
71,300 | Cushman & Wakefield PLC* | 1,276,270 | ||||||
73,475 | Realogy Holdings Corp.* | 805,286 | ||||||
|
| |||||||
3,112,394 | ||||||||
|
| |||||||
Road & Rail – 1.0% | ||||||||
21,384 | Knight-Swift Transportation Holdings, Inc. | 1,024,080 | ||||||
2,903 | Landstar System, Inc. | 449,675 | ||||||
90,000 | Marten Transport Ltd. | 1,564,200 | ||||||
2,550 | Saia, Inc.* | 525,198 | ||||||
59,677 | Werner Enterprises, Inc. | 2,364,999 | ||||||
|
| |||||||
5,928,152 | ||||||||
|
|
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) | ||||||||
Semiconductors & Semiconductor Equipment – 2.9% | ||||||||
21,623 | CMC Materials, Inc. | $ | 3,868,571 | |||||
41,550 | Cohu, Inc.* | 1,103,568 | ||||||
26,302 | Entegris, Inc. | 2,929,780 | ||||||
12,730 | Impinj, Inc.* | 627,080 | ||||||
23,075 | Kulicke & Soffa Industries, Inc. | 1,070,911 | ||||||
32,646 | Lattice Semiconductor Corp.* | 1,568,314 | ||||||
43,280 | MACOM Technology Solutions Holdings, Inc.* | 2,205,116 | ||||||
15,772 | Power Integrations, Inc. | 1,261,760 | ||||||
3,670 | Silicon Laboratories, Inc.* | 495,119 | ||||||
2,940 | SiTime Corp.* | 495,596 | ||||||
43,145 | SMART Global Holdings, Inc.* | 977,665 | ||||||
29,446 | Ultra Clean Holdings, Inc.* | 917,832 | ||||||
|
| |||||||
17,521,312 | ||||||||
|
| |||||||
Software – 5.7% | ||||||||
32,230 | ACI Worldwide, Inc.* | 890,193 | ||||||
135,680 | Avaya Holdings Corp.* | 1,255,040 | ||||||
46,720 | Blackline, Inc.* | 3,132,576 | ||||||
23,020 | Box, Inc. Class A* | 704,872 | ||||||
73,225 | Cognyte Software Ltd.* | 496,465 | ||||||
55,126 | Couchbase, Inc.* | 937,142 | ||||||
54,776 | Dynatrace, Inc.* | 2,101,207 | ||||||
22,964 | Envestnet, Inc.* | 1,828,853 | ||||||
4,670 | Gitlab, Inc. Class A* | 223,833 | ||||||
25,969 | InterDigital, Inc. | 1,476,338 | ||||||
31,480 | Jamf Holding Corp.* | 969,584 | ||||||
26,704 | Mimecast Ltd.* | 2,127,775 | ||||||
43,891 | NCR Corp.* | 1,537,502 | ||||||
66,557 | PROS Holdings, Inc.* | 1,858,937 | ||||||
7,997 | Q2 Holdings, Inc.* | 413,685 | ||||||
21,090 | Smartsheet, Inc. Class A* | 1,019,280 | ||||||
11,180 | Sprout Social, Inc.* | 685,110 | ||||||
87,870 | Sumo Logic, Inc.* | 824,221 | ||||||
42,630 | Telos Corp.* | 332,088 | ||||||
19,710 | Tenable Holdings, Inc.* | 1,088,583 | ||||||
45,920 | Varonis Systems, Inc.* | 1,983,744 | ||||||
37,900 | Verint Systems, Inc.* | 2,067,824 | ||||||
47,640 | Workiva, Inc.* | 4,597,736 | ||||||
161,888 | Zuora, Inc. Class A* | 1,970,177 | ||||||
|
| |||||||
34,522,765 | ||||||||
|
| |||||||
Specialty Retail – 1.9% | ||||||||
22,001 | American Eagle Outfitters, Inc. | 332,435 | ||||||
10,200 | Boot Barn Holdings, Inc.* | 918,612 | ||||||
11,500 | Citi Trends, Inc.* | 321,655 | ||||||
42,679 | Foot Locker, Inc. | 1,250,922 | ||||||
161,036 | Leslie’s, Inc.* | 3,156,306 | ||||||
5,850 | Murphy USA, Inc. | 1,366,560 | ||||||
36,953 | National Vision Holdings, Inc.* | 1,391,280 | ||||||
62,882 | Sally Beauty Holdings, Inc.* | 950,776 | ||||||
13,500 | Signet Jewelers Ltd. | 947,700 | ||||||
21,287 | Victoria’s Secret & Co.* | 1,003,043 | ||||||
|
| |||||||
11,639,289 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – 1.1% | ||||||||
27,064 | Carter’s, Inc. | 2,279,871 | ||||||
11,675 | Columbia Sportswear Co. | 959,218 | ||||||
69,920 | Hanesbrands, Inc. | 927,139 | ||||||
24,778 | Skechers USA, Inc.* | 948,998 | ||||||
43,165 | Steven Madden Ltd. | 1,772,355 | ||||||
|
| |||||||
6,887,581 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.1% | ||||||||
24,550 | Essent Group Ltd. | 995,011 | ||||||
11,105 | Federal Agricultural Mortgage Corp. Class C | 1,137,485 | ||||||
13,508 | Mr Cooper Group, Inc.* | 607,455 | ||||||
23,584 | NMI Holdings, Inc. Class A* | 433,474 | ||||||
15,917 | PennyMac Financial Services, Inc. | 772,930 | ||||||
23,859 | Walker & Dunlop, Inc. | 2,857,354 | ||||||
|
| |||||||
6,803,709 | ||||||||
|
| |||||||
Tobacco – 0.3% | ||||||||
15,607 | Turning Point Brands, Inc. | 489,904 | ||||||
21,774 | Universal Corp. | 1,259,626 | ||||||
|
| |||||||
1,749,530 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.8% | ||||||||
22,800 | Applied Industrial Technologies, Inc. | 2,386,932 | ||||||
52,500 | Core & Main, Inc. Class A* | 1,247,400 | ||||||
4,900 | Herc Holdings, Inc. | 626,318 | ||||||
18,600 | McGrath RentCorp | 1,552,356 | ||||||
6,060 | SiteOne Landscape Supply, Inc.* | 854,642 | ||||||
34,849 | WESCO International, Inc.* | 4,295,488 | ||||||
|
| |||||||
10,963,136 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $550,444,184) | $ | 565,618,034 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 6.5% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
39,600,239 | 0.317% | $ | 39,600,239 | |||||
(Cost $39,600,239) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.3% | ||||||||
(Cost $590,044,423) | $ | 605,218,273 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.3)% | (2,023,694 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 603,194,579 | ||||||
|
|
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, 2022 (Unaudited)
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Represents an affiliated issuer. |
| ||||
Investment Abbreviations: | ||||
ADR | —American Depositary Receipt | |||
LP | —Limited Partnership | |||
PLC | —Public Limited Company | |||
REIT | —Real Estate Investment Trust | |||
|
16 | The accompanying notes are an integral part of these financial statements. |
ACTIVE EQUITY MULTI-MANAGER FUNDS
Statements of Assets and Liabilities
April 30, 2022 (Unaudited)
Multi-Manager International Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | |||||||||
Assets: | ||||||||||
Investments, at value of unaffiliated issuers (cost $1,107,143,586 and $550,444,184, respectively) | $ | 1,218,303,622 | $ | 565,618,034 | ||||||
Investments of affiliated issuers, at value (cost $47,129,290 and $39,600,239, respectively) | 47,129,290 | 39,600,239 | ||||||||
Foreign currencies, at value (cost $457,452 and $0, respectively) | 460,269 | — | ||||||||
Cash | 961,611 | 858,885 | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 1,417 | — | ||||||||
Receivables: | ||||||||||
Foreign tax reclaims | 3,775,924 | — | ||||||||
Dividends | 2,762,933 | 95,207 | ||||||||
Fund shares sold | 2,555,000 | 627,000 | ||||||||
Investments sold | 1,967,533 | 5,897,630 | ||||||||
Investments sold on an extended settlement basis | 1,054,250 | — | ||||||||
Other assets | 398,448 | 26,223 | ||||||||
Total assets | 1,279,370,297 | 612,723,218 | ||||||||
Liabilities: | ||||||||||
Unrealized loss on forward foreign currency exchange contracts | 74 | — | ||||||||
Payables: | ||||||||||
Investments purchased | 4,858,822 | 8,225,733 | ||||||||
Investments purchased on an extended settlement basis | 2,091,928 | — | ||||||||
Management fees | 477,782 | 307,109 | ||||||||
Fund shares redeemed | 413,500 | 362,000 | ||||||||
Transfer agency fees | 21,762 | 10,438 | ||||||||
Accrued expenses and other liabilities | 1,140,103 | 623,359 | ||||||||
Total liabilities | 9,003,971 | 9,528,639 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 1,179,637,218 | 594,078,183 | ||||||||
Total distributable earnings | 90,729,108 | 9,116,396 | ||||||||
NET ASSETS | $ | 1,270,366,326 | $ | 603,194,579 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 104,585,944 | 48,974,598 | ||||||||
Net asset value, offering and redemption price per share: | $12.15 | $12.32 |
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, 2022 (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 $1,747,694 and $4,171, respectively) | $ | 13,727,980 | $ | 2,875,852 | ||||||
Dividends — affiliated issuers | 20,686 | 16,217 | ||||||||
Total investment income | 13,748,666 | 2,892,069 | ||||||||
Expenses: | ||||||||||
Management fees | 4,038,892 | 2,373,172 | ||||||||
Custody, accounting and administrative services | 408,221 | 238,911 | ||||||||
Transfer Agency fees | 134,630 | 63,284 | ||||||||
Professional fees | 92,463 | 81,537 | ||||||||
Printing and mailing costs | 32,503 | 25,165 | ||||||||
Registration fees | 30,801 | 15,623 | ||||||||
Trustee fees | 17,026 | 14,990 | ||||||||
Other | 15,986 | 10,347 | ||||||||
Total expenses | 4,770,522 | 2,823,029 | ||||||||
Less — expense reductions | (1,086,372 | ) | (519,439 | ) | ||||||
Net expenses | 3,684,150 | 2,303,590 | ||||||||
NET INVESTMENT INCOME | 10,064,516 | 588,479 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments — unaffiliated issuers (including commission recapture of $4,472 and $7,980, respectively) | 5,143,148 | 4,163,512 | ||||||||
Forward foreign currency exchange contracts | (7,628 | ) | — | |||||||
Foreign currency transactions | (69,938 | ) | 11 | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | (225,687,233 | ) | (108,122,950 | ) | ||||||
Forward foreign currency exchange contracts | 1,343 | — | ||||||||
Foreign currency translation | (313,460 | ) | — | |||||||
Net realized and unrealized loss | (220,933,768 | ) | (103,959,427 | ) | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (210,869,252 | ) | $ | (103,370,948 | ) |
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, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 10,064,516 | $ | 18,090,255 | $ | 588,479 | $ | 954,014 | ||||||||||||||
Net realized gain | 5,065,582 | 102,420,107 | 4,163,523 | 114,402,053 | ||||||||||||||||||
Net change in unrealized gain (loss) | (225,999,350 | ) | 238,748,775 | (108,122,950 | ) | 74,845,990 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (210,869,252 | ) | 359,259,137 | (103,370,948 | ) | 190,202,057 | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings | (105,675,977 | ) | (10,201,242 | ) | (105,459,295 | ) | (1,238,041 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 153,509,650 | 371,379,307 | 82,638,200 | 163,430,350 | ||||||||||||||||||
Reinvestment of distributions | 105,675,977 | 10,201,242 | 105,459,295 | 1,238,041 | ||||||||||||||||||
Cost of shares redeemed | (45,473,857 | ) | (243,797,703 | ) | (23,572,801 | ) | (147,446,731 | ) | ||||||||||||||
Net increase in net assets resulting from share transactions | 213,711,770 | 137,782,846 | 164,524,694 | 17,221,660 | ||||||||||||||||||
TOTAL INCREASE (DECREASE) | (102,833,459 | ) | 486,840,741 | (44,305,549 | ) | 206,185,676 | ||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 1,373,199,785 | 886,359,044 | 647,500,128 | 441,314,452 | ||||||||||||||||||
End of period | $ | 1,270,366,326 | $ | 1,373,199,785 | $ | 603,194,579 | $ | 647,500,128 |
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) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.12% of average net assets. |
(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, 2022 (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, 2022, GSAM had sub-advisory agreements (the “Sub-Advisory Agreements”) for the Multi-Manager International Equity Fund with Causeway Capital Management LLC, Lazard Asset 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 Boston Partners Global Investors, Inc., Brown Advisory LLC, and Victory Capital Management, Inc., (the “Underlying Managers”). Pursuant to the terms of the Sub-Advisory Agreements, the Underlying Managers are responsible for making investment decisions and managing the investments of the applicable Fund. GSAM compensates the Underlying Managers directly in accordance with the terms of the applicable Sub-Advisory Agreements. The Funds are not charged any separate or additional investment advisory fees by the Underlying Managers.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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
22
ACTIVE EQUITY MULTI-MANAGER FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of 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, 2022 (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.
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. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
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 Statement(s) 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.
24
ACTIVE EQUITY MULTI-MANAGER FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts 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 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, 2022:
MULTI-MANAGER INTERNATIONAL EQUITY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 15,458,908 | $ | 214,991,491 | $ | — | ||||||
Australia and Oceania | 5,067,443 | 11,411,501 | — | |||||||||
Europe | 73,208,972 | 792,047,684 | — | |||||||||
North America | 102,025,018 | 4,092,605 | — | |||||||||
Investment Company | 47,129,290 | — | — | |||||||||
Total | $ | 242,889,631 | $ | 1,022,543,281 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,417 | $ | — | ||||||
Liabilities(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (74 | ) | $ | — |
(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, 2022 (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 | $ | 6,308,724 | $ | — | $ | — | ||||||
Australia and Oceania | 141,341 | — | — | |||||||||
Europe | 5,697,851 | — | — | |||||||||
North America | 553,470,118 | — | — | |||||||||
Investment Company | 39,600,239 | — | — | |||||||||
Total | $ | 605,218,273 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2022. 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 | Receivable for unrealized loss on forward foreign currency exchange contracts | $ | 1,417 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (74) |
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, 2022. 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 | $ | 7,628 | $ | 1,343 |
26
ACTIVE EQUITY MULTI-MANAGER FUNDS
4. INVESTMENTS IN DERIVATIVES (continued) |
For the six months ended April 30, 2022, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts(a) | ||||||
Fund | Forward contracts | |||||
Multi-Manager International Equity | $ | 99,654 |
(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 for the six months ended April 30, 2022. |
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, 2022, 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 | 0.57 |
* | GSAM has agreed to waive a portion of its management fee for each Fund in order to achieve an effective net management fee rate that is equal to the actual cost of fees paid to the Fund’s Underlying Managers. These arrangements will remain in effect through at least February 28, 2023, and prior to such date, GSAM may not terminate the applicable arrangement without the approval of the Trustees. |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest. For the six months ended April 30, 2022, GSAM waived $39,926 and $27,732 of the management fee for the Multi-Manager International Equity and Multi-Manager U.S. Small Cap Equity Funds, respectively.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.02% of the average daily net assets of Class P Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit each Fund’s “Total Annual Operating Expenses” (excluding acquired fund fees and expenses, taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Total Annual Operating Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Total Annual Operating Expense limitations as an annual percentage rate of average daily net assets for the Multi-Manager International Equity 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, 2023, 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.
27
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2022, these expense reductions, including any fee waivers and Total Annual Operating Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Total Annual Operating Expense | ||||||||
Multi-Manager International Equity | $ | 1,086,372 | $ | 1,086,372 | ||||||
Multi-Manager U.S. Small Cap Equity | 519,439 | 519,439 |
D. Line of Credit Facility — As of April 30, 2022, the Funds participated in a $1,250,000,000 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, 2022, the Funds did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
E. Other Transactions with Affiliates — For the six months ended April 30, 2022, Goldman Sachs earned $3,607 and $840, 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, 2022:
Fund | Market Value as 2021 | Purchases at Cost | Proceeds from Sales | Market Value 2022 | Shares as of April 30, 2022 | Dividend Income | ||||||||||||||||
Multi-Manager International Equity | $51,983,928 | $ | 473,961,660 | $ | (478,816,298 | ) | $ | 47,129,290 | 47,129,290 | $ | 20,686 | |||||||||||
Multi-Manager U.S. Small Cap Equity | 32,813,363 | 276,017,438 | (269,230,562 | ) | 39,600,239 | 39,600,239 | 16,217 |
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, 2022, were as follows:
Fund | Purchases | Sales and Maturities | ||||||||
Multi-Manager International Equity | $ | 361,822,319 | $ | 243,787,814 | ||||||
Multi-Manager U.S. Small Cap Equity | 200,752,951 | 147,818,251 |
28
ACTIVE EQUITY MULTI-MANAGER FUNDS
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, October 31, 2021, the Funds’ had no capital loss carryforwards.
As of April 30, 2022, 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 | $ | 1,188,497,452 | $ | 600,307,787 | ||||
Gross unrealized gain | 195,006,348 | 76,961,841 | ||||||
Gross unrealized loss | (118,070,888 | ) | (72,051,355 | ) | ||||
Net unrealized gains (losses) | $ | 76,935,460 | $ | 4,910,486 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, and differences in the tax treatment of passive foreign investment company investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign
29
ACTIVE EQUITY MULTI-MANAGER FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
Foreign Custody Risk — The Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on 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, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including, but not limited to, the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
30
ACTIVE EQUITY MULTI-MANAGER FUNDS
8. OTHER RISKS (continued) |
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, 2022 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi-Manager International Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 11,245,572 | $ | 153,509,650 | 26,007,978 | $ | 371,379,307 | ||||||||||
Reinvestment of distributions | 7,532,433 | 105,675,977 | 738,685 | 10,201,242 | ||||||||||||
Shares redeemed | (3,264,834 | ) | (45,473,857 | ) | (17,085,264 | ) | (243,797,703 | ) | ||||||||
NET INCREASE | 15,513,171 | $ | 213,711,770 | 9,661,399 | $ | 137,782,846 | ||||||||||
Multi-Manager U.S. Small Cap Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 5,844,492 | $ | 82,638,200 | 9,890,011 | $ | 163,430,350 | ||||||||||
Reinvestment of distributions | 7,600,475 | 105,459,295 | 82,371 | 1,238,041 | ||||||||||||
Shares redeemed | (1,582,754 | ) | (23,572,801 | ) | (9,219,404 | ) | (147,446,731 | ) | ||||||||
NET INCREASE | 11,862,213 | $ | 164,524,694 | 752,978 | $ | 17,221,660 |
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 3-4, 2022, 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, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. 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, 2022 (Unaudited) |
As a shareholder of Class P Shares of the Funds, you incur two types of costs: (1) transaction costs, 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, 2021 through April 30, 2022, 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 a 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 International Equity Fund | Multi-Manager U.S. Small Cap Equity Fund | |||||||||||||||||||||||
Share Class | Beginning Account Value 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | Beginning Account Value 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | ||||||||||||||||||
Class P | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 853.50 | $ | 2.53 | $ | 1,000.00 | $ | 848.50 | $ | 3.35 | ||||||||||||
Hypothethical 5% return | 1,000.00 | 1,022.07 | + | 2.76 | 1,000.00 | 1,021.17 | + | 3.66 |
* | 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, 2022. 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 | 0.73 |
+ | 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
ACTIVE EQUITY MULTI-MANAGER FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust II (“the Trust”) was held on December 3, 2021 to consider and act upon the proposal below. Each Fund has amortized its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund in an amount equal to the portion of the increase in the Fund’s total expense ratio that exceeds a specified percentage.
At the Meeting, Steven D. Krichmar, Linda A. Lang, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against/Withheld | Abstain | |||||||||
Steven D. Krichmar | 997,212,261 | 10,105,414 | 0 | |||||||||
Linda A. Lang | 1,004,981,372 | 2,336,303 | 0 | |||||||||
Michael Latham | 995,719,416 | 11,598,259 | 0 | |||||||||
Lawrence W. Stranghoener | 995,630,574 | 11,687,101 | 0 | |||||||||
35
ACTIVE EQUITY MULTI-MANAGER FUNDS
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Funds operations are difficult to predict.
36
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 $2.13 trillion in assets under supervision as of March 31, 2022, 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | 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 |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | 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 |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 Linda A. Lang Michael Latham James A. McNamara Lawrence W. Stranghoener | 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, 2022 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.
© 2022 Goldman Sachs. All rights reserved. 281652-OTU-1620970 MMGRFDSSAR-22
Goldman Sachs Funds
Semi-Annual Report | April 30, 2022 | |||
GQG Partners International |
Goldman Sachs GQG Partners International Opportunities Fund
1 | ||||
3 | ||||
5 | ||||
7 | ||||
10 | ||||
17 | ||||
28 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs GQG Partners International Opportunities Fund
The following are highlights both of key factors affecting the international and emerging markets equity markets and of any key changes made to the Goldman Sachs GQG Partners International Opportunities Fund (the “Fund”) during the six months ended April 30, 2022 (the “Reporting Period”). A fuller review of the markets and these changes will appear in the Fund’s annual shareholder report covering the 12 months ended October 31, 2022.
Market and Economic Review
International Equities
• | International (or non-U.S. developed markets) equity markets recorded a double-digit negative return during the Reporting Period but outperformed emerging markets equities. |
• | As the Reporting Period began, international equity markets receded in November 2021 following a strong October. |
• | The markets fell around fears that the new Omicron variant of COVID-19 would weigh on investor sentiment. Travel restrictions were re-imposed to curtail the variant’s spread, and lockdown measures were re-instituted in Europe. Japan’s equity market fell due to both inflation and supply-chain issues as well as concerns about the Omicron variant. |
• | Persistently high inflation weighed on market sentiment as well. |
• | In December 2021, international equities experienced a strong rebound, as the initial scare around the Omicron variant dissipated amid studies showing its symptoms were less severe than prior variants. Also, value stocks generally outperformed growth stocks, which benefited international equities given their relatively high value/cyclical exposures. |
• | During the first quarter of 2022, international equities fell, facing pressures from global concerns around rising inflation, planned interest rate hikes by the U.S. Federal Reserve (the “Fed”), rising bond yields, valuation concerns, and Russia’s invasion of Ukraine. |
• | Major countries around the world took a public stance condemning Russia’s invasion and imposed various economic sanctions, including removal of Russian financial institutions from bank connectivity network SWIFT, banning transactions with the Russian central bank and halting trading of Russian securities. Such sanctions further boosted the price of crude oil in the global markets. |
• | Driven by increased market volatility, the Fed signaled a slower than anticipated pace of monetary policy tightening while retaining a cautionary focus on rising inflation. That said, Fed officials raised short-term interest rates by 25 basis points in March, the first U.S. rate hike since the end of 2018. (A basis point is 1/100th of a percentage point.) |
• | Hopes around the success of diplomatic talks and peaceful negotiations between Russia and Ukraine led to some market recovery toward the end of the first calendar quarter. |
• | Still, beyond the broader concerns around the geopolitical crisis, the impact on commodity prices reinforced concerns around supply-side inflation and led to worries about a potential stagflation scenario — particularly in Europe. (Stagflation is characterized by slow economic growth and high inflation.) However, the corporate earnings season retained its overall strength. |
• | Other macroeconomic uncertainties included those around regulation in China, the status of Chinese shares listed in the U.S., and slowing economic growth in China, all exacerbated by the imposition of lockdowns and manufacturing halts due to a rise in COVID-19 cases, leading, in turn, to further supply-chain issues. |
• | International equities continued to sell off in April 2022. |
• | Inflation continued to rise, and supply-chain issues worsened as China instituted lockdowns following a surge in COVID-19 cases. |
• | More consumer-facing sectors, in particular, struggled, as they were negatively impacted by supply-chain disruptions and weak consumer confidence. |
1
MARKET REVIEW
Emerging Markets Equities
• | Emerging markets equities posted a double-digit negative return and underperformed international equity markets during the Reporting Period. |
• | As the Reporting Period began in November 2021, emerging markets equities fell sharply, as the Omicron variant of COVID-19 spread across regions, dampening investor sentiment and leading to mixed outlooks for the global economic recovery. |
• | In December 2021, emerging markets equities rose. Global economic data was encouraging despite market participants closely monitoring the implications of the spread of the Omicron variant, inflation remaining top of mind for investors, and China’s heightened regulations, mainly in the technology sector, weighing on sentiment. |
• | Emerging markets equities fell in each of the first four months of 2022. |
• | In January, both growing tensions between Russia and Ukraine and rising global borrowing costs worried investors. COVID-19 cases surged and hospitalizations rose, further dampening investor sentiment around an economic recovery across emerging markets. |
• | In February, the Russia/Ukraine situation deteriorated sharply, with Russia launching a full-scale invasion, triggering a sell-off in emerging markets equities. |
• | In March and April, the Russia/Ukraine war continued to drive a sell-off in emerging markets equities. |
• | Additionally in April, as inflation loomed internationally, the acceleration in global food prices rivaled the increase in oil prices, creating a new set of risks for the emerging markets. |
• | Effective March 9, 2022, MSCI Inc. removed Russian securities from the MSCI Emerging Markets Index after deeming the Russian equity market “uninvestable” amidst Russia’s invasion of Ukraine. MSCI Inc. announced the MSCI Russia Indexes would be reclassified to “standalone markets” instead of “emerging markets” across all of MSCI’s indexes “at a price that is effectively zero.” |
Fund Changes and Highlights
No material changes were made to the Fund during the Reporting Period.
2
GQG Partners International Opportunities Fund
as of April 30, 2022
PERFORMANCE REVIEW |
| |||||||||
November 1, 2021–April 30, 2022 | Fund Total Return (based on NAV)1 | MSCI ACWI ex USA (Net, unhedged)2 | ||||||||
Class A | -9.69 | % | -11.87 | % | ||||||
Class C | -10.02 | -11.87 | ||||||||
Institutional | -9.52 | -11.87 | ||||||||
Investor | -9.56 | -11.87 | ||||||||
Class R6 | -9.51 | -11.87 | ||||||||
Class R | -9.83 | -11.87 | ||||||||
Class P | -9.51 | -11.87 |
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 24 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: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi 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 4/30/223 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
AstraZeneca PLC | 6.1 | % | Pharmaceuticals | |||||
Philip Morris International, Inc. | 5.3 | Tobacco | ||||||
Glencore PLC | 4.3 | Metals & Mining | ||||||
Enbridge, Inc. | 3.9 | Oil, Gas & Consumable Fuels | ||||||
Exxon Mobil Corp. | 3.6 | Oil, Gas & Consumable Fuels | ||||||
TotalEnergies SE | 3.4 | Oil, Gas & Consumable Fuels | ||||||
Roche Holding AG | 2.8 | Pharmaceuticals | ||||||
Novo Nordisk A/S Class B | 2.7 | Pharmaceuticals | ||||||
British American Tobacco PLC | 2.6 | Tobacco | ||||||
British American Tobacco PLC ADR | 2.6 | 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. |
3
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
As of April 30, 2022 |
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.
4
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 89.9% | ||||||||
Australia – 2.4% | ||||||||
28,169,872 | Newcrest Mining Ltd. (Metals & Mining) | $ | 529,011,968 | |||||
|
| |||||||
Belgium – 1.4% | ||||||||
5,268,306 | Anheuser-Busch InBev SA (Beverages) | 303,135,835 | ||||||
|
| |||||||
Brazil – 4.3% | ||||||||
38,451,777 | Petroleo Brasileiro SA ADR (Oil, Gas & Consumable Fuels) | 521,790,614 | ||||||
26,331,856 | Vale SA (Metals & Mining) | 443,608,913 | ||||||
|
| |||||||
965,399,527 | ||||||||
|
| |||||||
Canada – 11.7% | ||||||||
8,356,661 | Agnico Eagle Mines Ltd. (Metals & Mining) | 486,444,642 | ||||||
8,228,405 | Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels) | 152,122,850 | ||||||
19,862,571 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 866,769,727 | ||||||
5,852,056 | Fortis, Inc. (Electric Utilities)(a) | 284,756,175 | ||||||
7,337,101 | Imperial Oil Ltd. (Oil, Gas & Consumable Fuels) | 369,410,884 | ||||||
1,917,137 | Nutrien Ltd. (Chemicals) | 188,358,710 | ||||||
2,813,203 | Royal Bank of Canada (Banks) | 284,134,270 | ||||||
|
| |||||||
2,631,997,258 | ||||||||
|
| |||||||
China – 0.9% | ||||||||
11,285,684 | China Merchants Bank Co. Ltd. Class H (Banks) | 68,021,579 | ||||||
85,778,565 | Zijin Mining Group Co. Ltd. (Metals & Mining) | 141,138,393 | ||||||
|
| |||||||
209,159,972 | ||||||||
|
| |||||||
Denmark – 3.6% | ||||||||
606,669 | Genmab A/S* (Biotechnology) | 213,329,958 | ||||||
5,240,122 | Novo Nordisk A/S Class B (Pharmaceuticals) | 598,559,388 | ||||||
|
| |||||||
811,889,346 | ||||||||
|
| |||||||
France – 6.3% | ||||||||
1,602,216 | Air Liquide SA (Chemicals) | 277,196,613 | ||||||
1,123,373 | BNP Paribas SA (Banks) | 58,248,434 | ||||||
863,278 | Capgemini SE (IT Services) | 175,745,247 | ||||||
6,049 | L’Oreal SA (Personal Products) | 2,200,686 | ||||||
1,037,518 | Schneider Electric SE (Electrical Equipment) | 148,851,794 | ||||||
15,431,637 | TotalEnergies SE (Oil, Gas & Consumable Fuels) | 757,739,135 | ||||||
|
| |||||||
1,419,981,909 | ||||||||
|
| |||||||
Germany – 2.0% | ||||||||
2,618,627 | Deutsche Boerse AG (Capital Markets) | 455,888,639 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
India – 3.8% | ||||||||
14,600,634 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 421,256,620 | ||||||
12,572,387 | ICICI Bank Ltd. ADR (Banks) | 239,378,248 | ||||||
9,784,962 | Infosys Ltd. (IT Services) | 198,313,590 | ||||||
|
| |||||||
858,948,458 | ||||||||
|
| |||||||
Ireland – 1.3% | ||||||||
1,049,600 | Aon PLC Class A (Insurance) | 302,274,304 | ||||||
|
| |||||||
Italy – 2.2% | ||||||||
34,924,337 | Eni SpA (Oil, Gas & Consumable Fuels) | 488,199,981 | ||||||
|
| |||||||
Luxembourg – 1.1% | ||||||||
8,650,497 | ArcelorMittal SA (Metals & Mining)(a) | 252,587,308 | ||||||
|
| |||||||
Netherlands – 4.9% | ||||||||
472,625 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 268,232,872 | ||||||
3,700,705 | Heineken NV (Beverages) | 361,229,429 | ||||||
11,891,347 | Schlumberger N.V (Energy Equipment & Services) | 463,881,447 | ||||||
|
| |||||||
1,093,343,748 | ||||||||
|
| |||||||
Russia(b) – 0.0% | ||||||||
48,039,056 | Gazprom PJSC (Oil, Gas & Consumable Fuels) | — | ||||||
3,681,622 | LUKOIL PJSC (Oil, Gas & Consumable Fuels) | — | ||||||
34,154,161 | Rosneft Oil Co. PJSC (Oil, Gas & Consumable Fuels) | — | ||||||
|
| |||||||
— | ||||||||
|
| |||||||
Spain – 1.1% | ||||||||
45,958,686 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 241,156,752 | ||||||
|
| |||||||
Switzerland – 11.3% | ||||||||
156,749,634 | Glencore PLC (Metals & Mining) | 965,838,594 | ||||||
3,769,207 | Nestle SA (Food Products) | 486,582,293 | ||||||
5,116,837 | Novartis AG (Pharmaceuticals) | 452,171,006 | ||||||
1,708,392 | Roche Holding AG (Pharmaceuticals) | 633,495,184 | ||||||
|
| |||||||
2,538,087,077 | ||||||||
|
| |||||||
United Kingdom – 20.1% | ||||||||
10,288,192 | AstraZeneca PLC (Pharmaceuticals) | 1,372,869,479 | ||||||
14,073,701 | British American Tobacco PLC (Tobacco) | 589,861,874 | ||||||
14,036,387 | British American Tobacco PLC ADR (Tobacco) | 586,440,249 | ||||||
76,255,828 | HSBC Holdings PLC (Banks) | 477,456,356 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Schedule of Investments (continued)
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
24,581,777 | National Grid PLC (Multi-Utilities) | $ | 365,210,755 | |||||
18,632,083 | Shell PLC (Oil, Gas & Consumable Fuels) | 503,074,496 | ||||||
114,860,153 | Tesco PLC (Food & Staples Retailing) | 390,216,449 | ||||||
5,014,797 | Unilever PLC (Personal Products) | 232,757,145 | ||||||
19,510 | Unilever PLC ADR (Personal Products) | 902,533 | ||||||
|
| |||||||
4,518,789,336 | ||||||||
|
| |||||||
United States – 11.5% | ||||||||
9,534,577 | Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 812,822,689 | ||||||
7,800,082 | Newmont Corp. (Metals & Mining) | 568,235,974 | ||||||
11,949,070 | Philip Morris International, Inc. (Tobacco) | 1,194,907,000 | ||||||
|
| |||||||
2,575,965,663 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $19,547,819,119) | $ | 20,195,817,081 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 4.4% | ||||||||
Brazil – 4.4% | ||||||||
Itau Unibanco Holding SA (Banks) |
| |||||||
96,224,247 | 3.160 | % | $ | 464,582,525 | ||||
Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) |
| |||||||
85,493,093 | 9.200 | 523,615,906 | ||||||
| ||||||||
TOTAL PREFERRED STOCKS — 4.4% |
| |||||||
(Cost $944,918,983) |
| $ | 988,198,431 | |||||
| ||||||||
Investment Company(c) – 5.3% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
1,194,547,414 | 0.317 | % | $ | 1,194,547,414 | ||||
(Cost $1,194,547,414) |
| |||||||
| ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||||
(Cost $21,687,285,516) |
| $ | 22,378,562,926 | |||||
| ||||||||
Securities Lending Reinvestment Vehicle(c) – 0.2% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
43,214,757 | 0.317 | % | 43,214,757 | |||||
(Cost $43,214,757) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 99.8% |
| |||||||
(Cost $21,730,500,273) |
| $ | 22,421,777,683 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% |
| 33,948,975 | ||||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 22,455,726,658 | |||||
|
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) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(c) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
PLC | —Public Limited Company | |
|
Sector Allocation as of April 30, 2022 | ||||
Sector Name | % of Total Market Value | |||
Energy | 24.4 | % | ||
Consumer Staples | 18.5 | |||
Materials | 17.2 | |||
Health Care | 14.6 | |||
Financials | 13.5 | |||
Investment Companies | 5.3 | |||
Utilities | 2.9 | |||
Information Technology | 2.9 | |||
Industrials | 0.7 | |||
| ||||
TOTAL INVESTMENTS | 100.0 | % | ||
|
6 | 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, 2022 (Unaudited)
| ||||||
Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $20,492,738,102) | $ | 21,184,015,512 | ||||
Investments of affiliated issuers, at value (cost $1,194,547,414) | 1,194,547,414 | |||||
Investments in securities lending reinvestment vehicle — affiliated issuer, at value (cost $43,214,757)(a) | 43,214,757 | |||||
Cash | �� | 24,374,816 | ||||
Foreign currencies, at value (cost $5,902,682) | 5,902,787 | |||||
Receivables: | ||||||
Dividends | 150,957,679 | |||||
Fund shares sold | 42,716,221 | |||||
Investments sold | 36,657,880 | |||||
Foreign tax reclaims | 18,964,280 | |||||
Securities lending income | 317,835 | |||||
Reimbursement from investment adviser | 238,361 | |||||
Other assets | 814,050 | |||||
Total assets | 22,702,721,592 | |||||
Liabilities: | ||||||
Payables: | ||||||
Investments purchased | 150,348,952 | |||||
Payable upon return of securities loaned | 43,214,757 | |||||
Fund shares redeemed | 34,155,938 | |||||
Management fees | 13,504,708 | |||||
Distribution and Service fees and Transfer Agency fees | 1,427,918 | |||||
Accrued expenses | 4,342,661 | |||||
Total liabilities | 246,994,934 | |||||
Net Assets: | ||||||
Paid-in capital | 20,187,288,627 | |||||
Total distributable earnings | 2,268,438,031 | |||||
NET ASSETS | $ | 22,455,726,658 | ||||
Net Assets: | ||||||
Class A | $ | 474,129,410 | ||||
Class C | 88,969,156 | |||||
Institutional | 14,328,847,951 | |||||
Investor | 4,336,670,760 | |||||
Class R6 | 907,048,980 | |||||
Class R | 1,149,205 | |||||
Class P | 2,318,911,196 | |||||
Total Net Assets | $ | 22,455,726,658 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 26,286,726 | |||||
Class C | 5,069,293 | |||||
Institutional | 788,270,255 | |||||
Investor | 239,392,592 | |||||
Class R6 | 49,914,942 | |||||
Class R | 64,409 | |||||
Class P | 127,642,902 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $18.04 | |||||
Class C | 17.55 | |||||
Institutional | 18.18 | |||||
Investor | 18.12 | |||||
Class R6 | 18.17 | |||||
Class R | 17.84 | |||||
Class P | 18.17 |
(a) | Includes loaned securities having market value of $40,540,084. |
(b) | Maximum public offering price per share for Class A Shares is $19.09. 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. | 7 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Statement of Operations
For the Six Months Ended April 30, 2022 (Unaudited)
| ||||||
Investment income: | ||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $24,500,690) | $ | 445,001,263 | ||||
Non-cash dividends — unaffiliated issuers | 82,375,160 | |||||
Securities lending income — affiliated issuers | 520,085 | |||||
Dividends — affiliated issuers | 426,636 | |||||
Total investment income | 528,323,144 | |||||
Expenses: | ||||||
Management fees | 80,126,892 | |||||
Transfer Agency fees(a) | 7,478,645 | |||||
Custody, accounting and administrative services | 2,068,830 | |||||
Distribution and Service (12b-1) fees(a) | 942,845 | |||||
Printing and mailing costs | 451,855 | |||||
Registration fees | 304,987 | |||||
Service fees — Class C | 115,868 | |||||
Professional fees | 75,552 | |||||
Trustee fees | 74,554 | |||||
Other | 99,030 | |||||
Total expenses | 91,739,058 | |||||
Less — expense reductions | (2,341,765 | ) | ||||
Net expenses | 89,397,293 | |||||
NET INVESTMENT INCOME | 438,925,851 | |||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | 1,419,825,607 | |||||
Foreign currency transactions | (19,919,499 | ) | ||||
Net change in unrealized loss on: | ||||||
Investments — unaffiliated issuers | (4,116,822,019 | ) | ||||
Foreign currency translation | (4,300,778 | ) | ||||
Net realized and unrealized loss | (2,721,216,689 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,282,290,838 | ) |
(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 | |||||||||||||||||||||||||||||
$ | 592,496 | $ | 347,603 | $ | 2,746 | $ | 402,898 | $ | 78,790 | $ | 2,879,819 | $ | 3,642,233 | $ | 123,181 | $ | 934 | $ | 350,790 |
8 | 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, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 438,925,851 | $ | 330,623,552 | ||||||
Net realized gain | 1,399,906,108 | 180,724,754 | ||||||||
Net change in unrealized gain (loss) | (4,121,122,797 | ) | 3,150,187,045 | |||||||
Net increase (decrease) in net assets resulting from operations | (2,282,290,838 | ) | 3,661,535,351 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | (8,694,077 | ) | — | |||||||
Class C Shares | (1,158,748 | ) | — | |||||||
Institutional Shares | (316,943,861 | ) | (17,220,587 | ) | ||||||
Investor Shares | (90,597,219 | ) | (2,382,538 | ) | ||||||
Class R6 Shares | (17,024,099 | ) | (822,599 | ) | ||||||
Class R Shares | (17,099 | ) | — | |||||||
Class P Shares | (51,959,366 | ) | (2,597,062 | ) | ||||||
Total distributions to shareholders | (486,394,469 | ) | (23,022,786 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 5,308,765,702 | 8,412,241,720 | ||||||||
Reinvestment of distributions | 403,333,721 | 18,334,826 | ||||||||
Cost of shares redeemed | (2,805,154,476 | ) | (2,817,730,450 | ) | ||||||
Net increase in net assets resulting from share transactions | 2,906,944,947 | 5,612,846,096 | ||||||||
TOTAL INCREASE | 138,259,640 | 9,251,358,661 | ||||||||
Net assets: | ||||||||||
Beginning of period | 22,317,467,018 | 13,066,108,357 | ||||||||
End of period | $ | 22,455,726,658 | $ | 22,317,467,018 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Selected Share Data for a Share Outstanding Throughout Each Period
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.36 | $ | 16.44 | $ | 14.78 | $ | 12.32 | $ | 12.69 | $ | 10.00 | ||||||||||||||
Net investment income(b) | 0.34 | 0.28 | 0.04 | 0.10 | 0.08 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.29 | ) | 3.64 | 1.68 | 2.38 | (0.45 | ) | 2.66 | ||||||||||||||||||
Total from investment operations | (1.95 | ) | 3.92 | 1.72 | 2.48 | (0.37 | ) | 2.70 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.37 | ) | — | (0.06 | ) | (0.02 | ) | — | (0.01 | ) | ||||||||||||||||
Net asset value, end of period | $ | 18.04 | $ | 20.36 | $ | 16.44 | $ | 14.78 | $ | 12.32 | $ | 12.69 | ||||||||||||||
Total return(c) | (9.69 | )% | 23.84 | % | 11.66 | % | 20.19 | % | (2.92 | )% | 26.97 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 474,129 | $ | 479,794 | $ | 252,603 | $ | 89,592 | $ | 44,887 | $ | 11,297 | ||||||||||||||
Ratio of net expenses to average net assets | 1.14 | %(d) | 1.15 | % | 1.17 | % | 1.23 | % | 1.28 | % | 1.30 | %(d) | ||||||||||||||
Ratio of total expenses to average net assets | 1.16 | %(d) | 1.19 | % | 1.20 | % | 1.29 | % | 1.38 | % | 1.65 | %(d) | ||||||||||||||
Ratio of net investment income to average net assets | 3.55 | %(d) | 1.47 | % | 0.23 | % | 0.71 | % | 0.57 | % | 0.40 | %(d) | ||||||||||||||
Portfolio turnover rate(e) | 74 | % | 94 | % | 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 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
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.76 | $ | 16.08 | $ | 14.50 | $ | 12.16 | $ | 12.61 | $ | 10.00 | ||||||||||||||
Net investment income (loss)(b) | 0.26 | 0.13 | (0.08 | ) | — | (c) | (0.02 | ) | (0.06 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (2.23 | ) | 3.55 | 1.66 | 2.34 | (0.43 | ) | 2.67 | ||||||||||||||||||
Total from investment operations | (1.97 | ) | 3.68 | 1.58 | 2.34 | (0.45 | ) | 2.61 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | — | — | — | — | 0.00 | (c) | ||||||||||||||||||
Net asset value, end of period | $ | 17.55 | $ | 19.76 | $ | 16.08 | $ | 14.50 | $ | 12.16 | $ | 12.61 | ||||||||||||||
Total return(d) | (10.02 | )% | 22.82 | % | 10.87 | % | 19.24 | % | (3.57 | )% | 26.13 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 88,969 | $ | 97,057 | $ | 61,784 | $ | 32,620 | $ | 20,147 | $ | 12,969 | ||||||||||||||
Ratio of net expenses to average net assets | 1.89 | %(e) | 1.90 | % | 1.92 | % | 1.98 | % | 2.04 | % | 2.05 | %(e) | ||||||||||||||
Ratio of total expenses to average net assets | 1.91 | %(e) | 1.94 | % | 1.95 | % | 2.04 | % | 2.12 | % | 2.34 | %(e) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 2.79 | %(e) | 0.69 | % | (0.51 | )% | (0.02 | )% | (0.18 | )% | (0.57 | )%(e) | ||||||||||||||
Portfolio turnover rate(f) | 74 | % | 94 | % | 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 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
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.55 | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | $ | 10.00 | ||||||||||||||
Net investment income(b) | 0.38 | 0.35 | 0.09 | 0.15 | 0.13 | 0.08 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.31 | ) | 3.67 | 1.70 | 2.39 | (0.45 | ) | 2.66 | ||||||||||||||||||
Total from investment operations | (1.93 | ) | 4.02 | 1.79 | 2.54 | (0.32 | ) | 2.74 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.44 | ) | (0.03 | ) | (0.10 | ) | (0.06 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||||
Net asset value, end of period | $ | 18.18 | $ | 20.55 | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | ||||||||||||||
Total return(c) | (9.52 | )% | 24.31 | % | 12.06 | % | 20.65 | % | (2.52 | )% | 27.39 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 14,328,848 | $ | 14,481,792 | $ | 8,683,860 | $ | 1,996,934 | $ | 713,691 | $ | 392,168 | ||||||||||||||
Ratio of net expenses to average net assets | 0.76 | %(d) | 0.77 | % | 0.79 | % | 0.84 | % | 0.90 | % | 0.90 | %(d) | ||||||||||||||
Ratio of total expenses to average net assets | 0.78 | %(d) | 0.81 | % | 0.82 | % | 0.90 | % | 0.98 | % | 1.30 | %(d) | ||||||||||||||
Ratio of net investment income to average net assets | 3.95 | %(d) | 1.83 | % | 0.55 | % | 1.10 | % | 0.96 | % | 0.73 | %(d) | ||||||||||||||
Portfolio turnover rate(e) | 74 | % | 94 | % | 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 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
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.47 | $ | 16.51 | $ | 14.82 | $ | 12.36 | $ | 12.71 | $ | 10.00 | ||||||||||||||
Net investment income (loss)(b) | 0.37 | 0.33 | 0.08 | 0.15 | 0.10 | (0.01 | ) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (2.30 | ) | 3.64 | 1.70 | 2.36 | (0.43 | ) | 2.73 | ||||||||||||||||||
Total from investment operations | (1.93 | ) | 3.97 | 1.78 | 2.51 | (0.33 | ) | 2.72 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.42 | ) | (0.01 | ) | (0.09 | ) | (0.05 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||||
Net asset value, end of period | $ | 18.12 | $ | 20.47 | $ | 16.51 | $ | 14.82 | $ | 12.36 | $ | 12.71 | ||||||||||||||
Total return(c) | (9.56 | )% | 24.09 | % | 12.00 | % | 20.42 | % | (2.64 | )% | 27.18 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 4,336,671 | $ | 4,169,364 | $ | 2,488,875 | $ | 1,098,284 | $ | 234,587 | $ | 63,303 | ||||||||||||||
Ratio of net expenses to average net assets | 0.89 | %(d) | 0.90 | % | 0.92 | % | 0.98 | % | 1.03 | % | 1.05 | %(d) | ||||||||||||||
Ratio of total expenses to average net assets | 0.91 | %(d) | 0.94 | % | 0.95 | % | 1.04 | % | 1.13 | % | 1.39 | %(d) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 3.83 | %(d) | 1.70 | % | 0.48 | % | 1.09 | % | 0.77 | % | (0.10 | )%(d) | ||||||||||||||
Portfolio turnover rate(e) | 74 | % | 94 | % | 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 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
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.55 | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | $ | 10.00 | ||||||||||||||
Net investment income(b) | 0.39 | 0.38 | 0.07 | 0.05 | 0.12 | 0.11 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.33 | ) | 3.64 | 1.72 | 2.50 | (0.44 | ) | 2.63 | ||||||||||||||||||
Total from investment operations | (1.94 | ) | 4.02 | 1.79 | 2.55 | (0.32 | ) | 2.74 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.44 | ) | (0.03 | ) | (0.10 | ) | (0.07 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||||
Net asset value, end of period | $ | 18.17 | $ | 20.55 | $ | 16.56 | $ | 14.87 | $ | 12.39 | $ | 12.73 | ||||||||||||||
Total return(c) | (9.51 | )% | 24.27 | % | 12.09 | % | 20.68 | % | (2.52 | )% | 27.39 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 907,049 | $ | 757,796 | $ | 391,507 | $ | 34,263 | $ | 540 | $ | 13 | ||||||||||||||
Ratio of net expenses to average net assets | 0.74 | %(d) | 0.75 | % | 0.77 | % | 0.81 | % | 0.87 | % | 0.89 | %(d) | ||||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(d) | 0.80 | % | 0.81 | % | 0.92 | % | 0.98 | % | 1.66 | %(d) | ||||||||||||||
Ratio of net investment income to average net assets | 4.02 | %(d) | 1.97 | % | 0.42 | % | 0.34 | % | 0.92 | % | 1.09 | %(d) | ||||||||||||||
Portfolio turnover rate(e) | 74 | % | 94 | % | 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 short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2017(a) | ||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.11 | $ | 16.28 | $ | 14.69 | $ | 12.26 | $ | 12.66 | $ | 10.00 | ||||||||||||||
Net investment income(b) | 0.32 | 0.22 | 0.01 | 0.01 | 0.02 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.28 | ) | 3.61 | 1.65 | 2.43 | (0.42 | ) | 2.62 | ||||||||||||||||||
Total from investment operations | (1.96 | ) | 3.83 | 1.66 | 2.44 | (0.40 | ) | 2.66 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.31 | ) | — | (0.07 | ) | (0.01 | ) | — | (0.00 | )(c) | ||||||||||||||||
Net asset value, end of period | $ | 17.84 | $ | 20.11 | $ | 16.28 | $ | 14.69 | $ | 12.26 | $ | 12.66 | ||||||||||||||
Total return(d) | (9.83 | )% | 23.53 | % | 11.32 | % | 19.91 | % | (3.16 | )% | 26.65 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,149 | $ | 1,095 | $ | 735 | $ | 208 | $ | 25 | $ | 17 | ||||||||||||||
Ratio of net expenses to average net assets | 1.39 | %(e) | 1.40 | % | 1.42 | % | 1.47 | % | 1.53 | % | 1.55 | %(e) | ||||||||||||||
Ratio of total expenses to average net assets | 1.41 | %(e) | 1.44 | % | 1.45 | % | 1.54 | % | 1.62 | % | 2.22 | %(e) | ||||||||||||||
Ratio of net investment income to average net assets | 3.38 | %(e) | 1.19 | % | 0.07 | % | 0.05 | % | 0.15 | % | 0.43 | %(e) | ||||||||||||||
Portfolio turnover rate(f) | 74 | % | 94 | % | 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 short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Class P Shares | ||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.54 | $ | 16.55 | $ | 14.86 | $ | 12.39 | $ | 13.17 | ||||||||||||
Net investment income(b) | 0.38 | 0.37 | 0.10 | 0.16 | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.31 | ) | 3.65 | 1.69 | 2.38 | (0.80 | ) | |||||||||||||||
Total from investment operations | (1.93 | ) | 4.02 | 1.79 | 2.54 | (0.78 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.44 | ) | (0.03 | ) | (0.10 | ) | (0.07 | ) | — | |||||||||||||
Net asset value, end of period | $ | 18.17 | $ | 20.54 | $ | 16.55 | $ | 14.86 | $ | 12.39 | ||||||||||||
Total return(c) | (9.51 | )% | 24.34 | % | 12.08 | % | 20.61 | % | (5.92 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,318,911 | $ | 2,330,569 | $ | 1,186,744 | $ | 477,609 | $ | 233,541 | ||||||||||||
Ratio of net expenses to average net assets | 0.74 | %(d) | 0.75 | % | 0.77 | % | 0.82 | % | 0.87 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(d) | 0.80 | % | 0.81 | % | 0.89 | % | 1.02 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 3.98 | %(d) | 1.90 | % | 0.61 | % | 1.14 | % | 0.33 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 74 | % | 94 | % | 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 short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
April 30, 2022 (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.
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
17
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2022 (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.
18
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 Money Market 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 Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of April 30, 2022:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | $ | 239,378,248 | $ | 828,730,182 | $ | — | (b) | |||||
Australia and Oceania | — | 529,011,968 | — | |||||||||
Europe | 1,017,071,264 | 10,944,381,524 | — | |||||||||
North America | 5,671,844,368 | — | — | |||||||||
South America | 965,399,527 | 988,198,431 | — | |||||||||
Investment Company | 1,194,547,414 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 43,214,757 | — | — | |||||||||
Total | $ | 9,131,455,578 | $ | 13,290,322,105 | $ | — |
(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 represents valuations of Russian investments for which GSAM has determined include significant unobservable inputs as of April 30, 2022. To the extent that the same positions were held as of the Fund’s prior fiscal year end, October 31, 2021, they were classified as either Level 1 or Level 2. |
For further information regarding security characteristics, see the Schedule of Investments.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
19
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2022, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Fees | Effective Rate | Effective Net Management Rate^ | ||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | ||||||||||||||||||||||
0.85% | 0.77% | 0.73% | 0.71% | 0.70% | 0.72% | 0.71% |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended April 30, 2022, GSAM waived $677,784 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, 2022, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contigent Deferred Sales Charge | |||||||
Fund | Class A | Class C | ||||||
GQG Partners International Opportunities | $ | 29,294 | $ | — |
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.
20
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
4. 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 R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional Shares. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.01% as an annual percentage rate of the average daily net assets attributable to Class R6 Shares of the Fund. These arrangements will remain in effect through at least February 28, 2023.
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, 2023, 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.
GSAM may voluntarily waive a portion of any payments under the Fund’s Distribution and Service Plan, Service Plan and Shareholder Administration Plan, and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the six months ended April 30, 2022, 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 | |||||||||||
$ | 677,784 | $ | 157,990 | $ | 1,505,991 | $ | 2,341,765 |
G. Line of Credit Facility — As of April 30, 2022, the Fund participated in a $1,250,000,000 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, 2022, the Fund did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
H. Other Transactions with Affiliates — For the six months ended April 30, 2022, 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, 2022:
Market Value as of October 31, 2021 | Purchases at cost | Proceeds from sales | Market Value as of 2022 | Shares as of April 30, 2022 | Dividend Income | |||||||||||||||||
$ | 386,087,268 | $ | 5,380,188,369 | $ | (4,571,728,223 | ) | $ | 1,194,547,414 | 1,194,547,414 | $ | 426,636 |
21
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2022, were $17,915,752,843 and $15,848,983,581, respectively.
6. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of 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, 2022, 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, 2022, 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, 2022 | Amounts Payable to Goldman Sachs Securities Loaned as of April 30, 2022 | |||||||||
Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | |||||||||
$ | 64,500 | $ | 1,540 | $ | — |
22
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
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, 2022.
Market Value as of 2021 | Purchases at cost | Proceeds from sales | Market Value as of April 30, 2022 | |||||||||||
$ | 100,750,000 | $ | 3,053,719,859 | $ | (3,111,255,102 | ) | $ | 43,214,757 |
7. TAX INFORMATION |
As of October 31, 2021, the Fund’s capital loss carryforwards were as follows:
Capital loss carryforwards: | ||||
Perpetual Short-Term | $ | (12,534,702 | ) |
As of April 30, 2022, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax | $ | 21,790,770,302 | ||
Gross unrealized gain | 1,992,968,405 | |||
Gross unrealized loss | (1,361,961,024 | ) | ||
Net unrealized security gain | $ | 631,007,381 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of passive foreign investment company investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and
23
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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, or economically tied to, 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, 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.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets.
24
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
8. OTHER RISKS (continued) |
Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
The Fund has limited market value in Russian securities. These Russian assets have been fair valued to reflect the limited liquidity and transferability in the current environment. With the closure of local markets and imposition of sanctions in February and March, there is currently only a limited degree of portfolio management actions possible as most of these assets are either sanctioned and/or cannot be settled. These assets continue to be closely monitored and proactively managed to ensure the Fund complies with all sanctions and to maximize shareholder value where possible.
25
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares |
| |||||||||||||||
Shares sold | 9,865,567 | $ | 189,317,707 | 15,327,690 | $ | 285,754,759 | ||||||||||
Reinvestment of distributions | 409,602 | 7,850,949 | — | — | ||||||||||||
Shares redeemed | (7,550,108 | ) | (143,288,679 | ) | (7,127,502 | ) | (136,492,176 | ) | ||||||||
2,725,061 | 53,879,977 | 8,200,188 | 149,262,583 | |||||||||||||
Class C Shares |
| |||||||||||||||
Shares sold | 521,051 | 9,732,016 | 1,835,193 | 33,309,917 | ||||||||||||
Reinvestment of distributions | 55,958 | 1,047,010 | — | — | ||||||||||||
Shares redeemed | (419,840 | ) | (7,783,872 | ) | (766,377 | ) | (13,973,158 | ) | ||||||||
157,169 | 2,995,154 | 1,068,816 | 19,336,759 | |||||||||||||
Institutional Shares |
| |||||||||||||||
Shares sold | 161,267,476 | 3,114,311,570 | 266,940,746 | 5,069,586,246 | ||||||||||||
Reinvestment of distributions | 12,354,795 | 238,278,563 | 714,993 | 12,734,017 | ||||||||||||
Shares redeemed | (89,963,204 | ) | (1,725,455,060 | ) | (87,331,187 | ) | (1,667,176,087 | ) | ||||||||
83,659,067 | 1,627,135,073 | 180,324,552 | 3,415,144,176 | |||||||||||||
Investor Shares |
| |||||||||||||||
Shares sold | 65,100,296 | 1,256,791,288 | 89,461,745 | 1,687,883,379 | ||||||||||||
Reinvestment of distributions | 4,708,902 | 90,582,637 | 134,073 | 2,381,133 | ||||||||||||
Shares redeemed | (34,056,796 | ) | (653,076,464 | ) | (36,741,877 | ) | (698,655,239 | ) | ||||||||
35,752,402 | 694,297,461 | 52,853,941 | 991,609,273 | |||||||||||||
Class R6 Shares |
| |||||||||||||||
Shares sold | 16,568,555 | 318,714,156 | 20,141,520 | 380,845,722 | ||||||||||||
Reinvestment of distributions | 705,431 | 13,598,097 | 34,978 | 622,614 | ||||||||||||
Shares redeemed | (4,237,523 | ) | (81,764,629 | ) | (6,940,777 | ) | (131,493,149 | ) | ||||||||
13,036,463 | 250,547,624 | 13,235,721 | 249,975,187 | |||||||||||||
Class R Shares |
| |||||||||||||||
Shares sold | 10,743 | 197,819 | 23,242 | 436,058 | ||||||||||||
Reinvestment of distributions | 901 | 17,099 | — | — | ||||||||||||
Shares redeemed | (1,682 | ) | (30,155 | ) | (13,934 | ) | (273,200 | ) | ||||||||
9,962 | 184,763 | 9,308 | 162,858 | |||||||||||||
Class P Shares |
| |||||||||||||||
Shares sold | 21,675,584 | 419,701,146 | 50,605,904 | 954,425,639 | ||||||||||||
Reinvestment of distributions | 2,695,523 | 51,959,366 | 145,902 | 2,597,062 | ||||||||||||
Shares redeemed | (10,175,585 | ) | (193,755,617 | ) | (8,992,585 | ) | (169,667,441 | ) | ||||||||
14,195,522 | 277,904,895 | 41,759,221 | 787,355,260 | |||||||||||||
NET INCREASE | 149,535,646 | $ | 2,906,944,947 | 297,451,747 | $ | 5,612,846,096 |
26
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 3-4, 2022, 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, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. 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.
27
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Fund Expenses — Six Month Period Ended April 30, 2022 (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, 2021 through April 30, 2022, 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.
Share Class | Beginning 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 903.10 | $ | 5.38 | ||||||
Hypothetical 5% return | 1,000.00 | 1,019.14 | + | 5.71 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 899.80 | 8.90 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.42 | + | 9.44 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 904.80 | 3.59 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.03 | + | 3.81 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 904.40 | 4.20 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.38 | + | 4.46 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 904.90 | 3.50 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.12 | + | 3.71 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 901.70 | 6.55 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,017.90 | + | 6.95 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 904.90 | 3.50 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.12 | + | 3.71 |
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2022. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||
GQG Partners International Opportunities | 1.14 | % | 1.89 | % | 0.76 | % | 0.89 | % | 0.74 | % | 1.39 | % | 0.74 | % |
+ | 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. |
28
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust II (“the Trust”) was held on December 3, 2021 to consider and act upon the proposal below. Each Fund has amortized its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund in an amount equal to the portion of the increase in the Fund’s total expense ratio that exceeds a specified percentage.
At the Meeting, Steven D. Krichmar, Linda A. Lang, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against/Withheld | Abstain | |||||||||
Steven D. Krichmar | 997,212,261 | 10,105,414 | 0 | |||||||||
Linda A. Lang | 1,004,981,372 | 2,336,303 | 0 | |||||||||
Michael Latham | 995,719,416 | 11,598,259 | 0 | |||||||||
Lawrence W. Stranghoener | 995,630,574 | 11,687,101 | 0 |
29
GOLDMAN SACHS GQG PARTNERS INTERNATIONAL OPPORTUNITIES FUND
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Fund’s operations are difficult to predict.
30
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 $2.13 trillion in assets under supervision as of March 31, 2022, 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | 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 |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | 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 |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth. 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 Linda A. Lang Michael Latham James A. McNamara Lawrence W. Stranghoener
| 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, 2022 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).
©2022 Goldman Sachs. All rights reserved. 281662-OTU-1622104 GQGPIOSAR-22
Goldman Sachs Funds
Semi-Annual Report | April 30, 2022 | |||
Multi-Manager Alternatives Fund |
Goldman Sachs Multi-Manager Alternatives Fund
1 | ||||
3 | ||||
6 | ||||
17 | ||||
20 | ||||
27 | ||||
45 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Multi-Manager Alternatives Fund
The following are highlights both of key factors affecting the equity and credit markets and of any key changes made to the Goldman Sachs Multi-Manager Alternatives Fund (the “Fund”) during the six months ended April 30, 2022 (the “Reporting Period”). A fuller review of the markets and these changes will appear in the Fund’s annual shareholder report covering the 12 months ended October 31, 2022.
Market and Economic Review
Equity Markets
• | Global equities, as represented by the MSCI All Country World Index (“MSCI ACWI”) Investable Market Index, returned -11.87% during the Reporting Period. |
• | When the Reporting Period began in November 2021, global equities suffered a sharp sell-off amid worries about rising inflation. |
• | Global equities then rebounded in December 2021 on expectations of healthy economic growth globally, as the COVID-19 Omicron variant proved to be less severe than previously expected. |
• | In the first four months of 2022, global equities declined amid persistent inflation and anticipation of a change in Federal Reserve (“Fed”) monetary policy. |
• | At their March policy meeting, Fed officials raised the targeted federal funds rate by 25 basis points — the first rate hike in more than three years. (A basis point is 1/100th of a percentage point.) |
• | The Fed’s policy shift led to a spike in interest rates that proved to be a substantial headwind for longer duration growth stocks. The information technology sector was especially challenged, as technology companies tend to deliver a higher proportion of their cash flows in the distant future. |
• | Market volatility increased in late February 2022 and through the end of the Reporting Period in response to Russia’s invasion of Ukraine. |
• | From a style perspective, growth stocks underperformed value stocks during the Reporting Period. High dividend and minimum volatility factors significantly outperformed momentum and quality factors. |
• | From a regional perspective, both developed markets and emerging markets equities produced negative returns. |
• | Within the developed markets, Japanese equities were weak, driven by the depreciation of the Japanese yen versus the U.S. dollar. |
• | Emerging markets stocks lagged developed market stocks. China’s equity market declined, as its government’s zero-tolerance COVID-19 policy dampened economic growth expectations. Continued regulatory headwinds for technology companies also weighed on Chinese equities. |
• | A number of index providers, including MSCI, excluded Russia from their indices beginning in March, declaring the Russian equity market had become inaccessible to foreign investors. |
Credit Markets
• | Credit markets broadly declined, led by longer duration investments, as interest rates rose during the Reporting Period. |
• | Additional pressures included the emergence of COVID-19 variants, slowing global economic growth, surging inflation and commodity prices, investor expectations of less supportive central bank policy support and Russia’s invasion of Ukraine. |
• | Leveraged loans outperformed most other fixed income sectors during the Reporting Period, benefiting from their floating rate nature and from strong investor demand. A drop in issuance also contributed to positive market technicals (supply/demand). |
1
MARKET REVIEW
• | High yield corporate bonds weakened during the Reporting Period overall, as high yield credit spreads (or yield differentials versus duration-equivalent U.S. Treasury securities) widened amid increased investor risk aversion in early 2022. |
• | Investment grade corporate bonds, which tend to be of longer duration, were hurt by rising interest rates. |
• | Within emerging markets debt, U.S. dollar-denominated bonds trailed local currency-denominated bonds, largely because of higher U.S. interest rates and widening spreads. Commodity-rich regions, such as the Middle East and Latin America, outperformed Asia and Europe. |
• | The exclusion of Russian debt from a number of fixed income indices, along with the resulting fallout on other index constituents, weighed on emerging markets debt during the Reporting Period. |
Fund Changes and Highlights
• | Effective November 22, 2021: |
• | Longfellow Investment Management Co., LLC became an Underlying Manager of the Fund. (The Fund’s Underlying Managers are unaffiliated investment managers that employ one or more non-traditional and alternative investment strategies.) |
• | As part of its principal investment strategy, the Fund may invest in stock, warrants and other securities of in special purpose acquisition companies, also known as special purpose acquisition companies (“SPACs”). The Goldman Sachs Alternatives Investments & Manager Selection (“AIMS”) Group believes that SPACs have the potential to deliver attractive absolute returns with a low realized volatility. In the AIMS Group’s view, the unique structure of SPACs may offer principal protection as well as upside potential with a low correlation to broad equity and fixed income markets. |
• | As of the close of business January 12, 2022, the HFRXTM Global Hedge Fund Index was no longer a secondary benchmark of the Fund. |
• | Effective February 9, 2022, TCW Investment Management Company LLC became an Underlying Manager of the Fund. |
During the Reporting Period, the Fund exited fixed income based on the AIMS Group’s top-down market views. Given that credit spreads were tight, the AIMS Group did not believe the risk-reward opportunity favored fixed income assets relative to other investment strategies.
2
Multi-Manager Alternatives Fund
as of April 30, 2022
PERFORMANCE REVIEW | ||||||||||
November 1, 2021–April 30, 2022 | Fund Total Return (based on NAV)1 | ICE BofAML Index2 | ||||||||
Class A | -3.96 | % | 0.07 | % | ||||||
Class C | -4.41 | 0.07 | ||||||||
Institutional | -3.82 | 0.07 | ||||||||
Investor | -3.93 | 0.07 | ||||||||
Class R6 | -3.82 | 0.07 | ||||||||
Class R | -4.11 | 0.07 | ||||||||
Class P | -3.82 | 0.07 |
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. |
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.
3
FUND BASICS
FUND COMPOSITION3 |
3 | 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 managed 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 4/30/224 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 1.1 | % | Software | |||||
Vifor Pharma AG | 1.0 | Pharmaceuticals | ||||||
Anaplan, Inc. | 0.9 | Software | ||||||
Cerner Corp. | 0.8 | Health Care Technology | ||||||
Linde PLC | 0.8 | Chemicals | ||||||
Aon PLC Class A | 0.7 | Insurance | ||||||
Canadian Pacific Railway Ltd. | 0.6 | Road & Rail | ||||||
Hilton Worldwide Holdings, Inc. | 0.6 | Hotels, Restaurants & Leisure | ||||||
AstraZeneca PLC | 0.6 | Pharmaceuticals | ||||||
Intertrust NV | 0.5 | Professional Services |
4 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
4
FUND BASICS
SUBADVISOR ALLOCATION5 |
| |||||
Percentage of as of 4/30/22 | ||||||
Longfellow Investment Management Co., LLC | 21.4 | % | ||||
River Canyon Fund Management LLC | 20.2 | |||||
Crabel Capital Management, LLC | 20.2 | |||||
Bardin Hill Arbitrage IC Management LP | 16.6 | |||||
Artisan Partners Limited Partnership | 11.1 | |||||
GQG Partners LLC | 9.2 | |||||
Other | 1.3 | |||||
Algert Global LLC | 0.0 | |||||
Brigade Capital Management, LP | 0.0 | |||||
Wellington Management Company LLP | 0.0 | |||||
TCW Investment Management Company LLC | 0.0 | |||||
Marathon Asset Management, L.P. | 0.0 |
5 | 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 KraneShares CSI China Internet 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 ALLOCATION6 |
As of April 30, 2022 |
6 | 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. |
5
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Special Purpose Acquisition Company* – 22.1% | ||||||||
125,000 | Anzu Special Acquisition Corp. I | $ | 1,242,500 | |||||
125,000 | Apollo Strategic Growth Capital II | 1,236,250 | ||||||
125,000 | Arctos NorthStar Acquisition Corp. | 1,242,500 | ||||||
100,000 | Ares Acquisition Corp. | 990,000 | ||||||
75,000 | Arrowroot Acquisition Corp. | 739,500 | ||||||
55,000 | Authentic Equity Acquisition Corp. | 544,500 | ||||||
25,000 | B Riley Principal 250 Merger Corp. | 247,750 | ||||||
125,000 | Black Spade Acquisition Co. | 1,223,750 | ||||||
125,000 | BlueRiver Acquisition Corp. | 1,235,000 | ||||||
25,000 | CF Acquisition IV Corp. | 247,750 | ||||||
12,312 | Churchill Capital V Corp. | 123,203 | ||||||
14,669 | Churchill Capital VI Corp. | 145,517 | ||||||
25,409 | Churchill Capital VII Corp. | 251,549 | ||||||
125,000 | Clarim Acquisition Corp. | 1,231,250 | ||||||
125,000 | Climate Real Impact Solutions II Acquisition Corp. | 1,235,000 | ||||||
52,649 | Colonnade Acquisition Corp. II | 518,593 | ||||||
125,000 | Compute Health Acquisition Corp. | 1,238,750 | ||||||
125,000 | Constellation Acquisition I Corp. | 1,243,750 | ||||||
870 | Fortress Value Acquisition III Corp. | 8,604 | ||||||
37,731 | FTAC Hera Acquisition Corp. | 371,650 | ||||||
125,000 | Gaming & Hospitality Acquisition Corp. | 1,235,000 | ||||||
125,000 | Gores Holdings VII, Inc. | 1,235,000 | ||||||
70,000 | Haymaker Acquisition III Corp. | 702,100 | ||||||
125,000 | Health Assurance Acquisition Corp. | 1,246,250 | ||||||
125,000 | JOFF Fintech Acquisition Corp. | 1,231,250 | ||||||
50,000 | Kadem Sustainable Impact Corp. | 495,000 | ||||||
199 | Kernel Group Holdings, Inc. | 1,966 | ||||||
75,000 | Landcadia Holdings IV, Inc. | 742,500 | ||||||
75,000 | Marlin Technology Corp. | 746,250 | ||||||
50,000 | Mason Industrial Technology, Inc. | 494,000 | ||||||
125,000 | New Vista Acquisition Corp. | 1,236,250 | ||||||
17,881 | Newbury Street Acquisition Corp. | 176,485 | ||||||
40,045 | North Atlantic Acquisition Corp. | 402,452 | ||||||
125,000 | Pontem Corp. | 1,240,000 | ||||||
58,919 | Powered Brands | 585,655 | ||||||
125,000 | Priveterra Acquisition Corp. | 1,238,750 | ||||||
42,000 | Progress Acquisition Corp. | 416,640 | ||||||
75,000 | RMG Acquisition Corp. III | 742,500 | ||||||
100,000 | Ross Acquisition Corp. II | 998,020 | ||||||
75,000 | Sandbridge X2 Corp. | 742,500 | ||||||
9,993 | Silver Spike Acquisition Corp. II | 98,431 | ||||||
30,462 | SportsTek Acquisition Corp. | 300,660 | ||||||
75,000 | Tailwind International Acquisition Corp. | 741,000 | ||||||
75,000 | TCW Special Purpose Acquisition Corp. | 743,250 | ||||||
125,000 | Thunder Bridge Capital Partners III, Inc. | 1,238,750 | ||||||
390 | VectoIQ Acquisition Corp. II | 3,877 | ||||||
83 | Virgin Group Acquisition Corp. II | 826 | ||||||
125,000 | Z-Work Acquisition Corp. | 1,237,500 | ||||||
|
| |||||||
SPECIAL PURPOSE ACQUISITION COMPANY | ||||||||
(Cost $35,948,519) | $ | 35,590,228 | ||||||
|
| |||||||
Common Stocks – 29.9% | ||||||||
Aerospace & Defense* – 0.3% | ||||||||
931 | TransDigm Group, Inc. | $ | 553,768 | |||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – 0.5% | ||||||||
21,762 | Banco Bilbao Vizcaya Argentaria SA | 114,191 | ||||||
9,341 | China Merchants Bank Co. Ltd. Class H | 56,301 | ||||||
52,769 | HSBC Holdings PLC | 330,403 | ||||||
8,785 | ICICI Bank Ltd. ADR | 167,266 | ||||||
1,473 | Royal Bank of Canada | 148,773 | ||||||
|
| |||||||
816,934 | ||||||||
|
| |||||||
Beverages – 0.5% | ||||||||
3,757 | Anheuser-Busch InBev SA | 216,176 | ||||||
2,597 | Heineken NV | 253,496 | ||||||
3,881 | Monster Beverage Corp.* | 332,524 | ||||||
|
| |||||||
802,196 | ||||||||
|
| |||||||
Biotechnology* – 0.1% | ||||||||
421 | Genmab A/S | 148,041 | ||||||
|
| |||||||
Building Products*(a) – 0.3% | ||||||||
17,416 | Cornerstone Building Brands, Inc. | 424,776 | ||||||
|
| |||||||
Capital Markets – 0.9% | ||||||||
768 | BlackRock, Inc. | 479,754 | ||||||
1,887 | Deutsche Boerse AG | 328,517 | ||||||
1,896 | S&P Global, Inc. | 713,844 | ||||||
|
| |||||||
1,522,115 | ||||||||
|
| |||||||
Chemicals – 1.1% | ||||||||
1,130 | Air Liquide SA | 195,499 | ||||||
3,852 | Linde PLC | 1,201,670 | ||||||
1,355 | Nutrien Ltd. | 133,129 | ||||||
689 | The Sherwin-Williams Co. | 189,447 | ||||||
|
| |||||||
1,719,745 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.6% | ||||||||
1,065 | Cintas Corp. | 423,082 | ||||||
2,899 | Republic Services, Inc. | 389,249 | ||||||
8,580 | Vidler Water Resouces, Inc.* | 135,049 | ||||||
|
| |||||||
947,380 | ||||||||
|
| |||||||
Communications Equipment – 0.6% | ||||||||
48,981 | ADVA Optical Networking SE* | 699,598 | ||||||
1,307 | Motorola Solutions, Inc. | 279,293 | ||||||
|
| |||||||
978,891 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% | ||||||||
7,658 | Boskalis Westminster | 265,965 | ||||||
|
| |||||||
Construction Materials – 0.4% | ||||||||
1,607 | Martin Marietta Materials, Inc. | 569,232 | ||||||
828 | Vulcan Materials Co. | 142,656 | ||||||
|
| |||||||
711,888 | ||||||||
|
| |||||||
Containers & Packaging – 0.3% | ||||||||
13,672 | Intertape Polymer Group, Inc. | 423,043 | ||||||
|
| |||||||
Diversified Consumer Services(b) – 0.0% | ||||||||
5,019 | Gymboree Holding Corp. | — | ||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Electric Utilities – 0.4% | ||||||||
4,298 | Fortis, Inc. | $ | 209,137 | |||||
5,402 | NextEra Energy, Inc. | 383,650 | ||||||
|
| |||||||
592,787 | ||||||||
|
| |||||||
Electrical Equipment – 0.1% | ||||||||
759 | Schneider Electric SE | 108,893 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
1,277 | Coherent, Inc.*(a) | 342,108 | ||||||
21,645 | Hollysys Automation Technologies Ltd. | 333,333 | ||||||
|
| |||||||
675,441 | ||||||||
|
| |||||||
Energy Equipment & Services – 0.2% | ||||||||
9,663 | Schlumberger N.V | 376,954 | ||||||
|
| |||||||
Entertainment(a) – 0.7% | ||||||||
3,407 | Activision Blizzard, Inc. | 257,569 | ||||||
538 | Electronic Arts, Inc. | 63,511 | ||||||
23,545 | Sciplay Corp. Class A* | 314,561 | ||||||
60,548 | Zynga, Inc. Class A* | 500,732 | ||||||
|
| |||||||
1,136,373 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.7% | ||||||||
328 | Equinix, Inc. | 235,858 | ||||||
11,199 | Healthcare Trust of America, Inc. Class A(a) | 341,122 | ||||||
1,720 | SBA Communications Corp. | 597,029 | ||||||
|
| |||||||
1,174,009 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.2% | ||||||||
79,426 | Tesco PLC | 269,835 | ||||||
|
| |||||||
Food Products – 0.2% | ||||||||
2,352 | Nestle SA | 303,629 | ||||||
|
| |||||||
Health Care Equipment & Supplies* – 0.1% | ||||||||
3,968 | Natus Medical, Inc. | 132,015 | ||||||
|
| |||||||
Health Care Providers & Services* – 0.2% | ||||||||
831 | LHC Group, Inc. | 137,821 | ||||||
3,797 | Tivity Health, Inc. | 121,998 | ||||||
|
| |||||||
259,819 | ||||||||
|
| |||||||
Health Care Technology(a) – 0.8% | ||||||||
14,611 | Cerner Corp. | 1,368,174 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure* – 1.2% | ||||||||
19,777 | Aspire Global PLC(c) | 217,116 | ||||||
55,121 | Crown Resorts Ltd. | 499,074 | ||||||
3,963 | Entain PLC | 74,466 | ||||||
6,296 | Hilton Worldwide Holdings, Inc. | 977,706 | ||||||
1,049 | Marriott International, Inc. Class A | 186,218 | ||||||
|
| |||||||
1,954,580 | ||||||||
|
| |||||||
Insurance – 1.2% | ||||||||
494 | Alleghany Corp.*(a) | 413,231 | ||||||
3,753 | Aon PLC Class A(d) | 1,080,826 | ||||||
2,696 | Arthur J. Gallagher & Co. | 454,249 | ||||||
|
| |||||||
1,948,306 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
IT Services – 0.8% | ||||||||
622 | Capgemini SE | 126,626 | ||||||
10,223 | Infosys Ltd. | 207,191 | ||||||
95,261 | Link Administration Holdings Ltd. | 337,281 | ||||||
2,213 | Switch, Inc.(a) | 66,080 | ||||||
2,613 | Visa, Inc. Class A | 556,909 | ||||||
|
| |||||||
1,294,087 | ||||||||
|
| |||||||
Leisure Products* – 0.2% | ||||||||
4,512 | Accell Group NV | 272,565 | ||||||
|
| |||||||
Machinery* – 0.3% | ||||||||
20,898 | Welbilt, Inc. | 493,611 | ||||||
|
| |||||||
Media – 0.7% | ||||||||
34,186 | Clear Channel Outdoor Holdings, Inc.*(a) | 84,098 | ||||||
9,812 | Cumulus Media, Inc. Class A* | 135,111 | ||||||
21,492 | Shaw Communications, Inc. Class B | 640,084 | ||||||
10,750 | TEGNA, Inc.(a) | 237,037 | ||||||
|
| |||||||
1,096,330 | ||||||||
|
| |||||||
Metals & Mining – 1.5% | ||||||||
5,131 | Agnico Eagle Mines Ltd. | 298,678 | ||||||
6,036 | ArcelorMittal SA | 176,246 | ||||||
110,158 | Glencore PLC | 678,757 | ||||||
19,685 | Newcrest Mining Ltd. | 369,671 | ||||||
5,202 | Newmont Corp. | 378,966 | ||||||
18,824 | Vale SA | 317,125 | ||||||
31,809 | Western Areas Ltd.* | 85,976 | ||||||
61,576 | Zijin Mining Group Co. Ltd. | 101,316 | ||||||
|
| |||||||
2,406,735 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% | ||||||||
17,988 | National Grid PLC | 267,247 | ||||||
|
| |||||||
Multiline Retail* – 0.2% | ||||||||
1,984 | Dollar Tree, Inc. | 322,301 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.7% | ||||||||
5,644 | Cenovus Energy, Inc. | 104,344 | ||||||
2,206 | Cheniere Energy, Inc. | 299,597 | ||||||
14,677 | Enbridge, Inc. | 640,480 | ||||||
24,363 | Eni SpA | 340,565 | ||||||
6,490 | Exxon Mobil Corp. | 553,272 | ||||||
39,366 | Gazprom PJSC(b) | — | ||||||
5,127 | Imperial Oil Ltd. | 258,136 | ||||||
3,021 | LUKOIL PJSC(b) | — | ||||||
28,590 | Petroleo Brasileiro SA ADR | 387,966 | ||||||
1,589 | Renewable Energy Group, Inc.*(a) | 97,024 | ||||||
27,893 | Rosneft Oil Co. PJSC(b) | — | ||||||
12,933 | Shell PLC | 349,197 | ||||||
10,654 | TotalEnergies SE | 523,143 | ||||||
337,241 | Z Energy Ltd. | 820,815 | ||||||
|
| |||||||
4,374,539 | ||||||||
|
| |||||||
Personal Products – 0.1% | ||||||||
5 | L’Oreal SA | 1,819 | ||||||
3,472 | Unilever PLC | 161,150 | ||||||
|
| |||||||
162,969 | ||||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals – 2.5% | ||||||||
7,275 | AstraZeneca PLC | $ | 970,785 | |||||
3,548 | Novartis AG | 313,534 | ||||||
3,812 | Novo Nordisk A/S Class B | 435,431 | ||||||
1,182 | Roche Holding AG | 438,302 | ||||||
8,896 | Vifor Pharma AG | 1,573,433 | ||||||
2,129 | Zoetis, Inc. | 377,365 | ||||||
|
| |||||||
4,108,850 | ||||||||
|
| |||||||
Professional Services – 0.8% | ||||||||
4,883 | 51job, Inc. ADR*(a) | 297,131 | ||||||
42,466 | Intertrust NV*(c) | 878,070 | ||||||
2,071 | ManTech International Corp. Class A(a) | 166,384 | ||||||
|
| |||||||
1,341,585 | ||||||||
|
| |||||||
Real Estate Management & Development* – 0.2% | ||||||||
16,347 | IMMOFINANZ AG | 395,606 | ||||||
|
| |||||||
Road & Rail – 1.0% | ||||||||
13,484 | Canadian Pacific Railway Ltd. | 987,298 | ||||||
2,530 | Union Pacific Corp. | 592,754 | ||||||
|
| |||||||
1,580,052 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.3% | ||||||||
1,936 | Analog Devices, Inc. | 298,880 | ||||||
240 | ASML Holding NV | 136,209 | ||||||
|
| |||||||
435,089 | ||||||||
|
| |||||||
Software – 4.3% | ||||||||
21,292 | Anaplan, Inc.*(a) | 1,383,767 | ||||||
7,681 | CDK Global, Inc. | 417,923 | ||||||
1,394 | Intuit, Inc. | 583,738 | ||||||
15,088 | Mandiant, Inc.* | 331,634 | ||||||
6,647 | Microsoft Corp.(d) | 1,844,675 | ||||||
10,442 | Mimecast Ltd.* | 832,019 | ||||||
3,696 | Oracle Corp. | 271,286 | ||||||
11,567 | Sailpoint Technologies Holdings, Inc.* | 738,322 | ||||||
93 | ServiceNow, Inc.* | 44,463 | ||||||
10,778 | Tufin Software Technologies Ltd.* | 139,036 | ||||||
3,967 | Vonage Holdings Corp.* | 79,181 | ||||||
1,492 | Zendesk, Inc.*(a) | 182,084 | ||||||
|
| |||||||
6,848,128 | ||||||||
|
| |||||||
Specialty Retail – 0.1% | ||||||||
1,839 | Ross Stores, Inc. | 183,477 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.2% | ||||||||
9,762 | Housing Development Finance Corp. Ltd. | 281,653 | ||||||
|
| |||||||
Tobacco – 1.0% | ||||||||
9,129 | British American Tobacco PLC | 382,618 | ||||||
10,151 | British American Tobacco PLC ADR | 424,109 | ||||||
8,296 | Philip Morris International, Inc. | 829,600 | ||||||
|
| |||||||
1,636,327 | ||||||||
|
| |||||||
Transportation Infrastructure* – 0.1% | ||||||||
8,854 | Atlantia SpA | 211,217 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Wireless Telecommunication Services* – 0.5% | ||||||||
6,469 | T-Mobile US, Inc. | 796,593 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $46,314,576) | $ | 48,124,518 | ||||||
|
| |||||||
Exchange Traded Fund – 1.2% | ||||||||
68,970 | KraneShares CSI China Internet ETF | $ | 1,949,782 | |||||
(Cost $3,499,279) | ||||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 0.4% | ||||||||
Oil & Gas – 0.3% | ||||||||
Petroleo Brasileiro SA | ||||||||
61,001 | 9.200% | $ | 373,610 | |||||
|
| |||||||
Regional Banks – 0.2% | ||||||||
Itau Unibanco Holding SA | ||||||||
66,587 | 3.160 | 321,491 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $618,872) | $ | 695,101 | ||||||
|
| |||||||
Investment Company(e) – 42.7% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
68,789,374 | 0.317% | $ | 68,789,374 | |||||
(Cost $68,789,374) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SHORT POSITIONS – 96.4% | |||||||
(Cost $155,170,620) | $ | 155,149,003 | ||||||
|
|
Shares | Description | Value | ||||||
Common Stocks Sold Short – (0.7)% | ||||||||
Air Freight & Logistics – (0.0)% | ||||||||
277 | GXO Logistics, Inc. | $ | (16,396 | ) | ||||
|
| |||||||
Commercial Services – (0.2)% | ||||||||
5,871 | US Ecology, Inc. | (281,749 | ) | |||||
|
| |||||||
Communications Equipment – (0.3)% | ||||||||
30,723 | ADTRAN, Inc. | (534,273 | ) | |||||
|
| |||||||
Electronic Equipment, Instruments & Components – (0.1)% | ||||||||
1,163 | II-VI, Inc. | (71,187 | ) | |||||
|
| |||||||
Entertainment – (0.1)% | ||||||||
1,411 | Take-Two Interactive Software, Inc. | (168,629 | ) | |||||
|
| |||||||
Hotels, Restaurants & Leisure – (0.1)% | ||||||||
1,536 | Scientific Games Corp. Class A | (86,108 | ) | |||||
|
|
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 – (0.0)% | ||||||||
2,029 | NortonLifeLock, Inc. | $ | (50,806 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | ||||||||
(Cost $(1,380,358)) | $ | (1,209,148 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT – (0.8)% | ||||||||
(Cost $(1,380,358)) | $ | (1,209,148 | ) | |||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF ��LIABILITIES – 4.4% | 7,150,617 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 161,090,472 | ||||||
|
|
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 portion of security is pledged as collateral for short sales. Total market value of securities pledged as collateral on short sales amounts to $3,770,357, which represents approximately 2.5% of net assets as of April 30, 2022. | |
(b) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(c) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(d) | All or a portion of security is segregated as collateral for options. | |
(e) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CNH | —Chinese Yuan Renminbi Offshore | |
CNY | —Chinese Yuan Renminbi | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
ILS | —Israeli Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PLN | —Polish Zloty | |
SEK | —Swedish Krona | |
TRY | —Turkish Lira | |
TWD | —Taiwan Dollar | |
USD | —U.S. Dollar | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
ETF | —Exchange Traded Fund | |
PLC | —Public Limited Company | |
SPA | —Stand-by Purchase Agreement | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS – At April 30, 2022, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Deutsche Bank AG (London) | BRL | 502,249 | USD | 100,000 | 05/03/22 | $ | 1,493 | |||||||||||||
CAD | 367,684 | AUD | 400,000 | 05/20/22 | 3,482 | |||||||||||||||
CAD | 681,491 | EUR | 500,000 | 05/20/22 | 2,542 | |||||||||||||||
EUR | 300,000 | GBP | 251,569 | 05/20/22 | 426 | |||||||||||||||
GBP | 125,000 | AUD | 219,371 | 05/20/22 | 2,126 | |||||||||||||||
GBP | 125,000 | CHF | 152,127 | 05/20/22 | 641 | |||||||||||||||
GBP | 590,861 | EUR | 700,000 | 05/20/22 | 3,867 | |||||||||||||||
GBP | 250,000 | JPY | 40,614,348 | 05/20/22 | 1,193 | |||||||||||||||
INR | 7,691,067 | USD | 100,000 | 05/25/22 | 155 | |||||||||||||||
JPY | 37,420,720 | AUD | 400,000 | 05/20/22 | 5,817 | |||||||||||||||
JPY | 83,135,796 | EUR | 600,000 | 05/20/22 | 7,521 | |||||||||||||||
JPY | 41,315,070 | GBP | 250,000 | 05/20/22 | 4,210 | |||||||||||||||
JPY | 51,447,640 | NZD | 600,000 | 05/20/22 | 9,321 | |||||||||||||||
KRW | 127,141,989 | USD | 100,000 | 06/02/22 | 634 | |||||||||||||||
MXN | 1,500,000 | USD | 72,738 | 05/20/22 | 476 | |||||||||||||||
SEK | 531,884 | NOK | 500,000 | 05/20/22 | 883 | |||||||||||||||
TWD | 2,949,665 | USD | 100,000 | 05/12/22 | 299 | |||||||||||||||
USD | 579,585 | AUD | 800,000 | 05/20/22 | 14,143 | |||||||||||||||
USD | 300,000 | BRL | 1,417,986 | 05/03/22 | 13,458 | |||||||||||||||
USD | 3,931,374 | CAD | 5,000,000 | 05/20/22 | 39,398 |
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, 2022 (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 (London) (continued) | USD | 2,492,936 | CHF | 2,375,000 | 05/20/22 | $ | 49,081 | |||||||||||||
USD | 100,000 | CLP | 81,950,984 | 05/06/22 | 3,982 | |||||||||||||||
USD | 200,000 | CLP | 159,073,788 | 05/09/22 | 13,736 | |||||||||||||||
USD | 100,000 | CLP | 81,801,190 | 05/13/22 | 4,308 | |||||||||||||||
USD | 4,700,000 | CNH | 30,311,052 | 05/20/22 | 144,730 | |||||||||||||||
USD | 3,241,865 | EUR | 3,000,000 | 05/20/22 | 74,308 | |||||||||||||||
USD | 1,052,131 | GBP | 812,500 | 05/20/22 | 30,471 | |||||||||||||||
USD | 100,000 | HUF | 34,548,390 | 05/20/22 | 3,909 | |||||||||||||||
USD | 100,000 | ILS | 323,854 | 05/20/22 | 2,899 | |||||||||||||||
USD | 100,000 | INR | 7,565,413 | 05/06/22 | 1,223 | |||||||||||||||
USD | 100,000 | INR | 7,617,213 | 05/09/22 | 605 | |||||||||||||||
USD | 100,000 | INR | 7,623,813 | 05/11/22 | 544 | |||||||||||||||
USD | 100,000 | INR | 7,647,613 | 05/25/22 | 411 | |||||||||||||||
USD | 2,242,042 | JPY | 287,500,000 | 05/20/22 | 25,223 | |||||||||||||||
USD | 100,000 | KRW | 126,316,211 | 05/31/22 | 23 | |||||||||||||||
USD | 367,604 | MXN | 7,500,000 | 05/20/22 | 1,537 | |||||||||||||||
USD | 300,000 | NOK | 2,664,420 | 05/20/22 | 15,922 | |||||||||||||||
USD | 267,627 | NZD | 400,000 | 05/20/22 | 9,378 | |||||||||||||||
USD | 100,000 | SEK | 975,209 | 05/20/22 | 637 | |||||||||||||||
USD | 400,000 | TRY | 6,140,437 | 06/22/22 | 2,606 | |||||||||||||||
USD | 100,000 | TWD | 2,862,405 | 05/03/22 | 2,808 | |||||||||||||||
USD | 100,000 | TWD | 2,883,345 | 05/12/22 | 1,956 | |||||||||||||||
USD | 100,000 | TWD | 2,916,650 | 05/16/22 | 797 | |||||||||||||||
USD | 200,000 | ZAR | 3,148,587 | 05/20/22 | 1,097 | |||||||||||||||
MS & Co. Int. PLC | USD | 5,894,108 | AUD | 8,096,000 | 06/17/22 | 168,836 | ||||||||||||||
USD | 1,125,750 | CAD | 1,434,000 | 06/17/22 | 9,632 | |||||||||||||||
USD | 2,230,225 | EUR | 2,022,000 | 06/17/22 | 92,194 | |||||||||||||||
USD | 476,516 | GBP | 364,000 | 06/17/22 | 18,773 | |||||||||||||||
USD | 864,489 | NZD | 1,268,000 | 06/17/22 | 45,994 | |||||||||||||||
USD | 349,043 | SEK | 3,293,000 | 06/17/22 | 13,221 | |||||||||||||||
TOTAL | $ | 852,926 | ||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
| |||||||||||||||||||
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Deutsche Bank AG (London) | AUD | 200,000 | CAD | 186,720 | 05/20/22 | $ | (3,981 | ) | ||||||||||||
AUD | 200,000 | NZD | 219,456 | 05/20/22 | (325 | ) | ||||||||||||||
AUD | 1,000,000 | USD | 720,276 | 05/20/22 | (13,472 | ) | ||||||||||||||
BRL | 958,235 | USD | 200,000 | 05/03/22 | (6,363 | ) | ||||||||||||||
CAD | 600,000 | JPY | 61,401,600 | 05/20/22 | (6,410 | ) | ||||||||||||||
CAD | 3,800,000 | USD | 3,006,501 | 05/20/22 | (48,599 | ) | ||||||||||||||
CHF | 1,000,000 | USD | 1,040,485 | 05/20/22 | (11,495 | ) | ||||||||||||||
CLP | 78,036,156 | USD | 100,000 | 05/06/22 | (8,568 | ) | ||||||||||||||
CLP | 163,723,076 | USD | 200,000 | 05/09/22 | (8,292 | ) | ||||||||||||||
CLP | 82,453,456 | USD | 100,000 | 05/13/22 | (3,545 | ) | ||||||||||||||
CLP | 81,744,856 | USD | 100,000 | 05/25/22 | (4,646 | ) | ||||||||||||||
CNH | 30,586,386 | USD | 4,700,000 | 05/20/22 | (103,353 | ) | ||||||||||||||
EUR | 500,000 | CAD | 682,020 | 05/20/22 | (2,955 | ) | ||||||||||||||
EUR | 600,000 | GBP | 505,376 | 05/20/22 | (1,962 | ) | ||||||||||||||
EUR | 1,700,000 | JPY | 235,000,748 | 05/20/22 | (17,066 | ) | ||||||||||||||
EUR | 2,625,000 | USD | 2,817,120 | 05/20/22 | (45,508 | ) | ||||||||||||||
GBP | 1,173,282 | EUR | 1,400,000 | 05/20/22 | (2,876 | ) | ||||||||||||||
GBP | 625,000 | JPY | 104,523,909 | 05/20/22 | (20,058 | ) |
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 LOSS (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Deutsche Bank AG (London) (continued) | GBP | 812,500 | USD | 1,037,925 | 05/20/22 | $ | (16,266 | ) | ||||||||||||
HUF | 34,813,400 | USD | 100,000 | 05/20/22 | (3,172 | ) | ||||||||||||||
ILS | 323,590 | USD | 100,000 | 05/20/22 | (2,979 | ) | ||||||||||||||
INR | 7,570,300 | USD | 100,000 | 05/06/22 | (1,160 | ) | ||||||||||||||
INR | 7,567,500 | USD | 100,000 | 05/09/22 | (1,253 | ) | ||||||||||||||
INR | 7,618,400 | USD | 100,000 | 05/11/22 | (615 | ) | ||||||||||||||
JPY | 20,093,320 | CAD | 200,000 | 05/20/22 | (746 | ) | ||||||||||||||
JPY | 81,453,250 | EUR | 600,000 | 05/20/22 | (5,453 | ) | ||||||||||||||
JPY | 20,017,596 | GBP | 125,000 | 05/20/22 | (2,829 | ) | ||||||||||||||
JPY | 150,000,000 | USD | 1,173,629 | 05/20/22 | (17,028 | ) | ||||||||||||||
KRW | 126,065,789 | USD | 100,000 | 06/03/22 | (216 | ) | ||||||||||||||
MXN | 7,000,000 | USD | 347,623 | 05/20/22 | (5,961 | ) | ||||||||||||||
NOK | 2,769,898 | USD | 300,000 | 05/20/22 | (4,677 | ) | ||||||||||||||
NZD | 216,987 | AUD | 200,000 | 05/20/22 | (1,269 | ) | ||||||||||||||
NZD | 600,000 | JPY | 51,695,240 | 05/20/22 | (11,231 | ) | ||||||||||||||
NZD | 300,000 | USD | 198,794 | 05/20/22 | (5,107 | ) | ||||||||||||||
SEK | 980,839 | USD | 100,000 | 05/20/22 | (64 | ) | ||||||||||||||
TRY | 1,528,890 | USD | 100,000 | 06/22/22 | (1,054 | ) | ||||||||||||||
TWD | 2,918,475 | USD | 100,000 | 05/03/22 | (904 | ) | ||||||||||||||
TWD | 2,909,995 | USD | 100,000 | 05/16/22 | (1,024 | ) | ||||||||||||||
TWD | 2,930,995 | USD | 100,000 | 05/27/22 | (236 | ) | ||||||||||||||
USD | 100,000 | BRL | 507,131 | 06/02/22 | (1,489 | ) | ||||||||||||||
USD | 100,000 | CLP | 85,800,000 | 05/27/22 | (37 | ) | ||||||||||||||
USD | 131,736 | EUR | 125,000 | 05/20/22 | (246 | ) | ||||||||||||||
USD | 100,000 | INR | 7,696,780 | 05/31/22 | (166 | ) | ||||||||||||||
USD | 576,025 | JPY | 75,000,000 | 05/20/22 | (2,275 | ) | ||||||||||||||
USD | 100,000 | KRW | 127,034,911 | 06/03/22 | (551 | ) | ||||||||||||||
USD | 170,164 | MXN | 3,500,000 | 05/20/22 | (667 | ) | ||||||||||||||
USD | 100,000 | PLN | 447,882 | 05/20/22 | (782 | ) | ||||||||||||||
USD | 1,904 | TWD | 56,069 | 05/03/22 | — | |||||||||||||||
USD | 100,000 | TWD | 2,948,300 | 05/27/22 | (353 | ) | ||||||||||||||
MS & Co. Int. PLC | AUD | 6,624,000 | USD | 4,939,938 | 06/17/22 | (255,618 | ) | |||||||||||||
EUR | 62,000 | USD | 68,516 | 06/17/22 | (2,959 | ) | ||||||||||||||
GBP | 593,000 | USD | 775,885 | 06/17/22 | (30,158 | ) | ||||||||||||||
SEK | 1,098,000 | USD | 115,893 | 06/17/22 | (3,919 | ) | ||||||||||||||
USD | 1,052 | EUR | 1,000 | 06/17/22 | (5 | ) | ||||||||||||||
USD | 4,992 | GBP | 4,000 | 06/17/22 | (38 | ) | ||||||||||||||
ZAR | 718,000 | USD | 48,179 | 06/17/22 | (2,957 | ) | ||||||||||||||
TOTAL | $ | (694,938 | ) |
FUTURES CONTRACTS — At April 30, 2022, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
10 Year U.S. Treasury Notes | 64 | 06/21/22 | $ | 7,619,000 | $ | (11,703 | ) | |||||||||
20 Year U.S. Treasury Bonds | 3 | 06/21/22 | 421,687 | (594 | ) | |||||||||||
5 Year U.S. Treasury Notes | 14 | 06/30/22 | 1,575,984 | 1,578 | ||||||||||||
Amsterdam Exchanges Index | 1 | 05/20/22 | 149,058 | 3,433 | ||||||||||||
Brent Crude | 1 | 05/31/22 | 107,140 | 1,499 | ||||||||||||
CAC40 Index | 5 | 05/20/22 | 341,619 | 633 |
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, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
CBOE Volatility Index | 19 | 06/15/22 | $ | 592,961 | $ | 23,841 | ||||||||||
Cocoa | 2 | 07/14/22 | 36,120 | 300 | ||||||||||||
Copper | 4 | 05/03/22 | 969,600 | (6,500 | ) | |||||||||||
Copper | 3 | 05/09/22 | 733,053 | (12,281 | ) | |||||||||||
Copper | 3 | 05/10/22 | 733,106 | (26,120 | ) | |||||||||||
Copper | 3 | 05/11/22 | 733,162 | (12,009 | ) | |||||||||||
Copper | 1 | 05/13/22 | 244,387 | (4,652 | ) | |||||||||||
Copper | 2 | 05/16/22 | 488,737 | (9,494 | ) | |||||||||||
Copper | 1 | 05/17/22 | 244,350 | (4,645 | ) | |||||||||||
Copper | 1 | 05/24/22 | 244,230 | (7,373 | ) | |||||||||||
Copper | 1 | 06/01/22 | 244,210 | (5,893 | ) | |||||||||||
DAX Index | 4 | 06/17/22 | 1,486,425 | 10,048 | ||||||||||||
E-Mini Crude Oil | 1 | 05/19/22 | 52,345 | (94 | ) | |||||||||||
E-mini Russell 2000 Index | 1 | 06/17/22 | 93,065 | (1,550 | ) | |||||||||||
Euro Stoxx 50 Index | 22 | 06/17/22 | 867,085 | 1,941 | ||||||||||||
FTSE China A50 Index | 12 | 05/30/22 | 161,868 | 2,825 | ||||||||||||
FTSE/MIB Index | 1 | 06/17/22 | 126,167 | 179 | ||||||||||||
Gasoline | 1 | 05/31/22 | 144,581 | (1,480 | ) | |||||||||||
Gasoline | 1 | 06/30/22 | 141,725 | 4,135 | ||||||||||||
H-Shares Index | 1 | 05/30/22 | 46,355 | 2,600 | ||||||||||||
Hang Seng Index | 2 | 05/30/22 | 267,656 | 618 | ||||||||||||
Japan 10 Year Government Bonds | 1 | 06/13/22 | 1,152,996 | 4,315 | ||||||||||||
Kospi 200 Index | 5 | 06/09/22 | 353,901 | 2,843 | ||||||||||||
Lead | 1 | 05/03/22 | 56,375 | 859 | ||||||||||||
Lead | 1 | 05/04/22 | 56,475 | 1,259 | ||||||||||||
Lead | 1 | 05/10/22 | 56,513 | (228 | ) | |||||||||||
Lead | 1 | 05/16/22 | 56,488 | (4,315 | ) | |||||||||||
Lead | 1 | 05/24/22 | 56,427 | (2,738 | ) | |||||||||||
Lead | 1 | 06/01/22 | 56,495 | (3,746 | ) | |||||||||||
Lead | 2 | 06/06/22 | 113,075 | (9,306 | ) | |||||||||||
Lead | 1 | 06/08/22 | 56,538 | (3,597 | ) | |||||||||||
Mini HSI Index | 1 | 05/30/22 | 26,766 | 492 | ||||||||||||
Mini Topix Index | 1 | 06/09/22 | 14,664 | 254 | ||||||||||||
MSCI Singapore Index | 1 | 05/30/22 | 22,691 | 325 | ||||||||||||
Nickel | 2 | 05/03/22 | 395,190 | 122,724 | ||||||||||||
Nickel | 1 | 05/06/22 | 190,353 | 49,080 | ||||||||||||
Nickel | 3 | 05/09/22 | 571,157 | 149,996 | ||||||||||||
Nickel | 1 | 05/10/22 | 190,396 | 48,523 | ||||||||||||
Nickel | 1 | 05/11/22 | 190,407 | 50,004 | ||||||||||||
Nickel | 1 | 05/16/22 | 190,461 | 49,367 | ||||||||||||
Nickel | 1 | 05/25/22 | 190,462 | 44,779 | ||||||||||||
Nickel | 1 | 06/06/22 | 190,469 | 33,416 | ||||||||||||
Nickel | 1 | 06/07/22 | 190,470 | (3,769 | ) | |||||||||||
Nikkei 225 Index | 2 | 06/09/22 | 414,101 | 847 | ||||||||||||
Nikkei 225 Mini Index | 25 | 06/09/22 | 517,627 | 3,588 | ||||||||||||
OMXS 30 Index | 4 | 05/20/22 | 83,783 | 166 | ||||||||||||
Platinum | 2 | 07/27/22 | 93,960 | 2,107 | ||||||||||||
Primary Aluminum | 1 | 05/03/22 | 75,388 | 372 | ||||||||||||
Primary Aluminum | 2 | 05/06/22 | 151,575 | (4,694 | ) | |||||||||||
Primary Aluminum | 4 | 05/09/22 | 303,100 | (16,625 | ) |
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) | ||||||||||||||||
Primary Aluminum | 1 | 05/11/22 | $ | 75,800 | $ | (4,678 | ) | |||||||||
Primary Aluminum | 1 | 05/23/22 | 75,869 | (6,272 | ) | |||||||||||
Primary Aluminum | 1 | 06/08/22 | 76,016 | (11,442 | ) | |||||||||||
S&P 500 E-Mini Index | 2 | 06/17/22 | 412,750 | (16,750 | ) | |||||||||||
SGX Nifty 50 Index | 2 | 05/26/22 | 68,506 | (91 | ) | |||||||||||
Silver | 1 | 07/27/22 | 115,425 | (1,602 | ) | |||||||||||
Soybean | 4 | 07/14/22 | 172,920 | (179 | ) | |||||||||||
Stoxx 600 Banks Index | 3 | 06/17/22 | 51,255 | (74 | ) | |||||||||||
Sugar No. 11 | 1 | 06/30/22 | 21,448 | (92 | ) | |||||||||||
Topix Index | 5 | 06/09/22 | 733,192 | 11,980 | ||||||||||||
U.S. Dollar Index | 3 | 05/16/22 | 30,014 | 297 | ||||||||||||
U.S. Dollar Index | 1 | 06/13/22 | 102,963 | (387 | ) | |||||||||||
WTI Crude Oil | 1 | 05/20/22 | 104,690 | (2,502 | ) | |||||||||||
WTI Crude Oil | 1 | 06/21/22 | 102,940 | (1,622 | ) | |||||||||||
Yen Denom Nikkei | 4 | 06/09/22 | 411,944 | (2,581 | ) | |||||||||||
Zinc | 1 | 05/03/22 | 104,925 | 15,085 | ||||||||||||
Zinc | 1 | 05/04/22 | 103,781 | 5,585 | ||||||||||||
Zinc | 1 | 05/06/22 | 103,781 | 12,664 | ||||||||||||
Zinc | 1 | 05/09/22 | 103,781 | 12,639 | ||||||||||||
Zinc | 3 | 05/10/22 | 311,344 | 33,468 | ||||||||||||
Zinc | 1 | 05/11/22 | 103,781 | 5,585 | ||||||||||||
Zinc | 3 | 05/13/22 | 311,044 | 40,171 | ||||||||||||
Zinc | 1 | 05/17/22 | 103,581 | 13,689 | ||||||||||||
Zinc | 1 | 05/18/22 | 103,531 | 12,389 | ||||||||||||
Zinc | 1 | 06/01/22 | 103,210 | 9,893 | ||||||||||||
Zinc | 1 | 06/06/22 | 103,194 | 5,141 | ||||||||||||
Total | $ | 595,854 | ||||||||||||||
Short position contracts: | ||||||||||||||||
10 Year German Euro-Bund | (14 | ) | 06/08/22 | (2,270,780 | ) | 22,786 | ||||||||||
10 Year U.K. Long Gilt | (1 | ) | 06/28/22 | (148,995 | ) | 1,031 | ||||||||||
2 Year U.S. Treasury Notes | (4 | ) | 06/30/22 | (842,969 | ) | 1,297 | ||||||||||
5 Year German Euro-Bobl | (8 | ) | 06/08/22 | (1,073,517 | ) | 5,254 | ||||||||||
Amsterdam Exchanges Index | (2 | ) | 05/20/22 | (282,588 | ) | (523 | ) | |||||||||
CAC40 Index | (8 | ) | 05/20/22 | (518,120 | ) | (5,746 | ) | |||||||||
Canada 10 Year Government Bonds | (2 | ) | 06/21/22 | (196,240 | ) | 1,051 | ||||||||||
CBOE Volatility Index | (13 | ) | 05/18/22 | (411,433 | ) | (19,455 | ) | |||||||||
Copper | (4 | ) | 05/03/22 | (969,600 | ) | 13,188 | ||||||||||
Copper | (3 | ) | 05/09/22 | (733,053 | ) | 11,129 | ||||||||||
Copper | (3 | ) | 05/10/22 | (733,106 | ) | 27,617 | ||||||||||
Copper | (3 | ) | 05/11/22 | (733,163 | ) | 10,366 | ||||||||||
Copper | (1 | ) | 05/13/22 | (244,388 | ) | 1,247 | ||||||||||
Copper | (2 | ) | 05/16/22 | (488,738 | ) | 9,272 | ||||||||||
Copper | (1 | ) | 05/17/22 | (244,350 | ) | 3,959 | ||||||||||
Copper | (1 | ) | 05/24/22 | (244,230 | ) | 1,617 | ||||||||||
Copper | (1 | ) | 06/01/22 | (244,210 | ) | 7,267 | ||||||||||
DAX Index | (1 | ) | 06/17/22 | (352,250 | ) | (10,091 | ) | |||||||||
Euro Stoxx 50 Index | (11 | ) | 06/17/22 | (412,528 | ) | (16,262 | ) | |||||||||
Euro-Schatz | (2 | ) | 06/08/22 | (232,395 | ) | 353 | ||||||||||
Eurodollars | (2 | ) | 06/17/24 | (483,800 | ) | 912 |
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, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Eurodollars | (1 | ) | 06/19/23 | $ | (259,755 | ) | $ | 488 | ||||||||
French 10 Year Government Bonds | (6 | ) | 06/08/22 | (924,390 | ) | 11,921 | ||||||||||
FTSE 100 Index | (11 | ) | 06/17/22 | (903,799 | ) | (32,724 | ) | |||||||||
FTSE KLCI Index | (1 | ) | 05/31/22 | (18,365 | ) | (149 | ) | |||||||||
FTSE/MIB Index | (1 | ) | 06/17/22 | (119,595 | ) | 3,692 | ||||||||||
Gold 100 Oz | (1 | ) | 06/28/22 | (191,170 | ) | 18 | ||||||||||
Hang Seng Index | (2 | ) | 05/30/22 | (2,100,300 | ) | (13,294 | ) | |||||||||
IBEX 35 Index | (2 | ) | 05/20/22 | (171,390 | ) | (1,593 | ) | |||||||||
Lead | (1 | ) | 05/03/22 | (56,375 | ) | (103 | ) | |||||||||
Lead | (1 | ) | 05/04/22 | (56,475 | ) | (1,647 | ) | |||||||||
Lead | (1 | ) | 05/10/22 | (56,512 | ) | 4,285 | ||||||||||
Lead | (1 | ) | 05/16/22 | (56,487 | ) | 1,659 | ||||||||||
Lead | (1 | ) | 05/24/22 | (56,427 | ) | 4,345 | ||||||||||
Lead | (1 | ) | 06/01/22 | (56,495 | ) | 3,564 | ||||||||||
Lead | (2 | ) | 06/06/22 | (113,075 | ) | 7,354 | ||||||||||
Lead | (1 | ) | 06/08/22 | (56,538 | ) | 8,459 | ||||||||||
Lean Hogs | (1 | ) | 06/14/22 | (42,550 | ) | (62 | ) | |||||||||
Live Cattle | (1 | ) | 06/30/22 | (53,060 | ) | 498 | ||||||||||
Mexican Peso | (1 | ) | 06/13/22 | (24,300 | ) | 135 | ||||||||||
MSCI Emerging Markets Index | (34 | ) | 06/17/22 | (1,797,580 | ) | (47,053 | ) | |||||||||
Natural Gas | (3 | ) | 05/26/22 | (217,320 | ) | (6,365 | ) | |||||||||
Nickel | (2 | ) | 05/03/22 | (395,190 | ) | (123,336 | ) | |||||||||
Nickel | (1 | ) | 05/06/22 | (190,353 | ) | (54,204 | ) | |||||||||
Nickel | (3 | ) | 05/09/22 | (571,157 | ) | (160,232 | ) | |||||||||
Nickel | (1 | ) | 05/10/22 | (190,396 | ) | (49,378 | ) | |||||||||
Nickel | (1 | ) | 05/11/22 | (190,407 | ) | (51,600 | ) | |||||||||
Nickel | (1 | ) | �� | 05/16/22 | (190,461 | ) | (49,623 | ) | ||||||||
Nickel | (1 | ) | 05/25/22 | (190,462 | ) | 3,636 | ||||||||||
Nickel | (1 | ) | 06/06/22 | (190,469 | ) | (25,382 | ) | |||||||||
Nickel | (1 | ) | 06/07/22 | (190,470 | ) | 90,357 | ||||||||||
OMXS 30 Index | (7 | ) | 05/20/22 | (1,439,725 | ) | 2,932 | ||||||||||
Primary Aluminum | (1 | ) | 05/03/22 | (75,388 | ) | 5,309 | ||||||||||
Primary Aluminum | (2 | ) | 05/06/22 | (151,575 | ) | 9,444 | ||||||||||
Primary Aluminum | (4 | ) | 05/09/22 | (303,100 | ) | 20,100 | ||||||||||
Primary Aluminum | (1 | ) | 05/11/22 | (75,800 | ) | 4,384 | ||||||||||
Primary Aluminum | (1 | ) | 05/23/22 | (75,869 | ) | 11,504 | ||||||||||
Primary Aluminum | (1 | ) | 06/08/22 | (76,016 | ) | 17,131 | ||||||||||
S&P 500 E-Mini Index | (44 | ) | 06/17/22 | (9,080,500 | ) | 101,548 | ||||||||||
S&P Toronto Stock Exchange 60 Index | (3 | ) | 06/16/22 | (751,200 | ) | 23,947 | ||||||||||
Soybean | (2 | ) | 07/14/22 | (134,746 | ) | 727 | ||||||||||
SPI 200 Index | (3 | ) | 06/16/22 | (555,675 | ) | (10,429 | ) | |||||||||
TOPIX Index | (6 | ) | 06/09/22 | (114,180,000 | ) | (55,343 | ) | |||||||||
Ultra Long U.S. Treasury Bonds | (3 | ) | 06/21/22 | (479,531 | ) | 7,750 | ||||||||||
Wheat | (2 | ) | 07/14/22 | (108,074 | ) | 3,471 | ||||||||||
WTI Crude Oil | (1 | ) | 05/19/22 | (104,690 | ) | (8,151 | ) | |||||||||
Zinc | (1 | ) | 05/03/22 | (104,925 | ) | (15,155 | ) | |||||||||
Zinc | (1 | ) | 05/04/22 | (103,781 | ) | (13,448 | ) | |||||||||
Zinc | (1 | ) | 05/06/22 | (103,781 | ) | (13,964 | ) | |||||||||
Zinc | (1 | ) | 05/09/22 | (103,781 | ) | (13,490 | ) | |||||||||
Zinc | (3 | ) | 05/10/22 | (311,344 | ) | (34,706 | ) |
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) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Zinc | (1 | ) | 05/11/22 | $ | (103,781 | ) | $ | (13,161 | ) | |||||||
Zinc | (3 | ) | 05/13/22 | (311,044 | ) | (33,206 | ) | |||||||||
Zinc | (1 | ) | 05/17/22 | (103,581 | ) | (5,390 | ) | |||||||||
Zinc | (1 | ) | 05/18/22 | (103,531 | ) | (5,272 | ) | |||||||||
Zinc | (1 | ) | 06/01/22 | (103,210 | ) | �� | (9,639 | ) | ||||||||
Zinc | (1 | ) | 06/06/22 | (103,194 | ) | (6,223 | ) | |||||||||
Total | $ | (439,395 | ) | |||||||||||||
TOTAL FUTURES CONTRACTS | $ | 156,459 |
SWAP CONTRACTS — At April 30, 2022, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
Reference Obligation/Index(a) | Financing Rate Paid by the Fund | Counterparty | Termination Date | Notional Amount (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||||||
American Campus Communities | 0.330 | % | MS & Co. Int. PLC | 02/02/23 | $ | 15 | $ | (1,936 | ) | |||||||||
Atlantia SpA | (0.500 | ) | MS & Co. Int. PLC | 07/07/22 | 8 | (6,959 | ) | |||||||||||
Avast PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 67 | (2,119 | ) | ||||||||||||
Brewin Dolphin Holdings PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 42 | (10,170 | ) | ||||||||||||
Clipper Logistics PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 12 | (3,470 | ) | ||||||||||||
Entain PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 3 | (5,379 | ) | ||||||||||||
Homeserve PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 11 | (745 | ) | ||||||||||||
Irongate Group | 0.060 | MS & Co. Int. PLC | 03/25/24 | 141 | (8,489 | ) | ||||||||||||
Irongate Group | 4.280 | MS & Co. Int. PLC | 03/28/24 | 34 | (2,313 | ) | ||||||||||||
Meggitt PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 84 | (22,250 | ) | ||||||||||||
John Menzies PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 77 | (31,141 | ) | ||||||||||||
PS Buisness Parks Inc | 0.330 | MS & Co. Int. PLC | 02/02/23 | 2 | (230 | ) | ||||||||||||
Ramsay Health Care Ltd | 0.060 | MS & Co. Int. PLC | 03/25/24 | 1 | (3,940 | ) | ||||||||||||
Randall & Quilter Investment Holdings Ltd | 0.690 | MS & Co. Int. PLC | 08/12/22 | 66 | (2,249 | ) | ||||||||||||
Schroders PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 3 | (2,220 | ) | ||||||||||||
Schroders PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 3 | 1,610 | |||||||||||||
Ultra Electronics Holdings PLC | 0.690 | MS & Co. Int. PLC | 08/12/22 | 14 | (27,878 | ) | ||||||||||||
Uniti Group Ltd | 0.060 | MS & Co. Int. PLC | 03/25/24 | 157 | (33,713 | ) | ||||||||||||
VICI Properties Inc | 0.330 | MS & Co. Int. PLC | 11/03/23 | 70 | 28,143 | |||||||||||||
VICI Properties, Inc. | (0.330 | ) | MS & Co. Int. PLC | 02/02/23 | 70 | (48,187 | ) | |||||||||||
TOTAL | $ | (183,635 | ) |
# | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
* | There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
(a) | Payments made monthly. |
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, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At April 30, 2022, 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 | ||||||||||||||||||||||||||
Intuit, Inc. | $430.000 | 09/16/2022 | 10 | $ | 430,000 | $ | 40,350 | $ | 46,099 | $ | (5,749 | ) | ||||||||||||||
Kohl’s Corp. | 62.500 | 07/15/2022 | 26 | 162,500 | 9,035 | 11,497 | (2,462 | ) | ||||||||||||||||||
Momentive Global, Inc. | 15.000 | 07/15/2022 | 27 | 40,500 | 6,278 | 6,720 | (442 | ) | ||||||||||||||||||
Momentive Global, Inc. | 17.500 | 07/15/2022 | 129 | 225,750 | 13,867 | 24,889 | (11,022 | ) | ||||||||||||||||||
Nike, Inc. | 125.000 | 09/16/2022 | 54 | 675,000 | 61,695 | 61,367 | 328 | |||||||||||||||||||
Oracle Corp. | 77.500 | 09/16/2022 | 40 | 310,000 | 17,800 | 22,915 | (5,115 | ) | ||||||||||||||||||
Spirit Airlines, Inc. | 25.000 | 05/20/2022 | 140 | 350,000 | 11,200 | 25,574 | (14,374 | ) | ||||||||||||||||||
Take-Two Interactive Software | 170.000 | 06/17/2022 | 2 | 34,000 | 75 | 2,493 | (2,418 | ) | ||||||||||||||||||
The Estee Lauder Cos., Inc. | 260.000 | 10/21/2022 | 18 | 468,000 | 56,520 | 56,820 | (300 | ) | ||||||||||||||||||
Unitedhealth Group, Inc. | 250.000 | 06/17/2022 | 17 | 425,000 | 440,640 | 320,512 | 120,128 | |||||||||||||||||||
Zendesk, Inc. | 75.000 | 01/20/2023 | 16 | 120,000 | 80,800 | 85,182 | (4,382 | ) | ||||||||||||||||||
Zendesk, Inc. | 125.000 | 07/15/2022 | 14 | 175,000 | 14,560 | 14,579 | (19 | ) | ||||||||||||||||||
Zoetis, Inc. | 125.000 | 01/20/2023 | 5 | 62,500 | 28,425 | 28,877 | (452 | ) | ||||||||||||||||||
498 | $ | 3,478,250 | $ | 781,245 | $ | 707,524 | $ | 73,721 | ||||||||||||||||||
Puts | ||||||||||||||||||||||||||
51job, Inc. | $40.000 | 10/21/2022 | 29 | 116,000 | 290 | 5,864 | (5,574 | ) | ||||||||||||||||||
Total purchased option contracts | 527 | $ | 3,594,250 | $ | 781,535 | $ | 713,388 | $ | 68,147 | |||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||
51job, Inc. | 60.000 | 10/21/2022 | (29 | ) | $ | (174,000 | ) | $ | (2,900 | ) | $ | (2,345 | ) | $ | (555 | ) | ||||||||||
Blackrock, Inc. | 560.000 | 01/20/2023 | (7 | ) | (392,000 | ) | (72,170 | ) | (80,117 | ) | 7,947 | |||||||||||||||
Houghton Mifflin Harcourt Co. | 22.500 | 06/17/2022 | (198 | ) | (445,500 | ) | — | (5,019 | ) | 5,019 | ||||||||||||||||
Kohl’s Corp. | 70.000 | 07/15/2022 | (26 | ) | (182,000 | ) | (2,197 | ) | (2,003 | ) | (194 | ) | ||||||||||||||
Mimecast Ltd. | 80.000 | 05/20/2022 | (22 | ) | (176,000 | ) | (109 | ) | (856 | ) | 747 | |||||||||||||||
Momentive Global, Inc | 22.500 | 07/15/2022 | (156 | ) | (351,000 | ) | (1,950 | ) | (6,633 | ) | 4,683 | |||||||||||||||
Spirit Airlines, Inc. | 27.500 | 05/20/2022 | (140 | ) | (385,000 | ) | (3,220 | ) | (9,889 | ) | 6,669 | |||||||||||||||
Take-Two Interactive Software | 190.000 | 06/17/2022 | (2 | ) | (38,000 | ) | (80 | ) | (1,250 | ) | 1,170 | |||||||||||||||
Zendesk, Inc. | 145.000 | 07/15/2022 | (28 | ) | (406,000 | ) | (6,930 | ) | (6,587 | ) | (343 | ) | ||||||||||||||
(608 | ) | $ | (2,549,500 | ) | $ | (89,556 | ) | $ | (114,699 | ) | $ | 25,143 | ||||||||||||||
Puts | ||||||||||||||||||||||||||
51job, Inc | 25.000 | 10/21/2022 | (29 | ) | $ | (72,500 | ) | $ | (145 | ) | $ | (419 | ) | $ | 274 | |||||||||||
Healthcare Trust Of America Inc | 30.000 | 05/20/2022 | (43 | ) | (129,000 | ) | (3,333 | ) | (2,095 | ) | (1,238 | ) | ||||||||||||||
Kohl’s Corp. | 47.500 | 07/15/2022 | (26 | ) | (123,500 | ) | (5,460 | ) | (3,174 | ) | (2,286 | ) | ||||||||||||||
(98 | ) | $ | (325,000 | ) | $ | (8,938 | ) | $ | (5,688 | ) | $ | (3,250 | ) | |||||||||||||
Total written option contracts | (706 | ) | $ | (2,874,500 | ) | $ | (98,494 | ) | $ | (120,387 | ) | $ | 21,893 | |||||||||||||
TOTAL | (179 | ) | $ | 719,750 | $ | 683,041 | $ | 593,001 | $ | 90,040 |
| ||
Abbreviation: | ||
MS & Co. Int. PLC | —Morgan Stanley & Co. International PLC | |
|
16 | 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, 2022 (Unaudited)
| ||||||
Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $86,381,246) | $ | 86,359,629 | ||||
Investments of affiliated issuers, at value (cost $68,789,374) | 68,789,374 | |||||
Purchased options, at value (premium paid $713,388) | 781,535 | |||||
Cash | 1,405,726 | |||||
Foreign currencies, at value (cost $28,403) | 9,392 | |||||
Unrealized gain on swap contracts | 29,753 | |||||
Unrealized gain on forward foreign currency exchange contracts | 852,926 | |||||
Variation margin on futures contracts | 596,211 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(b) | 6,010,634 | |||||
Investments sold | 1,366,611 | |||||
Dividends and interest | 264,603 | |||||
Foreign tax reclaims | 68,678 | |||||
Reimbursement from investment adviser | 36,402 | |||||
Due from broker — upfront payment | 9,798 | |||||
Fund shares sold | 589 | |||||
Other assets | 86,384 | |||||
Total assets | 166,668,245 | |||||
Liabilities: | ||||||
Written option contracts, at value (premium received $120,387) | 98,494 | |||||
Securities sold short, at value (proceeds received $1,380,358) | 1,209,148 | |||||
Unrealized loss on swap contracts | 213,388 | |||||
Unrealized loss on forward foreign currency exchange contracts | 694,938 | |||||
Variation margin on futures contracts | 45,217 | |||||
Payables: | ||||||
Investments purchased | 1,816,945 | |||||
Due to broker | 333,389 | |||||
Management fees | 201,943 | |||||
Fund shares redeemed | 40,822 | |||||
Distribution and service fees and transfer agency fees | 10,459 | |||||
Accrued expenses and other liabilities | 913,030 | |||||
Total liabilities | 5,577,773 | |||||
Net Assets: | ||||||
Paid-in capital | 199,064,783 | |||||
Total distributable earnings (loss) | (37,974,311 | ) | ||||
NET ASSETS | $ | 161,090,472 | ||||
Net Assets: | ||||||
Class A | $ | 7,374,615 | ||||
Class C | 3,051,810 | |||||
Institutional | 36,509,303 | |||||
Investor | 7,323,177 | |||||
Class R6 | 37,371 | |||||
Class R | 29,418 | |||||
Class P | 106,764,778 | |||||
Total Net Assets | $ | 161,090,472 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 647,430 | |||||
Class C | 281,366 | |||||
Institutional | 3,152,624 | |||||
Investor | 636,403 | |||||
Class R6 | 3,224 | |||||
Class R | 2,625 | |||||
Class P | 9,220,327 | |||||
Net asset value, offering and redemption price per share:(c) | ||||||
Class A | $11.39 | |||||
Class C | 10.85 | |||||
Institutional | 11.58 | |||||
Investor | 11.51 | |||||
Class R6 | 11.59 | |||||
Class R | 11.20 | |||||
Class P | 11.58 |
(a) | Statement of Assets and Liabilities for the Fund is consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity — MMA IV, LLC. |
Accordingly, | all interfund balances and transactions have been eliminated. |
(b) | Includes segregated cash of $2,060,635, $210,000, $1,250,000 and $2,489,999 relating to initial margin requirements and/or collateral on futures, forward foreign currency, options and swaps transactions, respectively. |
(c) | Maximum public offering price per share for Class A Shares is $12.04. 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. | 17 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Statement of Operations(a)
For the Six Months Ended April 30, 2022 (Unaudited)
| ||||||
Investment income: | ||||||
Non-cash dividends | $ | 94,146 | ||||
Dividends — affiliated issuers | 6,050 | |||||
Total investment income | 100,196 | |||||
Expenses: | ||||||
Management fees | 1,560,203 | |||||
Custody, accounting and administrative services | 443,707 | |||||
Professional fees | 179,683 | |||||
Interest expense | 136,092 | |||||
Registration fees | 53,183 | |||||
Printing and mailing costs | 45,382 | |||||
Transfer Agency fees(b) | 39,086 | |||||
Distribution and Service fees(b) | 21,747 | |||||
Prime broker fees | 16,168 | |||||
Trustee fees | 13,665 | |||||
Dividend expense for securities sold short | 7,405 | |||||
Service Share fees — Shareholder Administration Plan | 4,098 | |||||
Other | 6,539 | |||||
Total expenses | 2,526,958 | |||||
Less — expense reductions | (910,162 | ) | ||||
Net expenses | 1,616,796 | |||||
NET INVESTMENT LOSS | (1,516,600 | ) | ||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers (including commission recapture of $2,148) | 6,009,415 | |||||
Securities sold short | 80,785 | |||||
Purchased options | (225,382 | ) | ||||
Futures contracts | 2,336,516 | |||||
Written options | 205,581 | |||||
Swap contracts | 532,506 | |||||
Forward foreign currency exchange contracts | 293,068 | |||||
Foreign currency transactions | 21,462 | |||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | (14,987,025 | ) | ||||
Securities short sales | 993,289 | |||||
Purchased options | (5,438 | ) | ||||
Futures contracts | (122,617 | ) | ||||
Written options | (50,926 | ) | ||||
Swap contracts | (93,088 | ) | ||||
Forward foreign currency exchange contracts | 179,776 | |||||
Foreign currency translation | (41,777 | ) | ||||
Net realized and unrealized loss | (4,873,855 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (6,390,455 | ) |
(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 | |||||||||||||||||||||||||||||
$ | 9,380 | $ | 12,293 | $ | 74 | $ | 6,378 | $ | 2,786 | $ | 7,848 | $ | 6,137 | $ | 5 | $ | 25 | $ | 15,907 |
18 | 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, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||
From operations: | ||||||||||||||
Net investment loss | $ | (1,516,600 | ) | $ | (557,594 | ) | ||||||||
Net realized gain | 9,253,951 | 13,515,567 | ||||||||||||
Net change in unrealized gain (loss) | (14,127,806 | ) | 4,678,340 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (6,390,455 | ) | 17,636,313 | |||||||||||
From share transactions: | ||||||||||||||
Proceeds from sales of shares | 14,679,128 | 65,592,984 | ||||||||||||
Cost of shares redeemed | (23,725,022 | ) | (56,398,293 | ) | ||||||||||
Net increase (decrease) in net assets resulting from share transactions | (9,045,894 | ) | 9,194,691 | |||||||||||
TOTAL INCREASE (DECREASE) | (15,436,349 | ) | 26,831,004 | |||||||||||
Net assets: | ||||||||||||||
Beginning of period | 176,526,821 | 149,695,817 | ||||||||||||
End of period | $ | 161,090,472 | $ | 176,526,821 |
(a) | Statement 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. | 19 |
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, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.86 | $ | 10.66 | $ | 10.48 | $ | 9.91 | $ | 10.22 | $ | 10.25 | ||||||||||||||
Net investment income (loss)(a) | (0.13 | ) | (0.07 | ) | (0.01 | ) | 0.04 | (0.04 | ) | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.34 | ) | 1.27 | 0.25 | 0.53 | (0.27 | ) | 0.13 | ||||||||||||||||||
Total from investment operations | (0.47 | ) | 1.20 | 0.24 | 0.57 | (0.31 | ) | 0.11 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.06 | ) | — | — | (0.14 | ) | ||||||||||||||||||
Net asset value, end of period | $ | 11.39 | $ | 11.86 | $ | 10.66 | $ | 10.48 | $ | 9.91 | $ | 10.22 | ||||||||||||||
Total return(b) | (3.96 | )% | 11.26 | % | 2.33 | % | 5.75 | % | (3.03 | )% | 1.08 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,375 | $ | 7,943 | $ | 8,015 | $ | 11,538 | $ | 19,155 | $ | 37,077 | ||||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.28 | %(c) | 2.15 | % | 2.13 | % | 2.12 | % | 2.31 | % | 2.51 | % | ||||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.07 | %(c) | 2.08 | % | 2.07 | % | 2.07 | % | 2.23 | % | 2.38 | % | ||||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.43 | %(c) | 3.36 | % | 4.32 | % | 3.51 | % | 2.91 | % | 2.74 | % | ||||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 3.23 | %(c) | 3.30 | % | 4.27 | % | 3.46 | % | 2.82 | % | 2.62 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (2.18 | )%(c) | (0.63 | )% | (0.17 | )% | 0.39 | % | (0.43 | )% | (0.22 | )% | ||||||||||||||
Portfolio turnover rate(d) | 116 | % | 269 | % | 222 | % | 202 | % | 232 | % | 112 | % |
(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. |
20 | 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, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.34 | $ | 10.26 | $ | 10.11 | $ | 9.62 | $ | 10.00 | $ | 10.02 | ||||||||||||||
Net investment loss(a) | (0.16 | ) | (0.15 | ) | (0.09 | ) | (0.03 | ) | (0.12 | ) | (0.11 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.33 | ) | 1.23 | 0.24 | 0.52 | (0.26 | ) | 0.13 | ||||||||||||||||||
Total from investment operations | (0.49 | ) | 1.08 | 0.15 | 0.49 | (0.38 | ) | 0.02 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | — | — | (0.04 | ) | |||||||||||||||||||
Net asset value, end of period | $ | 10.85 | $ | 11.34 | $ | 10.26 | $ | 10.11 | $ | 9.62 | $ | 10.00 | ||||||||||||||
Total return(b) | (4.41 | )% | 10.53 | % | 1.48 | % | 4.98 | % | (3.70 | )% | 0.23 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,052 | $ | 3,544 | $ | 5,045 | $ | 7,646 | $ | 12,333 | $ | 29,758 | ||||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.03 | %(c) | 2.89 | % | 2.88 | % | 2.87 | % | 3.07 | % | 3.26 | % | ||||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.83 | %(c) | 2.84 | % | 2.82 | % | 2.82 | % | 2.99 | % | 3.13 | % | ||||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 4.18 | %(c) | 4.15 | % | 5.09 | % | 4.27 | % | 3.65 | % | 3.54 | % | ||||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 3.98 | %(c) | 4.09 | % | 5.03 | % | 4.21 | % | 3.57 | % | 3.41 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (2.94 | )%(c) | (1.39 | )% | (0.92 | )% | (0.36 | )% | (1.23 | )% | (1.07 | )% | ||||||||||||||
Portfolio turnover rate(d) | 116 | % | 269 | % | 222 | % | 202 | % | 232 | % | 112 | % |
(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. | 21 |
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, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.04 | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.28 | $ | 10.33 | ||||||||||||||
Net investment income (loss)(a) | (0.11 | ) | (0.03 | ) | 0.01 | 0.07 | (0.01 | ) | — | (b) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 1.29 | 0.26 | 0.55 | (0.27 | ) | 0.15 | ||||||||||||||||||
Total from investment operations | (0.46 | ) | 1.26 | 0.27 | 0.62 | (0.28 | ) | 0.15 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.11 | ) | — | — | (0.20 | ) | ||||||||||||||||||
Net asset value, end of period | $ | 11.58 | $ | 12.04 | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.28 | ||||||||||||||
Total return(c) | (3.82 | )% | 11.58 | % | 2.66 | % | 6.20 | % | (2.72 | )% | 1.47 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 36,509 | $ | 54,438 | $ | 67,354 | $ | 158,958 | $ | 361,962 | $ | 807,918 | ||||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 1.93 | %(d) | 1.82 | % | 1.81 | % | 1.80 | % | 1.97 | % | 2.11 | % | ||||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 1.73 | %(d) | 1.76 | % | 1.75 | % | 1.74 | % | 1.89 | % | 1.98 | % | ||||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.05 | %(d) | 3.00 | % | 3.94 | % | 3.03 | % | 2.51 | % | 2.40 | % | ||||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.85 | %(d) | 2.94 | % | 3.88 | % | 2.98 | % | 2.43 | % | 2.28 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.81 | )%(d) | (0.28 | )% | 0.14 | % | 0.71 | % | (0.12 | )% | 0.02 | % | ||||||||||||||
Portfolio turnover rate(e) | 116 | % | 269 | % | 222 | % | 202 | % | 232 | % | 112 | % |
(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. |
22 | 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, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.97 | $ | 10.73 | $ | 10.56 | $ | 9.95 | $ | 10.24 | $ | 10.30 | ||||||||||||||
Net investment income (loss)(a) | (0.11 | ) | (0.04 | ) | 0.01 | 0.07 | (0.03 | ) | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 1.28 | 0.26 | 0.54 | (0.26 | ) | 0.14 | ||||||||||||||||||
Total from investment operations | (0.46 | ) | 1.24 | 0.27 | 0.61 | (0.29 | ) | 0.13 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.10 | ) | — | — | (0.19 | ) | ||||||||||||||||||
Net asset value, end of period | $ | 11.51 | $ | 11.97 | $ | 10.73 | $ | 10.56 | $ | 9.95 | $ | 10.24 | ||||||||||||||
Total return(b) | (3.93 | )% | 11.56 | % | 2.59 | % | 6.02 | % | (2.73 | )% | 1.23 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,323 | $ | 7,478 | $ | 10,061 | $ | 12,457 | $ | 30,347 | $ | 95,628 | ||||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.02 | %(c) | 1.89 | % | 1.88 | % | 1.87 | % | 2.09 | % | 2.26 | % | ||||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 1.83 | %(c) | 1.83 | % | 1.82 | % | 1.82 | % | 2.01 | % | 2.13 | % | ||||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.17 | %(c) | 3.10 | % | 4.07 | % | 3.23 | % | 2.64 | % | 2.54 | % | ||||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.98 | %(c) | 3.04 | % | 4.02 | % | 3.18 | % | 2.56 | % | 2.42 | % | ||||||||||||||
Ratio of net investment income to average net assets | (1.92 | )%(c) | (0.38 | )% | 0.07 | % | 0.63 | % | (0.26 | )% | (0.13 | )% | ||||||||||||||
Portfolio turnover rate(d) | 116 | % | 269 | % | 222 | % | 202 | % | 232 | % | 112 | % |
(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. | 23 |
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, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||
2021 | 2020 | 2019 | 2018(a) | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.05 | $ | 10.79 | $ | 10.63 | $ | 10.01 | $ | 10.22 | ||||||||||||
Net investment income (loss)(b) | (0.11 | ) | (0.04 | ) | 0.02 | 0.08 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 1.30 | 0.25 | 0.54 | (0.22 | ) | |||||||||||||||
Total from investment operations | (0.46 | ) | 1.26 | 0.27 | 0.62 | (0.21 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.11 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 11.59 | $ | 12.05 | $ | 10.79 | $ | 10.63 | $ | 10.01 | ||||||||||||
Total return(c) | (3.82 | )% | 11.68 | % | 2.60 | % | 6.19 | % | (2.05 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 37 | $ | 12 | $ | 11 | $ | 10 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.08 | %(d) | 1.83 | % | 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) | 1.89 | %(d) | 1.76 | % | 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) | 3.02 | %(d) | 2.96 | % | 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) | 2.83 | %(d) | 2.89 | % | 3.88 | % | 3.18 | % | 2.54 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | (1.95 | )%(d) | (0.30 | )% | 0.12 | % | 0.75 | % | 0.13 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 116 | % | 269 | % | 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. |
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 R Shares | ||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.68 | $ | 10.52 | $ | 10.37 | $ | 9.82 | $ | 10.15 | $ | 10.18 | ||||||||||||||
Net investment income (loss)(a) | (0.14 | ) | (0.10 | ) | (0.05 | ) | 0.02 | (0.09 | ) | (0.06 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.34 | ) | 1.26 | 0.26 | 0.53 | (0.24 | ) | 0.14 | ||||||||||||||||||
Total from investment operations | (0.48 | ) | 1.16 | 0.21 | 0.55 | (0.33 | ) | 0.08 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.06 | ) | — | — | (0.11 | ) | ||||||||||||||||||
Net asset value, end of period | $ | 11.20 | $ | 11.68 | $ | 10.52 | $ | 10.37 | $ | 9.82 | $ | 10.15 | ||||||||||||||
Total return(b) | (4.11 | )% | 11.03 | % | 1.98 | % | 5.60 | % | (3.25 | )% | 0.73 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 29 | $ | 31 | $ | 27 | $ | 27 | $ | 25 | $ | 120 | ||||||||||||||
Ratio of net expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 2.51 | %(c) | 2.39 | % | 2.38 | % | 2.38 | % | 2.61 | % | 2.76 | % | ||||||||||||||
Ratio of net expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 2.32 | %(c) | 2.33 | % | 2.32 | % | 2.32 | % | 2.53 | % | 2.63 | % | ||||||||||||||
Ratio of total expenses to average net assets (including dividend and interest payments and other expenses relating to securities sold short) | 3.67 | %(c) | 3.59 | % | 4.56 | % | 3.86 | % | 3.12 | % | 3.07 | % | ||||||||||||||
Ratio of total expenses to average net assets (excluding dividend and interest payments and other expenses relating to securities sold short) | 3.47 | %(c) | 3.53 | % | 4.50 | % | 3.81 | % | 3.04 | % | 2.94 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (2.41 | )%(c) | (0.87 | )% | (0.44 | )% | 0.15 | % | (0.91 | )% | (0.63 | )% | ||||||||||||||
Portfolio turnover rate(d) | 116 | % | 269 | % | 222 | % | 202 | % | 232 | % | 112 | % |
(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 | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.04 | $ | 10.78 | $ | 10.62 | $ | 10.00 | $ | 10.21 | ||||||||||||
Net investment income (loss)(b) | (0.11 | ) | (0.03 | ) | 0.02 | 0.08 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 1.29 | 0.25 | 0.54 | (0.23 | ) | |||||||||||||||
Total from investment operations | (0.46 | ) | 1.26 | 0.27 | 0.62 | (0.21 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.11 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 11.58 | $ | 12.04 | $ | 10.78 | $ | 10.62 | $ | 10.00 | ||||||||||||
Total return(c) | (3.82 | )% | 11.69 | % | 2.60 | % | 6.20 | % | (2.06 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 106,765 | $ | 103,080 | $ | 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) | 1.94 | %(d) | 1.81 | % | 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) | 1.76 | % | 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) | 3.03 | %(d) | 2.91 | % | 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) | 2.84 | %(d) | 2.85 | % | 3.88 | % | 3.08 | % | 2.58 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | (1.81 | )%(d) | (0.29 | )% | 0.15 | % | 0.73 | % | 0.45 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 116 | % | 269 | % | 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. |
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements
April 30, 2022 (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, 2022, GSAM had sub-advisory agreements (the “Sub-Advisory Agreements”) for the Fund with Algert Global LLC (“Algert”), 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”), Longfellow Investment Management Co., LLC, Marathon Asset Management, L.P. (“Marathon”), River Canyon Fund Management LLC (“River Canyon”), Russell Investments Commodity Advisor, LLC (“RICA”), TCW Investment Management Company LLC (“TCW”), and Wellington Management Company LLP (“Wellington”) (the “Underlying Managers”). Crabel also serves as an Underlying Manager for the 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 (the “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, 2022, the Fund’s net assets were $160,995,062 of which, $4,503,374, or 2.8%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Consolidated Statement of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
27
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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.
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GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Special Purpose Acquisition Companies — The Fund invests in stock of, warrants to purchase stock of, and other interests in, special purpose acquisition companies or similar special purpose entities that pool funds to seek potential merger and acquisition opportunities (collectively, “SPACs”). SPACs are companies that have no operations but go public with the intention of merging with or acquiring a company using the proceeds of the SPAC’s initial public offering. Stock purchased in a SPAC’s initial public offering are valued the same as other equity securities as noted above. 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.
29
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
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 — 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 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.
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GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. 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
31
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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, 2022:
MULTI-MANAGER ALTERNATIVES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Special Purpose Acquisition Company | $ | 35,590,228 | $ | — | $ | — | ||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | 936,766 | 646,461 | — | |||||||||
Australia and Oceania | — | 2,112,817 | — | |||||||||
Europe | 4,778,981 | 9,005,143 | — | |||||||||
North America | 29,939,259 | — | — | |||||||||
South America | 705,091 | | — | | — | |||||||
Preferred Stock | — | 695,101 | — | |||||||||
Exchange Traded Fund | 1,949,782 | — | — | |||||||||
Investment Company | 68,789,374 | — | — | |||||||||
Total | $ | 142,689,481 | $ | 12,459,522 | $ | — | ||||||
Liabilities |
| |||||||||||
Common Stock and/or Other Equity Investments |
| |||||||||||
North America | $ | (1,209,148 | ) | $ | — | $ | — |
32
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER ALTERNATIVES (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 852,926 | $ | — | ||||||
Futures Contracts(b) | 1,264,536 | — | — | |||||||||
Total Return Swap Contracts(b) | — | 29,753 | — | |||||||||
Purchased Options Contracts | 781,535 | — | — | |||||||||
Total | $ | 2,046,071 | $ | 882,679 | $ | — | ||||||
Liabilities |
| |||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (694,938 | ) | $ | — | |||||
Futures Contracts(b) | (1,108,077 | ) | — | — | ||||||||
Total Return Swap Contracts(b) | — | (213,388 | ) | — | ||||||||
Written Option Contracts | (98,494 | ) | — | — | ||||||||
Total | $ | (1,206,571 | ) | $ | (908,326 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2022. 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 | ||||||||
Equity | Receivable for unrealized gain on swap contracts; Variation margin on futures contracts; Purchased options, at value | $ | 1,007,717 | (a) | Payable for unrealized loss on swap contracts; Variation margin on futures contracts; Written option contracts | $ | (543,396) | (a)(b) | ||||
Interest rate | Variation margin on futures contracts | 56,983 | (a) | Variation margin on futures contracts | (12,297) | (a) | ||||||
Commodity | Variation margin on futures contracts | 1,009,236 | (a) | Variation margin on futures contracts | (861,685) | (a) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts; Variation margin on futures contracts | 854,814 | (a) | Payable for unrealized loss on forward foreign currency exchange contracts; Variation margin on futures contracts | (697,519) | (a) | ||||||
Total | $ | 2,928,750 | $ | (2,114,897) |
(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 $213,388, 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. |
33
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2022. 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) | |||||||||||
Equity | Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options, swap contracts and written options | $ | 2,453,389 | $ | (273,664 | ) | ||||||||
Interest rate | Net realized gain (loss) from swap contracts and futures contracts/Net change in unrealized gain (loss) on swap contracts and futures contracts | (396,700 | ) | (8,865 | ) | |||||||||
Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 789,180 | 10,732 | |||||||||||
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 | 296,420 | 179,504 | |||||||||||
Total | $ | 3,142,289 | (92,293 | ) |
For the six months ended April 30, 2022, 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 | ||||||||||||||
602 | $ | 94,742,140 | $ | 12,334,562 | $ | 26,040 | $ | 24,686 |
(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 six months ended April 30, 2022. |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Additionally, the Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
34
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
4. INVESTMENTS IN DERIVATIVES (continued) |
Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Underlying Managers believe to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
The following table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of April 30, 2022:
Derivative Assets(1) | Derivative Liabilities(1) | Net Derivative Asset (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||||||||||||||||||
Counterparty | Swaps | Forward Currency Contracts | Total | Swaps | Forward Currency Contracts | Total | ||||||||||||||||||||||||||||||
Deutsche Bank AG | $ | — | $ | 504,276 | $ | 504,276 | $ | — | $ | (399,284 | ) | $ | (399,284 | ) | $ | 104,992 | $ | — | $ | 104,992 | ||||||||||||||||
MS & Co. Int. PLC | 29,753 | 348,650 | 378,403 | (213,388 | ) | (295,654 | ) | (509,042 | ) | (130,639 | ) | 130,639 | — | |||||||||||||||||||||||
Total | $ | 29,753 | $ | 852,926 | $ | 882,679 | $ | (213,388 | ) | $ | (694,938 | ) | $ | (908,326 | ) | $ | (25,647 | ) | $ | 130,639 | $ | 104,992 |
(1) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
(2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
Contractual Management Rate | Effective Fee Rate | Effective Net Management Fee Rate*^(a) | ||||||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | |||||||||||||||||||
1.90% | 1.80% | 1.71% | 1.68% | 1.90% | 1.51% |
* | GSAM has agreed to waive a portion of its management fee in order to achieve a net management fee rate of 1.57% as an annual percentage of the average daily net assets of the Fund as defined in the Fund’s most recent prospectus. This arrangement will be effective through at least February 28, 2023, 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, 2022, GSAM waived $48,733 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
35
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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, 2022, GSAM waived $8,383 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 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, 2022, Goldman Sachs retained $13 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, 2023 (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, 2023, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
36
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above. For the six months ended April 30, 2022, 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 | |||||||||||
$ | 321,124 | $ | 5,410 | $ | 583,628 | $ | 910,162 |
The Fund has entered into certain offset arrangements with the custodian, which resulted in a reduction of the Fund’s gross expenses.
G. Line of Credit Facility — As of April 30, 2022, the Fund participated in a $1,250,000,000 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, 2022, the Fund did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
H. Other Transactions with Affiliates — For the six months ended April 30, 2022, Goldman Sachs earned $3,045, 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, 2022, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 31% of Class R6 and 99% of 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, 2022:
Underlying Funds | Beginning Value as of October 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of April 30, 2022 | Shares as of April 30, 2022 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 58,782,541 | $ | 164,460,473 | $ | (154,453,640 | ) | $ | 68,789,374 | 68,789,374 | $ | 6,050 |
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, 2022, were $117,643,685 and $124,606,233, 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, 2022:
Counterparty | Securities Sold Short(1) | Collateral Pledged | Net Amount(2) | |||||||||
State Street Bank & Trust | $ | (1,209,148 | ) | $ | 3,770,357 | $ | 2,561,209 |
(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. |
37
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
7. TAX INFORMATION |
As of the Fund’s most recent fiscal year end, October 31, 2021, the Fund’s capital loss carryforwards and certain timing differences on a tax basis were as follows:
Capital loss carryforwards: | ||||
Perpetual Short-Term | $ | (44,361,584 | ) | |
Total Capital loss carryforwards | $ | (44,361,584 | ) | |
Timing differences (Straddle Loss Deferral) | $ | (945,416 | ) |
As of April 30, 2022, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 156,646,577 | ||
Gross unrealized gain | 3,774,020 | |||
Gross unrealized loss | (5,271,594 | ) | ||
Net unrealized loss | $ | (1,497,574 | ) |
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, passive foreign investment company investments, swap transactions.
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.
38
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
8. OTHER RISKS (continued) |
On March 5, 2021, the United Kingdom’s Financial Conduct Authority (“FCA”) and ICE Benchmark Authority formally announced that certain LIBOR benchmarks will cease publication after December 31, 2021 while others will cease publication after June 30, 2023. 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 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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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, or economically tied to, emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by 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
39
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the
extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an
active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Multi-Manager Approach Risk — The Fund’s performance depends on the ability of the Investment Adviser in selecting, overseeing, and allocating Fund assets to the Underlying Managers. The Underlying Managers’ investment styles may not always be complementary. The Fund’s multi-manager approach may result in the Fund investing a significant percentage of its assets in certain types of investments, which could be beneficial or detrimental to the Fund’s performance depending on the performance of those investments and the overall market environment. The Fund’s Underlying Managers may underperform the market generally or underperform other investment managers that could have been selected for the Fund. Because the Fund’s Underlying Managers may trade with counterparties, prime brokers, clearing brokers or futures commission merchants on terms that are different than 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
40
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
8. OTHER RISKS (continued) |
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.
Special Purpose Acquisition Companies Risk — The Fund may invest in stock, warrants, and other securities of SPACs or similar special purpose entities that pool funds to seek potential acquisition opportunities. Because SPACs and similar entities are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, in a predetermined time frame (typically 18-24 months) the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. An investment in a SPAC is subject to a variety of risks, including that (i) a portion of the monies raised by the SPAC for the purpose of effecting an acquisition or merger may be expended prior to the transaction for payment of taxes and other purposes; (ii) prior to any acquisition or merger, a SPAC’s assets are typically invested in U.S. government securities, money market funds and similar investments whose returns or yields may be significantly lower than those of the Fund’s other investments; (iii) the Fund generally will not receive significant income from its investments in SPACs and, therefore, the Fund’s investments in SPACs will not significantly contribute to the Fund’s distributions to shareholders; (iv) an attractive acquisition or merger target may not be identified at all, in which case the SPAC will be required to return any remaining monies to shareholders, or an attractive acquisition target may become scarce if the number of SPACs seeking to acquire operating businesses increases, which could negatively impact the value of SPAC shares held by the Fund; (v) under any circumstances in which the Fund receives a refund of all or a portion of its original investment (which typically represents a pro rata share of the proceeds of the SPAC’s assets, less any applicable taxes), the returns on that investment may be negligible, and the Fund may be subject to opportunity costs to the extent that alternative investments would have produced higher returns; (vi) the Fund may be delayed in receiving any redemption or liquidation proceeds from a SPAC to which it is entitled; (vii) an investment in a SPAC may be diluted by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC; (viii) only a thinly traded market for shares of or interests in a SPAC may develop, or there may be no market at all, leaving the Fund unable to sell its interest in a SPAC or to sell its interest only at a price below what the Fund believes is the SPAC interest’s intrinsic value; and (ix) the values of investments in SPACs may be highly volatile and may depreciate significantly over time.
Tax Risk — The Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes (the “Notes Rulings”) or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Fund has not received a PLR, and is/are not able to rely on PLRs issued to other taxpayers. The IRS recently issued final regulations that, would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Fund’s business of investing in stock, securities, or currencies.
The IRS also issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. In connection with issuing such revenue procedure, the IRS has revoked the Notes Ruling on a prospective basis. In light of the revocation of the Notes Rulings, the Fund has limited its investments in commodity index-linked structured notes. The Fund has obtained an opinion of counsel that the Fund’s income from investments in the Subsidiary should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Fund’s income from such investments was not “qualifying income,” in which case the Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates with no deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
41
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS |
Subsequent events after the 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.
42
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi-Manager Alternatives Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 45,556 | $ | 526,476 | 226,160 | $ | 2,575,162 | ||||||||||
Shares redeemed | (67,624 | ) | (786,720 | ) | (308,659 | ) | (3,503,751 | ) | ||||||||
(22,068 | ) | (260,244 | ) | (82,499 | ) | (928,589 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,779 | 31,550 | 1,013 | 10,669 | ||||||||||||
Shares redeemed | (33,959 | ) | (374,241 | ) | (180,009 | ) | (1,949,519 | ) | ||||||||
(31,180 | ) | (342,691 | ) | (178,996 | ) | (1,938,850 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 348,110 | 4,130,150 | 1,222,192 | 14,039,830 | ||||||||||||
Shares redeemed | (1,715,574 | ) | (20,592,680 | ) | (2,947,320 | ) | (34,316,720 | ) | ||||||||
(1,367,464 | ) | (16,462,530 | ) | (1,725,128 | ) | (20,276,890 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 75,548 | 879,520 | 108,432 | 1,244,198 | ||||||||||||
Shares redeemed | (63,868 | ) | (751,068 | ) | (421,581 | ) | (4,910,613 | ) | ||||||||
11,680 | 128,452 | (313,149 | ) | (3,666,415 | ) | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,235 | 27,024 | — | — | ||||||||||||
2,235 | 27,024 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | — | — | 25 | 297 | ||||||||||||
— | — | 25 | 297 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 763,418 | 9,084,408 | 4,103,614 | 47,722,828 | ||||||||||||
Shares redeemed | (103,446 | ) | (1,220,313 | ) | (1,032,351 | ) | (11,717,690 | ) | ||||||||
659,972 | 7,864,095 | 3,071,263 | 36,005,138 | |||||||||||||
NET INCREASE (DECREASE) | (746,825 | ) | $ | (9,045,894 | ) | 771,516 | $ | 9,194,691 |
43
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Liquidity Risk Management Program
Each Portfolio has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Portfolio’s liquidity risk, i.e., the risk that a Portfolio is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Board of Trustees of the Trust has designated GSAM, each Portfolio’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Portfolio that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Portfolio’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 3-4, 2022, 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, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. 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 Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other risks to which it may be subject.
44
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Fund Expenses — Six Month Period Ended April 30, 2022 (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, 2021 through April 30, 2022, 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 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 960.40 | $ | 11.08 | ||||||
Hypothetical 5% return | 1,000.00 | 1,013.54 | + | 11.38 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 955.90 | 14.65 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,009.82 | + | 15.05 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 961.80 | 9.39 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.22 | + | 9.64 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 960.70 | 9.82 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.78 | + | 10.09 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 961.80 | 10.12 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.48 | + | 10.39 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 958.90 | 12.19 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,012.35 | + | 12.52 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 961.80 | 9.44 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,015.17 | + | 9.69 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2022. 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 | 2.07 | % | 2.83 | % | 1.73 | % | 1.83 | % | 1.89 | % | 2.32 | % | 1.75 | % |
45
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust II (“the Trust”) was held on December 3, 2021 to consider and act upon the proposal below. Each Fund has amortized its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund in an amount equal to the portion of the increase in the Fund’s total expense ratio that exceeds a specified percentage.
At the Meeting, Steven D. Krichmar, Linda A. Lang, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against/Withheld | Abstain | |||||||||
Steven D. Krichmar | 997,212,261 | 10,105,414 | 0 | |||||||||
Linda A. Lang | 1,004,981,372 | 2,336,303 | 0 | |||||||||
Michael Latham | 995,719,416 | 11,598,259 | 0 | |||||||||
Lawrence W. Stranghoener | 995,630,574 | 11,687,101 | 0 |
46
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Fund’s
operations are difficult to predict.
47
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Statement Regarding Basis for Approval of Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Multi-Manager Alternatives Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust II (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. The Fund employs a “manager of managers” structure, whereby Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) is responsible for selecting sub-advisers (subject to Board approval), allocating the 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 November 16-17, 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 Longfellow Investment Management Co. LLC (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 present 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, they 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 noted that, because the Sub-Adviser had not previously provided services to the Fund, there was no performance information to evaluate 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 includes 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 and how it would change upon hiring the Sub-Adviser. The Trustees considered this information in light of the overall management fee expected to be retained by the Investment Adviser.
Conclusion
In connection with their consideration of the Sub-Advisory Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees present, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees to be paid by the 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.
48
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 $2.13 trillion in assets under supervision as of March 31, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 Bond Fund4 |
∎ | 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 |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | 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 |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth. |
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 Linda A. Lang Michael Latham James A. McNamara Lawrence W. Stranghoener | 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).
© 2022 Goldman Sachs. All rights reserved. 281689-OTU-1621376 MMALTSAR 22
Goldman Sachs Funds
Semi-Annual Report | April 30, 2022 | |||
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 | ||||
4 | ||||
10 | ||||
57 | ||||
61 | ||||
61 | ||||
62 | ||||
63 | ||||
64 | ||||
83 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Strategic Multi-Asset Class Funds
The following are highlights both of key factors affecting the equity, credit and real assets markets and of any key changes made to the Goldman Sachs Strategic Multi-Asset Class Funds (the “Funds”) during the six months ended April 30, 2022 (the “Reporting Period”). A fuller review of the markets and these changes will appear in the Funds’ annual shareholder report covering the 12 months ended October 31, 2022.
Market and Economic Review
Equity Markets
• | Global equities, as represented by the MSCI All Country World Index (“MSCI ACWI”) Investable Market Index (“IMI”), returned -11.87% during the Reporting Period. |
• | When the Reporting Period began in November 2021, global equities suffered a sharp sell-off amid worries about rising inflation. |
• | Global equities then rebounded in December 2021 on expectations of healthy economic growth globally, as the COVID-19 Omicron variant proved to be less severe than previously expected. |
• | In the first four months of 2022, global equities declined amid persistent inflation and anticipation of a change in Federal Reserve (“Fed”) monetary policy. |
• | At their March policy meeting, Fed officials raised the targeted federal funds rate by 25 basis points — the first rate hike in more than three years. (A basis point is 1/100th of a percentage point.) |
• | The Fed’s policy shift led to a spike in interest rates that proved to be a substantial headwind for longer duration growth stocks. The information technology sector was especially challenged, as technology companies tend to deliver a higher proportion of their cash flows in the distant future. |
• | Market volatility increased in late February 2022 and through the end of the Reporting Period in response to Russia’s invasion of Ukraine. |
• | From a style perspective, growth stocks underperformed value stocks during the Reporting Period. High dividend and minimum volatility factors significantly outperformed momentum and quality factors. |
• | From a regional perspective, both developed markets and emerging markets equities produced negative returns. |
• | Within the developed markets, Japanese equities were weak, driven by the depreciation of the Japanese yen versus the U.S. dollar. |
• | Emerging markets stocks lagged developed market stocks. China’s equity market declined, as its government’s zero-tolerance COVID-19 policy dampened economic growth expectations. Continued regulatory headwinds for technology companies also weighed on Chinese equities. |
• | A number of index providers, including MSCI, excluded Russia from their indices beginning in March, declaring the Russian equity market had become inaccessible to foreign investors. |
Credit Markets
• | Credit markets broadly declined, led by longer duration investments, as interest rates rose during the Reporting Period. |
• | Additional pressures included the emergence of COVID-19 variants, slowing global economic growth, surging inflation and commodity prices, investor expectations of less supportive central bank policy support and Russia’s invasion of Ukraine. |
• | Leveraged loans outperformed most other fixed income sectors during the Reporting Period, benefiting from their floating rate nature and from strong investor demand. A drop in issuance also contributed to positive market technicals (supply/demand). |
1
MARKET REVIEW
• | High yield corporate bonds weakened during the Reporting Period overall, as high yield credit spreads (or yield differentials versus duration-equivalent U.S. Treasury securities) widened amid increased investor risk aversion in early 2022. |
• | Investment grade corporate bonds, which tend to be of longer duration, were hurt by rising interest rates. |
• | Within emerging markets debt, U.S. dollar-denominated bonds trailed local currency-denominated bonds, largely because of higher U.S. interest rates and widening spreads. Commodity-rich regions, such as the Middle East and Latin America, outperformed Asia and Europe. |
• | The exclusion of Russian debt from a number of fixed income indices, along with the resulting fallout on other index constituents, weighed on emerging markets debt during the Reporting Period. |
Real Assets
• | Global real estate securities retreated during the Reporting Period but outperformed the broader global equity market. Global infrastructure securities posted gains and significantly outperformed global equities. |
• | In the global real estate market, regional location was a more meaningful driver of performance than property type during the Reporting Period. North America was the best performing region, despite producing modestly negative returns, while Europe (ex-U.K.), the U.K. and Japan recorded the weakest results. |
• | Among property types, hotel real estate investment trusts (“REITs”) generated positive returns during the Reporting Period, while the performance of health care REITs and industrial REITs was rather flat. Real estate operating companies and diversified REITs, with their large footprint in Europe and Asia, produced the most significantly negative returns. U.S. residential REITs and office REITs posted more moderately negative returns during the Reporting Period. |
• | Cyclically-oriented property types that were most sensitive to post-COVID-19 economic reopenings, such as retail, hotels and senior housing, performed better during the Reporting Period than growth-oriented property types, such as residential and self-storage REITs. However, office REITs remained out of favor due to secular concerns about the future of work. Industrial REITs weakened toward the end of the Reporting Period amid worries about near-term overbuilding and a supply overhang. |
• | In the global infrastructure market, North America was the best performing region during the Reporting Period, followed by the U.K. and Latin America. Asia (ex-Japan), Japan and Europe (ex-UK) regions posted negative returns. |
• | Rising interest rates pressured growth-oriented segments of the global infrastructure market, including cell towers, which declined like many other growth-oriented stocks with long-duration cash flows. |
• | Despite higher interest rates, utilities generated positive returns in line with defensive equities broadly. However, gas utilities, particularly in Europe and Asia, grappled with spiking input costs as well as the regulatory overhang of potential windfall taxes in Europe. Electric utilities fared comparatively better, particularly in North America. |
• | In the energy sector, midstream* energy companies benefited significantly from higher oil and gas prices, though they did not benefit as much as exploration and production companies. |
• | In the industrials sector, performance was mixed to slightly negative, as concerns about the COVID-19 Omicron variant created an uncertain outlook for travel activity, especially for airports and toll roads. Freight rails and marine ports continued to benefit from high and steady volumes and from their pricing power due to the backlog of goods imports related to China’s zero-tolerance COVID-19 policy. |
* | The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e., energy producers, and the demand side, i.e., energy end-users, for any type of energy commodity. Such midstream businesses can include, but are not limited to, those that process, store, market and transport various energy commodities. |
2
MARKET REVIEW
Fund Changes and Highlights
Goldman Sachs Multi-Manager Global Equity Fund
• | Effective November 29, 2021, Diamond Hill Capital Management Inc. and T. Rowe Price Associates, Inc. became Underlying Managers for the Fund. (The Fund’s Underlying Managers are unaffiliated investment managers that employ a mix of international, global and U.S.-focused equity investment strategies.) |
• | Effective March 21, 2022, DWS Investment Management Americas, Inc. (“DIMA”) no longer served as an Underlying Manager for the Fund. |
Goldman Sachs Multi-Manager Non-Core Fixed Income Fund
• | Effective November 29, 2021, Pacific Asset Management LLC became an Underlying Manager for the Fund. (The Fund’s Underlying Managers are unaffiliated investment managers that employ a non-core fixed income investment strategy.) |
Goldman Sachs Multi-Manager Real Assets Strategy Fund
• | Effective February 23, 2022, Principal Real Estate Investors, LLC became an Underlying Manager for the Fund. (The Fund’s Underlying Managers are unaffiliated investment managers that invest primarily in real assets.) |
• | Effective March 7, 2022, Presima Inc. no longer served as an Underlying Manager for the Fund. |
3
FUND BASICS
Multi-Manager Global Equity Fund
as of April 30, 2022
PERFORMANCE REVIEW |
| |||||||||
November 1, 2021–April 30, 2022 | Fund Total Return (based on NAV)1 | MSCI ACWI IMI (Net, USD, 50% Non-U.S. Developed Hedged to USD)2 | ||||||||
Class R6 Shares | -12.62 | % | -10.78 | % |
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, 2022, 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 4/30/22‡ | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 2.1 | % | Software | |||||
Amazon.com, Inc. | 1.6 | Internet & Direct Marketing Retail | ||||||
Berkshire Hathaway, Inc. Class B | 1.4 | Diversified Financial Services | ||||||
Alphabet, Inc. Class A | 1.4 | Interactive Media & Services | ||||||
Vertex Pharmaceuticals, Inc. | 1.1 | Biotechnology | ||||||
Johnson & Johnson | 0.9 | Pharmaceuticals | ||||||
Aon PLC Class A | 0.9 | Insurance | ||||||
Wheaton Precious Metals Corp. | 0.9 | Metals & Mining | ||||||
Meta Platforms, Inc. Class A | 0.9 | Interactive Media & Services | ||||||
Union Pacific Corp. | 0.9 | Road & Rail |
‡ | The top 10 holdings may not be representative of the Fund’s future investments. |
The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund, which represents approximately 6.7% of the Fund’s net assets as of 04/30/22. |
4
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. Underlying compositions of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
FUND BASICS
Multi-Manager Non-Core Fixed Income Fund
as of April 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||||||||||||||
November 1, 2021–April 30, 2022 | 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 | -8.68 | % | -8.97 | % | -7.40 | % | 0.55 | % | -15.45 | % | -13.17 | % |
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 4/30/22‡ | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Republic of South Africa | 0.7 | % | Foreign Debt Obligations | |||||
China Government Bond | 0.6 | Foreign Debt Obligations | ||||||
RegionalCare Hospital Partners Holdings, Inc. | 0.5 | Bank Loans | ||||||
Brazil Notas do Tesouro Nacional | 0.5 | Foreign Debt Obligations | ||||||
Medline Borrower LP | 0.5 | Bank Loans | ||||||
Fertitta Entertainment LLC | 0.5 | Corporate Obligations | ||||||
Brazil Notas do Tesouro Nacional | 0.5 | Foreign Debt Obligations | ||||||
Republic of South Africa | 0.5 | Foreign Debt Obligations | ||||||
Thailand Government Bond | 0.5 | Foreign Debt Obligations | ||||||
Brazil Letras do Tesouro Nacional | 0.4 | Foreign Debt Obligations |
‡ | The top 10 holdings may not be representative of the Fund’s future investments. |
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 5.1% of the Fund’s net assets as of 04/30/22. |
6
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 exchange traded funds and investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
7
FUND BASICS
Multi-Manager Real Assets Strategy Fund
as of April 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||||||
November 1, 2021–April 30, 2022 | 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 | -2.57 | % | -1.10 | % | -5.54 | % | 3.48 | % |
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 4/30/221 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
American Tower Corp. | 3.0 | % | Equity Real Estate Investment Trusts (REITs) | |||||
Prologis, Inc. | 2.9 | Equity Real Estate Investment Trusts (REITs) | ||||||
Enbridge, Inc. | 2.8 | Oil, Gas & Consumable Fuels | ||||||
Crown Castle International Corp. | 2.6 | Equity Real Estate Investment Trusts (REITs) | ||||||
Welltower, Inc. | 2.2 | Equity Real Estate Investment Trusts (REITs) | ||||||
Sempra Energy | 2.1 | Multi-Utilities | ||||||
National Grid PLC | 2.0 | Multi-Utilities | ||||||
Equity Residential | 1.9 | Equity Real Estate Investment Trusts (REITs) | ||||||
SBA Communications Corp. | 1.7 | Equity Real Estate Investment Trusts (REITs) | ||||||
Rexford Industrial Realty, Inc. | 1.7 | Equity Real Estate Investment Trusts (REITs) |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
8
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 your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
9
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 93.7% | ||||||||
Australia – 0.8% | ||||||||
16,895 | Allkem Ltd.* (Metals & Mining) | $ | 140,807 | |||||
5,044 | Ampol Ltd. (Oil, Gas & Consumable Fuels) | 118,590 | ||||||
9,129 | Bendigo & Adelaide Bank Ltd. (Banks) | 68,064 | ||||||
42,452 | Centuria Industrial REIT (Equity Real Estate Investment Trusts (REITs)) | 118,306 | ||||||
13,657 | Charter Hall Group (Equity Real Estate Investment Trusts (REITs)) | 146,777 | ||||||
4,653 | CSL Ltd. (Biotechnology) | 888,026 | ||||||
22,965 | Downer EDI Ltd. (Commercial Services & Supplies) | 88,852 | ||||||
10,291 | Eagers Automotive Ltd. (Specialty Retail) | 95,123 | ||||||
13,733 | GrainCorp Ltd. (Food & Staples Retailing) | 99,240 | ||||||
13,612 | IGO Ltd. (Metals & Mining) | 123,765 | ||||||
28,903 | Incitec Pivot Ltd. (Chemicals) | 77,952 | ||||||
10,660 | Lynas Rare Earths Ltd.* (Metals & Mining) | 66,893 | ||||||
78,602 | Nine Entertainment Co. Holdings Ltd. (Media) | 147,322 | ||||||
46,047 | Orora Ltd. (Containers & Packaging) | 129,039 | ||||||
11,928 | Pilbara Minerals Ltd.* (Metals & Mining) | 23,137 | ||||||
3,443 | Pro Medicus Ltd. (Health Care Technology) | 112,599 | ||||||
5,873 | Rio Tinto PLC (Metals & Mining) | 414,964 | ||||||
7,205 | Seven Group Holdings Ltd. (Trading Companies & Distributors) | 100,523 | ||||||
16,345 | Super Retail Group Ltd. (Specialty Retail) | 120,938 | ||||||
|
| |||||||
3,080,917 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
3,033 | BAWAG Group AG(a) (Banks) | 144,019 | ||||||
2,066 | CA Immobilien Anlagen AG (Real Estate Management & Development) | 58,349 | ||||||
3,628 | S&T AG (IT Services) | 61,336 | ||||||
3,402 | Wienerberger AG (Construction Materials) | 96,031 | ||||||
|
| |||||||
359,735 | ||||||||
|
| |||||||
Belgium – 0.1% | ||||||||
599 | Cofinimmo SA (Equity Real Estate Investment Trusts (REITs)) | 80,437 | ||||||
4,883 | KBC Group NV (Banks) | 332,199 | ||||||
3,307 | Warehouses De Pauw CVA (Equity Real Estate Investment Trusts (REITs)) | 127,221 | ||||||
|
| |||||||
539,857 | ||||||||
|
| |||||||
Bermuda – 0.0% | ||||||||
8,735 | Conduit Holdings Ltd. (Insurance) | 41,434 | ||||||
|
| |||||||
Brazil – 1.5% | ||||||||
24,300 | Banco do Brasil SA (Banks) | 163,280 | ||||||
36,400 | BB Seguridade Participacoes SA (Insurance) | 187,229 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Brazil – (continued) | ||||||||
98,800 | Hapvida Participacoes e Investimentos SA(a) (Health Care Providers & Services) | 175,260 | ||||||
5,100 | Hypera SA (Pharmaceuticals) | 38,601 | ||||||
33,089 | JBS SA (Food Products) | 253,323 | ||||||
19,300 | Localiza Rent a Car SA (Road & Rail) | 206,665 | ||||||
25,850 | Marfrig Global Foods SA (Food Products) | 98,036 | ||||||
162 | MercadoLibre, Inc.* (Internet & Direct Marketing Retail) | 157,728 | ||||||
2,635 | Pagseguro Digital Ltd. Class A* (IT Services) | 38,761 | ||||||
6,914 | StoneCo Ltd. Class A* (IT Services) | 65,130 | ||||||
15,100 | TOTVS SA (Software) | 97,644 | ||||||
16,750 | Vale SA (Metals & Mining) | 282,185 | ||||||
47,500 | WEG SA (Electrical Equipment) | 289,192 | ||||||
79,495 | Wheaton Precious Metals Corp. (Metals & Mining) | 3,566,146 | ||||||
4,820 | XP, Inc. Class A* (Capital Markets) | 118,620 | ||||||
|
| |||||||
5,737,800 | ||||||||
|
| |||||||
Canada – 2.4% | ||||||||
11,800 | Air Canada* (Airlines) | 206,671 | ||||||
4,300 | Alimentation Couche-Tard, Inc. (Food & Staples Retailing) | 191,427 | ||||||
14,400 | ARC Resources Ltd. (Oil, Gas & Consumable Fuels) | 199,637 | ||||||
3,400 | ATS Automation Tooling Systems, Inc.* (Machinery) | 99,222 | ||||||
3,700 | Boralex, Inc. Class A (Independent Power and Renewable Electricity Producers) | 110,915 | ||||||
11,240 | Canadian National Railway Co. (Road & Rail) | 1,321,976 | ||||||
11,640 | Canadian Pacific Railway Ltd. (Road & Rail) | 852,281 | ||||||
5,200 | Capital Power Corp. (Independent Power and Renewable Electricity Producers) | 170,898 | ||||||
22,200 | Capstone Copper Corp.* (Metals & Mining) | 101,094 | ||||||
19,200 | Crescent Point Energy Corp. (Oil, Gas & Consumable Fuels) | 133,017 | ||||||
3,900 | Empire Co. Ltd. Class A (Food & Staples Retailing) | 128,811 | ||||||
7,415 | Enerplus Corp. (Oil, Gas & Consumable Fuels) | 90,759 | ||||||
8,000 | First Capital Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 106,613 | ||||||
1,520 | Granite Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 112,570 | ||||||
2,096 | Intact Financial Corp. (Insurance) | 293,226 | ||||||
792 | Methanex Corp. (Chemicals) | 39,697 | ||||||
3,690 | Northland Power, Inc. (Independent Power and Renewable Electricity Producers) | 111,362 | ||||||
|
|
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) | ||||||||
Canada – (continued) | ||||||||
23,380 | Nutrien Ltd. (Chemicals) | $ | 2,297,085 | |||||
3,821 | Ritchie Bros. Auctioneers, Inc. (Commercial Services & Supplies) | 210,499 | ||||||
556 | Shopify, Inc. Class A* (IT Services) | 237,312 | ||||||
7,858 | SSR Mining, Inc. (Metals & Mining) | 172,862 | ||||||
2,810 | Stantec, Inc. (Professional Services) | 128,989 | ||||||
6,600 | Summit Industrial Income REIT (Equity Real Estate Investment Trusts (REITs)) | 104,498 | ||||||
10,410 | Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 374,214 | ||||||
1,060 | TFI International, Inc. (Road & Rail) | 85,269 | ||||||
5,114 | The Descartes Systems Group, Inc.* (Software) | 317,752 | ||||||
6,127 | The Toronto-Dominion Bank (Banks) | 442,552 | ||||||
1,027 | Toromont Industries Ltd. (Trading Companies & Distributors) | 90,409 | ||||||
3,140 | Tourmaline Oil Corp. (Oil, Gas & Consumable Fuels) | 161,711 | ||||||
10,300 | Wesdome Gold Mines Ltd.* (Metals & Mining) | 105,113 | ||||||
17,400 | Whitecap Resources, Inc. (Oil, Gas & Consumable Fuels) | 142,624 | ||||||
19,100 | Yamana Gold, Inc. (Metals & Mining) | 105,413 | ||||||
|
| |||||||
9,246,478 | ||||||||
|
| |||||||
Chile – 0.0% | ||||||||
62,278 | Cencosud SA (Food & Staples Retailing) | 99,687 | ||||||
|
| |||||||
China – 3.7% | ||||||||
29,650 | 3SBio, Inc.*(a) (Biotechnology) | 20,918 | ||||||
466,074 | Agricultural Bank of China Ltd. Class H (Banks) | 174,807 | ||||||
6,080 | Airtac International Group (Machinery) | 165,000 | ||||||
72,400 | Alibaba Group Holding Ltd.* (Internet & Direct Marketing Retail) | 883,112 | ||||||
32,200 | Anhui Conch Cement Co. Ltd. Class H (Construction Materials) | 174,976 | ||||||
1,658 | Autohome, Inc. ADR (Interactive Media & Services) | 48,198 | ||||||
15,000 | Baidu, Inc.* (Interactive Media & Services) | 239,155 | ||||||
1,912 | Baidu, Inc. ADR* (Interactive Media & Services) | 237,413 | ||||||
1,297,437 | Bank of China Ltd. Class H (Banks) | 509,091 | ||||||
492,363 | Bank of Communications Co. Ltd. Class H (Banks) | 342,630 | ||||||
378,000 | Beijing Capital International Airport Co. Ltd. Class H* (Transportation Infrastructure) | 206,504 | ||||||
50,650 | Bosideng International Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 25,263 | ||||||
6,700 | BYD Co. Ltd. Class H (Automobiles) | 194,981 | ||||||
61,350 | BYD Electronic International Co. Ltd. (Communications Equipment) | 122,292 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
37,100 | Centre Testing International Group Co. Ltd. Class A (Professional Services) | 121,197 | ||||||
111,300 | China Aoyuan Group Ltd. (Real Estate Management & Development) | 16,737 | ||||||
522,311 | China Cinda Asset Management Co. Ltd. Class H (Capital Markets) | 88,075 | ||||||
232,415 | China Construction Bank Corp. Class H (Banks) | 165,572 | ||||||
66,000 | China Everbright Bank Co. Ltd. Class H (Banks) | 23,910 | ||||||
141,600 | China Feihe Ltd.(a) (Food Products) | 134,629 | ||||||
209,762 | China Galaxy Securities Co. Ltd. Class H (Capital Markets) | 114,094 | ||||||
54,950 | China Gas Holdings Ltd. (Gas Utilities) | 66,982 | ||||||
90,900 | China International Capital Corp. Ltd. Class H(a) (Capital Markets) | 182,197 | ||||||
187,000 | China Longyuan Power Group Corp. Ltd. Class H (Independent Power and Renewable Electricity Producers) | 360,688 | ||||||
64,532 | China Medical System Holdings Ltd. (Pharmaceuticals) | 92,393 | ||||||
27,500 | China Merchants Bank Co. Ltd. Class H (Banks) | 165,749 | ||||||
75,400 | China National Building Material Co. Ltd. Class H (Construction Materials) | 100,343 | ||||||
107,250 | China Power International Development Ltd. (Independent Power and Renewable Electricity Producers) | 51,857 | ||||||
193,000 | China Resources Pharmaceutical Group Ltd.(a) (Pharmaceuticals) | 101,707 | ||||||
74,000 | China Yongda Automobiles Services Holdings Ltd. (Specialty Retail) | 68,618 | ||||||
52,500 | China Yuhua Education Corp. Ltd.(a) (Diversified Consumer Services) | 9,136 | ||||||
11,550 | Chongqing Brewery Co. Ltd.* (Beverages) | 216,277 | ||||||
4,600 | Contemporary Amperex Technology Co. Ltd. Class A (Electrical Equipment) | 278,798 | ||||||
71,500 | COSCO Shipping Holdings Co. Ltd. Class H* (Marine) | 111,237 | ||||||
55,000 | Country Garden Services Holdings Co. Ltd. (Real Estate Management & Development) | 231,813 | ||||||
184,000 | CSPC Pharmaceutical Group Ltd. (Pharmaceuticals) | 188,112 | ||||||
1,533 | Daqo New Energy Corp. ADR* (Semiconductors & Semiconductor Equipment) | 63,727 | ||||||
95,250 | Dongfeng Motor Group Co. Ltd. Class H (Automobiles) | 69,484 | ||||||
11,400 | Dongyue Group Ltd. (Chemicals) | 13,421 | ||||||
46,160 | East Money Information Co. Ltd. (Capital Markets) | 156,046 | ||||||
4,779 | FinVolution Group (Consumer Finance) | 17,969 | ||||||
3,000 | Ganfeng Lithium Co. Ltd. Class H(a) (Metals & Mining) | 35,908 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
10,600 | Genscript Biotech Corp.* (Life Sciences Tools & Services) | $ | 29,941 | |||||
42,650 | Great Wall Motor Co. Ltd. Class H (Automobiles) | 59,728 | ||||||
200,800 | Guangzhou R&F Properties Co. Ltd. Class H (Real Estate Management & Development) | 74,542 | ||||||
33,300 | Guotai Junan Securities Co. Ltd. Class H*(a) (Capital Markets) | 42,969 | ||||||
90,000 | Haitong Securities Co. Ltd. Class H (Capital Markets) | 62,854 | ||||||
17,146 | Hello Group, Inc. ADR (Interactive Media & Services) | 91,217 | ||||||
42,390 | Hopson Development Holdings Ltd. (Real Estate Management & Development) | 81,732 | ||||||
75,950 | Industrial & Commercial Bank of China Ltd. Class H (Banks) | 45,783 | ||||||
590 | JD.com, Inc. ADR* (Internet & Direct Marketing Retail) | 36,379 | ||||||
7,802 | JD.com, Inc. Class A* (Internet & Direct Marketing Retail) | 243,255 | ||||||
35,000 | Jiumaojiu International Holdings, Ltd.(a) (Hotels, Restaurants & Leisure) | 77,003 | ||||||
754 | JOYY, Inc. ADR (Interactive Media & Services) | 29,836 | ||||||
23,000 | Kingboard Holdings Ltd. (Electronic Equipment, Instruments & Components) | 103,549 | ||||||
6,650 | Kingsoft Corp. Ltd. (Entertainment) | 19,957 | ||||||
90,000 | Kunlun Energy Co. Ltd. (Gas Utilities) | 74,690 | ||||||
228,000 | Lenovo Group Ltd. (Technology Hardware, Storage & Peripherals) | 221,389 | ||||||
781 | Li Auto, Inc. ADR* (Automobiles) | 17,518 | ||||||
91,500 | Li Ning Co. Ltd. (Textiles, Apparel & Luxury Goods) | 713,166 | ||||||
118,800 | Logan Group Co. Ltd. (Real Estate Management & Development) | 36,961 | ||||||
24,500 | LONGi Green Energy Technology Co. Ltd. Class A (Semiconductors & Semiconductor Equipment) | 246,365 | ||||||
5,137 | Lufax Holding Ltd. ADR (Consumer Finance) | 28,510 | ||||||
83,500 | Metallurgical Corp. of China Ltd. Class H (Construction & Engineering) | 21,378 | ||||||
12,450 | NetEase, Inc. (Entertainment) | 238,483 | ||||||
1,298 | NetEase, Inc. ADR (Entertainment) | 123,738 | ||||||
5,414 | New Oriental Education & Technology Group, Inc. (Diversified Consumer Services) | 67,946 | ||||||
89,700 | Orient Securities Co. Ltd. Class H(a) (Capital Markets) | 54,081 | ||||||
391,100 | PetroChina Co. Ltd. Class H (Oil, Gas & Consumable Fuels) | 185,653 | ||||||
573 | Pinduoduo, Inc. ADR* (Internet & Direct Marketing Retail) | 24,691 | ||||||
65,500 | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | 414,007 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
47,950 | Powerlong Real Estate Holdings Ltd. (Real Estate Management & Development) | 16,260 | ||||||
51,729 | RLX Technology, Inc. ADR* (Tobacco) | 105,010 | ||||||
88,600 | Seazen Group Ltd. (Real Estate Management & Development) | 37,423 | ||||||
2,800 | Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A (Health Care Equipment & Supplies) | 131,251 | ||||||
27,300 | Shenzhou International Group Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 370,433 | ||||||
192,400 | Shimao Group Holdings Ltd. (Real Estate Management & Development) | 108,374 | ||||||
68,550 | Shimao Services Holdings Ltd.(a) (Real Estate Management & Development) | 36,179 | ||||||
1,720 | Silergy Corp. (Semiconductors & Semiconductor Equipment) | 153,136 | ||||||
57,000 | Sinopec Engineering Group Co. Ltd. Class H (Construction & Engineering) | 29,855 | ||||||
27,465 | Sinotruk Hong Kong Ltd. (Machinery) | 33,220 | ||||||
162,850 | Sun Art Retail Group Ltd. (Food & Staples Retailing) | 50,551 | ||||||
87,600 | Sunac China Holdings Ltd. (Real Estate Management & Development) | 51,129 | ||||||
32,466 | Tencent Holdings Ltd. (Interactive Media & Services) | 1,529,956 | ||||||
28,291 | Tencent Music Entertainment Group ADR* (Entertainment) | 120,237 | ||||||
336,750 | The People’s Insurance Co. Group of China Ltd. Class H (Insurance) | 107,273 | ||||||
45,250 | Topsports International Holdings Ltd.(a) (Specialty Retail) | 34,609 | ||||||
3,100 | Trip.com Group Ltd. ADR* (Hotels, Restaurants & Leisure) | 73,315 | ||||||
11,630 | Vipshop Holdings Ltd. ADR* (Internet & Direct Marketing Retail) | 89,086 | ||||||
67,450 | Want Want China Holdings Ltd. (Food Products) | 60,885 | ||||||
795 | Weibo Corp. ADR* (Interactive Media & Services) | 18,396 | ||||||
6,400 | WuXi AppTec Co. Ltd. Class H(a) (Life Sciences Tools & Services) | 87,051 | ||||||
27,339 | Wuxi Lead Intelligent Equipment Co. Ltd. Class A (Machinery) | 179,052 | ||||||
17,700 | Xtep International Holdings Ltd. (Textiles, Apparel & Luxury Goods) | 25,750 | ||||||
91,500 | Yangzijiang Shipbuilding Holdings Ltd. (Machinery) | 59,697 | ||||||
6,140 | Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 256,652 | ||||||
6,850 | Yunnan Botanee Bio-Technology Group Co. Ltd. Class A (Personal Products) | 202,161 | ||||||
5,300 | Yunnan Energy New Material Co. Ltd. Class A (Chemicals) | 160,036 | ||||||
29,300 | Zhongsheng Group Holdings Ltd. (Specialty Retail) | 193,609 | ||||||
|
| |||||||
14,378,923 | ||||||||
|
|
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) | ||||||||
Colombia – 0.0% | ||||||||
5,301 | Ecopetrol SA ADR (Oil, Gas & Consumable Fuels) | $ | 86,035 | |||||
|
| |||||||
Denmark – 0.7% | ||||||||
5,340 | ALK-Abello A/S* (Pharmaceuticals) | 116,485 | ||||||
2,577 | Carlsberg AS Class B (Beverages) | 327,364 | ||||||
1,626 | DSV A/S (Air Freight & Logistics) | 266,585 | ||||||
15,106 | Novo Nordisk A/S Class B (Pharmaceuticals) | 1,725,502 | ||||||
367 | ROCKWOOL A/S (Building Products) | 102,643 | ||||||
1,613 | Royal Unibrew A/S (Beverages) | 139,026 | ||||||
|
| |||||||
2,677,605 | ||||||||
|
| |||||||
France – 3.9% | ||||||||
8,552 | Air Liquide SA (Chemicals) | 1,479,567 | ||||||
35,530 | Alstom SA (Machinery) | 780,964 | ||||||
25,125 | AXA SA (Insurance) | 664,682 | ||||||
5,851 | BNP Paribas SA (Banks) | 303,382 | ||||||
5,004 | Capgemini SE (IT Services) | 1,018,709 | ||||||
9,676 | Carrefour SA (Food & Staples Retailing) | 205,204 | ||||||
3,696 | Cellectis SA ADR* (Biotechnology) | 12,936 | ||||||
4,217 | Cie de Saint-Gobain (Building Products) | 246,012 | ||||||
2,396 | Cie Generale des Etablissements Michelin SCA (Auto Components) | 296,768 | ||||||
3,740 | Criteo SA ADR* (Media) | 92,677 | ||||||
15,211 | Danone SA (Food Products) | 919,828 | ||||||
5,970 | Dassault Systemes SE (Software) | 264,019 | ||||||
34,258 | Engie SA (Multi-Utilities) | 404,261 | ||||||
450 | Eramet* (Metals & Mining) | 59,977 | ||||||
3,482 | EssilorLuxottica SA (Textiles, Apparel & Luxury Goods) | 592,803 | ||||||
10,485 | Eutelsat Communications SA (Media) | 116,524 | ||||||
3,415 | Faurecia SE (Auto Components) | 74,235 | ||||||
515 | Gaztransport Et Technigaz SA (Oil, Gas & Consumable Fuels) | 61,326 | ||||||
4,376 | Klepierre SA (Equity Real Estate Investment Trusts (REITs)) | 104,742 | ||||||
1,002 | L’Oreal SA (Personal Products) | 364,538 | ||||||
4,229 | Legrand SA (Electrical Equipment) | 374,749 | ||||||
2,397 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 1,551,183 | ||||||
962 | Nexans SA (Electrical Equipment) | 87,626 | ||||||
7,277 | Pernod Ricard SA (Beverages) | 1,501,857 | ||||||
9,220 | Sanofi (Pharmaceuticals) | 974,507 | ||||||
4,196 | SCOR SE (Insurance) | 118,637 | ||||||
781 | Sopra Steria Group SACA (IT Services) | 138,415 | ||||||
6,535 | SPIE SA (Commercial Services & Supplies) | 153,808 | ||||||
25,967 | TotalEnergies SE (Oil, Gas & Consumable Fuels) | 1,275,057 | ||||||
15,281 | Valeo (Auto Components) | 277,826 | ||||||
5,577 | Vinci SA (Construction & Engineering) | 541,158 | ||||||
|
| |||||||
15,057,977 | ||||||||
|
| |||||||
Germany – 1.9% | ||||||||
19,697 | Bayer AG* (Pharmaceuticals) | 1,297,462 | ||||||
7,041 | Beiersdorf AG (Personal Products) | 707,202 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Germany – (continued) | ||||||||
904 | CompuGroup Medical SE & Co KgaA (Health Care Technology) | 48,321 | ||||||
998 | CTS Eventim AG & Co. KGaA* (Entertainment) | 68,499 | ||||||
4,899 | Deutsche Boerse AG (Capital Markets) | 852,889 | ||||||
2,839 | Encavis AG (Independent Power and Renewable Electricity Producers) | 61,977 | ||||||
1,085 | K&S AG* (Chemicals) | 36,443 | ||||||
1,434 | KION Group AG (Machinery) | 79,768 | ||||||
3,862 | Merck KGaA (Pharmaceuticals) | 716,506 | ||||||
1,171 | MTU Aero Engines AG* (Aerospace & Defense) | 236,150 | ||||||
879 | Rheinmetall AG (Aerospace & Defense) | 198,148 | ||||||
22,236 | RWE AG (Independent Power and Renewable Electricity Producers) | 923,225 | ||||||
1,108 | Salzgitter AG* (Metals & Mining) | 45,993 | ||||||
18,186 | SAP SE (Software) | 1,843,077 | ||||||
1,106 | Scout24 SE(a) (Interactive Media & Services) | 69,953 | ||||||
763 | Sixt SE* (Road & Rail) | 99,200 | ||||||
1,370 | Stroeer SE & Co. KGaA (Media) | 81,962 | ||||||
3,206 | TAG Immobilien AG (Real Estate Management & Development) | 64,073 | ||||||
|
| |||||||
7,430,848 | ||||||||
|
| |||||||
Ghana* – 0.8% | ||||||||
440,641 | Kosmos Energy Ltd. (Oil, Gas & Consumable Fuels) | 2,978,733 | ||||||
|
| |||||||
Greece – 0.0% | ||||||||
2,250 | Hellenic Telecommunications Organization SA (Diversified Telecommunication Services) | 43,286 | ||||||
13,900 | National Bank of Greece SA* (Banks) | 55,134 | ||||||
|
| |||||||
98,420 | ||||||||
|
| |||||||
Hong Kong – 0.5% | ||||||||
191,925 | AIA Group Ltd. (Insurance) | 1,885,425 | ||||||
107,150 | Sino Biopharmaceutical Ltd. (Pharmaceuticals) | 56,203 | ||||||
9,500 | Swire Pacific Ltd. Class A (Real Estate Management & Development) | 54,111 | ||||||
275,000 | Truly International Holdings Ltd. (Electronic Equipment, Instruments & Components) | 74,900 | ||||||
38,000 | Yue Yuen Industrial Holdings Ltd.* (Textiles, Apparel & Luxury Goods) | 55,894 | ||||||
|
| |||||||
2,126,533 | ||||||||
|
| |||||||
Hungary* – 0.0% | ||||||||
3,276 | OTP Bank Nyrt (Banks) | 97,721 | ||||||
|
| |||||||
India – 1.9% | ||||||||
5,563 | Adani Total Gas Ltd. (Gas Utilities) | 178,365 | ||||||
3,740 | Adani Transmission Ltd.* (Electric Utilities) | 135,245 | ||||||
3,894 | Apollo Hospitals Enterprise Ltd. (Health Care Providers & Services) | 225,489 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
India – (continued) | ||||||||
1,724 | Asian Paints Ltd. (Chemicals) | $ | 72,670 | |||||
4,270 | Bajaj Finance Ltd. (Consumer Finance) | 368,082 | ||||||
530 | Bajaj Finserv Ltd. (Diversified Financial Services) | 102,146 | ||||||
5,109 | Balkrishna Industries Ltd. (Auto Components) | 142,266 | ||||||
39,455 | Bharti Airtel Ltd.* (Wireless Telecommunication Services) | 378,662 | ||||||
450 | Deepak Nitrite Ltd. (Chemicals) | 13,526 | ||||||
2,784 | Divi’s Laboratories Ltd. (Life Sciences Tools & Services) | 162,970 | ||||||
33,390 | HDFC Bank Ltd. (Banks) | 598,610 | ||||||
26,443 | Hindalco Industries Ltd. (Metals & Mining) | 164,627 | ||||||
11,159 | Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 321,959 | ||||||
23,621 | ICICI Bank Ltd. (Banks) | 227,070 | ||||||
4,850 | Indian Railway Catering & Tourism Corp. Ltd. (Commercial Services & Supplies) | 46,682 | ||||||
1,990 | Info Edge India Ltd. (Interactive Media & Services) | 119,918 | ||||||
24,417 | Infosys Ltd. (IT Services) | 494,864 | ||||||
8,500 | Infosys Ltd. ADR (IT Services) | 168,895 | ||||||
2,643 | JSW Steel Ltd. (Metals & Mining) | 24,876 | ||||||
756 | L&T Technology Services Ltd.(a) (Professional Services) | 39,986 | ||||||
1,542 | Larsen & Toubro Infotech Ltd.(a) (IT Services) | 96,526 | ||||||
650 | Mindtree Ltd. (IT Services) | 29,744 | ||||||
42,067 | Motherson Sumi Systems Ltd. (Auto Components) | 75,140 | ||||||
2,150 | Oberoi Realty Ltd.* (Real Estate Management & Development) | 26,784 | ||||||
45,750 | Oil & Natural Gas Corp. Ltd. (Oil, Gas & Consumable Fuels) | 94,812 | ||||||
156 | Page Industries Ltd. (Textiles, Apparel & Luxury Goods) | 92,505 | ||||||
28,035 | Power Finance Corp. Ltd. (Diversified Financial Services) | 42,890 | ||||||
60,266 | REC Ltd. (Diversified Financial Services) | 99,526 | ||||||
15,167 | Reliance Industries Ltd. (Oil, Gas & Consumable Fuels) | 549,537 | ||||||
900 | SRF Ltd. (Chemicals) | 29,270 | ||||||
40,787 | State Bank of India (Banks) | 261,960 | ||||||
17,289 | Sun Pharmaceutical Industries Ltd. (Pharmaceuticals) | 208,989 | ||||||
9,195 | Tata Consultancy Services Ltd. (IT Services) | 423,782 | ||||||
796 | Tata Elxsi Ltd. (Software) | 79,725 | ||||||
13,110 | Tata Motors Ltd.* (Automobiles) | 74,189 | ||||||
11,629 | Tata Steel Ltd. (Metals & Mining) | 190,938 | ||||||
10,029 | Tech Mahindra Ltd. (IT Services) | 163,795 | ||||||
14,002 | Titan Co. Ltd. (Textiles, Apparel & Luxury Goods) | 446,783 | ||||||
23,200 | TV18 Broadcast Ltd.* (Media) | 16,177 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
India – (continued) | ||||||||
9,100 | United Spirits Ltd.* (Beverages) | 102,024 | ||||||
19,250 | Vedanta Ltd. (Metals & Mining) | 101,261 | ||||||
|
| |||||||
7,193,265 | ||||||||
|
| |||||||
Indonesia – 0.4% | ||||||||
152,050 | Adaro Energy Indonesia Tbk PT (Oil, Gas & Consumable Fuels) | 34,740 | ||||||
195,250 | Astra International Tbk PT (Automobiles) | 101,948 | ||||||
844,700 | �� | Bank Central Asia Tbk PT (Banks) | 473,768 | |||||
228,950 | Bank Mandiri Persero Tbk PT (Banks) | 140,583 | ||||||
54,400 | Bank Negara Indonesia Persero Tbk PT (Banks) | 34,362 | ||||||
1,294,900 | Bank Rakyat Indonesia Persero Tbk PT (Banks) | 431,444 | ||||||
30,700 | First Resources Ltd. (Food Products) | 46,823 | ||||||
568,950 | Telekomunikasi Indonesia Persero Tbk PT (Diversified Telecommunication Services) | 181,317 | ||||||
13,400 | United Tractors Tbk PT (Oil, Gas & Consumable Fuels) | 27,984 | ||||||
|
| |||||||
1,472,969 | ||||||||
|
| |||||||
Ireland – 0.9% | ||||||||
28,659 | Bank of Ireland Group PLC* (Banks) | 173,694 | ||||||
4 | Flutter Entertainment PLC* (Hotels, Restaurants & Leisure) | 402 | ||||||
2,592 | ICON PLC* (Life Sciences Tools & Services) | 586,336 | ||||||
3,619 | Keywords Studios PLC (IT Services) | 109,399 | ||||||
10,902 | Medtronic PLC (Health Care Equipment & Supplies) | 1,137,733 | ||||||
12,303 | Ryanair Holdings PLC ADR* (Airlines) | 1,074,298 | ||||||
2,450 | STERIS PLC (Health Care Equipment & Supplies) | 548,922 | ||||||
|
| |||||||
3,630,784 | ||||||||
|
| |||||||
Israel* – 0.3% | ||||||||
105,424 | Bezeq The Israeli Telecommunication Corp. Ltd. (Diversified Telecommunication Services) | 167,127 | ||||||
3,936 | Check Point Software Technologies Ltd.* (Software) | 497,077 | ||||||
1,119 | Nova Ltd. (Semiconductors & Semiconductor Equipment) | 110,345 | ||||||
4,982 | Tower Semiconductor Ltd. (Semiconductors & Semiconductor Equipment) | 240,631 | ||||||
|
| |||||||
1,015,180 | ||||||||
|
| |||||||
Italy – 1.1% | ||||||||
12,802 | Banca Mediolanum SpA (Diversified Financial Services) | 92,934 | ||||||
61,923 | BPER Banca (Banks) | 103,448 | ||||||
|
|
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) | ||||||||
Italy – (continued) | ||||||||
185,028 | Enel SpA (Electric Utilities) | $ | 1,203,217 | |||||
19,852 | Eni SpA (Oil, Gas & Consumable Fuels) | 277,507 | ||||||
2,902 | Ferrari NV (Automobiles) | 611,030 | ||||||
37,619 | Hera SpA (Multi-Utilities) | 140,304 | ||||||
209,574 | Intesa Sanpaolo SpA (Banks) | 427,052 | ||||||
3,221 | Prysmian SpA (Electrical Equipment) | 104,763 | ||||||
137,734 | UniCredit SpA (Banks) | 1,274,739 | ||||||
|
| |||||||
4,234,994 | ||||||||
|
| |||||||
Japan – 3.7% | ||||||||
1,600 | ABC-Mart, Inc. (Specialty Retail) | 66,352 | ||||||
5,600 | ADEKA Corp. (Chemicals) | 107,398 | ||||||
14,900 | Amada Co. Ltd. (Machinery) | 115,698 | ||||||
6,800 | Anritsu Corp. (Electronic Equipment, Instruments & Components) | 85,507 | ||||||
400 | BayCurrent Consulting, Inc. (Professional Services) | 131,147 | ||||||
3,500 | BIPROGY, Inc. (IT Services) | 88,427 | ||||||
4,600 | Canon Marketing Japan, Inc. (Electronic Equipment, Instruments & Components) | 100,095 | ||||||
5,900 | CKD Corp. (Machinery) | 76,403 | ||||||
3,900 | Daikin Industries Ltd. (Building Products) | 595,989 | ||||||
700 | Daito Trust Construction Co. Ltd. (Real Estate Management & Development) | 67,418 | ||||||
4,900 | Denso Corp. (Auto Components) | 298,632 | ||||||
5,300 | EXEO Group, Inc. (Construction & Engineering) | 88,234 | ||||||
7,200 | FANUC Corp. (Machinery) | 1,103,242 | ||||||
7,400 | Fukuoka Financial Group, Inc. (Banks) | 135,208 | ||||||
78 | GLP J-REIT (Equity Real Estate Investment Trusts (REITs)) | 105,251 | ||||||
2,300 | Hanwa Co. Ltd. (Trading Companies & Distributors) | 56,220 | ||||||
9,700 | Hino Motors Ltd. (Machinery) | 50,071 | ||||||
16,600 | Hitachi Ltd. (Industrial Conglomerates) | 787,279 | ||||||
4,800 | Hoya Corp. (Health Care Equipment & Supplies) | 476,362 | ||||||
4,000 | Internet Initiative Japan, Inc. (Diversified Telecommunication Services) | 124,845 | ||||||
194 | Japan Hotel REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 98,530 | ||||||
5,600 | Japan Material Co. Ltd. (Semiconductors & Semiconductor Equipment) | 84,606 | ||||||
18 | Japan Prime Realty Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 54,608 | ||||||
6,600 | Kamigumi Co. Ltd. (Transportation Infrastructure) | 112,061 | ||||||
1,220 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 490,445 | ||||||
6,000 | Koito Manufacturing Co. Ltd. (Auto Components) | 220,167 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
2,900 | KOMEDA Holdings Co. Ltd. (Hotels, Restaurants & Leisure) | 49,958 | ||||||
2,800 | Kose Corp. (Personal Products) | 287,451 | ||||||
28,800 | Kubota Corp. (Machinery) | 489,273 | ||||||
1,800 | Kumagai Gumi Co. Ltd. (Construction & Engineering) | 37,564 | ||||||
1,800 | Kureha Corp. (Chemicals) | 135,235 | ||||||
7,900 | Kyocera Corp. (Electronic Equipment, Instruments & Components) | 414,805 | ||||||
1,900 | Kyudenko Corp. (Construction & Engineering) | 43,088 | ||||||
3,000 | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | 400,804 | ||||||
1,400 | M&A Capital Partners Co. Ltd.* (Capital Markets) | 43,485 | ||||||
12,900 | Mazda Motor Corp. (Automobiles) | 91,600 | ||||||
6,100 | Mirait Holdings Corp. (Construction & Engineering) | 85,483 | ||||||
22 | Mitsui Fudosan Logistics Park, Inc. (Equity Real Estate Investment Trusts (REITs)) | 94,323 | ||||||
2,900 | Morinaga Milk Industry Co. Ltd. (Food Products) | 116,788 | ||||||
9,700 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 578,193 | ||||||
1,800 | Nippon Express Holdings, Inc. (Road & Rail) | 105,535 | ||||||
1,600 | Nippon Shinyaku Co. Ltd. (Pharmaceuticals) | 108,214 | ||||||
27,000 | Olympus Corp. (Health Care Equipment & Supplies) | 475,230 | ||||||
6,000 | Persol Holdings Co. Ltd. (Professional Services) | 119,038 | ||||||
11,800 | Rengo Co. Ltd. (Containers & Packaging) | 69,863 | ||||||
5,600 | Ryohin Keikaku Co. Ltd. (Multiline Retail) | 50,328 | ||||||
2,900 | Sankyu, Inc. (Road & Rail) | 88,418 | ||||||
3,000 | SBI Holdings, Inc. (Capital Markets) | 67,101 | ||||||
10,400 | Sega Sammy Holdings, Inc. (Leisure Products) | 184,284 | ||||||
1,700 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 233,639 | ||||||
3,900 | Ship Healthcare Holdings, Inc. (Health Care Providers & Services) | 65,145 | ||||||
800 | SMC Corp. (Machinery) | 387,376 | ||||||
2,500 | SMS Co. Ltd. (Professional Services) | 58,672 | ||||||
5,400 | Sony Group Corp. (Household Durables) | 466,026 | ||||||
400 | Sumitomo Bakelite Co. Ltd. (Chemicals) | 13,124 | ||||||
8,200 | Sumitomo Forestry Co. Ltd. (Household Durables) | 125,451 | ||||||
18,100 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 546,872 | ||||||
2,800 | Suzuken Co. Ltd. (Health Care Providers & Services) | 82,648 | ||||||
30,000 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 870,496 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
15,000 | Terumo Corp. (Health Care Equipment & Supplies) | $ | 446,477 | |||||
18,900 | The Chiba Bank Ltd. (Banks) | 108,926 | ||||||
4,900 | TIS, Inc. (IT Services) | 110,051 | ||||||
1,000 | Tokyo Ohka Kogyo Co. Ltd. (Chemicals) | 54,336 | ||||||
1,600 | Tokyotokeiba Co. Ltd. (Hotels, Restaurants & Leisure) | 54,445 | ||||||
24,500 | Tokyu Fudosan Holdings Corp. (Real Estate Management & Development) | 127,490 | ||||||
3,000 | Towa Pharmaceutical Co. Ltd. (Pharmaceuticals) | 63,815 | ||||||
3,500 | Toyo Suisan Kaisha Ltd. (Food Products) | 108,067 | ||||||
3,500 | Toyoda Gosei Co. Ltd. (Auto Components) | 50,967 | ||||||
5,000 | Toyota Boshoku Corp. (Auto Components) | 79,687 | ||||||
2,900 | TRE Holdings Corp. (Commercial Services & Supplies) | 46,397 | ||||||
2,500 | Trend Micro, Inc. (Software) | 139,392 | ||||||
2,900 | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | 113,636 | ||||||
1,800 | Zenkoku Hosho Co. Ltd. (Diversified Financial Services) | 63,173 | ||||||
|
| |||||||
14,272,564 | ||||||||
|
| |||||||
Jordan – 0.0% | ||||||||
3,764 | Hikma Pharmaceuticals PLC (Pharmaceuticals) | 88,418 | ||||||
|
| |||||||
Luxembourg – 0.0% | ||||||||
833 | APERAM SA (Metals & Mining) | 32,152 | ||||||
|
| |||||||
Macau* – 0.2% | ||||||||
290,000 | Sands China Ltd. (Hotels, Restaurants & Leisure) | 639,211 | ||||||
|
| |||||||
Malaysia – 0.1% | ||||||||
56,000 | Hartalega Holdings Bhd (Health Care Equipment & Supplies) | 56,598 | ||||||
78,950 | Kossan Rubber Industries Bhd (Health Care Equipment & Supplies) | 33,368 | ||||||
38,500 | Petronas Chemicals Group Bhd (Chemicals) | 90,380 | ||||||
56,050 | Sime Darby Plantation Bhd (Food Products) | 67,247 | ||||||
159,030 | Supermax Corp. Bhd (Health Care Equipment & Supplies) | 40,548 | ||||||
295,300 | Top Glove Corp. Bhd (Health Care Equipment & Supplies) | 113,955 | ||||||
|
| |||||||
402,096 | ||||||||
|
| |||||||
Mexico – 0.4% | ||||||||
16,350 | Alfa SAB de CV Class A (Industrial Conglomerates) | 10,953 | ||||||
4,900 | America Movil SAB de CV ADR Class L (Wireless Telecommunication Services) | 95,207 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Mexico – (continued) | ||||||||
86,950 | America Movil SAB de CV Series L (Wireless Telecommunication Services) | 84,621 | ||||||
5,100 | Grupo Aeroportuario del Sureste SAB de CV Class B (Transportation Infrastructure) | 111,307 | ||||||
37,850 | Grupo Bimbo SAB de CV Series A (Food Products) | 116,667 | ||||||
63,500 | Grupo Financiero Banorte SAB de CV Class O (Banks) | 419,184 | ||||||
26,350 | Grupo Financiero Inbursa SAB de CV Class O* (Banks) | 44,665 | ||||||
43,000 | Grupo Mexico SAB de CV Series B (Metals & Mining) | 201,277 | ||||||
22,650 | Orbia Advance Corp. SAB de CV (Chemicals) | 54,498 | ||||||
635 | Ternium SA ADR (Metals & Mining) | 27,242 | ||||||
132,150 | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | 467,299 | ||||||
|
| |||||||
1,632,920 | ||||||||
|
| |||||||
Netherlands – 1.7% | ||||||||
3,118 | Aalberts NV (Machinery) | 151,511 | ||||||
208 | Adyen NV*(a) (IT Services) | 348,877 | ||||||
11,787 | Akzo Nobel NV (Chemicals) | 1,022,481 | ||||||
2,260 | Arcadis NV (Construction & Engineering) | 94,296 | ||||||
1,307 | ASM International NV (Semiconductors & Semiconductor Equipment) | 392,743 | ||||||
2,077 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 1,170,950 | ||||||
4,433 | ASR Nederland NV (Insurance) | 201,474 | ||||||
1,228 | Euronext NV(a) (Capital Markets) | 98,390 | ||||||
96,216 | ING Groep NV (Banks) | 911,571 | ||||||
28,351 | Koninklijke Philips NV (Health Care Equipment & Supplies) | 740,843 | ||||||
713 | OCI NV* (Chemicals) | 27,017 | ||||||
6,145 | Randstad NV (Professional Services) | 324,942 | ||||||
37,986 | Shell PLC (Oil, Gas & Consumable Fuels) | 1,025,639 | ||||||
3,294 | Signify NV(a) (Electrical Equipment) | 139,361 | ||||||
|
| |||||||
6,650,095 | ||||||||
|
| |||||||
Panama* – 0.0% | ||||||||
1,760 | Copa Holdings SA Class A (Airlines) | 132,651 | ||||||
|
| |||||||
Philippines – 0.0% | ||||||||
14,850 | International Container Terminal Services, Inc. (Transportation Infrastructure) | 60,974 | ||||||
|
| |||||||
Poland – 0.0% | ||||||||
4,817 | Bank Polska Kasa Opieki SA (Banks) | 105,855 | ||||||
18 | LPP SA (Textiles, Apparel & Luxury Goods) | 38,037 | ||||||
16,156 | PGE Polska Grupa Energetyczna SA* (Electric Utilities) | 35,930 | ||||||
|
| |||||||
179,822 | ||||||||
|
|
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) | ||||||||
Portugal – 0.1% | ||||||||
23,975 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | $ | 291,815 | |||||
100,186 | Sonae SGPS SA (Food & Staples Retailing) | 108,160 | ||||||
|
| |||||||
399,975 | ||||||||
|
| |||||||
Puerto Rico – 0.0% | ||||||||
1,095 | EVERTEC, Inc. (IT Services) | 43,143 | ||||||
|
| |||||||
Qatar – 0.2% | ||||||||
143,264 | Barwa Real Estate Co. (Real Estate Management & Development) | 133,142 | ||||||
76,332 | Industries Qatar QSC (Industrial Conglomerates) | 393,658 | ||||||
9,500 | Ooredoo QPSC (Diversified Telecommunication Services) | 19,536 | ||||||
115,650 | Qatar Aluminum Manufacturing Co. (Metals & Mining) | 76,216 | ||||||
6,550 | Qatar Islamic Bank SAQ (Banks) | 44,047 | ||||||
116,224 | United Development Co. QSC (Real Estate Management & Development) | 46,276 | ||||||
|
| |||||||
712,875 | ||||||||
|
| |||||||
Russia*(b) – 0.0% | ||||||||
30,642 | Gazprom PJSC ADR (Oil, Gas & Consumable Fuels) | — | ||||||
5,200 | LUKOIL PJSC ADR (Oil, Gas & Consumable Fuels) | — | ||||||
11,950 | Magnit PJSC GDR (Food & Staples Retailing) | — | ||||||
3,393 | Novolipetsk Steel PJSC (Metals & Mining) | — | ||||||
5,650 | PhosAgro PJSC (Chemicals) | — | ||||||
19,000 | Surgutneftegas PJSC ADR (Oil, Gas & Consumable Fuels) | — | ||||||
23,847 | VTB Bank PJSC GDR* (Banks) | — | ||||||
|
| |||||||
— | ||||||||
|
| |||||||
Singapore – 0.3% | ||||||||
8,700 | City Developments Ltd. (Real Estate Management & Development) | 53,341 | ||||||
76,300 | ComfortDelGro Corp. Ltd. (Road & Rail) | 80,599 | ||||||
21,700 | DBS Group Holdings Ltd. (Banks) | 526,455 | ||||||
110,200 | Frasers Logistics & Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 114,758 | ||||||
52,250 | Mapletree Industrial Trust (Equity Real Estate Investment Trusts (REITs)) | 98,182 | ||||||
54,600 | Sembcorp Industries Ltd. (Multi-Utilities) | 115,632 | ||||||
25,800 | Yangzijiang Financial Holding Pte. Ltd. (Capital Markets) | 10,167 | ||||||
|
| |||||||
999,134 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
South Africa – 0.4% | ||||||||
750 | Anglo American Platinum Ltd. (Metals & Mining) | 83,331 | ||||||
2,202 | Anglo American PLC (Metals & Mining) | 97,529 | ||||||
3,150 | Aspen Pharmacare Holdings Ltd. (Pharmaceuticals) | 33,935 | ||||||
829 | Bid Corp. Ltd. (Food & Staples Retailing) | 17,349 | ||||||
1,845 | Capitec Bank Holdings Ltd. (Banks) | 257,543 | ||||||
5,723 | Clicks Group Ltd. (Food & Staples Retailing) | 112,637 | ||||||
23,911 | FirstRand Ltd. (Diversified Financial Services) | 102,977 | ||||||
8,815 | Investec Ltd. (Capital Markets) | 53,713 | ||||||
1,800 | Kumba Iron Ore Ltd. (Metals & Mining) | 59,757 | ||||||
25,906 | MTN Group (Wireless Telecommunication Services) | 274,759 | ||||||
14,062 | MultiChoice Group (Media) | 115,132 | ||||||
6,150 | Remgro Ltd. (Diversified Financial Services) | 55,458 | ||||||
2,882 | Sasol Ltd.* (Chemicals) | 70,600 | ||||||
28,000 | Sibanye Stillwater Ltd. (Metals & Mining) | 96,870 | ||||||
|
| |||||||
1,431,590 | ||||||||
|
| |||||||
South Korea – 2.0% | ||||||||
338 | AfreecaTV Co. Ltd. (Interactive Media & Services) | 28,972 | ||||||
200 | BGF retail Co. Ltd. (Food & Staples Retailing) | 28,608 | ||||||
11,298 | BNK Financial Group, Inc. (Banks) | 70,071 | ||||||
7,814 | Coupang, Inc.* (Internet & Direct Marketing Retail) | 100,566 | ||||||
5,806 | Hana Financial Group, Inc. (Banks) | 215,558 | ||||||
1,500 | Hankook Tire & Technology Co. Ltd. (Auto Components) | 41,170 | ||||||
1,507 | Hyundai Mobis Co. Ltd. (Auto Components) | 245,169 | ||||||
3,117 | Industrial Bank of Korea (Banks) | 27,657 | ||||||
1,450 | JYP Entertainment Corp. (Entertainment) | 67,268 | ||||||
9,623 | KB Financial Group, Inc. (Banks) | 447,701 | ||||||
12,075 | Kia Corp. (Automobiles) | 792,002 | ||||||
3,318 | KT Corp. (Diversified Telecommunication Services) | 93,422 | ||||||
1,903 | KT Corp. ADR (Diversified Telecommunication Services) | 26,509 | ||||||
5,174 | LG Display Co. Ltd. (Electronic Equipment, Instruments & Components) | 67,605 | ||||||
663 | LG Electronics, Inc. (Household Durables) | 60,046 | ||||||
124 | LG Innotek Co. Ltd. (Electronic Equipment, Instruments & Components) | 33,646 | ||||||
700 | Meritz Financial Group, Inc. (Diversified Financial Services) | 20,969 | ||||||
1,093 | NAVER Corp. (Interactive Media & Services) | 243,476 | ||||||
1,130 | POSCO Holdings, Inc. (Metals & Mining) | 258,009 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
South Korea – (continued) | ||||||||
366 | Samsung Biologics Co. Ltd.*(a) (Life Sciences Tools & Services) | $ | 241,409 | |||||
36,434 | Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals) | 1,931,281 | ||||||
959 | Samsung Electronics Co. Ltd. GDR (Technology Hardware, Storage & Peripherals) | 1,252,705 | ||||||
414 | Samsung SDI Co. Ltd. (Electronic Equipment, Instruments & Components) | 197,211 | ||||||
15,866 | Shinhan Financial Group Co. Ltd. (Banks) | 527,142 | ||||||
9,560 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 837,725 | ||||||
1 | SK Innovation Co. Ltd.* (Oil, Gas & Consumable Fuels) | 159 | ||||||
8,205 | Woori Financial Group, Inc. (Banks) | 95,058 | ||||||
|
| |||||||
7,951,114 | ||||||||
|
| |||||||
Spain – 1.1% | ||||||||
4,428 | Aena SME SA*(a) (Transportation Infrastructure) | 628,376 | ||||||
32,635 | Amadeus IT Group SA* (IT Services) | 2,045,004 | ||||||
51,649 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 271,015 | ||||||
129,231 | Banco de Sabadell SA (Banks) | 100,293 | ||||||
180,125 | CaixaBank SA (Banks) | 581,425 | ||||||
3,044 | CIE Automotive SA (Auto Components) | 66,365 | ||||||
24,805 | Iberdrola SA (Electric Utilities) | 285,029 | ||||||
6,807 | Industria de Diseno Textil SA (Specialty Retail) | 142,724 | ||||||
|
| |||||||
4,120,231 | ||||||||
|
| |||||||
Sweden – 0.6% | ||||||||
7,129 | AAK AB (Food Products) | 123,693 | ||||||
5,947 | Atlas Copco AB Class A (Machinery) | 269,618 | ||||||
7,566 | Castellum AB (Real Estate Management & Development) | 149,832 | ||||||
5,079 | Evolution AB(a) (Hotels, Restaurants & Leisure) | 521,097 | ||||||
9,687 | Husqvarna AB Class B (Machinery) | 92,599 | ||||||
4,480 | Loomis AB (Commercial Services & Supplies) | 111,622 | ||||||
2,578 | Lundin Energy AB (Oil, Gas & Consumable Fuels) | 106,590 | ||||||
1,476 | Saab AB Class B (Aerospace & Defense) | 62,433 | ||||||
1,445 | Sdiptech AB Class B* (Commercial Services & Supplies) | 50,606 | ||||||
42,545 | Swedbank AB Class A (Banks) | 673,030 | ||||||
3,363 | Thule Group AB(a) (Leisure Products) | 116,653 | ||||||
7,110 | Trelleborg AB Class B (Machinery) | 155,948 | ||||||
|
| |||||||
2,433,721 | ||||||||
|
| |||||||
Switzerland – 3.3% | ||||||||
8,089 | Alcon, Inc. (Health Care Equipment & Supplies) | 577,561 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | ||||||||
740 | BKW AG (Electric Utilities) | 90,081 | ||||||
5,908 | Cie Financiere Richemont SA Class A (Textiles, Apparel & Luxury Goods) | 686,455 | ||||||
317 | Comet Holding AG (Electronic Equipment, Instruments & Components) | 68,527 | ||||||
54,181 | Credit Suisse Group AG (Capital Markets) | 367,744 | ||||||
1,121 | Georg Fischer AG (Machinery) | 60,837 | ||||||
5,399 | Julius Baer Group Ltd. (Capital Markets) | 258,006 | ||||||
868 | Lonza Group AG (Life Sciences Tools & Services) | 511,802 | ||||||
17,885 | Nestle SA (Food Products) | 2,308,848 | ||||||
21,769 | Novartis AG (Pharmaceuticals) | 1,923,710 | ||||||
764 | PSP Swiss Property AG (Real Estate Management & Development) | 96,288 | ||||||
6,142 | Roche Holding AG (Pharmaceuticals) | 2,277,538 | ||||||
6,996 | SIG Group AG (Containers & Packaging) | 146,465 | ||||||
3,420 | Sika AG (Chemicals) | 1,044,666 | ||||||
2,324 | Sophia Genetics SA* (Health Care Technology) | 14,943 | ||||||
344 | Tecan Group AG (Life Sciences Tools & Services) | 103,378 | ||||||
47,787 | UBS Group AG (Capital Markets) | 811,262 | ||||||
330 | VAT Group AG(a) (Machinery) | 102,073 | ||||||
3,094 | Zurich Insurance Group AG (Insurance) | 1,408,604 | ||||||
|
| |||||||
12,858,788 | ||||||||
|
| |||||||
Taiwan – 1.8% | ||||||||
300 | ASPEED Technology, Inc. (Semiconductors & Semiconductor Equipment) | 26,350 | ||||||
10,000 | Asustek Computer, Inc. (Technology Hardware, Storage & Peripherals) | 120,283 | ||||||
30,050 | Cathay Financial Holding Co. Ltd. (Insurance) | 63,182 | ||||||
23,000 | Chailease Holding Co. Ltd. (Diversified Financial Services) | 182,777 | ||||||
193,150 | CTBC Financial Holding Co. Ltd. (Banks) | 189,986 | ||||||
25,000 | Delta Electronics, Inc. (Electronic Equipment, Instruments & Components) | 208,690 | ||||||
8,750 | E Ink Holdings, Inc. (Electronic Equipment, Instruments & Components) | 50,027 | ||||||
5,400 | Eclat Textile Co. Ltd. (Textiles, Apparel & Luxury Goods) | 88,606 | ||||||
26,000 | Evergreen Marine Corp. Taiwan Ltd. (Marine) | 124,980 | ||||||
162,419 | Fubon Financial Holding Co. Ltd. (Insurance) | 407,821 | ||||||
70,950 | Hon Hai Precision Industry Co. Ltd. (Electronic Equipment, Instruments & Components) | 243,080 | ||||||
4,000 | Kinsus Interconnect Technology Corp. (Semiconductors & Semiconductor Equipment) | 22,549 | ||||||
|
|
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) | ||||||||
Taiwan – (continued) | ||||||||
14,017 | MediaTek, Inc. (Semiconductors & Semiconductor Equipment) | $ | 386,420 | |||||
2,000 | momo.com, Inc. (Internet & Direct Marketing Retail) | 52,794 | ||||||
4,500 | Nan Ya Printed Circuit Board Corp. (Electronic Equipment, Instruments & Components) | 59,771 | ||||||
32,900 | Nanya Technology Corp. (Semiconductors & Semiconductor Equipment) | 71,993 | ||||||
2,050 | Novatek Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 27,119 | ||||||
7,450 | Pegatron Corp. (Technology Hardware, Storage & Peripherals) | 17,650 | ||||||
10,188 | Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment) | 35,127 | ||||||
5,096 | Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 69,150 | ||||||
25,200 | Ruentex Development Co. Ltd. (Real Estate Management & Development) | 65,955 | ||||||
343 | Silicon Motion Technology Corp. ADR (Semiconductors & Semiconductor Equipment) | 26,044 | ||||||
44,450 | SinoPac Financial Holdings Co. Ltd. (Banks) | 27,373 | ||||||
133,750 | Taishin Financial Holding Co. Ltd. (Banks) | 87,487 | ||||||
156,455 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 2,829,120 | ||||||
10,555 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 980,876 | ||||||
10,000 | Unimicron Technology Corp. (Electronic Equipment, Instruments & Components) | 70,141 | ||||||
138,685 | United Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 220,314 | ||||||
11,100 | Vanguard International Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 39,056 | ||||||
19,950 | Winbond Electronics Corp. (Semiconductors & Semiconductor Equipment) | 18,011 | ||||||
11,250 | Yang Ming Marine Transport Corp.* (Marine) | 46,934 | ||||||
|
| |||||||
6,859,666 | ||||||||
|
| |||||||
Thailand – 0.4% | ||||||||
8,500 | Advanced Info Service PCL (Wireless Telecommunication Services) | 53,143 | ||||||
62,700 | Airports of Thailand PCL NVDR* (Transportation Infrastructure) | 121,166 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Thailand – (continued) | ||||||||
16,150 | Bangkok Bank PCL (Banks) | 60,914 | ||||||
40,550 | Com7 PCL Class F (Specialty Retail) | 48,989 | ||||||
24,650 | Gulf Energy Development PCL (Independent Power and Renewable Electricity Producers) | 34,773 | ||||||
2,850 | Jasmine Technology Solution PCL* (IT Services) | 45,933 | ||||||
19,350 | Kasikornbank PCL (Banks) | 85,657 | ||||||
37,300 | Kasikornbank PCL NVDR (Banks) | 165,116 | ||||||
40,100 | Kiatnakin Phatra Bank PCL (Banks) | 83,968 | ||||||
398,800 | Krung Thai Bank PCL (Banks) | 175,815 | ||||||
69,600 | PTT Exploration & Production PCL (Oil, Gas & Consumable Fuels) | 304,529 | ||||||
82,300 | PTT Exploration & Production PCL NVDR (Oil, Gas & Consumable Fuels) | 360,096 | ||||||
15,900 | SCB X PCL (Banks) | 53,387 | ||||||
1,404,450 | TMBThanachart Bank PCL (Banks) | 52,915 | ||||||
|
| |||||||
1,646,401 | ||||||||
|
| |||||||
Turkey – 0.0% | ||||||||
2,600 | BIM Birlesik Magazalar AS (Food & Staples Retailing) | 14,607 | ||||||
15,123 | Haci Omer Sabanci Holding AS (Banks) | 20,358 | ||||||
10,550 | KOC Holding AS (Industrial Conglomerates) | 28,563 | ||||||
49,312 | Turkiye Is Bankasi AS Class C (Banks) | 34,971 | ||||||
|
| |||||||
98,499 | ||||||||
|
| |||||||
United Arab Emirates – 0.3% | ||||||||
76,500 | Abu Dhabi Commercial Bank PJSC (Banks) | 211,471 | ||||||
57,115 | Abu Dhabi Islamic Bank PJSC (Banks) | 136,037 | ||||||
54,397 | Emirates NBD Bank PJSC (Banks) | 224,722 | ||||||
4,550 | Emirates Telecommunications Group Co. PJSC (Diversified Telecommunication Services) | 43,520 | ||||||
119,169 | Fertiglobe PLC (Chemicals) | 179,964 | ||||||
46,021 | First Abu Dhabi Bank PJSC (Banks) | 281,159 | ||||||
8,747 | Yalla Group Ltd. ADR* (Interactive Media & Services) | 35,775 | ||||||
|
| |||||||
1,112,648 | ||||||||
|
| |||||||
United Kingdom – 5.0% | ||||||||
26,418 | Alphawave IP Group PLC* (Semiconductors & Semiconductor Equipment) | 49,829 | ||||||
7,686 | AstraZeneca PLC (Pharmaceuticals) | 1,025,630 | ||||||
20,655 | B&M European Value Retail SA (Multiline Retail) | 126,555 | ||||||
69,487 | Balfour Beatty PLC (Construction & Engineering) | 210,526 | ||||||
368,494 | Barclays PLC (Banks) | 677,344 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
196,197 | BP PLC (Oil, Gas & Consumable Fuels) | $ | 947,199 | |||||
15,301 | British American Tobacco PLC (Tobacco) | 641,301 | ||||||
71,962 | Compass Group PLC (Hotels, Restaurants & Leisure) | 1,518,530 | ||||||
3,223 | Computacenter PLC (IT Services) | 108,292 | ||||||
1,933 | Cranswick PLC (Food Products) | 76,864 | ||||||
5,635 | CVS Group PLC (Health Care Providers & Services) | 127,209 | ||||||
2,975 | Dechra Pharmaceuticals PLC (Pharmaceuticals) | 134,813 | ||||||
2,317 | Derwent London PLC (Equity Real Estate Investment Trusts (REITs)) | 87,911 | ||||||
15,053 | Diageo PLC (Beverages) | 750,977 | ||||||
27,434 | Dr. Martens PLC (Textiles, Apparel & Luxury Goods) | 71,730 | ||||||
33,720 | DS Smith PLC (Containers & Packaging) | 138,564 | ||||||
12,153 | Electrocomponents PLC (Trading Companies & Distributors) | 158,627 | ||||||
787 | Endava PLC ADR* (IT Services) | 79,172 | ||||||
4,720 | Entain PLC* (Hotels, Restaurants & Leisure) | 88,690 | ||||||
32,008 | Experian PLC (Professional Services) | 1,105,375 | ||||||
3,710 | Future PLC (Media) | 101,610 | ||||||
14,750 | GB Group PLC (Software) | 106,894 | ||||||
9,651 | Grafton Group PLC (Trading Companies & Distributors) | 116,886 | ||||||
77,561 | Hays PLC (Professional Services) | 119,122 | ||||||
22,526 | Ibstock PLC(a) (Construction Materials) | 53,177 | ||||||
12,840 | IG Group Holdings PLC (Capital Markets) | 131,226 | ||||||
7,036 | IMI PLC (Machinery) | 118,449 | ||||||
6,626 | Intermediate Capital Group PLC (Capital Markets) | 126,798 | ||||||
30,985 | J Sainsbury PLC (Food & Staples Retailing) | 90,407 | ||||||
58,146 | JD Sports Fashion PLC (Specialty Retail) | 95,806 | ||||||
4,696 | Linde PLC (Chemicals) | 1,467,804 | ||||||
2,549 | London Stock Exchange Group PLC (Capital Markets) | 251,310 | ||||||
48,627 | Man Group PLC (Capital Markets) | 141,725 | ||||||
4,748 | Nomad Foods Ltd.* (Food Products) | 87,648 | ||||||
13,791 | OSB Group PLC (Thrifts & Mortgage Finance) | 96,267 | ||||||
12,351 | Paragon Banking Group PLC (Thrifts & Mortgage Finance) | 76,382 | ||||||
81,929 | Prudential PLC (Insurance) | 1,019,889 | ||||||
16,880 | Reckitt Benckiser Group PLC (Household Products) | 1,316,396 | ||||||
13,228 | Redrow PLC (Household Durables) | 86,713 | ||||||
54,823 | RELX PLC (Professional Services) | 1,633,445 | ||||||
1,510,714 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 1,548,724 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
7,041 | S4 Capital PLC* (Media) | 26,632 | ||||||
6,660 | Safestore Holdings PLC (Equity Real Estate Investment Trusts (REITs)) | 104,774 | ||||||
32,282 | Serco Group PLC (Commercial Services & Supplies) | 61,048 | ||||||
5,951 | St. James’s Place PLC (Capital Markets) | 95,630 | ||||||
119,070 | Tesco PLC (Food & Staples Retailing) | 404,519 | ||||||
5,811 | The Weir Group PLC (Machinery) | 111,713 | ||||||
45,423 | Tritax Big Box REIT PLC (Equity Real Estate Investment Trusts (REITs)) | 138,661 | ||||||
21,233 | Unilever PLC (Personal Products) | 987,125 | ||||||
28,191 | WH Smith PLC* (Specialty Retail) | 507,192 | ||||||
2,896 | Whitbread PLC* (Hotels, Restaurants & Leisure) | 101,090 | ||||||
|
| |||||||
19,450,200 | ||||||||
|
| |||||||
United States – 51.1% | ||||||||
17,887 | Abbott Laboratories (Health Care Equipment & Supplies) | 2,030,174 | ||||||
5,019 | AbbVie, Inc. (Biotechnology) | 737,191 | ||||||
4,768 | ABM Industries, Inc. (Commercial Services & Supplies) | 230,151 | ||||||
2,229 | Accenture PLC Class A (IT Services) | 669,502 | ||||||
6,009 | ACCO Brands Corp. (Commercial Services & Supplies) | 44,046 | ||||||
2,688 | Advanced Micro Devices, Inc.* (Semiconductors & Semiconductor Equipment) | 229,878 | ||||||
2,917 | Affirm Holdings, Inc.* (IT Services) | 83,718 | ||||||
2,295 | Agree Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 155,876 | ||||||
1,565 | Alamo Group, Inc. (Machinery) | 197,879 | ||||||
1,223 | Allegiant Travel Co.* (Airlines) | 189,797 | ||||||
1,396 | Allison Transmission Holdings, Inc. (Machinery) | 52,266 | ||||||
2,376 | Alphabet, Inc. Class A* (Interactive Media & Services) | 5,422,483 | ||||||
732 | Alphabet, Inc. Class C* (Interactive Media & Services) | 1,683,110 | ||||||
1,238 | Altra Industrial Motion Corp. (Machinery) | 48,282 | ||||||
2,471 | Amazon.com, Inc.* (Internet & Direct Marketing Retail) | 6,141,992 | ||||||
1,336 | American Eagle Outfitters, Inc. (Specialty Retail) | 20,187 | ||||||
46,457 | American International Group, Inc. (Insurance) | 2,718,199 | ||||||
6,287 | Ameris Bancorp (Banks) | 262,168 | ||||||
2,471 | AMERISAFE, Inc. (Insurance) | 114,531 | ||||||
5,625 | Amphenol Corp. Class A (Electronic Equipment, Instruments & Components) | 402,187 | ||||||
12,439 | Aon PLC Class A (Insurance) | 3,582,308 | ||||||
10,218 | Apple, Inc. (Technology Hardware, Storage & Peripherals) | 1,610,868 | ||||||
9,006 | Applied Materials, Inc. (Semiconductors & Semiconductor Equipment) | 993,812 | ||||||
|
|
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 States – (continued) | ||||||||
26,814 | AppLovin Corp. Class A* (Software) | $ | 1,022,954 | |||||
6,544 | Archer-Daniels-Midland Co. (Food Products) | 586,081 | ||||||
1,765 | Ares Commercial Real Estate Corp. (Mortgage Real Estate Investment Trusts (REITs)) | 26,599 | ||||||
23,700 | Argonaut Gold, Inc.* (Metals & Mining) | 39,665 | ||||||
1,692 | Artisan Partners Asset Management, Inc. Class A (Capital Markets) | 54,381 | ||||||
6,266 | Artivion, Inc.* (Health Care Equipment & Supplies) | 127,137 | ||||||
1,285 | ASGN, Inc.* (Professional Services) | 145,783 | ||||||
2,524 | Assured Guaranty Ltd. (Insurance) | 139,199 | ||||||
2,814 | Atlassian Corp. PLC Class A* (Software) | 632,672 | ||||||
3,433 | AtriCure, Inc.* (Health Care Equipment & Supplies) | 178,276 | ||||||
9,963 | Avantor, Inc.* (Life Sciences Tools & Services) | 317,620 | ||||||
6,996 | Avient Corp. (Chemicals) | 344,483 | ||||||
1,490 | Avnet, Inc. (Electronic Equipment, Instruments & Components) | 65,053 | ||||||
2,468 | Axis Capital Holdings Ltd. (Insurance) | 141,490 | ||||||
2,394 | Azenta, Inc. (Life Sciences Tools & Services) | 179,454 | ||||||
1,164 | Balchem Corp. (Chemicals) | 143,405 | ||||||
50,497 | Bank of America Corp. (Banks) | 1,801,733 | ||||||
2,166 | BankUnited, Inc. (Banks) | 81,312 | ||||||
5,315 | Becton Dickinson & Co. (Health Care Equipment & Supplies) | 1,313,815 | ||||||
2,433 | Belden, Inc. (Electronic Equipment, Instruments & Components) | 125,616 | ||||||
17,356 | Berkshire Hathaway, Inc. Class B* (Diversified Financial Services) | 5,603,037 | ||||||
3,241 | Blackstone Mortgage Trust, Inc. Class A (Mortgage Real Estate Investment Trusts (REITs)) | 97,360 | ||||||
1,086 | Block, Inc.* (IT Services) | 108,100 | ||||||
580 | Booking Holdings, Inc.* (Hotels, Restaurants & Leisure) | 1,281,980 | ||||||
1,623 | Boot Barn Holdings, Inc.* (Specialty Retail) | 146,167 | ||||||
18,265 | BorgWarner, Inc. (Auto Components) | 672,700 | ||||||
2,202 | Bright Health Group, Inc.* (Insurance) | 3,964 | ||||||
3,507 | BrightView Holdings, Inc.* (Commercial Services & Supplies) | 44,399 | ||||||
2,000 | BRP, Inc. (Leisure Products) | 162,021 | ||||||
733 | BWX Technologies, Inc. (Aerospace & Defense) | 38,057 | ||||||
571 | Cabot Corp. (Chemicals) | 37,600 | ||||||
1,577 | Cactus, Inc. Class A (Energy Equipment & Services) | 78,740 | ||||||
6,710 | Callaway Golf Co.* (Leisure Products) | 147,217 | ||||||
18,727 | Carrier Global Corp. (Building Products) | 716,682 | ||||||
904 | Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 76,153 | ||||||
1,948 | Carvana Co.* (Specialty Retail) | 112,906 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
2,177 | Castle Biosciences, Inc.* (Health Care Providers & Services) | 48,634 | ||||||
13,519 | Caterpillar, Inc. (Machinery) | 2,846,290 | ||||||
5,489 | Cathay General Bancorp (Banks) | 220,054 | ||||||
5,131 | Central Garden & Pet Co. Class A* (Household Products) | 212,321 | ||||||
2,256 | Cerence, Inc.* (Software) | 66,552 | ||||||
6,361 | ChampionX Corp. (Energy Equipment & Services) | 134,217 | ||||||
10,549 | Change Healthcare, Inc.* (Health Care Technology) | 248,534 | ||||||
5,158 | ChemoCentryx, Inc.* (Biotechnology) | 95,217 | ||||||
200 | Chipotle Mexican Grill, Inc.* (Hotels, Restaurants & Leisure) | 291,122 | ||||||
1,082 | Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 219,581 | ||||||
3,297 | Chuy’s Holdings, Inc.* (Hotels, Restaurants & Leisure) | 82,458 | ||||||
3,367 | Cigna Corp. (Health Care Providers & Services) | 830,908 | ||||||
33,825 | Cogent Communications Holdings, Inc. (Diversified Telecommunication Services) | 1,978,762 | ||||||
11,156 | Cognizant Technology Solutions Corp. Class A (IT Services) | 902,520 | ||||||
2,713 | Cohen & Steers, Inc. (Capital Markets) | 210,773 | ||||||
1,006 | Columbia Banking System, Inc. (Banks) | 28,248 | ||||||
17,055 | Comcast Corp. Class A (Media) | 678,107 | ||||||
5,528 | CommScope Holding Co., Inc.* (Communications Equipment) | 33,334 | ||||||
541 | Concentrix Corp. (IT Services) | 85,197 | ||||||
23,837 | ConocoPhillips (Oil, Gas & Consumable Fuels) | 2,276,910 | ||||||
6,999 | Constellium SE* (Metals & Mining) | 116,813 | ||||||
16,361 | CoStar Group, Inc.* (Professional Services) | 1,040,887 | ||||||
3,238 | Cousins Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 116,244 | ||||||
7,750 | Covetrus, Inc.* (Health Care Providers & Services) | 106,950 | ||||||
3,391 | CryoPort, Inc.* (Health Care Equipment & Supplies) | 76,501 | ||||||
978 | Curtiss-Wright Corp. (Aerospace & Defense) | 139,766 | ||||||
771 | CyberArk Software Ltd.* (Software) | 121,155 | ||||||
13,460 | Danaher Corp. (Life Sciences Tools & Services) | 3,380,210 | ||||||
2,438 | Deere & Co. (Machinery) | 920,467 | ||||||
3,580 | Delek U.S. Holdings, Inc.* (Oil, Gas & Consumable Fuels) | 86,636 | ||||||
9,867 | Dollar General Corp. (Multiline Retail) | 2,343,709 | ||||||
10,019 | Dominion Energy, Inc. (Multi-Utilities) | 817,951 | ||||||
1,243 | DoorDash, Inc. Class A* (Internet & Direct Marketing Retail) | 101,217 | ||||||
2,956 | Ecovyst, Inc. (Chemicals) | 29,737 | ||||||
563 | EMCOR Group, Inc. (Construction & Engineering) | 59,948 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
944 | Employers Holdings, Inc. (Insurance) | $ | 37,137 | |||||
3,398 | Energizer Holdings, Inc. (Household Products) | 102,925 | ||||||
1,015 | EnerSys (Electrical Equipment) | 66,442 | ||||||
8,530 | Entegris, Inc. (Semiconductors & Semiconductor Equipment) | 950,157 | ||||||
3,150 | Envista Holdings Corp.* (Health Care Equipment & Supplies) | 124,803 | ||||||
1,036 | EPAM Systems, Inc.* (IT Services) | 274,530 | ||||||
1,380 | Essent Group Ltd. (Thrifts & Mortgage Finance) | 55,931 | ||||||
1,257 | Evercore, Inc. Class A (Capital Markets) | 132,928 | ||||||
677 | Federal Agricultural Mortgage Corp. Class C (Thrifts & Mortgage Finance) | 69,345 | ||||||
2,811 | Ferguson PLC (Trading Companies & Distributors) | 352,638 | ||||||
9,526 | Fidelity National Information Services, Inc. (IT Services) | 944,503 | ||||||
494 | First American Financial Corp. (Insurance) | 28,805 | ||||||
2,684 | First Hawaiian, Inc. (Banks) | 63,369 | ||||||
1,507 | First Merchants Corp. (Banks) | 59,059 | ||||||
6,805 | Fiserv, Inc.* (IT Services) | 666,346 | ||||||
744 | Five Below, Inc.* (Specialty Retail) | 116,882 | ||||||
2,586 | Foot Locker, Inc. (Specialty Retail) | 75,796 | ||||||
1,525 | Fortinet, Inc.* (Software) | 440,740 | ||||||
35,001 | Freeport-McMoRan, Inc. (Metals & Mining) | 1,419,291 | ||||||
2,655 | Fresh Del Monte Produce, Inc. (Food Products) | 69,163 | ||||||
1,941 | Frontdoor, Inc.* (Diversified Consumer Services) | 59,996 | ||||||
212 | FTI Consulting, Inc.* (Professional Services) | 33,435 | ||||||
39,175 | General Motors Co.* (Automobiles) | 1,485,124 | ||||||
3,512 | Glacier Bancorp, Inc. (Banks) | 160,709 | ||||||
21,735 | GlaxoSmithKline PLC (Pharmaceuticals) | 489,963 | ||||||
4,244 | Global Payments, Inc. (IT Services) | 581,343 | ||||||
944 | Globant SA* (IT Services) | 203,895 | ||||||
3,984 | Globus Medical, Inc. Class A* (Health Care Equipment & Supplies) | 263,820 | ||||||
4,212 | GrafTech International Ltd. (Electrical Equipment) | 38,245 | ||||||
2,367 | Grand Canyon Education, Inc.* (Diversified Consumer Services) | 227,161 | ||||||
15,283 | Graphic Packaging Holding Co. (Containers & Packaging) | 333,169 | ||||||
2,804 | Gray Television, Inc. (Media) | 51,930 | ||||||
1,182 | H&R Block, Inc. (Diversified Consumer Services) | 30,815 | ||||||
593 | Haemonetics Corp.* (Health Care Equipment & Supplies) | 30,047 | ||||||
7,100 | Halozyme Therapeutics, Inc.* (Biotechnology) | 283,290 | ||||||
60,570 | Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 803,158 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
4,644 | Harley-Davidson, Inc. (Automobiles) | 169,274 | ||||||
3,585 | Harsco Corp.* (Commercial Services & Supplies) | 36,639 | ||||||
1,113 | HashiCorp, Inc. Class A* (Software) | 52,400 | ||||||
341 | HCA Healthcare, Inc. (Health Care Providers & Services) | 73,162 | ||||||
3,500 | HealthEquity, Inc.* (Health Care Providers & Services) | 218,120 | ||||||
4,110 | Heartland Express, Inc. (Road & Rail) | 56,718 | ||||||
6,779 | HEICO Corp. Class A (Aerospace & Defense) | 790,703 | ||||||
621 | Helen of Troy Ltd.* (Household Durables) | 133,211 | ||||||
3,230 | Helios Technologies, Inc. (Machinery) | 216,991 | ||||||
1,104 | Hillenbrand, Inc. (Machinery) | 45,065 | ||||||
4,101 | Honeywell International, Inc. (Industrial Conglomerates) | 793,585 | ||||||
4,746 | Horace Mann Educators Corp. (Insurance) | 189,128 | ||||||
2,700 | Houlihan Lokey, Inc. (Capital Markets) | 224,883 | ||||||
549 | Hub Group, Inc. Class A* (Air Freight & Logistics) | 36,871 | ||||||
3,607 | Humana, Inc. (Health Care Providers & Services) | 1,603,528 | ||||||
1,754 | IAC/InterActiveCorp.* (Interactive Media & Services) | 145,372 | ||||||
2,156 | ICF International, Inc. (Professional Services) | 213,034 | ||||||
798 | ICU Medical, Inc.* (Health Care Equipment & Supplies) | 170,764 | ||||||
1,725 | IDACORP, Inc. (Electric Utilities) | 181,436 | ||||||
2,067 | Independent Bank Corp. (Banks) | 159,490 | ||||||
6,798 | Ingersoll Rand, Inc. (Machinery) | 298,840 | ||||||
899 | Ingevity Corp.* (Chemicals) | 53,850 | ||||||
2,438 | Insight Enterprises, Inc.* (Electronic Equipment, Instruments & Components) | 242,264 | ||||||
915 | Insulet Corp.* (Health Care Equipment & Supplies) | 218,676 | ||||||
3,176 | Integra LifeSciences Holdings Corp.* (Health Care Equipment & Supplies) | 194,244 | ||||||
26,645 | Intercontinental Exchange, Inc. (Capital Markets) | 3,085,757 | ||||||
1,701 | InterDigital, Inc. (Software) | 96,702 | ||||||
2,483 | International Game Technology PLC (Hotels, Restaurants & Leisure) | 54,204 | ||||||
2,307 | Intra-Cellular Therapies, Inc.* (Pharmaceuticals) | 116,757 | ||||||
2,309 | Intuit, Inc. (Software) | 966,894 | ||||||
2,230 | Intuitive Surgical, Inc.* (Health Care Equipment & Supplies) | 533,639 | ||||||
14,535 | Jack Henry & Associates, Inc. (IT Services) | 2,755,545 | ||||||
20,220 | Johnson & Johnson (Pharmaceuticals) | 3,648,901 | ||||||
4,472 | KAR Auction Services, Inc.* (Commercial Services & Supplies) | 65,560 | ||||||
51,856 | KKR & Co., Inc. (Capital Markets) | 2,643,100 | ||||||
|
|
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) | ||||||||
525 | Korn Ferry (Professional Services) | $ | 32,256 | |||||
3,241 | L3Harris Technologies, Inc. (Aerospace & Defense) | 752,755 | ||||||
2,028 | Lam Research Corp. (Semiconductors & Semiconductor Equipment) | 944,561 | ||||||
180 | Landstar System, Inc. (Road & Rail) | 27,882 | ||||||
900 | LCI Industries (Auto Components) | 87,588 | ||||||
1,461 | LHC Group, Inc.* (Health Care Providers & Services) | 242,307 | ||||||
798 | Lithia Motors, Inc. (Specialty Retail) | 225,938 | ||||||
2,117 | Live Nation Entertainment, Inc.* (Entertainment) | 222,031 | ||||||
2,478 | Lululemon Athletica, Inc.* (Textiles, Apparel & Luxury Goods) | 878,773 | ||||||
53,270 | Luminar Technologies, Inc.* (Auto Components) | 658,950 | ||||||
4,843 | MACOM Technology Solutions Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 246,751 | ||||||
12,856 | Magnolia Oil & Gas Corp. Class A (Oil, Gas & Consumable Fuels) | 298,773 | ||||||
259 | MarketAxess Holdings, Inc. (Capital Markets) | 68,275 | ||||||
6,961 | Marsh & McLennan Cos., Inc. (Insurance) | 1,125,594 | ||||||
436 | Masonite International Corp.* (Building Products) | 33,799 | ||||||
5,833 | Mastercard, Inc. Class A (IT Services) | 2,119,596 | ||||||
5,750 | Matador Resources Co. (Oil, Gas & Consumable Fuels) | 280,715 | ||||||
2,653 | Match Group, Inc.* (Interactive Media & Services) | 209,985 | ||||||
414 | MAXIMUS, Inc. (IT Services) | 30,172 | ||||||
24,535 | McCormick & Co., Inc. (Food Products) | 2,467,485 | ||||||
1,487 | Medpace Holdings, Inc.* (Life Sciences Tools & Services) | 198,619 | ||||||
629 | Meritage Homes Corp.* (Household Durables) | 51,924 | ||||||
17,320 | Meta Platforms, Inc. Class A* (Interactive Media & Services) | 3,472,140 | ||||||
442 | Mettler-Toledo International, Inc.* (Life Sciences Tools & Services) | 564,668 | ||||||
30,162 | Microsoft Corp. (Software) | 8,370,558 | ||||||
3,676 | Minerals Technologies, Inc. (Chemicals) | 233,830 | ||||||
19,018 | Mondelez International, Inc. Class A (Food Products) | 1,226,281 | ||||||
796 | MongoDB, Inc.* (IT Services) | 282,524 | ||||||
2,670 | Monolithic Power Systems, Inc. (Semiconductors & Semiconductor Equipment) | 1,047,281 | ||||||
15,230 | Motorola Solutions, Inc. (Communications Equipment) | 3,254,499 | ||||||
832 | Mr Cooper Group, Inc.* (Thrifts & Mortgage Finance) | 37,415 | ||||||
6,577 | Nasdaq, Inc. (Capital Markets) | 1,035,022 | ||||||
2,502 | National Energy Services Reunited Corp.* (Energy Equipment & Services) | 16,738 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
2,280 | National Health Investors, Inc. (Equity Real Estate Investment Trusts (REITs)) | 117,488 | ||||||
5,854 | Navient Corp. (Consumer Finance) | 93,020 | ||||||
2,628 | NCR Corp.* (Software) | 92,059 | ||||||
735 | Nelnet, Inc. Class A (Consumer Finance) | 60,321 | ||||||
1,069 | Netflix, Inc.* (Entertainment) | 203,495 | ||||||
858 | Nexstar Media Group, Inc. Class A (Media) | 135,924 | ||||||
45,970 | NextEra Energy, Inc. (Electric Utilities) | 3,264,789 | ||||||
5,994 | NexTier Oilfield Solutions, Inc.* (Energy Equipment & Services) | 66,114 | ||||||
1,551 | NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 193,410 | ||||||
1,501 | NMI Holdings, Inc. Class A* (Thrifts & Mortgage Finance) | 27,588 | ||||||
3,921 | NorthWestern Corp. (Multi-Utilities) | 222,281 | ||||||
1,730 | Novanta, Inc.* (Electronic Equipment, Instruments & Components) | 222,651 | ||||||
12,466 | NVIDIA Corp. (Semiconductors & Semiconductor Equipment) | 2,312,069 | ||||||
362 | NVR, Inc.* (Household Durables) | 1,584,188 | ||||||
8,335 | OceanFirst Financial Corp. (Banks) | 156,115 | ||||||
382 | Old Dominion Freight Line, Inc. (Road & Rail) | 107,006 | ||||||
2,700 | Open Lending Corp. Class A* (Capital Markets) | 36,828 | ||||||
6,105 | Ortho Clinical Diagnostics Holdings PLC* (Health Care Equipment & Supplies) | 107,509 | ||||||
2,014 | Oxford Industries, Inc. (Textiles, Apparel & Luxury Goods) | 180,454 | ||||||
6,207 | Pacific Premier Bancorp, Inc. (Banks) | 194,652 | ||||||
2,339 | PacWest Bancorp. (Banks) | 76,930 | ||||||
2,553 | Par Pacific Holdings, Inc.* (Oil, Gas & Consumable Fuels) | 37,453 | ||||||
1,900 | Parade Technologies Ltd. (Semiconductors & Semiconductor Equipment) | 90,358 | ||||||
4,549 | Parker-Hannifin Corp. (Machinery) | 1,231,960 | ||||||
1,761 | Patrick Industries, Inc. (Auto Components) | 109,622 | ||||||
4,500 | Patterson-UTI Energy, Inc. (Energy Equipment & Services) | 73,980 | ||||||
5,450 | Paycor HCM, Inc.* (Software) | 134,234 | ||||||
974 | Paylocity Holding Corp.* (Software) | 184,700 | ||||||
1,851 | PayPal Holdings, Inc.* (IT Services) | 162,758 | ||||||
1,194 | PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 83,270 | ||||||
9,973 | Peloton Interactive, Inc. Class A* (Leisure Products) | 175,126 | ||||||
961 | PennyMac Financial Services, Inc. (Thrifts & Mortgage Finance) | 46,666 | ||||||
9,763 | PepsiCo, Inc. (Beverages) | 1,676,405 | ||||||
6,784 | Performance Food Group Co.* (Food & Staples Retailing) | 334,112 | ||||||
3,054 | PetIQ, Inc.* (Health Care Providers & Services) | 60,775 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
28,843 | Pfizer, Inc. (Pharmaceuticals) | $ | 1,415,326 | |||||
6,411 | Phreesia, Inc.* (Health Care Technology) | 146,684 | ||||||
1,480 | PRA Group, Inc.* (Consumer Finance) | 62,204 | ||||||
561 | Preferred Bank (Banks) | 37,654 | ||||||
7,545 | Primoris Services Corp. (Construction & Engineering) | 174,893 | ||||||
2,707 | ProAssurance Corp. (Insurance) | 66,511 | ||||||
3,950 | Progyny, Inc.* (Health Care Providers & Services) | 151,878 | ||||||
6,400 | QIAGEN NV* (Life Sciences Tools & Services) | 295,149 | ||||||
9,007 | Qorvo, Inc.* (Semiconductors & Semiconductor Equipment) | 1,024,816 | ||||||
1,831 | R1 RCM, Inc.* (Health Care Providers & Services) | 41,234 | ||||||
1,605 | Rackspace Technology, Inc.* (IT Services) | 15,873 | ||||||
2,800 | Rapid7, Inc.* (Software) | 267,456 | ||||||
1,420 | RBC Bearings, Inc.* (Machinery) | 239,057 | ||||||
4,368 | Realogy Holdings Corp.* (Real Estate Management & Development) | 47,873 | ||||||
6,063 | Resideo Technologies, Inc.* (Building Products) | 136,357 | ||||||
3,326 | ResMed, Inc. (Health Care Equipment & Supplies) | 665,100 | ||||||
1,741 | Revolve Group, Inc.* (Internet & Direct Marketing Retail) | 73,575 | ||||||
1,751 | Rivian Automotive, Inc. Class A* (Automobiles) | 52,950 | ||||||
5,365 | Ross Stores, Inc. (Specialty Retail) | 535,266 | ||||||
2,592 | Ryman Hospitality Properties, Inc.* (Equity Real Estate Investment Trusts (REITs)) | 242,300 | ||||||
7,610 | Saia, Inc.* (Road & Rail) | 1,567,356 | ||||||
8,840 | Salesforce, Inc.* (Software) | 1,555,310 | ||||||
3,798 | Sally Beauty Holdings, Inc.* (Specialty Retail) | 57,426 | ||||||
1,746 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | 606,054 | ||||||
11,132 | Schneider Electric SE (Electrical Equipment) | 1,597,098 | ||||||
2,432 | Schweitzer-Mauduit International, Inc. (Chemicals) | 61,189 | ||||||
1,430 | Science Applications International Corp. (Professional Services) | 119,019 | ||||||
7,697 | Seacoast Banking Corp. of Florida (Banks) | 250,152 | ||||||
4,736 | SentinelOne, Inc. Class A* (Software) | 157,567 | ||||||
966 | ServiceNow, Inc.* (Software) | 461,845 | ||||||
2,491 | Silgan Holdings, Inc. (Containers & Packaging) | 110,526 | ||||||
1,348 | Silicon Laboratories, Inc.* (Semiconductors & Semiconductor Equipment) | 181,859 | ||||||
1,538 | Skechers USA, Inc.* (Textiles, Apparel & Luxury Goods) | 58,905 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
4,416 | Skyline Champion Corp.* (Household Durables) | 225,393 | ||||||
8,090 | Skyworks Solutions, Inc. (Semiconductors & Semiconductor Equipment) | 916,597 | ||||||
13,760 | SLM Corp. (Consumer Finance) | 230,205 | ||||||
2,618 | SMART Global Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 59,324 | ||||||
10,675 | Snap, Inc. Class A* (Interactive Media & Services) | 303,810 | ||||||
616 | Snowflake, Inc. Class A* (IT Services) | 105,607 | ||||||
436 | SouthState Corp. (Banks) | 33,764 | ||||||
1,125 | Spectrum Brands Holdings, Inc. (Household Products) | 95,704 | ||||||
852 | Spirit Realty Capital, Inc. (Equity Real Estate Investment Trusts (REITs)) | 37,019 | ||||||
7,690 | Splunk, Inc.* (Software) | 938,334 | ||||||
2,325 | Spotify Technology SA* (Entertainment) | 236,336 | ||||||
5,161 | SPX Corp.* (Machinery) | 216,246 | ||||||
13,620 | SS&C Technologies Holdings, Inc. (IT Services) | 880,669 | ||||||
7,901 | STAG Industrial, Inc. (Equity Real Estate Investment Trusts (REITs)) | 294,865 | ||||||
620 | Standard Motor Products, Inc. (Auto Components) | 26,462 | ||||||
3,891 | Starwood Property Trust, Inc. (Mortgage Real Estate Investment Trusts (REITs)) | 89,026 | ||||||
2,978 | Steelcase, Inc. Class A (Commercial Services & Supplies) | 34,932 | ||||||
2,720 | Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | 111,683 | ||||||
3,672 | Stifel Financial Corp. (Capital Markets) | 227,113 | ||||||
4,799 | Stride, Inc.* (Diversified Consumer Services) | 188,601 | ||||||
2,674 | Stryker Corp. (Health Care Equipment & Supplies) | 645,129 | ||||||
7,872 | Supernus Pharmaceuticals, Inc.* (Pharmaceuticals) | 219,629 | ||||||
1,731 | SVB Financial Group* (Banks) | 844,105 | ||||||
4,532 | Syneos Health, Inc.* (Life Sciences Tools & Services) | 331,244 | ||||||
1,155 | Synopsys, Inc.* (Software) | 331,242 | ||||||
2,469 | Synovus Financial Corp. (Banks) | 102,562 | ||||||
812 | TD SYNNEX Corp. (Electronic Equipment, Instruments & Components) | 81,273 | ||||||
3,631 | TEGNA, Inc. (Media) | 80,064 | ||||||
2,633 | Tempur Sealy International, Inc. (Household Durables) | 71,381 | ||||||
4,836 | Terex Corp. (Machinery) | 164,424 | ||||||
325 | Tesla, Inc.* (Automobiles) | 282,997 | ||||||
8,301 | Texas Instruments, Inc. (Semiconductors & Semiconductor Equipment) | 1,413,245 | ||||||
3,869 | Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 318,535 | ||||||
|
|
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) | ||||||||
1,290 | The Brink’s Co. (Commercial Services & Supplies) | $ | 76,046 | |||||
25,788 | The Carlyle Group, Inc. (Capital Markets) | 935,847 | ||||||
21,530 | The Clorox Co. (Household Products) | 3,088,909 | ||||||
992 | The Hanover Insurance Group, Inc. (Insurance) | 145,645 | ||||||
13,217 | The Hartford Financial Services Group, Inc. (Insurance) | 924,265 | ||||||
4,113 | The Home Depot, Inc. (Specialty Retail) | 1,235,545 | ||||||
10,350 | The Sherwin-Williams Co. (Chemicals) | 2,845,836 | ||||||
5,119 | The Shyft Group, Inc. (Machinery) | 130,381 | ||||||
2,304 | The Trade Desk, Inc. Class A* (Software) | 135,752 | ||||||
13,004 | The Walt Disney Co.* (Entertainment) | 1,451,637 | ||||||
269 | Thor Industries, Inc. (Automobiles) | 20,592 | ||||||
9,270 | Thoughtworks Holding, Inc.* (IT Services) | 171,588 | ||||||
699 | Toll Brothers, Inc. (Household Durables) | 32,413 | ||||||
2,473 | TransDigm Group, Inc.* (Aerospace & Defense) | 1,470,965 | ||||||
1,943 | Travel + Leisure Co. (Hotels, Restaurants & Leisure) | 107,798 | ||||||
31,009 | Truist Financial Corp. (Banks) | 1,499,285 | ||||||
1,290 | TTEC Holdings, Inc. (IT Services) | 95,215 | ||||||
939 | Turning Point Brands, Inc. (Tobacco) | 29,475 | ||||||
2,975 | UFP Industries, Inc. (Building Products) | 230,176 | ||||||
1,778 | Ultra Clean Holdings, Inc.* (Semiconductors & Semiconductor Equipment) | 55,420 | ||||||
3,646 | Umpqua Holdings Corp. (Banks) | 60,305 | ||||||
14,770 | Union Pacific Corp. (Road & Rail) | 3,460,463 | ||||||
4,202 | Unisys Corp.* (IT Services) | 59,710 | ||||||
2,067 | UnitedHealth Group, Inc. (Health Care Providers & Services) | 1,051,173 | ||||||
1,332 | Universal Corp. (Tobacco) | 77,056 | ||||||
13,048 | Upstart Holdings, Inc.* (Consumer Finance) | 978,861 | ||||||
6,589 | Valley National Bancorp (Banks) | 78,936 | ||||||
5,948 | Valvoline, Inc. (Chemicals) | 179,808 | ||||||
3,578 | Veracyte, Inc.* (Biotechnology) | 73,242 | ||||||
3,350 | Veritex Holdings, Inc. (Banks) | 110,048 | ||||||
13,804 | Verizon Communications, Inc. (Diversified Telecommunication Services) | 639,125 | ||||||
15,925 | Vertex Pharmaceuticals, Inc.* (Biotechnology) | 4,351,028 | ||||||
23,164 | VF Corp. (Textiles, Apparel & Luxury Goods) | 1,204,528 | ||||||
518 | Viad Corp.* (Commercial Services & Supplies) | 16,965 | ||||||
14,650 | Viavi Solutions, Inc.* (Communications Equipment) | 210,081 | ||||||
1,293 | Victoria’s Secret & Co.* (Specialty Retail) | 60,926 | ||||||
3,704 | Viper Energy Partners LP (Oil, Gas & Consumable Fuels) | 106,416 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
11,773 | Visa, Inc. Class A (IT Services) | 2,509,179 | ||||||
2,336 | Wabash National Corp. (Machinery) | 33,428 | ||||||
945 | Walker & Dunlop, Inc. (Thrifts & Mortgage Finance) | 113,173 | ||||||
5,052 | Waste Management, Inc. (Commercial Services & Supplies) | 830,751 | ||||||
10,012 | Wayfair, Inc. Class A* (Internet & Direct Marketing Retail) | 770,323 | ||||||
15,073 | Wells Fargo & Co. (Banks) | 657,635 | ||||||
746 | Werner Enterprises, Inc. (Road & Rail) | 29,564 | ||||||
2,122 | WESCO International, Inc.* (Trading Companies & Distributors) | 261,558 | ||||||
22,537 | Weyerhaeuser Co. (Equity Real Estate Investment Trusts (REITs)) | 928,975 | ||||||
112 | White Mountains Insurance Group Ltd. (Insurance) | 117,378 | ||||||
715 | Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | 52,231 | ||||||
435 | Wintrust Financial Corp. (Banks) | 37,984 | ||||||
4,712 | Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 93,392 | ||||||
5,315 | World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 128,729 | ||||||
1,967 | Yelp, Inc.* (Interactive Media & Services) | 63,987 | ||||||
88,723 | Zynga, Inc. Class A* (Entertainment) | 733,739 | ||||||
|
| |||||||
198,954,007 | ||||||||
|
| |||||||
Uruguay* – 0.0% | ||||||||
1,500 | Dlocal Ltd. (IT Services) | 34,005 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $341,922,265) | $ | 364,782,795 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 0.3% | ||||||||
Brazil – 0.1% | ||||||||
Gerdau SA (Metals & Mining) | ||||||||
2,200 | 0.000% | $ | 12,447 | |||||
Itausa SA (Banks) | ||||||||
12,565 | 0.000 | 23,407 | ||||||
Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) | ||||||||
78,300 | 2.861 | 479,561 | ||||||
| Usinas Siderurgicas de Minas Gerais SA Class A (Metals & | | ||||||
8,800 | 0.629 | 20,131 | ||||||
|
| |||||||
535,546 | ||||||||
|
| |||||||
Germany – 0.2% | ||||||||
Volkswagen AG (Automobiles) | ||||||||
3,486 | 0.000 | 539,864 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS – 0.3% | ||||||||
(Cost $1,060,938) | $ | 1,075,410 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Expiration Date | Value | |||||||||
Right – 0.0% | ||||||||||||
China – 0.0% | ||||||||||||
Orient Securities Co. Ltd. | ||||||||||||
25,116 | 05/20/22 | $ | — | |||||||||
(Cost $0) | ||||||||||||
|
| |||||||||||
Units | Description | Expiration | Value | |||||||||
Warrant – 0.0% | ||||||||||||
Thailand – 0.0% | ||||||||||||
Ttb W1 | ||||||||||||
14,045 | 04/21/2023 | $ | 140 | |||||||||
(Cost $0) | ||||||||||||
|
|
Shares | Description | Value | ||||||
Exchange Traded Funds – 0.4% | ||||||||
10,800 | iShares Core MSCI Emerging Markets ETF | $ | 564,300 | |||||
21,265 | iShares MSCI Saudi Arabia ETF | 1,077,498 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $1,590,691) | $ | 1,641,798 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Companies(c) – 6.7% | ||||||||
Goldman Sachs Financial Square Government Fund – Class R6 | ||||||||
13,975,634 | 0.317% | $ | 13,975,634 | |||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
12,176,276 | 0.317 | 12,176,276 | ||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES – 6.7% | ||||||||
(Cost $26,151,910) | $ | 26,151,910 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.1% | ||||||||
(Cost $370,725,804) | $ | 393,652,053 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (1.1)% | (4,281,516 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 389,370,537 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(c) | 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 | |
CNH | —Chinese Yuan Renminbi Offshore | |
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 | |
BP | —British Pound Offered Rate | |
ETF | —Exchange Traded Fund | |
GDR | —Global Depository Receipt | |
LP | —Limited Partnership | |
MTN | —Medium Term Note | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
Sector Allocation as of April 30, 2022
Sector | % of Total Market Value | |||
Information Technology | 18.1 | % | ||
Financials | 15.6 | |||
Health Care | 12.4 | |||
Industrials | 11.5 | |||
Consumer Discretionary | 10.6 | |||
Investment Companies | 6.7 | |||
Consumer Staples | 6.1 | |||
Communication Services | 5.9 | |||
Materials | 5.7 | |||
Energy | 3.6 | |||
Utilities | 2.3 | |||
Real Estate | 1.5 | |||
Total Investments | 100.0 | % | ||
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER GLOBAL EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2022, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
BNP Paribas SA | USD | 3,730,618 | AUD | 4,980,000 | 05/03/22 | $ | 211,845 | |||||||||||||
USD | 3,582,801 | AUD | 4,980,000 | 06/02/22 | 62,090 | |||||||||||||||
USD | 5,107,384 | CHF | 4,770,000 | 05/03/22 | 203,131 | |||||||||||||||
USD | 4,990,730 | CHF | 4,770,000 | 06/02/22 | 79,360 | |||||||||||||||
USD | 1,245,029 | DKK | 8,440,000 | 05/03/22 | 47,949 | |||||||||||||||
USD | 1,213,288 | DKK | 8,440,000 | 06/02/22 | 14,666 | |||||||||||||||
USD | 16,406,913 | EUR | 14,950,000 | 05/03/22 | 633,581 | |||||||||||||||
USD | 15,987,515 | EUR | 14,950,000 | 06/02/22 | 193,564 | |||||||||||||||
USD | 7,425,763 | GBP | 5,670,000 | 05/03/22 | 296,063 | |||||||||||||||
USD | 7,190,070 | GBP | 5,670,000 | 06/06/22 | 60,221 | |||||||||||||||
USD | 1,387,446 | HKD | 10,860,000 | 05/03/22 | 3,400 | |||||||||||||||
USD | 211,295 | ILS | 680,000 | 05/03/22 | 7,609 | |||||||||||||||
USD | 207,014 | ILS | 680,000 | 06/02/22 | 2,991 | |||||||||||||||
USD | 10,472,220 | JPY | 1,295,000,000 | 05/06/22 | 491,532 | |||||||||||||||
USD | 361,490 | NOK | 3,150,000 | 05/03/22 | 25,647 | |||||||||||||||
USD | 343,007 | NOK | 3,150,000 | 06/02/22 | 7,147 | |||||||||||||||
USD | 103,458 | NZD | 150,000 | 05/03/22 | 6,617 | |||||||||||||||
USD | 99,258 | NZD | 150,000 | 06/02/22 | 2,416 | |||||||||||||||
USD | 1,857,340 | SEK | 17,700,000 | 05/03/22 | 54,679 | |||||||||||||||
USD | 1,818,954 | SEK | 17,700,000 | 06/02/22 | 14,922 | |||||||||||||||
USD | 558,481 | SGD | 760,000 | 05/04/22 | 8,941 | |||||||||||||||
USD | 550,761 | SGD | 760,000 | 06/02/22 | 1,250 | |||||||||||||||
JPMorgan Securities, Inc. | USD | 1,333,434 | AUD | 1,780,000 | 05/03/22 | 75,720 | ||||||||||||||
USD | 1,280,600 | AUD | 1,780,000 | 06/02/22 | 22,193 | |||||||||||||||
USD | 1,809,806 | CHF | 1,690,000 | 05/03/22 | 72,240 | |||||||||||||||
USD | 1,768,204 | CHF | 1,690,000 | 06/02/22 | 28,117 | |||||||||||||||
USD | 454,127 | DKK | 3,080,000 | 05/03/22 | 17,278 | |||||||||||||||
USD | 442,764 | DKK | 3,080,000 | 06/02/22 | 5,352 | |||||||||||||||
USD | 5,695,778 | EUR | 5,190,000 | 05/03/22 | 219,952 | |||||||||||||||
USD | 5,550,181 | EUR | 5,190,000 | 06/02/22 | 67,197 | |||||||||||||||
USD | 2,521,092 | GBP | 1,925,000 | 05/03/22 | 100,515 | |||||||||||||||
USD | 2,441,073 | GBP | 1,925,000 | 06/06/22 | 20,445 | |||||||||||||||
USD | 567,243 | HKD | 4,440,000 | 05/03/22 | 1,390 | |||||||||||||||
USD | 62,146 | ILS | 200,000 | 05/03/22 | 2,238 | |||||||||||||||
USD | 60,886 | ILS | 200,000 | 06/02/22 | 880 | |||||||||||||||
USD | 3,849,249 | JPY | 476,000,000 | 05/06/22 | 180,671 | |||||||||||||||
USD | 120,505 | NOK | 1,050,000 | 05/03/22 | 8,557 | |||||||||||||||
USD | 114,336 | NOK | 1,050,000 | 06/02/22 | 2,382 | |||||||||||||||
USD | 41,383 | NZD | 60,000 | 05/03/22 | 2,647 | |||||||||||||||
USD | 39,703 | NZD | 60,000 | 06/02/22 | 966 | |||||||||||||||
USD | 645,347 | SEK | 6,150,000 | 05/03/22 | 18,999 | |||||||||||||||
USD | 632,009 | SEK | 6,150,000 | 06/02/22 | 5,185 | |||||||||||||||
USD | 191,059 | SGD | 260,000 | 05/04/22 | 3,059 | |||||||||||||||
USD | 188,418 | SGD | 260,000 | 06/02/22 | 428 | |||||||||||||||
State Street Bank and Trust | GBP | 1,368 | USD | 1,703 | 05/03/22 | 17 | ||||||||||||||
JPY | 688,653 | USD | 5,260 | 05/06/22 | 48 | |||||||||||||||
SGD | 19,188 | USD | 13,832 | 05/04/22 | 42 | |||||||||||||||
USD | 8,815 | GBP | 6,992 | 05/04/22 | 23 | |||||||||||||||
USD | 9,779 | IDR | 141,635,452 | 05/09/22 | 46 | |||||||||||||||
USD | 26,610 | JPY | 3,409,134 | 05/02/22 | 338 | |||||||||||||||
USD | 27,418 | SGD | 37,860 | 05/05/22 | 42 | |||||||||||||||
TOTAL | $ | 3,286,588 |
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, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
BNP Paribas SA | AUD | 4,980,000 | USD | 3,580,964 | 05/03/22 | $ | (62,191 | ) | ||||||||||||
CHF | 4,770,000 | USD | 4,983,691 | 05/03/22 | (79,438 | ) | ||||||||||||||
DKK | 8,440,000 | USD | 1,211,771 | 05/03/22 | (14,691 | ) | ||||||||||||||
EUR | 14,950,000 | USD | 15,967,153 | 05/03/22 | (193,821 | ) | ||||||||||||||
GBP | 5,670,000 | USD | 7,190,234 | 05/03/22 | (60,534 | ) | ||||||||||||||
HKD | 10,860,000 | USD | 1,384,232 | 05/03/22 | (187 | ) | ||||||||||||||
ILS | 680,000 | USD | 206,770 | 05/03/22 | (3,084 | ) | ||||||||||||||
NOK | 3,150,000 | USD | 342,994 | 05/03/22 | (7,151 | ) | ||||||||||||||
NZD | 150,000 | USD | 99,287 | 05/03/22 | (2,446 | ) | ||||||||||||||
SEK | 17,700,000 | USD | 1,817,494 | 05/03/22 | (14,833 | ) | ||||||||||||||
SGD | 760,000 | USD | 550,811 | 05/04/22 | (1,271 | ) | ||||||||||||||
USD | 1,384,966 | HKD | 10,860,000 | 06/02/22 | (28 | ) | ||||||||||||||
USD | 9,947,872 | JPY | 1,295,000,000 | 06/02/22 | (41,686 | ) | ||||||||||||||
Brown Brothers Harriman & Co. | HKD | 144,328 | USD | 18,396 | 05/03/22 | (2 | ) | |||||||||||||
USD | 3,067 | GBP | 2,463 | 05/03/22 | (30 | ) | ||||||||||||||
USD | 51,140 | HKD | 401,278 | 05/04/22 | (2 | ) | ||||||||||||||
JPMorgan Securities, Inc. | AUD | 1,780,000 | USD | 1,279,943 | 05/03/22 | (22,229 | ) | |||||||||||||
CHF | 1,690,000 | USD | 1,765,710 | 05/03/22 | (28,145 | ) | ||||||||||||||
DKK | 3,080,000 | USD | 442,210 | 05/03/22 | (5,361 | ) | ||||||||||||||
EUR | 5,190,000 | USD | 5,543,112 | 05/03/22 | (67,286 | ) | ||||||||||||||
GBP | 1,925,000 | USD | 2,441,129 | 05/03/22 | (20,552 | ) | ||||||||||||||
HKD | 4,440,000 | USD | 565,929 | 05/03/22 | (76 | ) | ||||||||||||||
ILS | 200,000 | USD | 60,815 | 05/03/22 | (907 | ) | ||||||||||||||
NOK | 1,050,000 | USD | 114,331 | 05/03/22 | (2,384 | ) | ||||||||||||||
NZD | 60,000 | USD | 39,715 | 05/03/22 | (978 | ) | ||||||||||||||
SEK | 6,150,000 | USD | 631,502 | 05/03/22 | (5,154 | ) | ||||||||||||||
SGD | 260,000 | USD | 188,435 | 05/04/22 | (435 | ) | ||||||||||||||
USD | 566,229 | HKD | 4,440,000 | 06/02/22 | (11 | ) | ||||||||||||||
USD | 3,656,515 | JPY | 476,000,000 | 06/02/22 | (15,323 | ) | ||||||||||||||
State Street Bank and Trust | CNH | 262,000 | USD | 39,639 | 05/05/22 | (221 | ) | |||||||||||||
IDR | 289,196,418 | USD | 20,024 | 05/09/22 | (152 | ) | ||||||||||||||
JPY | 903,178 | USD | 7,050 | 05/02/22 | (90 | ) | ||||||||||||||
USD | 16,268 | JPY | 2,129,953 | 05/06/22 | (148 | ) | ||||||||||||||
TOTAL | $ | (650,847 | ) |
FUTURES CONTRACTS — At April 30, 2022, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 101 | 06/17/22 | �� | $ | 20,843,875 | $ | (309,294 | ) | ||||||||
S&P Toronto Stock Exchange 60 Index | 57 | 06/16/22 | 14,272,800 | (394,082 | ) | |||||||||||
TOTAL FUTURES CONTRACTS | $ | (703,376 | ) |
28 | 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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – 32.2% | ||||||||||||||
Sovereign – 32.2% | ||||||||||||||
Abu Dhabi Government International Bond | ||||||||||||||
$ | 1,153,000 | 1.625 | % | 06/02/28 | $ | 1,042,600 | ||||||||
990,000 | 1.700 | 03/02/31 | 849,729 | |||||||||||
1,851,000 | 2.500 | 04/16/25 | 1,807,386 | |||||||||||
454,000 | 3.000 | (a) | 09/15/51 | 365,555 | ||||||||||
Agricultural Development Bank of China | ||||||||||||||
CNY | 32,150,000 | 2.250 | 04/22/25 | 4,774,682 | ||||||||||
Bahrain Government International Bonds | ||||||||||||||
$ | 766,000 | 4.250 | 01/25/28 | 713,960 | ||||||||||
4,022,000 | 5.450 | 09/16/32 | 3,604,215 | |||||||||||
Bonos de la Tesoreria de la Republica en Pesos | ||||||||||||||
CLP | 1,158,353,640 | 1.500 | 03/01/26 | 1,350,645 | ||||||||||
64,352,980 | 2.000 | 03/01/35 | 74,283 | |||||||||||
240,000,000 | 2.500 | 03/01/25 | 249,253 | |||||||||||
610,000,000 | 5.000 | (a) | 10/01/28 | 651,521 | ||||||||||
550,000,000 | 5.000 | 03/01/35 | 561,099 | |||||||||||
605,000,000 | 5.800 | (a) | 06/01/24 | 689,036 | ||||||||||
Brazil Letras do Tesouro Nacional(b) | ||||||||||||||
BRL | 26,322,000 | 0.000 | 01/01/23 | 4,900,918 | ||||||||||
Brazil Notas do Tesouro Nacional | ||||||||||||||
30,728,000 | 10.000 | 01/01/23 | 6,098,384 | |||||||||||
28,543,000 | 10.000 | 01/01/25 | 5,492,443 | |||||||||||
12,710,000 | 10.000 | 01/01/27 | 2,389,477 | |||||||||||
23,140,000 | 10.000 | 01/01/29 | 4,240,038 | |||||||||||
8,375,000 | 10.000 | 01/01/31 | 1,501,291 | |||||||||||
China Development Bank | ||||||||||||||
CNY | 8,870,000 | 4.880 | 02/09/28 | 1,465,140 | ||||||||||
China Government Bond | ||||||||||||||
$ | 1,618,000 | 0.400 | 10/21/23 | 1,564,137 | ||||||||||
1,951,000 | 0.550 | 10/21/25 | 1,799,563 | |||||||||||
1,210,000 | 1.875 | 12/03/22 | 1,204,579 | |||||||||||
CNY | 4,760,000 | 2.850 | 06/04/27 | 721,476 | ||||||||||
13,000,000 | 2.890 | 11/18/31 | 1,960,413 | |||||||||||
$ | 1,387,000 | 3.250 | 10/19/23 | 1,397,444 | ||||||||||
CNY | 46,300,000 | 3.270 | 11/19/30 | 7,184,932 | ||||||||||
19,980,000 | 3.280 | 12/03/27 | 3,097,002 | |||||||||||
Czech Republic Government Bond | ||||||||||||||
CZK | 27,080,000 | 0.950 | 05/15/30 | 898,559 | ||||||||||
67,240,000 | 1.000 | 06/26/26 | 2,475,390 | |||||||||||
17,740,000 | 1.250 | 02/14/25 | 685,017 | |||||||||||
36,070,000 | 1.750 | 06/23/32 | 1,227,153 | |||||||||||
76,130,000 | 2.000 | 10/13/33 | 2,590,900 | |||||||||||
20,360,000 | 2.400 | 09/17/25 | 803,668 | |||||||||||
Dominican Republic International Bond | ||||||||||||||
$ | 1,987,000 | 4.500 | 01/30/30 | 1,707,330 | ||||||||||
2,473,000 | 5.300 | 01/21/41 | 1,951,815 | |||||||||||
711,000 | 5.500 | (a)(c) | 02/22/29 | 662,252 | ||||||||||
1,946,000 | 6.000 | (a)(c) | 02/22/33 | 1,761,495 | ||||||||||
Egypt Treasury Bills(b) | ||||||||||||||
EGP | 8,500,000 | 0.000 | 09/27/22 | 436,254 | ||||||||||
Ethiopia International Bond | ||||||||||||||
$ | 400,000 | 6.625 | 12/11/24 | 275,075 | ||||||||||
Export-Import Bank of India | ||||||||||||||
1,032,000 | 2.250 | 01/13/31 | 835,574 | |||||||||||
580,000 | 3.250 | 01/15/30 | 518,677 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Georgia Government International Bond | ||||||||||||||
329,000 | 2.750 | 04/22/26 | 281,295 | |||||||||||
Hazine Mustesarligi Varlik Kiralama AS(a) | ||||||||||||||
3,056,000 | 7.250 | 02/24/27 | 3,053,708 | |||||||||||
Honduras Government International Bond(c) | ||||||||||||||
409,000 | 5.625 | 06/24/30 | 318,202 | |||||||||||
Hungary Government Bond | ||||||||||||||
HUF | 676,120,000 | 1.000 | 11/26/25 | 1,534,182 | ||||||||||
470,430,000 | 2.500 | 10/24/24 | 1,182,104 | |||||||||||
310,030,000 | 2.750 | 12/22/26 | 716,858 | |||||||||||
278,570,000 | 3.000 | 10/27/27 | 635,568 | |||||||||||
94,750,000 | 3.000 | 10/27/38 | 167,139 | |||||||||||
556,970,000 | 3.250 | 10/22/31 | 1,167,351 | |||||||||||
777,000,000 | 6.000 | 11/24/23 | 2,146,315 | |||||||||||
Hungary Government International Bond | ||||||||||||||
$ | 1,173,000 | 2.125 | (a) | 09/22/31 | 940,819 | |||||||||
1,024,000 | 3.125 | 09/21/51 | 708,352 | |||||||||||
1,627,000 | 3.125 | (a) | 09/21/51 | 1,125,477 | ||||||||||
Indonesia Government International Bond(c) | ||||||||||||||
252,000 | 3.550 | 03/31/32 | 237,853 | |||||||||||
Indonesia Treasury Bond | ||||||||||||||
IDR | 27,650,000,000 | 6.125 | 05/15/28 | 1,850,072 | ||||||||||
35,344,000,000 | 6.500 | 06/15/25 | 2,486,782 | |||||||||||
41,177,000,000 | 6.500 | 02/15/31 | 2,738,127 | |||||||||||
2,559,000,000 | 6.625 | 05/15/33 | 167,693 | |||||||||||
19,585,000,000 | 7.000 | 09/15/30 | 1,347,592 | |||||||||||
45,352,000,000 | 7.500 | 08/15/32 | 3,175,297 | |||||||||||
47,064,000,000 | 7.500 | 06/15/35 | 3,278,929 | |||||||||||
2,287,000,000 | 8.125 | 05/15/24 | 166,039 | |||||||||||
19,821,000,000 | 8.375 | 03/15/24 | 1,439,029 | |||||||||||
34,771,000,000 | 8.375 | 09/15/26 | 2,578,383 | |||||||||||
16,696,000,000 | 8.375 | 03/15/34 | 1,243,821 | |||||||||||
47,919,000,000 | 9.000 | 03/15/29 | 3,685,568 | |||||||||||
Jordan Government International Bonds | ||||||||||||||
$ | 1,537,000 | 7.375 | 10/10/47 | 1,324,990 | ||||||||||
Kapla Holding SAS | ||||||||||||||
EUR | 450,000 | 3.375 | 12/15/26 | 433,170 | ||||||||||
Kuwait International Government Bond | ||||||||||||||
$ | 624,000 | 3.500 | 03/20/27 | 631,137 | ||||||||||
Malaysia Government Bond | ||||||||||||||
MYR | 3,927,000 | 3.480 | 03/15/23 | 909,294 | ||||||||||
11,052,000 | 3.733 | 06/15/28 | 2,462,742 | |||||||||||
5,250,000 | 3.757 | 05/22/40 | 1,030,464 | |||||||||||
9,675,000 | 3.885 | 08/15/29 | 2,132,300 | |||||||||||
20,040,000 | 3.899 | 11/16/27 | 4,542,062 | |||||||||||
7,350,000 | 3.900 | 11/30/26 | 1,685,089 | |||||||||||
10,329,000 | 3.955 | 09/15/25 | 2,386,783 | |||||||||||
6,474,000 | 4.181 | 07/15/24 | 1,506,382 | |||||||||||
Malaysia Government Investment Issue | ||||||||||||||
6,994,000 | 3.465 | 10/15/30 | 1,481,327 | |||||||||||
Mexican Udibonos | ||||||||||||||
MXN | 52,202,461 | 4.500 | 12/04/25 | 2,604,975 | ||||||||||
Mongolia Government International Bond | ||||||||||||||
$ | 943,000 | 3.500 | 07/07/27 | 813,338 | ||||||||||
Morocco Government International Bond | ||||||||||||||
926,000 | 3.000 | 12/15/32 | 731,540 | |||||||||||
682,000 | 4.000 | 12/15/50 | 470,580 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Nigeria Government International Bond(a) | ||||||||||||||
$ | 200,000 | 8.375 | % | 03/24/29 | $ | 185,500 | ||||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||||||||
1,629,000 | 4.325 | 05/28/25 | 1,669,012 | |||||||||||
Republic of Angola | ||||||||||||||
1,593,000 | 8.000 | 11/26/29 | 1,485,472 | |||||||||||
424,000 | 9.125 | 11/26/49 | 374,392 | |||||||||||
Republic of Argentina | ||||||||||||||
5,882,846 | 1.000 | (c) | 07/09/29 | 1,876,628 | ||||||||||
1,974,443 | 2.500 | (c)(d) | 07/09/41 | 658,477 | ||||||||||
803,000 | 8.750 | 04/14/32 | 756,828 | |||||||||||
Republic of Armenia International Bond | ||||||||||||||
231,000 | 3.600 | 02/02/31 | 172,211 | |||||||||||
Republic of Azerbaijan | ||||||||||||||
210,000 | 4.750 | 03/18/24 | 209,514 | |||||||||||
835,000 | 5.125 | 09/01/29 | 812,455 | |||||||||||
882,000 | 5.125 | 09/01/29 | 858,186 | |||||||||||
Republic of Belarus | ||||||||||||||
1,204,000 | 5.875 | 02/24/26 | 144,480 | |||||||||||
Republic of Brazil | ||||||||||||||
1,812,000 | 2.875 | 06/06/25 | 1,733,178 | |||||||||||
4,151,000 | 3.750 | 09/12/31 | 3,580,237 | |||||||||||
Republic of Chile(c) | ||||||||||||||
5,842,000 | 2.550 | 07/27/33 | 4,883,912 | |||||||||||
1,329,000 | 2.750 | 01/31/27 | 1,255,905 | |||||||||||
453,000 | 3.100 | 05/07/41 | 354,473 | |||||||||||
Republic of Colombia | ||||||||||||||
954,000 | 3.250 | (c) | 04/22/32 | 735,534 | ||||||||||
486,000 | 3.875 | (c) | 04/25/27 | 444,022 | ||||||||||
4,091,000 | 4.125 | (c) | 02/22/42 | 2,851,427 | ||||||||||
1,097,000 | 4.500 | (c) | 03/15/29 | 998,133 | ||||||||||
COP | 7,359,100,000 | 6.000 | 04/28/28 | 1,528,352 | ||||||||||
2,073,300,000 | 6.250 | 11/26/25 | 472,053 | |||||||||||
18,475,000,000 | 7.000 | 06/30/32 | 3,721,700 | |||||||||||
15,576,600,000 | 7.500 | 08/26/26 | 3,628,978 | |||||||||||
3,540,000,000 | 7.750 | 09/18/30 | 775,196 | |||||||||||
Republic of Costa Rica | ||||||||||||||
$ | 1,492,000 | 6.125 | 02/19/31 | 1,475,495 | ||||||||||
274,000 | 7.000 | 04/04/44 | 260,009 | |||||||||||
Republic of Ecuador(d) | ||||||||||||||
1,533,159 | 0.500 | 07/31/40 | 829,631 | |||||||||||
4,008,907 | 1.000 | 07/31/35 | 2,505,066 | |||||||||||
Republic of Egypt | ||||||||||||||
200,000 | 5.800 | 09/30/27 | 163,500 | |||||||||||
2,254,000 | 7.300 | (a) | 09/30/33 | 1,687,682 | ||||||||||
1,688,000 | 7.625 | 05/29/32 | 1,314,530 | |||||||||||
2,390,000 | 7.903 | 02/21/48 | 1,631,175 | |||||||||||
EGP | 20,037,000 | 14.060 | 01/12/26 | 1,031,857 | ||||||||||
22,533,000 | 14.483 | 04/06/26 | 1,172,627 | |||||||||||
Republic of El Salvador | ||||||||||||||
$ | 1,603,000 | 5.875 | 01/30/25 | 761,425 | ||||||||||
687,000 | 9.500 | (c) | 07/15/52 | 274,800 | ||||||||||
Republic of Gabon(a)(c) | ||||||||||||||
835,000 | 7.000 | 11/24/31 | 753,588 | |||||||||||
Republic of Ghana | ||||||||||||||
963,000 | 6.375 | 02/11/27 | 645,210 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of Ghana – (continued) | ||||||||||||||
200,000 | 7.750 | 04/07/29 | 125,163 | |||||||||||
307,000 | 7.875 | 02/11/35 | 177,926 | |||||||||||
2,810,000 | 8.625 | 04/07/34 | 1,690,039 | |||||||||||
Republic of Guatemala(c) | ||||||||||||||
323,000 | 4.650 | (a) | 10/07/41 | 276,024 | ||||||||||
1,224,000 | 4.900 | 06/01/30 | 1,200,897 | |||||||||||
825,000 | 5.375 | 04/24/32 | 822,834 | |||||||||||
Republic of Indonesia | ||||||||||||||
1,926,000 | 2.150 | (c) | 07/28/31 | 1,656,572 | ||||||||||
3,225,000 | 2.850 | 02/14/30 | 2,997,839 | |||||||||||
1,534,000 | 3.050 | 03/12/51 | 1,210,111 | |||||||||||
842,000 | 3.500 | 01/11/28 | 821,634 | |||||||||||
607,000 | 4.625 | 04/15/43 | 565,336 | |||||||||||
Republic of Kazakhstan | ||||||||||||||
1,034,000 | 4.875 | 10/14/44 | 977,647 | |||||||||||
Republic of Kenya | ||||||||||||||
1,300,000 | 7.000 | 05/22/27 | 1,153,750 | |||||||||||
686,000 | 8.250 | 02/28/48 | 524,790 | |||||||||||
Republic of Lebanon(e) | ||||||||||||||
5,337,000 | 6.100 | 10/04/22 | 634,769 | |||||||||||
464,000 | 7.000 | 03/20/28 | 48,952 | |||||||||||
Republic of Nigeria | ||||||||||||||
2,854,000 | 7.875 | 02/16/32 | 2,390,225 | |||||||||||
1,790,000 | 7.375 | 09/28/33 | 1,419,470 | |||||||||||
Republic of Oman | ||||||||||||||
1,714,000 | 6.250 | 01/25/31 | 1,739,710 | |||||||||||
3,383,000 | 6.750 | 10/28/27 | 3,573,294 | |||||||||||
Republic of Pakistan | ||||||||||||||
2,070,000 | 7.375 | 04/08/31 | 1,583,778 | |||||||||||
862,000 | 8.875 | 04/08/51 | 616,425 | |||||||||||
Republic of Panama(c) | ||||||||||||||
2,197,000 | 2.252 | 09/29/32 | 1,766,937 | |||||||||||
973,000 | 3.298 | 01/19/33 | 852,835 | |||||||||||
914,000 | 3.750 | 03/16/25 | 910,173 | |||||||||||
1,171,000 | 3.870 | 07/23/60 | 877,006 | |||||||||||
1,293,000 | 4.500 | 01/19/63 | 1,071,251 | |||||||||||
Republic of Paraguay | ||||||||||||||
1,098,000 | 2.739 | 01/29/33 | 890,615 | |||||||||||
Republic of Peru | ||||||||||||||
3,984,000 | 2.783 | (c) | 01/23/31 | 3,444,417 | ||||||||||
2,265,000 | 3.230 | (c)(f) | 07/28/21 | 1,444,362 | ||||||||||
PEN | 4,656,000 | 5.350 | 08/12/40 | 882,614 | ||||||||||
1,730,000 | 5.940 | 02/12/29 | 408,033 | |||||||||||
5,128,000 | 6.150 | 08/12/32 | 1,167,894 | |||||||||||
4,561,000 | 6.350 | 08/12/28 | 1,112,245 | |||||||||||
3,900,000 | 6.900 | 08/12/37 | 901,706 | |||||||||||
3,741,000 | 6.950 | 08/12/31 | 916,259 | |||||||||||
Republic of Philippines | ||||||||||||||
$ | 2,453,000 | 1.648 | 06/10/31 | 2,020,929 | ||||||||||
3,975,000 | 1.950 | 01/06/32 | 3,319,562 | |||||||||||
237,000 | 3.000 | 02/01/28 | 226,657 | |||||||||||
820,000 | 3.200 | 07/06/46 | 636,615 | |||||||||||
Republic of Poland | ||||||||||||||
PLN | 17,970,000 | 1.250 | 10/25/30 | 2,746,426 | ||||||||||
13,657,000 | 2.500 | 04/25/24 | 2,851,823 | |||||||||||
|
|
30 | 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 Poland – (continued) | ||||||||||||||
$ | 18,751,000 | 2.500 | % | 07/25/26 | $ | 3,566,836 | ||||||||
15,682,000 | 2.500 | 07/25/27 | 2,895,367 | |||||||||||
12,010,000 | 2.750 | 10/25/29 | 2,131,396 | |||||||||||
5,973,000 | 4.000 | 10/25/23 | 1,303,090 | |||||||||||
Republic of Qatar | ||||||||||||||
2,774,000 | 3.750 | 04/16/30 | 2,798,272 | |||||||||||
954,000 | 4.400 | 04/16/50 | 963,540 | |||||||||||
Republic of Romania | ||||||||||||||
580,000 | 3.000 | (a) | 02/27/27 | 538,059 | ||||||||||
RON | 5,415,000 | 3.250 | 04/29/24 | 1,089,409 | ||||||||||
8,035,000 | 3.250 | 06/24/26 | 1,498,954 | |||||||||||
$ | 984,000 | 3.625 | (a) | 03/27/32 | 847,040 | |||||||||
RON | 750,000 | 3.650 | 07/28/25 | 146,777 | ||||||||||
1,468,000 | 4.000 | 02/14/51 | 1,105,404 | |||||||||||
3,620,000 | 4.150 | 01/26/28 | 671,470 | |||||||||||
4,345,000 | 4.250 | 06/28/23 | 908,266 | |||||||||||
3,295,000 | 4.750 | 02/24/25 | 670,987 | |||||||||||
5,835,000 | 5.000 | 02/12/29 | 1,106,716 | |||||||||||
6,360,000 | 5.850 | 04/26/23 | 1,356,193 | |||||||||||
Republic of Senegal | ||||||||||||||
$ | 1,018,000 | 6.750 | 03/13/48 | 805,683 | ||||||||||
Republic of Serbia | ||||||||||||||
400,000 | 2.125 | 12/01/30 | 297,950 | |||||||||||
Republic of South Africa | ||||||||||||||
2,370,000 | 5.750 | 09/30/49 | 1,872,744 | |||||||||||
1,878,000 | 5.875 | 04/20/32 | 1,784,100 | |||||||||||
ZAR | 97,224,670 | 6.250 | 03/31/36 | 4,193,103 | ||||||||||
48,142,029 | 7.000 | 02/28/31 | 2,488,181 | |||||||||||
143,998,573 | 8.000 | 01/31/30 | 8,169,211 | |||||||||||
98,408,852 | 8.250 | 03/31/32 | 5,428,150 | |||||||||||
50,714,588 | 8.500 | 01/31/37 | 2,653,048 | |||||||||||
56,942,260 | 8.875 | 02/28/35 | 3,142,068 | |||||||||||
26,000,000 | 10.500 | 12/21/26 | 1,780,537 | |||||||||||
Republic of Sri Lanka | ||||||||||||||
$ | 539,000 | 5.750 | 04/18/23 | 231,829 | ||||||||||
565,000 | 6.350 | 06/28/24 | 241,600 | |||||||||||
2,547,000 | 6.750 | 04/18/28 | 1,082,755 | |||||||||||
Republic of Turkey | ||||||||||||||
662,000 | 3.250 | 03/23/23 | 652,401 | |||||||||||
600,000 | 4.750 | 01/26/26 | 537,750 | |||||||||||
2,779,000 | 5.950 | 01/15/31 | 2,326,197 | |||||||||||
1,185,000 | 6.500 | 09/20/33 | 1,001,547 | |||||||||||
Republic of Uruguay | ||||||||||||||
UYU | 44,992,403 | 3.875 | 07/02/40 | 1,239,942 | ||||||||||
$ | 3,574,227 | 4.375 | (c) | 01/23/31 | 3,672,071 | |||||||||
1,748,868 | 4.975 | 04/20/55 | 1,803,848 | |||||||||||
Republic of Uzbekistan | ||||||||||||||
200,000 | 3.700 | 11/25/30 | 163,500 | |||||||||||
420,000 | 3.900 | 10/19/31 | 341,250 | |||||||||||
Republic of Venezuela(e) | ||||||||||||||
85,000 | 6.000 | 12/09/20 | 6,800 | |||||||||||
190,000 | 7.000 | 03/31/38 | 15,200 | |||||||||||
199,000 | 7.650 | 04/21/25 | 15,920 | |||||||||||
110,000 | 7.750 | 10/13/19 | 8,800 | |||||||||||
175,000 | 8.250 | 10/13/24 | 14,000 | |||||||||||
|
| |||||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Sovereign – (continued) | ||||||||||||||
Republic of Venezuela – (continued) | ||||||||||||||
203,000 | 9.000 | % | 05/07/23 | $ | 16,240 | |||||||||
165,000 | 9.250 | 09/15/27 | 13,200 | |||||||||||
145,000 | 9.250 | 05/07/28 | 11,600 | |||||||||||
152,000 | 9.375 | 01/13/34 | 12,160 | |||||||||||
205,000 | 11.750 | 10/21/26 | 16,400 | |||||||||||
205,000 | 11.950 | 08/05/31 | 16,400 | |||||||||||
140,000 | 12.750 | 08/23/22 | 11,200 | |||||||||||
Republic of Zambia(e) | ||||||||||||||
884,000 | 5.375 | 09/20/22 | 632,060 | |||||||||||
Romanian Government International Bond | ||||||||||||||
100,000 | 3.000 | 02/27/27 | 92,769 | |||||||||||
Russian Federation Bond | ||||||||||||||
5,400,000 | 4.375 | 03/21/29 | 1,080,000 | |||||||||||
1,000,000 | 5.100 | 03/28/35 | 200,000 | |||||||||||
600,000 | 5.250 | 06/23/47 | 150,000 | |||||||||||
Saudi Government International Bond | ||||||||||||||
974,000 | 3.250 | 10/22/30 | 939,910 | |||||||||||
1,500,000 | 3.250 | (a) | 11/17/51 | 1,201,875 | ||||||||||
865,000 | 3.450 | 02/02/61 | 690,919 | |||||||||||
State of Israel(g) | ||||||||||||||
1,339,000 | 4.500 | 04/03/20 | 1,312,220 | |||||||||||
Thailand Government Bond | ||||||||||||||
THB | 39,685,000 | 0.750 | 06/17/24 | 1,139,932 | ||||||||||
194,359,000 | 1.000 | 06/17/27 | 5,317,878 | |||||||||||
39,964,000 | 1.585 | 12/17/35 | 945,374 | |||||||||||
72,630,000 | 1.600 | 12/17/29 | 1,960,965 | |||||||||||
128,000,000 | 2.000 | 12/17/31 | 3,507,879 | |||||||||||
29,425,000 | 2.125 | 12/17/26 | 854,455 | |||||||||||
147,464,000 | 2.875 | 12/17/28 | 4,377,176 | |||||||||||
56,162,000 | 3.300 | 06/17/38 | 1,570,332 | |||||||||||
Tunisian Republic | ||||||||||||||
$ | 400,000 | 5.750 | 01/30/25 | 272,000 | ||||||||||
Ukraine Government Bond | ||||||||||||||
4,739,000 | 6.876 | 05/21/29 | 1,457,242 | |||||||||||
390,000 | 7.750 | 09/01/22 | 206,700 | |||||||||||
324,000 | 7.750 | 09/01/27 | 106,110 | |||||||||||
United Mexican States | ||||||||||||||
2,464,000 | 2.659 | (c) | 05/24/31 | 2,068,528 | ||||||||||
643,000 | 3.500 | (c) | 02/12/34 | 543,335 | ||||||||||
1,093,000 | 4.350 | 01/15/47 | 890,249 | |||||||||||
MXN | 77,832,100 | 5.750 | 03/05/26 | 3,405,862 | ||||||||||
64,979,500 | 7.500 | 06/03/27 | 2,985,741 | |||||||||||
90,641,500 | 7.750 | 05/29/31 | 4,069,784 | |||||||||||
72,993,000 | 8.500 | 05/31/29 | 3,470,194 | |||||||||||
64,810,800 | 8.500 | 11/18/38 | 2,997,831 | |||||||||||
73,018,400 | 10.000 | 12/05/24 | 3,655,903 | |||||||||||
14,790,000 | 10.000 | 11/20/36 | 772,671 | |||||||||||
Uzbekneftegaz JSC(a)(c) | ||||||||||||||
$ | 222,000 | 4.750 | 11/16/28 | 180,930 | ||||||||||
|
| |||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $423,480,798) | $ | 370,149,467 | ||||||||||||
|
| |||||||||||||
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Schedule of Investments (continued)
April 30, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – 38.9% | ||||||||||||||
Advertising(c) – 0.4% | ||||||||||||||
Summer BC Holdco B S.a.r.l. | ||||||||||||||
$ | 988,000 | 5.750 | % | 10/31/26 | $ | 1,026,458 | ||||||||
Terrier Media Buyer, Inc.(a) | ||||||||||||||
3,751,000 | 8.875 | 12/15/27 | 3,657,225 | |||||||||||
|
| |||||||||||||
4,683,683 | ||||||||||||||
|
| |||||||||||||
Aerospace & Defense(c) – 0.5% | ||||||||||||||
Bombardier, Inc.(a) | ||||||||||||||
126,000 | 7.500 | 03/15/25 | 122,220 | |||||||||||
2,643,000 | 7.875 | 04/15/27 | 2,457,990 | |||||||||||
1,000,000 | 6.000 | 02/15/28 | 867,500 | |||||||||||
F-Brasile SpA/F-Brasile U.S. LLC(a) | ||||||||||||||
1,211,000 | 7.375 | 08/15/26 | 1,065,765 | |||||||||||
TransDigm, Inc.(a) | ||||||||||||||
10,000 | 8.000 | 12/15/25 | 10,375 | |||||||||||
237,000 | 6.250 | 03/15/26 | 237,000 | |||||||||||
Triumph Group, Inc. | ||||||||||||||
740,000 | 6.250 | (a) | 09/15/24 | 712,250 | ||||||||||
615,000 | 7.750 | 08/15/25 | 598,087 | |||||||||||
|
| |||||||||||||
6,071,187 | ||||||||||||||
|
| |||||||||||||
Agriculture(a)(c) – 0.4% | ||||||||||||||
Vector Group Ltd. | ||||||||||||||
1,150,000 | 10.500 | 11/01/26 | 1,171,563 | |||||||||||
3,570,000 | 5.750 | 02/01/29 | 3,146,062 | |||||||||||
|
| |||||||||||||
4,317,625 | ||||||||||||||
|
| |||||||||||||
Airlines – 0.6% | ||||||||||||||
Air Canada | ||||||||||||||
265,000 | 4.000 | 07/01/25 | 364,508 | |||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||||||||||||
1,160,000 | 5.500 | 04/20/26 | 1,149,850 | |||||||||||
Avianca Midco 2 Ltd.(a)(c) | ||||||||||||||
2,223,873 | 9.000 | 12/01/28 | 2,100,170 | |||||||||||
| Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty | | ||||||||||||
1,973,808 | 5.750 | 01/20/26 | 1,919,528 | |||||||||||
United Airlines, Inc.(a)(c) | ||||||||||||||
1,180,000 | 4.375 | 04/15/26 | 1,135,750 | |||||||||||
|
| |||||||||||||
6,669,806 | ||||||||||||||
|
| |||||||||||||
Apparel(a)(c) – 0.1% | ||||||||||||||
CT Investment GmbH | ||||||||||||||
EUR | 1,145,000 | 5.500 | 04/15/26 | 1,127,434 | ||||||||||
Hanesbrands, Inc. | ||||||||||||||
$ | 300,000 | 4.875 | 05/15/26 | 291,750 | ||||||||||
|
| |||||||||||||
1,419,184 | ||||||||||||||
|
| |||||||||||||
Automotive – 0.5% | ||||||||||||||
Clarios Global LP/Clarios U.S. Finance Co.(a)(c) | ||||||||||||||
520,000 | 6.250 | 05/15/26 | 527,800 | |||||||||||
Dana, Inc.(c) | ||||||||||||||
375,000 | 5.625 | 06/15/28 | 358,125 | |||||||||||
Dealer Tire LLC/DT Issuer LLC(a)(c) | ||||||||||||||
1,088,000 | 8.000 | 02/01/28 | 1,067,600 | |||||||||||
Ford Motor Credit Co. LLC | ||||||||||||||
EUR | 450,000 | 2.386 | 02/17/26 | 446,016 | ||||||||||
$ | 100,000 | 3.815 | (c) | 11/02/27 | 91,035 | |||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Automotive – (continued) | ||||||||||||||
Grupo Antolin-Irausa SA(a)(c) | ||||||||||||||
EUR | 450,000 | 3.375 | 04/30/26 | 398,786 | ||||||||||
IHO Verwaltungs GmbH(a)(c)(h) | ||||||||||||||
(PIK 6.750%, Cash 6.000%) | ||||||||||||||
$ | 335,000 | 6.000 | 05/15/27 | 314,900 | ||||||||||
(PIK 7.125%, Cash 6.375%) | ||||||||||||||
535,000 | 6.375 | 05/15/29 | 508,250 | |||||||||||
Jaguar Land Rover Automotive PLC(a)(c) | ||||||||||||||
EUR | 1,100,000 | 4.500 | 07/15/28 | 966,500 | ||||||||||
Real Hero Merger Sub 2, Inc.(a)(c) | ||||||||||||||
$ | 324,000 | 6.250 | 02/01/29 | 263,250 | ||||||||||
Tenneco, Inc.(a)(c) | ||||||||||||||
890,000 | 5.125 | 04/15/29 | 865,525 | |||||||||||
|
| |||||||||||||
5,807,787 | ||||||||||||||
|
| |||||||||||||
Banks – 2.5% | ||||||||||||||
| Banca Monte dei Paschi di Siena SpA(c)(i) (5 Year EUR Swap + | | ||||||||||||
EUR | 1,964,000 | 5.375 | 01/18/28 | 1,320,850 | ||||||||||
Banco de Sabadell SA(c)(i) (-1X 5 year EUR Swap + 6.198%) | ||||||||||||||
1,000,000 | 5.750 | 12/31/99 | 973,635 | |||||||||||
| Banco do Estado do Rio Grande do Sul SA(c)(i) (5 year CMT + | | ||||||||||||
$ | 680,000 | 5.375 | 01/28/31 | 639,328 | ||||||||||
Banco Mercantil del Norte SA(a)(c)(i) (10 year CMT + 5.034%) | ||||||||||||||
1,800,000 | 6.625 | 12/31/99 | 1,610,775 | |||||||||||
| Banco Nacional de Comercio Exterior/Cayman Islands SNC(a)(c)(i) | | ||||||||||||
1,019,000 | 2.720 | 08/11/31 | 942,575 | |||||||||||
Banco Santander SA(c)(i) | ||||||||||||||
(-1X 5 year EUR Swap + 3.760%) | ||||||||||||||
EUR | 800,000 | 3.625 | 12/31/99 | 671,455 | ||||||||||
(-1x 5 Year EUR Swap + 4.534%) | ||||||||||||||
1,000,000 | 4.375 | 12/31/99 | 976,356 | |||||||||||
Barclays PLC(c)(i) | ||||||||||||||
(5 year CMT + 5.867%) | ||||||||||||||
$ | 900,000 | 6.125 | 12/31/99 | 886,500 | ||||||||||
(5 Year USD Swap + 4.842%) | ||||||||||||||
1,255,000 | 7.750 | 12/31/99 | 1,265,981 | |||||||||||
CaixaBank SA(c)(i) (-1X 5 year EUR Swap + 3.857%) | ||||||||||||||
EUR | 1,200,000 | 3.625 | 12/31/99 | 1,000,865 | ||||||||||
Commerzbank AG(c)(i) | ||||||||||||||
(-1x 5 Year EUR Swap + 6.363%) | ||||||||||||||
600,000 | 6.125 | 03/31/99 | 617,336 | |||||||||||
(5 year USD Swap + 5.228%) | ||||||||||||||
$ | 1,000,000 | 7.000 | 12/31/99 | 986,250 | ||||||||||
Deutsche Bank AG(c)(i) (-1X 5 year EUR Swap + 4.747%) | ||||||||||||||
EUR | 1,600,000 | 4.625 | 12/31/99 | 1,458,735 | ||||||||||
Development Bank of Kazakhstan JSC | ||||||||||||||
$ | 724,000 | 2.950 | 05/06/31 | 587,888 | ||||||||||
Freedom Mortgage Corp.(a)(c) | ||||||||||||||
1,855,000 | 8.125 | 11/15/24 | 1,780,800 | |||||||||||
1,225,000 | 8.250 | 04/15/25 | 1,176,000 | |||||||||||
480,000 | 7.625 | 05/01/26 | 436,800 | |||||||||||
1,212,750 | 6.625 | 01/15/27 | 1,044,481 | |||||||||||
Ibercaja Banco SA(c)(i) (-1X 5 year EUR Swap + 2.882%) | ||||||||||||||
EUR | 700,000 | 2.750 | 07/23/30 | 698,640 | ||||||||||
|
|
32 | 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) | ||||||||||||||
Banks – (continued) | ||||||||||||||
Intesa Sanpaolo SpA | ||||||||||||||
$ | 1,300,000 | 5.710 | %(a) | 01/15/26 | $ | 1,290,035 | ||||||||
(5 Year EUR Swap + 7.192%) | ||||||||||||||
EUR | 1,219,000 | 7.750 | (c)(i) | 12/29/49 | 1,366,358 | |||||||||
Lloyds Banking Group PLC(c)(i) (5 Year USD Swap + 4.496%) | ||||||||||||||
$ | 1,290,000 | 7.500 | 12/31/99 | 1,325,475 | ||||||||||
Novo Banco SA/Luxembourg | ||||||||||||||
EUR | 95,000 | 3.500 | 01/02/43 | 88,252 | ||||||||||
1,015,000 | 3.500 | 01/23/43 | 964,222 | |||||||||||
UniCredit SpA(c)(i) | ||||||||||||||
(5 Year USD ICE Swap + 3.703%) | ||||||||||||||
$ | 3,250,000 | 5.861 | (a) | 06/19/32 | 3,083,145 | |||||||||
(-1X 5 year EUR Swap + 4.606%) | ||||||||||||||
EUR | 2,090,000 | 4.450 | 12/31/99 | 1,879,631 | ||||||||||
|
| |||||||||||||
29,072,368 | ||||||||||||||
|
| |||||||||||||
Biotechnology(c) – 0.1% | ||||||||||||||
Cidron Aida Finco Sarl | ||||||||||||||
1,123,000 | 5.000 | 04/01/28 | 1,072,031 | |||||||||||
|
| |||||||||||||
Building Materials – 0.7% | ||||||||||||||
Builders FirstSource, Inc.(a)(c) | ||||||||||||||
$ | 150,000 | 4.250 | 02/01/32 | 128,625 | ||||||||||
CEMEX Materials LLC(a) | ||||||||||||||
1,098,000 | 7.700 | 07/21/25 | 1,166,625 | |||||||||||
Cemex SAB de CV(a)(c) | ||||||||||||||
3,075,000 | 5.200 | 09/17/30 | 2,898,187 | |||||||||||
CP Atlas Buyer, Inc.(a)(c) | ||||||||||||||
464,000 | 7.000 | 12/01/28 | 387,440 | |||||||||||
Eco Material Technologies, Inc.(a)(c) | ||||||||||||||
1,060,800 | 7.875 | 01/31/27 | 1,022,346 | |||||||||||
Griffon Corp.(c) | ||||||||||||||
1,125,000 | 5.750 | 03/01/28 | 1,001,250 | |||||||||||
SRM Escrow Issuer LLC(a)(c) | ||||||||||||||
1,724,000 | 6.000 | 11/01/28 | 1,655,040 | |||||||||||
Summit Materials LLC/Summit Materials Finance Corp.(a)(c) | ||||||||||||||
398,000 | 5.250 | 01/15/29 | 375,115 | |||||||||||
|
| |||||||||||||
8,634,628 | ||||||||||||||
|
| |||||||||||||
Chemicals(c) – 1.6% | ||||||||||||||
ASP Unifrax Holdings, Inc.(a) | ||||||||||||||
1,727,000 | 5.250 | 09/30/28 | 1,517,601 | |||||||||||
Cerdia Finanz GmbH(a) | ||||||||||||||
1,200,000 | 10.500 | 02/15/27 | 1,075,500 | |||||||||||
Cornerstone Chemical Co.(a) | ||||||||||||||
5,195,000 | 6.750 | 08/15/24 | 4,636,537 | |||||||||||
GPD Cos., Inc.(a) | ||||||||||||||
1,037,000 | 10.125 | 04/01/26 | 1,083,665 | |||||||||||
INEOS Quattro Finance 1 PLC(a) | ||||||||||||||
EUR | 450,000 | 3.750 | 07/15/26 | 432,890 | ||||||||||
Innophos Holdings, Inc.(a) | ||||||||||||||
$ | 965,000 | 9.375 | 02/15/28 | 1,013,250 | ||||||||||
Iris Holdings, Inc.(a) (h)(PIK 9.500%, Cash 8.750%) | ||||||||||||||
615,000 | 8.750 | 02/15/26 | 589,846 | |||||||||||
NOVA Chemicals Corp.(a) | ||||||||||||||
1,815,000 | 4.250 | 05/15/29 | 1,588,125 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Chemicals(c) – (continued) | ||||||||||||||
OCI NV(a) | ||||||||||||||
385,000 | 4.625 | 10/15/25 | 386,444 | |||||||||||
PMHC II, Inc.(a) | ||||||||||||||
1,000,000 | 9.000 | 02/15/30 | 812,500 | |||||||||||
Rain CII Carbon LLC/CII Carbon Corp.(a) | ||||||||||||||
2,055,000 | 7.250 | 04/01/25 | 1,980,506 | |||||||||||
Rayonier AM Products, Inc.(a) | ||||||||||||||
1,176,000 | 7.625 | 01/15/26 | 1,114,260 | |||||||||||
SCIH Salt Holdings, Inc.(a) | ||||||||||||||
350,000 | 4.875 | 05/01/28 | 302,750 | |||||||||||
The Chemours Co. | ||||||||||||||
EUR | 340,000 | 4.000 | 05/15/26 | 334,913 | ||||||||||
$ | 150,000 | 4.625 | (a) | 11/15/29 | 129,938 | |||||||||
Tronox, Inc.(a) | ||||||||||||||
415,000 | 4.625 | 03/15/29 | 371,944 | |||||||||||
Unifrax Escrow Issuer Corp.(a) | ||||||||||||||
625,000 | 7.500 | 09/30/29 | 515,625 | |||||||||||
Venator Finance S.a.r.l./Venator Materials LLC(a) | ||||||||||||||
415,000 | 5.750 | 07/15/25 | 339,263 | |||||||||||
|
| |||||||||||||
18,225,557 | ||||||||||||||
|
| |||||||||||||
Commercial Services(c) – 1.1% | ||||||||||||||
Adtalem Global Education, Inc.(a) | ||||||||||||||
971,000 | 5.500 | 03/01/28 | 893,320 | |||||||||||
Avis Budget Finance Plc | ||||||||||||||
EUR | 1,047,000 | 4.750 | 01/30/26 | 1,095,697 | ||||||||||
BCP V Modular Services Finance II PLC(a) | ||||||||||||||
GBP | 375,000 | 6.125 | 11/30/28 | 422,659 | ||||||||||
CPI CG, Inc.(a) | ||||||||||||||
$ | 538,000 | 8.625 | 03/15/26 | 517,825 | ||||||||||
| GEMS MENASA Cayman Ltd./GEMS Education Delaware | | ||||||||||||
1,781,000 | 7.125 | 07/31/26 | 1,776,191 | |||||||||||
Korn Ferry(a) | ||||||||||||||
400,000 | 4.625 | 12/15/27 | 379,000 | |||||||||||
Loxam SAS(a) | ||||||||||||||
EUR | 450,000 | 4.500 | 04/15/27 | 430,469 | ||||||||||
Metis Merger Sub LLC(a) | ||||||||||||||
$ | 1,220,000 | 6.500 | 05/15/29 | 1,061,400 | ||||||||||
Movida Europe SA(a) | ||||||||||||||
1,299,000 | 5.250 | 02/08/31 | 1,071,837 | |||||||||||
NESCO Holdings II, Inc.(a) | ||||||||||||||
740,000 | 5.500 | 04/15/29 | 697,450 | |||||||||||
Paysafe Finance PLC/Paysafe Holdings U.S. Corp.(a) | ||||||||||||||
275,000 | 4.000 | 06/15/29 | 227,563 | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(a) | ||||||||||||||
865,000 | 6.250 | 01/15/28 | 778,500 | |||||||||||
StoneMor, Inc.(a) | ||||||||||||||
975,000 | 8.500 | 05/15/29 | 944,531 | |||||||||||
Team Health Holdings, Inc.(a) | ||||||||||||||
970,000 | 6.375 | 02/01/25 | 824,500 | |||||||||||
The ADT Security Corp.(a) | ||||||||||||||
1,169,000 | 4.125 | 08/01/29 | 990,727 | |||||||||||
The House of Finance NV(a) | ||||||||||||||
EUR | 450,000 | 4.375 | 07/15/26 | 450,398 | ||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Commercial Services(c) – (continued) | ||||||||||||||
WW International, Inc.(a) | ||||||||||||||
$ | 335,000 | 4.500 | % | 04/15/29 | $ | 265,488 | ||||||||
|
| |||||||||||||
12,827,555 | ||||||||||||||
|
| |||||||||||||
Computers(c) – 0.6% | ||||||||||||||
Ahead DB Holdings LLC(a) | ||||||||||||||
435,000 | 6.625 | 05/01/28 | 384,431 | |||||||||||
Banff Merger Sub, Inc. | ||||||||||||||
EUR | 1,647,000 | 8.375 | 09/01/26 | 1,718,391 | ||||||||||
CA Magnum Holdings(a) | ||||||||||||||
$ | 1,120,000 | 5.375 | 10/31/26 | 1,075,200 | ||||||||||
Centurion Bidco SpA(a) | ||||||||||||||
EUR | 450,000 | 5.875 | 09/30/26 | 453,113 | ||||||||||
Condor Merger Sub, Inc.(a) | ||||||||||||||
$ | 2,202,000 | 7.375 | 02/15/30 | 1,981,800 | ||||||||||
Libra Groupco SpA(a) | ||||||||||||||
EUR | 450,000 | 5.000 | 05/15/27 | 437,922 | ||||||||||
Science Applications International Corp.(a) | ||||||||||||||
$ | 479,000 | 4.875 | 04/01/28 | 458,044 | ||||||||||
Seagate HDD Cayman | ||||||||||||||
410,000 | 3.375 | 07/15/31 | 332,100 | |||||||||||
|
| |||||||||||||
6,841,001 | ||||||||||||||
|
| |||||||||||||
Cosmetics/Personal Care(a)(c) – 0.1% | ||||||||||||||
Coty, Inc. | ||||||||||||||
1,222,000 | 5.000 | 04/15/26 | 1,157,845 | |||||||||||
|
| |||||||||||||
Distribution & Wholesale(a)(c) – 0.1% | ||||||||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||||||||
455,000 | 3.875 | 11/15/29 | 401,538 | |||||||||||
G-III Apparel Group Ltd. | ||||||||||||||
1,142,000 | 7.875 | 08/15/25 | 1,187,680 | |||||||||||
|
| |||||||||||||
1,589,218 | ||||||||||||||
|
| |||||||||||||
Diversified Financial Services – 1.7% | ||||||||||||||
Aircastle Ltd.(a) (c) (i)(5 year CMT + 4.410%) | ||||||||||||||
1,106,000 | 5.250 | 12/31/99 | 984,340 | |||||||||||
Coinbase Global, Inc.(a)(c) | ||||||||||||||
1,695,000 | 3.375 | 10/01/28 | 1,322,100 | |||||||||||
Deerfield Dakota Holding LLC(i) (1M USD LIBOR) | ||||||||||||||
498,731 | 4.750 | 04/09/27 | 496,781 | |||||||||||
Finance of America Funding LLC(a)(c) | ||||||||||||||
1,960,000 | 7.875 | 11/15/25 | 1,744,400 | |||||||||||
| Global Aircraft Leasing Co. Ltd.(a)(c)(h) (PIK 7.250%, Cash | | ||||||||||||
2,408,306 | 6.500 | 09/15/24 | 2,086,195 | |||||||||||
Home Point Capital, Inc.(a)(c) | ||||||||||||||
715,000 | 5.000 | 02/01/26 | 566,638 | |||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp.(a)(c) | ||||||||||||||
1,587,000 | 5.000 | 08/15/28 | 1,444,624 | |||||||||||
LD Holdings Group LLC(a)(c) | ||||||||||||||
80,000 | 6.500 | 11/01/25 | 65,600 | |||||||||||
1,370,000 | 6.125 | 04/01/28 | 1,027,500 | |||||||||||
LPL Holdings, Inc.(a)(c) | ||||||||||||||
428,000 | 4.625 | 11/15/27 | 406,065 | |||||||||||
Midcap Financial Issuer Trust(a)(c) | ||||||||||||||
1,581,000 | 6.500 | 05/01/28 | 1,361,636 | |||||||||||
1,784,000 | 5.625 | 01/15/30 | 1,420,510 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Diversified Financial Services – (continued) | ||||||||||||||
Nationstar Mortgage Holdings, Inc.(a)(c) | ||||||||||||||
1,240,000 | 5.500 | 08/15/28 | 1,131,507 | |||||||||||
Navient Corp.(c) | ||||||||||||||
438,000 | 5.000 | 03/15/27 | 400,770 | |||||||||||
52,000 | 4.875 | 03/15/28 | 45,630 | |||||||||||
825,000 | 5.500 | 03/15/29 | 723,938 | |||||||||||
OneMain Finance Corp. | ||||||||||||||
565,000 | 7.125 | 03/15/26 | 572,063 | |||||||||||
515,000 | 3.875 | (c) | 09/15/28 | 435,819 | ||||||||||
400,000 | 5.375 | (c) | 11/15/29 | 359,000 | ||||||||||
PRA Group, Inc.(a)(c) | ||||||||||||||
839,000 | 7.375 | 09/01/25 | 866,267 | |||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc.(a)(c) | ||||||||||||||
407,000 | 3.625 | 03/01/29 | 347,948 | |||||||||||
VistaJet Malta Finance PLC/XO Management Holding, Inc.(a)(c) | ||||||||||||||
386,000 | 6.375 | 02/01/30 | 335,820 | |||||||||||
Voyager Aviation Holdings LLC(a)(c) | ||||||||||||||
1,020,000 | 8.500 | 05/09/26 | 937,125 | |||||||||||
|
| |||||||||||||
19,082,276 | ||||||||||||||
|
| |||||||||||||
Electrical – 1.0% | ||||||||||||||
Calpine Corp.(a)(c) | ||||||||||||||
385,000 | 4.500 | 02/15/28 | 357,087 | |||||||||||
Comision Federal de Electricidad(a)(c) | ||||||||||||||
1,910,000 | 4.688 | 05/15/29 | 1,756,364 | |||||||||||
404,000 | 6.264 | 02/15/52 | 350,925 | |||||||||||
Electricite de France SA(c)(i) | ||||||||||||||
(-1X 5 year EUR Swap + 3.198%) | ||||||||||||||
EUR | 800,000 | 3.000 | 09/03/49 | 741,858 | ||||||||||
(-1X 5 year EUR Swap + 3.970%) | ||||||||||||||
1,000,000 | 3.375 | 12/31/99 | 889,629 | |||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||||
$ | 742,000 | 6.750 | 08/06/23 | 720,215 | ||||||||||
1,219,000 | 4.314 | (j) | 07/23/27 | 1,105,621 | ||||||||||
Mercury Chile Holdco LLC(c) | ||||||||||||||
1,679,000 | 6.500 | 01/24/27 | 1,573,206 | |||||||||||
NPC Ukrenergo(j) | ||||||||||||||
663,000 | 6.875 | 11/09/26 | 205,530 | |||||||||||
NRG Energy, Inc.(a)(c) | ||||||||||||||
460,000 | 3.625 | 02/15/31 | 384,100 | |||||||||||
Pike Corp.(a)(c) | ||||||||||||||
858,000 | 5.500 | 09/01/28 | 782,925 | |||||||||||
Vistra Corp.(a)(c)(i) (5 year CMT + 5.740%) | ||||||||||||||
2,500,000 | 7.000 | 12/31/99 | 2,431,250 | |||||||||||
Vistra Operations Co. LLC(a)(c) | ||||||||||||||
385,000 | 5.625 | 02/15/27 | 379,225 | |||||||||||
140,000 | 5.000 | 07/31/27 | 133,700 | |||||||||||
|
| |||||||||||||
11,811,635 | ||||||||||||||
|
| |||||||||||||
Electrical Components & Equipment(a)(c) – 0.1% | ||||||||||||||
Belden, Inc. | ||||||||||||||
EUR | 756,000 | 3.375 | 07/15/31 | 704,653 | ||||||||||
|
| |||||||||||||
Electronics(a)(c) – 0.1% | ||||||||||||||
II-VI, Inc. | ||||||||||||||
$ | 972,000 | 5.000 | 12/15/29 | 911,250 | ||||||||||
|
|
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 | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Energy-Alternate Sources(a)(c) – 0.1% | ||||||||||||||
Cullinan Holdco Scsp | ||||||||||||||
EUR | 450,000 | 4.625 | % | 10/15/26 | $ | 431,599 | ||||||||
TerraForm Power Operating LLC | ||||||||||||||
$ | 435,000 | 5.000 | 01/31/28 | 404,550 | ||||||||||
|
| |||||||||||||
836,149 | ||||||||||||||
|
| |||||||||||||
Engineering & Construction – 0.5% | ||||||||||||||
| Abertis Infraestructuras Finance BV(c)(i) (-1X 5 year EUR Swap + | | ||||||||||||
EUR | 900,000 | 3.248 | 12/31/99 | 892,592 | ||||||||||
Artera Services LLC(a)(c) | ||||||||||||||
$ | 405,000 | 9.033 | 12/04/25 | 382,725 | ||||||||||
Bioceanico Sovereign Certificate Ltd.(b) | ||||||||||||||
1,467,595 | 0.000 | 06/05/34 | 982,188 | |||||||||||
Global Infrastructure Solutions, Inc.(a)(c) | ||||||||||||||
866,000 | 5.625 | 06/01/29 | 792,390 | |||||||||||
State Agency of Roads of Ukraine(j) | ||||||||||||||
901,000 | 6.250 | 06/24/28 | 279,310 | |||||||||||
Tutor Perini Corp.(a)(c) | ||||||||||||||
2,044,000 | 6.875 | 05/01/25 | 1,908,585 | |||||||||||
|
| |||||||||||||
5,237,790 | ||||||||||||||
|
| |||||||||||||
Entertainment(c) – 1.1% | ||||||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||||||
25,000 | 5.750 | 06/15/25 | 19,375 | |||||||||||
235,000 | 6.125 | 05/15/27 | 150,400 | |||||||||||
Banijay Group SAS | ||||||||||||||
1,469,000 | 6.500 | 03/01/26 | 1,491,142 | |||||||||||
Caesars Entertainment, Inc.(a) | ||||||||||||||
945,000 | 8.125 | 07/01/27 | 987,525 | |||||||||||
Cirsa Finance International S.a.r.l.(a) | ||||||||||||||
EUR | 450,000 | 4.750 | 05/22/25 | 452,207 | ||||||||||
1,160,000 | 4.500 | 03/15/27 | 1,099,838 | |||||||||||
Empire Resorts, Inc.(a) | ||||||||||||||
$ | 1,515,000 | 7.750 | 11/01/26 | 1,458,187 | ||||||||||
Gamma Bidco SpA(a) | ||||||||||||||
EUR | 450,000 | 6.250 | 07/15/25 | 467,246 | ||||||||||
International Game Technology PLC(a) | ||||||||||||||
$ | 635,000 | 6.250 | 01/15/27 | 642,938 | ||||||||||
Jacobs Entertainment, Inc.(a) | ||||||||||||||
770,000 | 6.750 | 02/15/29 | 757,487 | |||||||||||
Live Nation Entertainment, Inc.(a) | ||||||||||||||
445,000 | 4.750 | 10/15/27 | 417,188 | |||||||||||
Motion Bondco DAC(a) | ||||||||||||||
EUR | 450,000 | 4.500 | 11/15/27 | 423,153 | ||||||||||
Raptor Acquisition Corp./Raptor Co.-Issuer LLC(a) | ||||||||||||||
$ | 1,120,000 | 4.875 | 11/01/26 | 1,064,000 | ||||||||||
| Scientific Games Holdings LP/Scientific Games U.S. FinCo, | | ||||||||||||
1,411,000 | 6.625 | 03/01/30 | 1,340,450 | |||||||||||
Scientific Games International, Inc.(a) | ||||||||||||||
999,000 | 7.000 | 05/15/28 | 1,025,224 | |||||||||||
Six Flags Entertainment Corp.(a) | ||||||||||||||
484,000 | 4.875 | 07/31/24 | 480,370 | |||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(a) | ||||||||||||||
505,000 | 7.750 | 04/15/25 | 518,888 | |||||||||||
|
| |||||||||||||
12,795,618 | ||||||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Environmental(a)(c) – 0.1% | ||||||||||||||
Clean Harbors, Inc. | ||||||||||||||
385,000 | 4.875 | 07/15/27 | 377,300 | |||||||||||
GFL Environmental, Inc. | ||||||||||||||
588,000 | 4.375 | 08/15/29 | 521,850 | |||||||||||
Tervita Corp. | ||||||||||||||
770,000 | 11.000 | 12/01/25 | 864,325 | |||||||||||
|
| |||||||||||||
1,763,475 | ||||||||||||||
|
| |||||||||||||
Food & Drug Retailing – 0.2% | ||||||||||||||
Casino Guichard Perrachon SA(c) | ||||||||||||||
EUR | 670,000 | 6.625 | 01/15/26 | 591,111 | ||||||||||
Iceland Bondco PLC(a)(c) | ||||||||||||||
GBP | 375,000 | 4.625 | 03/15/25 | 403,385 | ||||||||||
New Albertsons LP | ||||||||||||||
$ | 1,015,000 | 8.700 | 05/01/30 | 1,124,112 | ||||||||||
350,000 | 8.000 | 05/01/31 | 376,688 | |||||||||||
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet | | ||||||||||||
485,000 | 4.625 | 03/01/29 | 437,106 | |||||||||||
|
| |||||||||||||
2,932,402 | ||||||||||||||
|
| |||||||||||||
Forest Products&Paper(a)(c) – 0.5% | ||||||||||||||
Pearl Merger Sub, Inc. | ||||||||||||||
2,722,000 | 6.750 | 10/01/28 | 2,698,183 | |||||||||||
Resolute Forest Products, Inc. | ||||||||||||||
1,408,000 | 4.875 | 03/01/26 | 1,341,120 | |||||||||||
Sylvamo Corp. | ||||||||||||||
1,545,000 | 7.000 | 09/01/29 | 1,508,306 | |||||||||||
|
| |||||||||||||
5,547,609 | ||||||||||||||
|
| |||||||||||||
Gaming – 0.7% | ||||||||||||||
Fertitta Entertainment LLC(i)1M TSFR | ||||||||||||||
5,667,704 | 4.700 | 01/27/29 | 5,637,722 | |||||||||||
Station Casinos LLC(a)(c) | ||||||||||||||
370,000 | 4.500 | 02/15/28 | 334,387 | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(a)(c) | ||||||||||||||
325,000 | 5.250 | 05/15/27 | 298,187 | |||||||||||
Wynn Macau Ltd.(c) | ||||||||||||||
365,000 | 5.500 | (a) | 01/15/26 | 313,900 | ||||||||||
135,000 | 5.500 | (a) | 10/01/27 | 110,363 | ||||||||||
35,000 | 5.625 | (a) | 08/26/28 | 28,131 | ||||||||||
1,004,000 | 5.625 | 08/26/28 | 806,965 | |||||||||||
30,000 | 5.125 | (a) | 12/15/29 | 23,700 | ||||||||||
|
| |||||||||||||
7,553,355 | ||||||||||||||
|
| |||||||||||||
Healthcare Providers & Services(c) – 1.0% | ||||||||||||||
Acadia Healthcare Co., Inc.(a) | ||||||||||||||
461,000 | 5.000 | 04/15/29 | 437,950 | |||||||||||
Air Methods Corp.(a) | ||||||||||||||
285,000 | 8.000 | 05/15/25 | 232,275 | |||||||||||
Akumin, Inc.(a) | ||||||||||||||
3,061,000 | 7.000 | 11/01/25 | 2,601,850 | |||||||||||
CHS/Community Health Systems, Inc.(a) | ||||||||||||||
737,000 | 6.875 | 04/15/29 | 646,717 | |||||||||||
600,000 | 6.125 | 04/01/30 | 493,500 | |||||||||||
Envision Healthcare Corp.(a) | ||||||||||||||
835,000 | 8.750 | 10/15/26 | 348,613 | |||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Healthcare Providers & Services(c) – (continued) | ||||||||||||||
HCA, Inc. | ||||||||||||||
$ | 495,000 | 5.875 | % | 02/01/29 | $ | 516,038 | ||||||||
225,000 | 3.500 | 09/01/30 | 201,375 | |||||||||||
Legacy LifePoint Health LLC(a) | ||||||||||||||
300,000 | 4.375 | 02/15/27 | 278,250 | |||||||||||
LifePoint Health, Inc.(a) | ||||||||||||||
1,360,000 | 5.375 | 01/15/29 | 1,162,800 | |||||||||||
ModivCare Escrow Issuer, Inc.(a) | ||||||||||||||
675,000 | 5.000 | 10/01/29 | 590,625 | |||||||||||
Molina Healthcare, Inc.(a) | ||||||||||||||
444,000 | 4.375 | 06/15/28 | 412,920 | |||||||||||
Mozart Debt Merger Sub, Inc.(a) | ||||||||||||||
1,175,000 | 3.875 | 04/01/29 | 1,028,125 | |||||||||||
370,000 | 5.250 | 10/01/29 | 321,900 | |||||||||||
| RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, | | ||||||||||||
750,000 | 9.750 | 12/01/26 | 771,562 | |||||||||||
Syneos Health, Inc.(a) | ||||||||||||||
515,000 | 3.625 | 01/15/29 | 455,775 | |||||||||||
Tenet Healthcare Corp. | ||||||||||||||
19,000 | 4.625 | 07/15/24 | 18,881 | |||||||||||
1,095,000 | 6.125 | (a) | 10/01/28 | 1,045,725 | ||||||||||
|
| |||||||||||||
11,564,881 | ||||||||||||||
|
| |||||||||||||
Home Builders – 0.1% | ||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.(a)(c) | ||||||||||||||
455,000 | 4.625 | 08/01/29 | 382,200 | |||||||||||
Mattamy Group Corp.(a)(c) | ||||||||||||||
605,000 | 4.625 | 03/01/30 | 514,250 | |||||||||||
Meritage Homes Corp.(a)(c) | ||||||||||||||
300,000 | 3.875 | 04/15/29 | 268,125 | |||||||||||
Tecta America Corp.(i) (1M USD LIBOR) | ||||||||||||||
125,000 | 5.053 | 04/10/28 | 122,656 | |||||||||||
|
| |||||||||||||
1,287,231 | ||||||||||||||
|
| |||||||||||||
Household Products(a)(c) – 0.1% | ||||||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. | ||||||||||||||
761,000 | 7.000 | 12/31/27 | 601,190 | |||||||||||
|
| |||||||||||||
Housewares(a)(c) – 0.1% | ||||||||||||||
American Greetings Corp. | ||||||||||||||
1,410,000 | 8.750 | 04/15/25 | 1,388,850 | |||||||||||
|
| |||||||||||||
Insurance – 0.4% | ||||||||||||||
| Alliant Holdings Intermediate LLC/Alliant Holdings | | ||||||||||||
443,000 | 6.750 | 10/15/27 | 419,189 | |||||||||||
AssuredPartners, Inc. | ||||||||||||||
750,000 | 7.000 | (a)(c) | 08/15/25 | 738,750 | ||||||||||
1M TSFR | ||||||||||||||
500,000 | 4.266 | (i) | 02/12/27 | 492,500 | ||||||||||
| Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond | | ||||||||||||
1,631,875 | 7.625 | 10/15/25 | 1,642,074 | |||||||||||
MGIC Investment Corp.(c) | ||||||||||||||
670,000 | 5.250 | 08/15/28 | 629,800 | |||||||||||
Sagicor Financial Co. Ltd.(c) | ||||||||||||||
264,000 | 5.300 | (a) | 05/13/28 | 258,060 | ||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Insurance – (continued) | ||||||||||||||
Sagicor Financial Co. Ltd. – (continued) | ||||||||||||||
200,000 | 5.300 | 05/13/28 | 195,500 | |||||||||||
|
| |||||||||||||
4,375,873 | ||||||||||||||
|
| |||||||||||||
Internet – 0.6% | ||||||||||||||
Arches Buyer, Inc.(i) (1M USD LIBOR + 3.948) | ||||||||||||||
498,737 | 3.948 | 12/06/27 | 486,199 | |||||||||||
Cablevision Lightpath LLC(a)(c) | ||||||||||||||
1,214,000 | 5.625 | 09/15/28 | 1,034,935 | |||||||||||
HSE Finance S.a.r.l(a)(c) | ||||||||||||||
EUR | 450,000 | 5.625 | 10/15/26 | 426,348 | ||||||||||
Rakuten Group, Inc.(i) | ||||||||||||||
(5 year CMT + 4.578%) | ||||||||||||||
$ | 1,602,000 | 5.125 | 12/31/99 | 1,467,833 | ||||||||||
(5 year CMT + 4.956%) | ||||||||||||||
740,000 | 6.250 | 12/31/99 | 696,525 | |||||||||||
Uber Technologies, Inc.(a)(c) | ||||||||||||||
500,000 | 8.000 | 11/01/26 | 523,750 | |||||||||||
United Group B.V.(a)(c) | ||||||||||||||
(-1X 3M Euribor + 4.875%) | ||||||||||||||
EUR | 940,000 | 4.875 | (i) | 02/01/29 | 944,748 | |||||||||
870,000 | 5.250 | 02/01/30 | 808,074 | |||||||||||
|
| |||||||||||||
6,388,412 | ||||||||||||||
|
| |||||||||||||
Iron/Steel – 0.7% | ||||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP(a)(c) | ||||||||||||||
$ | 3,665,000 | 8.750 | 07/15/26 | 3,692,488 | ||||||||||
Mineral Resources Ltd. | ||||||||||||||
3,770,000 | 8.125 | (a)(c) | 05/01/27 | 3,850,112 | ||||||||||
274,000 | 8.000 | 11/01/27 | 273,315 | |||||||||||
274,000 | 8.500 | 05/01/30 | 271,783 | |||||||||||
|
| |||||||||||||
8,087,698 | ||||||||||||||
|
| |||||||||||||
Leisure Time(c) – 0.5% | ||||||||||||||
Carnival Corp.(a) | ||||||||||||||
550,000 | 10.500 | 02/01/26 | 603,625 | |||||||||||
1,260,000 | 9.875 | 08/01/27 | 1,351,350 | |||||||||||
Deuce Finco PLC(a) | ||||||||||||||
GBP | 375,000 | 5.500 | 06/15/27 | 429,855 | ||||||||||
Pinnacle Bidco PLC | ||||||||||||||
EUR | 1,241,000 | 5.500 | 02/15/25 | 1,312,165 | ||||||||||
Royal Caribbean Cruises Ltd.(a) | ||||||||||||||
$ | 775,000 | 9.125 | 06/15/23 | 798,250 | ||||||||||
395,000 | 5.500 | 08/31/26 | 367,350 | |||||||||||
TUI Cruises GmbH(a) | ||||||||||||||
EUR | 450,000 | 6.500 | 05/15/26 | 430,269 | ||||||||||
VOC Escrow Ltd.(a) | ||||||||||||||
$ | 765,000 | 5.000 | 02/15/28 | 692,325 | ||||||||||
|
| |||||||||||||
5,985,189 | ||||||||||||||
|
| |||||||||||||
Lodging(a)(c) – 0.0% | ||||||||||||||
�� | NH Hotel Group SA | |||||||||||||
EUR | 400,000 | 4.000 | 07/02/26 | 404,974 | ||||||||||
|
| |||||||||||||
Machinery – Construction & Mining(a)(c) – 0.0% | ||||||||||||||
BWX Technologies, Inc. | ||||||||||||||
$ | 445,000 | 4.125 | 06/30/28 | 412,738 | ||||||||||
|
|
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) | ||||||||||||||
Machinery-Diversified(a)(c) – 0.2% | ||||||||||||||
Novafives SAS | ||||||||||||||
EUR | 300,000 | 5.000 | % | 06/15/25 | $ | 260,708 | ||||||||
OT Merger Corp. | ||||||||||||||
$ | 1,258,000 | 7.875 | 10/15/29 | 1,075,590 | ||||||||||
Schenck Process Holding GmbH | ||||||||||||||
EUR | 328,000 | 5.375 | 06/15/23 | 339,920 | ||||||||||
TK Elevator Holdco GmbH | ||||||||||||||
$ | 600,000 | 7.625 | 07/15/28 | 577,500 | ||||||||||
|
| |||||||||||||
2,253,718 | ||||||||||||||
|
| |||||||||||||
Media – 4.1% | ||||||||||||||
Altice Financing SA(a)(c) | ||||||||||||||
412,000 | 5.000 | 01/15/28 | 347,110 | |||||||||||
2,565,000 | 5.750 | 08/15/29 | 2,148,187 | |||||||||||
Audacy Capital Corp.(a)(c) | ||||||||||||||
530,000 | 6.500 | 05/01/27 | 454,475 | |||||||||||
285,000 | 6.750 | 03/31/29 | 244,388 | |||||||||||
Beasley Mezzanine Holdings LLC(a)(c) | ||||||||||||||
1,400,000 | 8.625 | 02/01/26 | 1,303,750 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(a)(c) | ||||||||||||||
435,000 | 5.375 | 06/01/29 | 411,075 | |||||||||||
1,215,000 | 4.500 | 08/15/30 | 1,060,087 | |||||||||||
450,000 | 4.250 | 02/01/31 | 379,125 | |||||||||||
Cengage Learning, Inc.(a)(c) | ||||||||||||||
1,250,000 | 9.500 | 06/15/24 | 1,218,750 | |||||||||||
CSC Holdings LLC(a)(c) | ||||||||||||||
1,695,000 | 7.500 | 04/01/28 | 1,559,400 | |||||||||||
295,000 | 6.500 | 02/01/29 | 280,250 | |||||||||||
1,145,000 | 5.750 | 01/15/30 | 936,038 | |||||||||||
865,000 | 4.625 | 12/01/30 | 661,725 | |||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.(a)(c) | ||||||||||||||
1,620,000 | 5.375 | 08/15/26 | 583,200 | |||||||||||
1,274,000 | 6.625 | 08/15/27 | 264,355 | |||||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.(a)(c) | ||||||||||||||
1,381,000 | 5.875 | 08/15/27 | 1,298,140 | |||||||||||
DISH DBS Corp. | ||||||||||||||
180,000 | 5.875 | 11/15/24 | 174,600 | |||||||||||
275,000 | 7.750 | 07/01/26 | 257,813 | |||||||||||
1,875,000 | 5.250 | (a)(c) | 12/01/26 | 1,715,625 | ||||||||||
1,718,000 | 5.750 | (a)(c) | 12/01/28 | 1,537,610 | ||||||||||
495,000 | 5.125 | 06/01/29 | 383,625 | |||||||||||
Gray Television, Inc.(a)(c) | ||||||||||||||
2,086,000 | 7.000 | 05/15/27 | 2,153,795 | |||||||||||
455,000 | 4.750 | 10/15/30 | 393,575 | |||||||||||
iHeartCommunications, Inc.(c) | ||||||||||||||
137,309 | 8.375 | 05/01/27 | 136,279 | |||||||||||
LCPR Senior Secured Financing DAC(a)(c) | ||||||||||||||
2,186,000 | 6.750 | 10/15/27 | 2,169,620 | |||||||||||
Liberty Interactive LLC | ||||||||||||||
3,961,732 | 4.000 | (c) | 11/15/29 | 2,674,169 | ||||||||||
45,000 | 8.250 | 02/01/30 | 39,375 | |||||||||||
341,912 | 3.750 | (c) | 02/15/30 | 234,637 | ||||||||||
McGraw-Hill Education, Inc.(a)(c) | ||||||||||||||
1,650,000 | 5.750 | 08/01/28 | 1,472,625 | |||||||||||
News Corp.(a)(c) | ||||||||||||||
1,505,000 | 3.875 | 05/15/29 | 1,365,787 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Media – (continued) | ||||||||||||||
Nexstar Media, Inc.(a)(c) | ||||||||||||||
1,290,000 | 5.625 | 07/15/27 | 1,251,300 | |||||||||||
Paramount Global(c) (i)(5 year CMT + 3.999%) | ||||||||||||||
720,000 | 6.375 | 03/30/62 | 696,600 | |||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(a)(c) | ||||||||||||||
1,239,000 | 6.500 | 09/15/28 | 1,081,027 | |||||||||||
Salem Media Group, Inc.(a)(c) | ||||||||||||||
1,012,000 | 6.750 | 06/01/24 | 961,400 | |||||||||||
Sinclair Television Group, Inc.(a)(c) | ||||||||||||||
1,601,000 | 5.500 | 03/01/30 | 1,304,815 | |||||||||||
1,542,000 | 4.125 | 12/01/30 | 1,276,005 | |||||||||||
Sirius XM Radio, Inc.(a)(c) | ||||||||||||||
312,000 | 5.000 | 08/01/27 | 301,080 | |||||||||||
475,000 | 5.500 | 07/01/29 | 458,375 | |||||||||||
310,000 | 3.875 | 09/01/31 | 261,175 | |||||||||||
Spanish Broadcasting System, Inc.(a)(c) | ||||||||||||||
1,045,000 | 9.750 | 03/01/26 | 1,021,488 | |||||||||||
Summer BidCo B.V.(a)(c)(h) (PIK 9.750%, Cash 9.000%) | ||||||||||||||
EUR | 550,000 | 9.000 | 11/15/25 | 561,064 | ||||||||||
TEGNA, Inc.(c) | ||||||||||||||
$ | 2,173,000 | 4.625 | 03/15/28 | 2,086,080 | ||||||||||
Telenet Finance Luxembourg Notes S.a.r.l.(a)(c) | ||||||||||||||
2,200,000 | 5.500 | 03/01/28 | 2,095,500 | |||||||||||
Univision Communications, Inc.(a)(c) | ||||||||||||||
1,127,000 | 6.625 | 06/01/27 | 1,132,635 | |||||||||||
Urban One, Inc.(a)(c) | ||||||||||||||
1,835,000 | 7.375 | 02/01/28 | 1,779,950 | |||||||||||
Virgin Media Vendor Financing Notes IV DAC(a)(c) | ||||||||||||||
450,000 | 5.000 | 07/15/28 | 408,938 | |||||||||||
VTR Finance NV(a)(c) | ||||||||||||||
900,000 | 6.375 | 07/15/28 | 814,500 | |||||||||||
VZ Secured Financing B.V.(a)(c) | ||||||||||||||
1,755,000 | 5.000 | 01/15/32 | 1,524,656 | |||||||||||
|
| |||||||||||||
46,875,778 | ||||||||||||||
|
| |||||||||||||
Mining(c) – 1.1% | ||||||||||||||
First Quantum Minerals Ltd.(a) | ||||||||||||||
2,110,000 | 7.500 | 04/01/25 | 2,131,100 | |||||||||||
500,000 | 6.875 | 03/01/26 | 498,219 | |||||||||||
FMG Resources August 2006 Pty Ltd.(a) | ||||||||||||||
1,488,000 | 5.875 | 04/15/30 | 1,473,120 | |||||||||||
Freeport Indonesia PT(a) | ||||||||||||||
1,055,000 | 5.315 | 04/14/32 | 1,020,185 | |||||||||||
Freeport-McMoRan, Inc. | ||||||||||||||
370,000 | 4.625 | 08/01/30 | 359,825 | |||||||||||
2,100,000 | 5.450 | 03/15/43 | 2,102,625 | |||||||||||
Hecla Mining Co. | ||||||||||||||
965,000 | 7.250 | 02/15/28 | 974,650 | |||||||||||
Mountain Province Diamonds, Inc.(a) | ||||||||||||||
3,440,000 | 8.000 | 12/15/22 | 3,371,200 | |||||||||||
New Gold, Inc.(a) | ||||||||||||||
730,000 | 7.500 | 07/15/27 | 734,562 | |||||||||||
Northwest Acquisitions ULC/Dominion Finco, Inc.(a)(e) | ||||||||||||||
1,260,000 | 7.125 | 11/01/22 | 13 | |||||||||||
|
| |||||||||||||
12,665,499 | ||||||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Miscellaneous Manufacturing(a)(c) – 0.1% | ||||||||||||||
LSB Industries, Inc. | ||||||||||||||
$ | 1,020,000 | 6.250 | % | 10/15/28 | $ | 1,000,875 | ||||||||
|
| |||||||||||||
Oil Field Services – 5.0% | ||||||||||||||
Antero Resources Corp.(a)(c) | ||||||||||||||
355,000 | 7.625 | 02/01/29 | 372,750 | |||||||||||
Apache Corp.(c) | ||||||||||||||
335,000 | 5.100 | 09/01/40 | 303,175 | |||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a)(c) | ||||||||||||||
515,000 | 5.875 | 06/30/29 | 496,975 | |||||||||||
Chesapeake Energy Corp.(e)(k) | ||||||||||||||
195,000 | 7.000 | 10/01/24 | 3,656 | |||||||||||
935,000 | 7.500 | 10/01/26 | 17,531 | |||||||||||
Citgo Holding, Inc.(a)(c) | ||||||||||||||
395,000 | 9.250 | 08/01/24 | 392,038 | |||||||||||
CITGO Petroleum Corp.(a)(c) | ||||||||||||||
1,771,000 | 7.000 | 06/15/25 | 1,753,290 | |||||||||||
45,000 | 6.375 | 06/15/26 | 44,663 | |||||||||||
Colgate Energy Partners III LLC(a)(c) | ||||||||||||||
464,000 | 7.750 | 02/15/26 | 483,720 | |||||||||||
1,445,000 | 5.875 | 07/01/29 | 1,430,550 | |||||||||||
Comstock Resources, Inc.(a)(c) | ||||||||||||||
1,779,000 | 6.750 | 03/01/29 | 1,796,790 | |||||||||||
Earthstone Energy Holdings LLC | ||||||||||||||
1,144,000 | 8.000 | 04/15/27 | 1,138,280 | |||||||||||
Ecopetrol SA(c) | ||||||||||||||
1,279,000 | 4.625 | 11/02/31 | 1,068,604 | |||||||||||
776,000 | 5.875 | 11/02/51 | 587,820 | |||||||||||
EQT Corp.(c) | ||||||||||||||
185,000 | 6.625 | 02/01/25 | 192,169 | |||||||||||
1,022,000 | 7.500 | 02/01/30 | 1,129,310 | |||||||||||
Guara Norte S.a.r.l.(a) | ||||||||||||||
1,544,859 | 5.198 | 06/15/34 | 1,366,428 | |||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.(a)(c) | ||||||||||||||
560,000 | 5.750 | 02/01/29 | 546,000 | |||||||||||
KazMunayGas National Co. JSC(c) | ||||||||||||||
1,123,000 | 3.500 | 04/14/33 | 932,090 | |||||||||||
Kosmos Energy Ltd.(c) | ||||||||||||||
671,000 | 7.125 | 04/04/26 | 655,190 | |||||||||||
1,142,000 | 7.750 | (a) | 05/01/27 | 1,119,160 | ||||||||||
Laredo Petroleum, Inc.(c) | ||||||||||||||
1,065,000 | 10.125 | 01/15/28 | 1,118,250 | |||||||||||
Matador Resources Co.(c) | ||||||||||||||
1,219,000 | 5.875 | 09/15/26 | 1,197,667 | |||||||||||
MEG Energy Corp.(a)(c) | ||||||||||||||
3,516,000 | 7.125 | 02/01/27 | 3,559,950 | |||||||||||
Northern Oil & Gas, Inc.(a)(c) | ||||||||||||||
760,000 | 8.125 | 03/01/28 | 756,200 | |||||||||||
NuVista Energy Ltd.(a)(c) | ||||||||||||||
CAD | 1,250,000 | 7.875 | 07/23/26 | 1,016,814 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||||
$ | 270,000 | 5.550 | (c) | 03/15/26 | 276,750 | |||||||||
1,269,000 | 8.500 | (c) | 07/15/27 | 1,437,142 | ||||||||||
550,000 | 7.500 | 05/01/31 | 627,000 | |||||||||||
175,000 | 6.450 | 09/15/36 | 189,875 | |||||||||||
505,000 | 4.625 | (c) | 06/15/45 | 435,563 | ||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Oil Field Services – (continued) | ||||||||||||||
PBF Holding Co. LLC/PBF Finance Corp.(c) | ||||||||||||||
1,055,000 | 9.250 | %(a) | 05/15/25 | 1,091,925 | ||||||||||
655,000 | 7.250 | 06/15/25 | 632,075 | |||||||||||
Penn Virginia Escrow LLC(a)(c) | ||||||||||||||
1,219,000 | 9.250 | 08/15/26 | 1,255,570 | |||||||||||
Petroleos de Venezuela SA(e) | ||||||||||||||
700,000 | 6.000 | 11/15/26 | 47,250 | |||||||||||
Petroleos del Peru SA | ||||||||||||||
992,000 | 5.625 | 06/19/47 | 720,688 | |||||||||||
Petroleos Mexicanos | ||||||||||||||
1,076,000 | 6.500 | 03/13/27 | 1,027,892 | |||||||||||
1,323,000 | 6.840 | (c) | 01/23/30 | 1,205,650 | ||||||||||
1,994,000 | 5.950 | (c) | 01/28/31 | 1,673,345 | ||||||||||
3,936,000 | 6.700 | (c) | 02/16/32 | 3,391,572 | ||||||||||
1,048,000 | 6.375 | 01/23/45 | 749,697 | |||||||||||
1,815,000 | 6.750 | 09/21/47 | 1,310,757 | |||||||||||
1,504,000 | 7.690 | (c) | 01/23/50 | 1,173,872 | ||||||||||
Petronas Capital Ltd.(c) | ||||||||||||||
1,772,000 | 3.500 | 04/21/30 | 1,689,912 | |||||||||||
887,000 | 2.480 | 01/28/32 | 766,324 | |||||||||||
1,258,000 | 4.550 | 04/21/50 | 1,261,365 | |||||||||||
Qatar Energy(c) | ||||||||||||||
2,438,000 | 2.250 | 07/12/31 | 2,133,250 | |||||||||||
312,000 | 3.125 | 07/12/41 | 260,091 | |||||||||||
SA Global Sukuk Ltd.(c) | ||||||||||||||
567,000 | 1.602 | 06/17/26 | 520,279 | |||||||||||
Saudi Arabian Oil Co.(c) | ||||||||||||||
1,717,000 | 1.625 | 11/24/25 | 1,593,376 | |||||||||||
Shelf Drilling Holdings Ltd.(a)(c) | ||||||||||||||
1,960,000 | 8.250 | 02/15/25 | 1,639,417 | |||||||||||
Strathcona Resources Ltd.(a)(c) | ||||||||||||||
1,670,000 | 6.875 | 08/01/26 | 1,615,725 | |||||||||||
Tengizchevroil Finance Co. International Ltd.(c) | ||||||||||||||
1,198,000 | 2.625 | 08/15/25 | 1,055,588 | |||||||||||
Transocean Pontus Ltd.(a)(c) | ||||||||||||||
1,950,165 | 6.125 | 08/01/25 | 1,916,037 | |||||||||||
Transocean, Inc. | ||||||||||||||
1,030,000 | 11.500 | (a)(c) | 01/30/27 | 1,024,850 | ||||||||||
480,000 | 7.500 | 04/15/31 | 316,800 | |||||||||||
| Wintershall Dea Finance 2 BV(c)(i) (-1X 5 year EUR Swap + | | ||||||||||||
EUR | 1,100,000 | 3.000 | 12/31/99 | 932,824 | ||||||||||
YPF SA | ||||||||||||||
$ | 112,218 | 4.000 | 02/12/26 | 100,155 | ||||||||||
|
| |||||||||||||
57,551,686 | ||||||||||||||
|
| |||||||||||||
Packaging(a)(c) – 0.4% | ||||||||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal | | ||||||||||||
EUR | 250,000 | 2.000 | 09/01/28 | 224,016 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | ||||||||||||||
$ | 565,000 | 4.125 | 08/15/26 | 524,037 | ||||||||||
770,000 | 5.250 | 08/15/27 | 661,237 | |||||||||||
| Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. | | ||||||||||||
1,637,000 | 6.000 | 09/15/28 | 1,549,011 | |||||||||||
|
|
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) | ||||||||||||||
Packaging(a)(c) – (continued) | ||||||||||||||
Mauser Packaging Solutions Holding Co. | ||||||||||||||
EUR | 450,000 | 4.750 | % | 04/15/24 | $ | 464,545 | ||||||||
$ | 500,000 | 7.250 | 04/15/25 | 473,750 | ||||||||||
OI European Group BV | ||||||||||||||
50,000 | 4.750 | 02/15/30 | 44,250 | |||||||||||
Owens-Brockway Glass Container, Inc. | ||||||||||||||
386,000 | 6.625 | 05/13/27 | 382,623 | |||||||||||
|
| |||||||||||||
4,323,469 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals – 1.1% | ||||||||||||||
AdaptHealth LLC(a)(c) | ||||||||||||||
880,000 | 4.625 | 08/01/29 | 743,600 | |||||||||||
Bausch Health Cos., Inc.(a)(c) | ||||||||||||||
195,000 | 7.000 | 01/15/28 | 160,388 | |||||||||||
2,355,000 | 6.250 | 02/15/29 | 1,719,150 | |||||||||||
1,500,000 | 5.250 | 01/30/30 | 1,053,750 | |||||||||||
Bormioli Pharma SpA(a)(c)(i) (3M Euribor + 3.500%) | ||||||||||||||
EUR | 450,000 | 3.500 | 11/15/24 | 443,932 | ||||||||||
Embecta Corp.(a)(c) | ||||||||||||||
$ | 690,000 | 5.000 | 02/15/30 | 622,725 | ||||||||||
220,000 | 6.750 | 02/15/30 | 213,400 | |||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(a)(c) | ||||||||||||||
1,183,000 | 9.500 | 07/31/27 | 934,570 | |||||||||||
946,000 | 6.000 | 06/30/28 | 406,780 | |||||||||||
Gruenenthal GmbH(c) | ||||||||||||||
EUR | 757,000 | 3.625 | 11/15/26 | 754,946 | ||||||||||
Lannett Co., Inc.(a)(c) | ||||||||||||||
$ | 2,355,000 | 7.750 | 04/15/26 | 1,221,656 | ||||||||||
Nidda BondCo GmbH(a)(c) | ||||||||||||||
EUR | 450,000 | 5.000 | 09/30/25 | 424,183 | ||||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV(a)(c) | ||||||||||||||
$ | 895,000 | 5.125 | 04/30/31 | 812,213 | ||||||||||
Owens & Minor, Inc.(a)(c) | ||||||||||||||
575,000 | 6.625 | 04/01/30 | 566,375 | |||||||||||
Par Pharmaceutical, Inc.(a)(c) | ||||||||||||||
905,000 | 7.500 | 04/01/27 | 832,600 | |||||||||||
Teva Pharmaceutical Finance Co. B.V. | ||||||||||||||
715,000 | 2.950 | 12/18/22 | 707,850 | |||||||||||
Teva Pharmaceutical Finance Netherlands II BV(c) | ||||||||||||||
EUR | 810,000 | 4.375 | 05/09/30 | 753,045 | ||||||||||
|
| |||||||||||||
12,371,163 | ||||||||||||||
|
| |||||||||||||
Pipelines – 2.3% | ||||||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp.(a)(c) | ||||||||||||||
$ | 384,000 | 7.625 | 12/15/25 | 395,520 | ||||||||||
Cheniere Energy Partners LP(c) | ||||||||||||||
306,000 | 4.500 | 10/01/29 | 292,995 | |||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC(a)(c) | ||||||||||||||
1,732,000 | 5.500 | 06/15/31 | 1,593,440 | |||||||||||
DCP Midstream Operating LP | ||||||||||||||
420,000 | 5.625 | (c) | 07/15/27 | 424,725 | ||||||||||
425,000 | 8.125 | 08/16/30 | 499,375 | |||||||||||
EIG Pearl Holdings S.a.r.l(a) | ||||||||||||||
672,000 | 3.545 | 08/31/36 | 594,612 | |||||||||||
841,000 | 4.387 | 11/30/46 | 708,542 | |||||||||||
EnLink Midstream LLC(c) | ||||||||||||||
390,000 | 5.625 | (a) | 01/15/28 | 386,588 | ||||||||||
507,000 | 5.375 | 06/01/29 | 491,790 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Pipelines – (continued) | ||||||||||||||
EQM Midstream Partners LP(c) | ||||||||||||||
199,000 | 6.500 | 07/15/48 | 183,080 | |||||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||||||||
1,877,520 | 2.160 | 03/31/34 | 1,633,631 | |||||||||||
3,462,718 | 2.940 | 09/30/40 | 2,869,000 | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp.(c) | ||||||||||||||
330,000 | 8.000 | 01/15/27 | 323,400 | |||||||||||
1,650,000 | 7.750 | 02/01/28 | 1,575,750 | |||||||||||
Global Partners LP/GLP Finance Corp.(c) | ||||||||||||||
1,402,000 | 7.000 | 08/01/27 | 1,370,455 | |||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. | ||||||||||||||
1,000,000 | 6.375 | 04/15/27 | 1,022,500 | |||||||||||
Howard Midstream Energy Partners LLC(a)(c) | ||||||||||||||
760,000 | 6.750 | 01/15/27 | 729,600 | |||||||||||
ITT Holdings LLC(a)(c) | ||||||||||||||
2,296,000 | 6.500 | 08/01/29 | 2,031,960 | |||||||||||
KazTransGas JSC | ||||||||||||||
1,440,000 | 4.375 | 09/26/27 | 1,312,470 | |||||||||||
New Fortress Energy, Inc.(a)(c) | ||||||||||||||
425,000 | 6.500 | 09/30/26 | 410,125 | |||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp.(a)(c) | ||||||||||||||
845,000 | 7.500 | 02/01/26 | 794,300 | |||||||||||
NGL Energy Partners LP/NGL Energy Finance Corp.(c) | ||||||||||||||
805,000 | 7.500 | 11/01/23 | 744,625 | |||||||||||
1,480,000 | 6.125 | 03/01/25 | 1,228,400 | |||||||||||
725,000 | 7.500 | 04/15/26 | 601,750 | |||||||||||
| Summit Midstream Holdings LLC/Summit Midstream Finance | | ||||||||||||
278,000 | 8.500 | 10/15/26 | 258,540 | |||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a)(c) | ||||||||||||||
1,180,000 | 6.000 | 03/01/27 | 1,129,850 | |||||||||||
1,658,000 | 6.000 | 12/31/30 | 1,529,505 | |||||||||||
Venture Global Calcasieu Pass LLC(a)(c) | ||||||||||||||
750,000 | 3.875 | 08/15/29 | 684,375 | |||||||||||
Western Midstream Operating LP(c) | ||||||||||||||
363,000 | 5.750 | 02/01/50 | 319,440 | |||||||||||
|
| |||||||||||||
26,140,343 | ||||||||||||||
|
| |||||||||||||
Real Estate – 0.3% | ||||||||||||||
ADLER Group SA(c) | ||||||||||||||
EUR | 1,100,000 | 1.875 | 01/14/26 | 789,312 | ||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp.(a)(c) | ||||||||||||||
$ | 1,500,000 | 5.250 | 04/15/30 | 1,209,375 | ||||||||||
WeWork Cos., Inc.(a) | ||||||||||||||
1,965,000 | 7.875 | 05/01/25 | 1,680,075 | |||||||||||
|
| |||||||||||||
3,678,762 | ||||||||||||||
|
| |||||||||||||
Real Estate Investment Trust(c) – 0.6% | ||||||||||||||
| Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus | | ||||||||||||
560,000 | 4.500 | 04/01/27 | 511,385 | |||||||||||
CTR Partnership LP/CareTrust Capital Corp.(a) | ||||||||||||||
1,205,000 | 3.875 | 06/30/28 | 1,090,525 | |||||||||||
Diversified Healthcare Trust | ||||||||||||||
800,000 | 9.750 | 06/15/25 | 837,709 | |||||||||||
225,000 | 4.375 | 03/01/31 | 175,358 | |||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Real Estate Investment Trust(c) – (continued) | ||||||||||||||
| Global Net Lease, Inc./Global Net Lease Operating Partnership | | ||||||||||||
$ | 808,000 | 3.750 | % | 12/15/27 | $ | 727,329 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC(a) | ||||||||||||||
251,000 | 6.000 | 04/15/25 | 254,765 | |||||||||||
151,000 | 3.375 | 06/15/26 | 139,298 | |||||||||||
Iron Mountain, Inc.(a) | ||||||||||||||
395,000 | 5.250 | 03/15/28 | 378,212 | |||||||||||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance | | ||||||||||||
395,000 | 4.250 | 02/01/27 | 363,400 | |||||||||||
New Residential Investment Corp.(a) | ||||||||||||||
1,170,000 | 6.250 | 10/15/25 | 1,114,425 | |||||||||||
Service Properties Trust | ||||||||||||||
490,000 | 4.950 | 02/15/27 | 427,525 | |||||||||||
385,000 | 4.375 | 02/15/30 | 296,492 | |||||||||||
Starwood Property Trust, Inc.(a) | ||||||||||||||
155,000 | 3.750 | 12/31/24 | 149,110 | |||||||||||
645,000 | 4.375 | 01/15/27 | 599,850 | |||||||||||
VICI Properties LP/VICI Note Co., Inc.(a) | ||||||||||||||
200,000 | 3.750 | 02/15/27 | 184,500 | |||||||||||
|
| |||||||||||||
7,249,883 | ||||||||||||||
|
| |||||||||||||
Retailing – 1.9% | ||||||||||||||
Asbury Automotive Group, Inc.(c) | ||||||||||||||
440,000 | 4.500 | 03/01/28 | 409,200 | |||||||||||
1,115,000 | 4.625 | (a) | 11/15/29 | 1,003,500 | ||||||||||
Bath & Body Works, Inc. | ||||||||||||||
275,000 | 6.875 | 11/01/35 | 269,500 | |||||||||||
725,000 | 6.750 | 07/01/36 | 703,250 | |||||||||||
| BCPE Ulysses Intermediate, Inc.(a)(c)(h)(i) (PIK 8.500%, Cash | | ||||||||||||
925,667 | 7.750 | 04/01/27 | 786,817 | |||||||||||
Canwel Building Material Co.(a)(c) | ||||||||||||||
CAD | 2,340,000 | 5.250 | 05/15/26 | 1,712,217 | ||||||||||
Carvana Co. | ||||||||||||||
$ | 255,000 | 5.500 | (a)(c) | 04/15/27 | 209,100 | |||||||||
100,000 | 10.250 | 05/01/30 | 98,375 | |||||||||||
Constellation Automotive Financing PLC(c) | ||||||||||||||
GBP | 830,000 | 4.875 | (a) | 07/15/27 | 895,617 | |||||||||
550,000 | 4.875 | 07/15/27 | 593,481 | |||||||||||
eG Global Finance PLC(a)(c) | ||||||||||||||
EUR | 400,000 | 3.625 | 02/07/24 | 408,118 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp.(a)(c) | ||||||||||||||
$ | 2,340,000 | 5.375 | 04/01/26 | 2,117,700 | ||||||||||
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America | | ||||||||||||
545,000 | 4.750 | 06/01/27 | 542,275 | |||||||||||
LBM Acquisition LLC(a)(c) | ||||||||||||||
1,816,000 | 6.250 | 01/15/29 | 1,507,280 | |||||||||||
LCM Investments Holdings II LLC(a)(c) | ||||||||||||||
514,000 | 4.875 | 05/01/29 | 450,393 | |||||||||||
Lithia Motors, Inc.(a)(c) | ||||||||||||||
385,000 | 3.875 | 06/01/29 | 350,350 | |||||||||||
Mobilux Finance SAS(a)(c) | ||||||||||||||
EUR | 400,000 | 4.250 | 07/15/28 | 380,605 | ||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Retailing – (continued) | ||||||||||||||
Neiman Marcus Group Ltd. LLC(k)(l) | ||||||||||||||
$ | 605,000 | 8.000 | 10/15/21 | 207,109 | ||||||||||
Rite Aid Corp. | ||||||||||||||
896,000 | 8.000 | (a)(c) | 11/15/26 | 754,880 | ||||||||||
390,000 | 7.700 | 02/15/27 | 269,100 | |||||||||||
125,000 | 6.875 | (a) | 12/15/28 | 87,031 | ||||||||||
Shiba Bidco SpA(a)(c) | ||||||||||||||
EUR | 450,000 | 4.500 | 10/31/28 | 443,158 | ||||||||||
| Specialty Building Products Holdings LLC/SBP Finance | | ||||||||||||
$ | 1,050,000 | 6.375 | 09/30/26 | 1,026,375 | ||||||||||
SRS Distribution, Inc.(a)(c) | ||||||||||||||
450,000 | 4.625 | 07/01/28 | 410,625 | |||||||||||
Staples, Inc.(i) (3M USD LIBOR) | ||||||||||||||
500,000 | 5.563 | 09/12/24 | 491,145 | |||||||||||
Stonegate Pub Co Financing 2019 PLC(c) | ||||||||||||||
GBP | 709,000 | 8.250 | 07/31/25 | 900,840 | ||||||||||
300,000 | 8.250 | (a) | 07/31/25 | 381,079 | ||||||||||
The Gap, Inc.(a)(c) | ||||||||||||||
$ | 1,590,000 | 3.625 | 10/01/29 | 1,295,850 | ||||||||||
The Michaels Cos., Inc.(a)(c) | ||||||||||||||
1,110,000 | 5.250 | 05/01/28 | 951,825 | |||||||||||
929,000 | 7.875 | 05/01/29 | 738,555 | |||||||||||
White Cap Parent LLC(a)(c) | ||||||||||||||
1,098,000 | 8.250 | 03/15/26 | 1,059,570 | |||||||||||
Yum! Brands, Inc. | ||||||||||||||
615,000 | 6.875 | 11/15/37 | 651,131 | |||||||||||
|
| |||||||||||||
22,106,051 | ||||||||||||||
|
| |||||||||||||
Software(a)(c) – 0.3% | ||||||||||||||
Castle U.S. Holding Corp. | ||||||||||||||
750,000 | 9.500 | 02/15/28 | 688,125 | |||||||||||
Clarivate Science Holdings Corp. | ||||||||||||||
176,000 | 4.875 | 07/01/29 | 154,880 | |||||||||||
Elastic NV | ||||||||||||||
486,000 | 4.125 | 07/15/29 | 435,577 | |||||||||||
Open Text Holdings, Inc. | ||||||||||||||
480,000 | 4.125 | 02/15/30 | 427,200 | |||||||||||
PTC, Inc. | ||||||||||||||
445,000 | 4.000 | 02/15/28 | 414,963 | |||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | ||||||||||||||
1,290,000 | 7.500 | 09/01/25 | 1,135,200 | |||||||||||
|
| |||||||||||||
3,255,945 | ||||||||||||||
|
| |||||||||||||
Sovereign – 0.3% | ||||||||||||||
CBB International Sukuk Programme Co. WLL(a) | ||||||||||||||
788,000 | 3.875 | 05/18/29 | 734,465 | |||||||||||
KSA Sukuk Ltd.(a) | ||||||||||||||
1,739,000 | 2.250 | 05/17/31 | 1,543,363 | |||||||||||
Malaysia Wakala Sukuk Bhd | ||||||||||||||
1,320,000 | 2.070 | 04/28/31 | 1,178,760 | |||||||||||
|
| |||||||||||||
3,456,588 | ||||||||||||||
|
| |||||||||||||
Telecommunication Services – 1.9% | ||||||||||||||
Altice France Holding SA(c) | ||||||||||||||
EUR | 614,000 | 8.000 | 05/15/27 | 656,005 | ||||||||||
|
|
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) | ||||||||||||||
Telecommunication Services – (continued) | ||||||||||||||
Altice France SA(a)(c) | ||||||||||||||
$ | 1,200,000 | 5.500 | % | 10/15/29 | $ | 1,023,000 | ||||||||
America Movil SAB de CV(a)(c) | ||||||||||||||
2,402,000 | 5.375 | 04/04/32 | 2,185,099 | |||||||||||
Avaya, Inc.(a)(c) | ||||||||||||||
351,000 | 6.125 | 09/15/28 | 323,359 | |||||||||||
Ciena Corp.(a)(c) | ||||||||||||||
620,000 | 4.000 | 01/31/30 | 567,300 | |||||||||||
CommScope, Inc.(a)(c) | ||||||||||||||
2,717,000 | 8.250 | 03/01/27 | 2,309,450 | |||||||||||
965,000 | 7.125 | 07/01/28 | 773,206 | |||||||||||
DKT Finance ApS(a)(c) | ||||||||||||||
EUR | 500,000 | 7.000 | 06/17/23 | 524,574 | ||||||||||
Iliad Holding SAS(a)(c) | ||||||||||||||
$ | 2,063,000 | 6.500 | 10/15/26 | 1,980,480 | ||||||||||
1,545,000 | 7.000 | 10/15/28 | 1,473,544 | |||||||||||
Iliad Holding SASU(a)(c) | ||||||||||||||
EUR | 450,000 | 5.625 | 10/15/28 | 450,554 | ||||||||||
Level 3 Financing, Inc.(a)(c) | ||||||||||||||
$ | 149,000 | 4.625 | 09/15/27 | 134,100 | ||||||||||
200,000 | 4.250 | 07/01/28 | 170,500 | |||||||||||
96,000 | 3.625 | 01/15/29 | 78,480 | |||||||||||
Lumen Technologies, Inc.(a)(c) | ||||||||||||||
165,000 | 4.500 | 01/15/29 | 130,763 | |||||||||||
835,000 | 5.375 | 06/15/29 | 686,787 | |||||||||||
MetroNet Systems Holdings LLC(i) (1M USD LIBOR) | ||||||||||||||
496,259 | 4.553 | 06/02/28 | 491,297 | |||||||||||
SoftBank Group Corp.(c) | ||||||||||||||
EUR | 1,580,000 | 3.375 | 07/06/29 | 1,332,390 | ||||||||||
Telecom Italia Capital SA | ||||||||||||||
$ | 376,000 | 6.000 | 09/30/34 | 321,480 | ||||||||||
Telecom Italia Finance SA | ||||||||||||||
EUR | 578,000 | 7.750 | 01/24/33 | 684,518 | ||||||||||
Telecom Italia SpA(a) | ||||||||||||||
$ | 1,445,000 | 5.303 | 05/30/24 | 1,416,100 | ||||||||||
Telesat Canada/Telesat LLC(a)(c) | ||||||||||||||
299,000 | 5.625 | 12/06/26 | 213,038 | |||||||||||
206,000 | 6.500 | 10/15/27 | 88,220 | |||||||||||
Total Play Telecomunicaciones SA de CV(a)(c) | ||||||||||||||
846,000 | 7.500 | 11/12/25 | 779,800 | |||||||||||
1,662,000 | 6.375 | 09/20/28 | 1,391,717 | |||||||||||
Trilogy International South Pacific LLC/TISP Finance, Inc.(a)(c) | ||||||||||||||
747,246 | 8.875 | 05/15/23 | 736,037 | |||||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.(a)(c) | ||||||||||||||
570,000 | 7.750 | 08/15/28 | 545,775 | |||||||||||
|
| |||||||||||||
21,467,573 | ||||||||||||||
|
| |||||||||||||
Transportation(a)(c) – 0.1% | ||||||||||||||
Cargo Aircraft Management, Inc. | ||||||||||||||
445,000 | 4.750 | 02/01/28 | 416,075 | |||||||||||
Western Global Airlines LLC | ||||||||||||||
610,000 | 10.375 | 08/15/25 | 625,250 | |||||||||||
|
| |||||||||||||
1,041,325 | ||||||||||||||
|
| |||||||||||||
Trucking & Leasing(a)(c) – 0.2% | ||||||||||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||||||||
635,000 | 9.750 | 08/01/27 | 647,700 | |||||||||||
|
| |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Trucking & Leasing(a)(c) – (continued) | ||||||||||||||
| Fortress Transportation & Infrastructure Investors | | ||||||||||||
2,261,000 | 5.500 | 05/01/28 | 1,950,112 | |||||||||||
|
| |||||||||||||
2,597,812 | ||||||||||||||
|
| |||||||||||||
Water Utilities – 0.1% | ||||||||||||||
Aegea Finance Sarl | ||||||||||||||
1,406,000 | 6.750 | 05/20/29 | 1,370,850 | |||||||||||
|
| |||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $489,773,963) | $ | 447,470,043 | ||||||||||||
|
| |||||||||||||
Bank Loans(m) – 21.5% | ||||||||||||||
Advertising(i) – 0.4% | ||||||||||||||
Clear Channel Outdoor Holdings, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
$ | 4,163,870 | 4.739 | % | 08/21/26 | $ | 4,058,483 | ||||||||
|
| |||||||||||||
Aerospace & Defense – 0.2% | ||||||||||||||
Dynasty Acquisition Co., Inc.(i) | ||||||||||||||
(3M LIBOR + 3.500%) | ||||||||||||||
997,442 | 4.506 | 04/06/26 | 976,556 | |||||||||||
TransDigm, Inc.(i) (1M LIBOR + 2.250%) | ||||||||||||||
241,872 | 3.014 | 08/22/24 | 237,942 | |||||||||||
WP CPP Holdings LLC | ||||||||||||||
498,766 | 5.085 | 04/30/25 | 469,837 | |||||||||||
|
| |||||||||||||
1,684,335 | ||||||||||||||
|
| |||||||||||||
Airlines(i) – 0.7% | ||||||||||||||
AAdvantage Loyalty IP Ltd. (3M LIBOR + 4.750%) | ||||||||||||||
1,750,000 | 5.813 | 04/20/28 | 1,779,645 | |||||||||||
Air Canada (3M LIBOR + 3.500%) | ||||||||||||||
500,000 | 4.250 | 08/11/28 | 494,375 | |||||||||||
Allegiant Travel Co. (3M LIBOR + 3.000%) | ||||||||||||||
738,617 | 3.469 | 02/05/24 | 731,969 | |||||||||||
American Airlines, Inc. (3M LIBOR + 2.000%) | ||||||||||||||
99,532 | 2.840 | 12/15/23 | 98,475 | |||||||||||
Kestrel Bidco, Inc. (6M LIBOR + 3.000%) | ||||||||||||||
1,718,167 | 4.000 | 12/11/26 | 1,658,684 | |||||||||||
Mileage Plus Holdings LLC (3M LIBOR + 5.250%) | ||||||||||||||
250,000 | 6.250 | 06/21/27 | 259,063 | |||||||||||
United Airlines, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
2,731,842 | 4.500 | 04/21/28 | 2,706,081 | |||||||||||
|
| |||||||||||||
7,728,292 | ||||||||||||||
|
| |||||||||||||
Apparel(i) – 0.1% | ||||||||||||||
Birkenstock GmbH & Co. KG (6M LIBOR + 3.250%) | ||||||||||||||
1,116,873 | 3.750 | 04/28/28 | 1,081,971 | |||||||||||
Boardriders, Inc. (3M LIBOR + 6.500%) | ||||||||||||||
523,891 | 7.500 | 04/23/24 | 487,219 | |||||||||||
|
| |||||||||||||
1,569,190 | ||||||||||||||
|
| |||||||||||||
Automotive Parts & Equipment(i) – 0.1% | ||||||||||||||
Clarios Global LP (1M LIBOR + 3.250%) | ||||||||||||||
482,544 | 4.014 | 04/30/26 | 474,302 | |||||||||||
First Brands Group LLC (3M LIBOR + 5.000%) | ||||||||||||||
374,055 | 6.000 | 03/30/27 | 372,537 | |||||||||||
|
| |||||||||||||
846,839 | ||||||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Beverages(i) – 0.1% | ||||||||||||||
Triton Water Holdings, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
$ | 1,241,248 | 4.506 | % | 03/31/28 | $ | 1,203,861 | ||||||||
|
| |||||||||||||
Building Materials(i) – 0.1% | ||||||||||||||
Ingersoll-Rand Services Co. (1M LIBOR + 1.750%) | ||||||||||||||
94,297 | 2.514 | 03/01/27 | 93,014 | |||||||||||
Solis IV B.V. (3M SOFR + 3.500%) | ||||||||||||||
500,000 | 4.000 | 02/26/29 | 475,125 | |||||||||||
|
| |||||||||||||
568,139 | ||||||||||||||
|
| |||||||||||||
Chemicals – 0.3% | ||||||||||||||
Atotech B.V.(i) (1M LIBOR + 2.500%) | ||||||||||||||
1,244,410 | 3.264 | 03/18/28 | 1,232,849 | |||||||||||
H.B. Fuller Co.(i) (1M LIBOR + 2.000%) | ||||||||||||||
251,028 | 2.594 | 10/20/24 | 250,433 | |||||||||||
Lonza Group AG(i) (6M LIBOR + 4.000%) | ||||||||||||||
748,125 | 5.006 | 07/03/28 | 725,015 | |||||||||||
Messer Industries GmbH(i) (3M LIBOR + 2.500%) | ||||||||||||||
236,495 | 3.506 | 03/02/26 | 234,097 | |||||||||||
PMHC II, Inc.(n) | ||||||||||||||
500,000 | 0.000 | 04/21/29 | 469,455 | |||||||||||
Vantage Specialty Chemicals, Inc.(i) (3M LIBOR + 3.500%) | ||||||||||||||
498,698 | 4.500 | 10/28/24 | 479,373 | |||||||||||
WR Grace & Co-Conn(i) (3M LIBOR + 3.750%) | ||||||||||||||
249,375 | 4.813 | 09/22/28 | 246,944 | |||||||||||
|
| |||||||||||||
3,638,166 | ||||||||||||||
|
| |||||||||||||
Commercial Services(i) – 1.9% | ||||||||||||||
Allied Universal Holdco LLC (1M LIBOR + 3.750%) | ||||||||||||||
997,494 | 4.250 | 05/12/28 | 970,581 | |||||||||||
CHG Healthcare Services, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
1,119,375 | 4.000 | 09/29/28 | 1,111,237 | |||||||||||
CoreLogic, Inc. | ||||||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
498,747 | 4.000 | 06/02/28 | 467,575 | |||||||||||
(1M LIBOR + 6.500%) | ||||||||||||||
500,000 | 7.264 | (l) | 06/04/29 | 460,000 | ||||||||||
EAB Global, Inc. (1M LIBOR + 3.500%) | ||||||||||||||
997,500 | 4.739 | 08/16/28 | 983,784 | |||||||||||
Fly Funding II S.a.r.l. (3M LIBOR + 1.750%) | ||||||||||||||
854,953 | 2.110 | 08/11/25 | 830,160 | |||||||||||
HGIM Corp. (3M LIBOR + 6.000%) | ||||||||||||||
207,258 | 7.000 | 07/02/23 | 197,103 | |||||||||||
Mavis Tire Express Services Corp. (1M LIBOR + 4.000%) | ||||||||||||||
748,116 | 4.803 | 05/04/28 | 742,924 | |||||||||||
Prime Security Services Borrower LLC (3M LIBOR + 2.750%) | ||||||||||||||
2,228,099 | 3.500 | 09/23/26 | 2,199,624 | |||||||||||
Spin Holdco, Inc. (3M LIBOR + 4.000%) | ||||||||||||||
743,741 | 4.750 | 03/04/28 | 739,836 | |||||||||||
Syniverse Holdings, Inc. (3M LIBOR + 5.000%) | ||||||||||||||
4,657,480 | 6.038 | 03/09/23 | 4,597,957 | |||||||||||
Team Health Holdings, Inc. | ||||||||||||||
(1M LIBOR + 2.750%) | ||||||||||||||
561,124 | 3.750 | 02/06/24 | 521,379 | |||||||||||
(1M SOFR + 5.250%) | ||||||||||||||
3,322,003 | 6.250 | 03/02/27 | 3,114,378 | |||||||||||
|
| |||||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Commercial Services(i) – (continued) | ||||||||||||||
The Hertz Corp. | ||||||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
1,657,426 | 4.014 | 06/30/28 | 1,649,354 | |||||||||||
Travelport Finance (Luxembourg) S.a.r.l. (3M LIBOR + 1.500%) | ||||||||||||||
1,471,225 | 2.506 | 02/28/25 | 1,500,650 | |||||||||||
Verscend Holding Corp. (1M LIBOR + 4.000%) | ||||||||||||||
1,237,526 | 4.764 | 08/27/25 | 1,232,119 | |||||||||||
|
| |||||||||||||
21,318,661 | ||||||||||||||
|
| |||||||||||||
Computers(i) – 0.6% | ||||||||||||||
Ahead Data Blue LLC (3M LIBOR + 3.750%) | ||||||||||||||
503,618 | 4.760 | 10/18/27 | 499,630 | |||||||||||
iQor US, Inc. | ||||||||||||||
(1M LIBOR + 7.500%) | ||||||||||||||
60,134 | 8.500 | 11/19/24 | 59,908 | |||||||||||
(1M LIBOR + 7.500%) | ||||||||||||||
166,144 | 8.500 | 11/19/25 | 139,977 | |||||||||||
Magenta Buyer LLC (3M LIBOR + 5.000%) | ||||||||||||||
993,750 | 6.230 | 07/27/28 | 978,844 | |||||||||||
McAfee LLC (3M SOFR + 4.000%) | ||||||||||||||
1,250,000 | 4.500 | 03/01/29 | 1,215,625 | |||||||||||
NCR Corp. (3M LIBOR + 2.500%) | ||||||||||||||
623,055 | 3.740 | 08/28/26 | 604,363 | |||||||||||
Optiv Security, Inc.(6M LIBOR + 3.250%) | ||||||||||||||
500,000 | 4.250 | 02/01/24 | 490,535 | |||||||||||
Peraton Corp. | ||||||||||||||
(1M LIBOR + 3.750%) | ||||||||||||||
489,729 | 4.514 | 02/01/28 | 485,366 | |||||||||||
(1M LIBOR + 7.750%) | ||||||||||||||
242,702 | 8.500 | 02/01/29 | 239,668 | |||||||||||
Perforce Software, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
244,375 | 4.514 | 07/01/26 | 240,883 | |||||||||||
Tempo Acquisition LLC (1M LIBOR + 2.750%) | ||||||||||||||
80,844 | 3.514 | 05/01/24 | 80,298 | |||||||||||
Virtusa Corp. (1M LIBOR + 3.750%) | ||||||||||||||
741,873 | 4.514 | 02/11/28 | 733,297 | |||||||||||
Vision Solutions, Inc. (3M LIBOR + 4.000%) | ||||||||||||||
995,000 | 4.750 | 04/24/28 | 979,936 | |||||||||||
|
| |||||||||||||
6,748,330 | ||||||||||||||
|
| |||||||||||||
Cosmetics & Personal Care(i) – 0.1% | ||||||||||||||
Coty, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
72,701 | 2.701 | 04/07/25 | 70,689 | |||||||||||
Revlon Consumer Products Corp. (3M LIBOR + 3.500%)(k) | ||||||||||||||
2,721,693 | 4.250 | 09/07/23 | 1,320,021 | |||||||||||
|
| |||||||||||||
1,390,710 | ||||||||||||||
|
| |||||||||||||
Distribution & Wholesale(i) – 0.0% | ||||||||||||||
Core & Main LP (1M LIBOR + 2.500%) | ||||||||||||||
493,134 | 3.198 | 07/27/28 | 484,297 | |||||||||||
|
| |||||||||||||
Diversified Financial Services(i) – 0.2% | ||||||||||||||
Apex Group Treasury LLC (3M LIBOR +3.750%) | ||||||||||||||
748,120 | 4.756 | 07/27/28 | 742,509 | |||||||||||
Astra Acquisition Corp. (1M LIBOR + 5.250%) | ||||||||||||||
931,009 | 6.014 | 10/25/28 | 893,768 | |||||||||||
Delos Finance S.a.r.l. (3M LIBOR + 1.750%) | ||||||||||||||
130,000 | 2.756 | 10/06/23 | 129,420 | |||||||||||
|
|
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 | |||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Diversified Financial Services(i) – (continued) | ||||||||||||||
Ditech Holding Corp. (1M LIBOR + 6.000%) | ||||||||||||||
$ | 234,152 | 7.335 | % | 06/30/22 | $ | 45,269 | ||||||||
|
| |||||||||||||
1,810,966 | ||||||||||||||
|
| |||||||||||||
Electrical(i) – 0.0% | ||||||||||||||
Pacific Gas & Electric Co. (1M LIBOR + 3.000%) | ||||||||||||||
498,731 | 3.813 | 06/23/25 | 491,564 | |||||||||||
|
| |||||||||||||
Electronics(i) – 0.1% | ||||||||||||||
Ingram Micro, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
1,241,247 | 4.506 | 06/30/28 | 1,235,972 | |||||||||||
TTM Technologies, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
125,912 | 2.955 | 09/28/24 | 125,558 | |||||||||||
|
| |||||||||||||
1,361,530 | ||||||||||||||
|
| |||||||||||||
Engineering & Construction – 0.2% | ||||||||||||||
Artera Services LLC | ||||||||||||||
249,372 | 4.500 | 03/06/25 | 233,163 | |||||||||||
Brown Group Holding LLC(i) (3M LIBOR + 2.500%) | ||||||||||||||
246,668 | 3.506 | 06/07/28 | 242,845 | |||||||||||
KKR Apple Bidco LLC(i) (1M LIBOR + 3.000%) | ||||||||||||||
498,750 | 3.764 | 09/23/28 | 492,929 | |||||||||||
USIC Holdings, Inc.(i) | ||||||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
498,747 | 4.264 | 05/12/28 | 492,887 | |||||||||||
(1M LIBOR +3.500%) | ||||||||||||||
500,000 | 7.264 | 05/14/29 | 495,000 | |||||||||||
|
| |||||||||||||
1,956,824 | ||||||||||||||
|
| |||||||||||||
Entertainment – 1.2% | ||||||||||||||
AMC Entertainment Holdings, Inc.(i) (1M LIBOR + 3.000%) | ||||||||||||||
1,699,988 | 3.488 | 04/22/26 | 1,514,196 | |||||||||||
Crown Finance US, Inc.(i) | ||||||||||||||
(3M LIBOR + 2.500%) | ||||||||||||||
1,282,463 | 3.506 | 02/28/25 | 976,146 | |||||||||||
(6M LIBOR + 2.750%) | ||||||||||||||
224,426 | 3.750 | 09/30/26 | 165,701 | |||||||||||
Delta 2 (LUX) S.a.r.l.(i) (1M LIBOR + 2.500%) | ||||||||||||||
2,715,000 | 3.500 | 02/01/24 | 2,699,307 | |||||||||||
| East Valley Tourist Development Authority(i)(l) (3M LIBOR + | | ||||||||||||
1,218,880 | 8.506 | 11/23/26 | 1,215,833 | |||||||||||
Everi Holdings, Inc.(i) (3M LIBOR + 2.500%) | ||||||||||||||
745,003 | 3.008 | 08/03/28 | 738,671 | |||||||||||
NASCAR Holdings, Inc.(i) (1M LIBOR + 2.500%) | ||||||||||||||
859,039 | 3.264 | 10/19/26 | 854,426 | |||||||||||
Scientific Games Holdings LP | ||||||||||||||
500,000 | 4.266 | 04/04/29 | 494,465 | |||||||||||
SeaWorld Parks & Entertainment, Inc.(i) (1M LIBOR + 3.000%) | ||||||||||||||
497,500 | 3.813 | 08/25/28 | 489,828 | |||||||||||
The Stars Group Holdings B.V.(i) (3M LIBOR + 2.250%) | ||||||||||||||
1,833,940 | 3.256 | 07/21/26 | 1,823,524 | |||||||||||
Twin River Worldwide Holdings, Inc.(i) (6M LIBOR + 3.250%) | ||||||||||||||
1,869,688 | 3.750 | 10/02/28 | 1,850,991 | |||||||||||
| William Morris Endeavor Entertainment LLC(i) (1M LIBOR + | | ||||||||||||
361,015 | 3.520 | 05/18/25 | 353,409 | |||||||||||
|
| |||||||||||||
13,176,497 | ||||||||||||||
|
| |||||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Environmental(i) – 0.1% | ||||||||||||||
GFL Environmental, Inc. (1M LIBOR + 3.000%) | ||||||||||||||
997,475 | 3.703 | 05/31/25 | 994,672 | |||||||||||
Madison IAQ LLC(6M LIBOR + 3.250%) | ||||||||||||||
149,248 | 4.524 | 06/21/28 | 144,584 | |||||||||||
|
| |||||||||||||
1,139,256 | ||||||||||||||
|
| |||||||||||||
Food & Drug Retailing(i) – 0.0% | ||||||||||||||
8th Avenue Food & Provisions, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
234,394 | 4.514 | 10/01/25 | 201,579 | |||||||||||
UTZ Quality Foods LLC (1M LIBOR + 3.000%) | ||||||||||||||
9,050 | 3.764 | 01/20/28 | 8,959 | |||||||||||
|
| |||||||||||||
210,538 | ||||||||||||||
|
| |||||||||||||
Gaming – 0.3% | ||||||||||||||
Caesars Resort Collection LLC(i) (1M LIBOR + 2.750%) | ||||||||||||||
3,083,336 | 3.514 | 12/23/24 | 3,067,210 | |||||||||||
Playa Resorts Holding B.V. | ||||||||||||||
748,660 | 3.750 | 04/29/24 | 736,703 | |||||||||||
Station Casinos LLC(i) (1M LIBOR + 2.250%) | ||||||||||||||
96,104 | 3.764 | 02/08/27 | 94,813 | |||||||||||
|
| |||||||||||||
3,898,726 | ||||||||||||||
|
| |||||||||||||
Hand/Machine Tools(i) – 0.0% | ||||||||||||||
Alliance Laundry Systems LLC (3M LIBOR + 3.500%) | ||||||||||||||
225,513 | 4.521 | 10/08/27 | 223,981 | |||||||||||
|
| |||||||||||||
Health Care Products(i) – 0.2% | ||||||||||||||
Carestream Dental Equiment, Inc (3M LIBOR + 3.250%) | ||||||||||||||
241,377 | 4.256 | 09/01/24 | 236,851 | |||||||||||
Carestream Health, Inc. (3M LIBOR + 6.750%) | ||||||||||||||
1,290,487 | 7.756 | 05/08/23 | 1,278,873 | |||||||||||
Viant Medical Holdings, Inc. (1M LIBOR + 3.750%) | ||||||||||||||
885,178 | 4.514 | 07/02/25 | 836,679 | |||||||||||
Vyaire Medical, Inc. (3M LIBOR + 4.750%) | ||||||||||||||
371,629 | 5.750 | 04/16/25 | 290,569 | |||||||||||
|
| |||||||||||||
2,642,972 | ||||||||||||||
|
| |||||||||||||
Healthcare Providers & Services – 2.7% | ||||||||||||||
AHP Health Partners, Inc.(i) (1M LIBOR + 3.500%) | ||||||||||||||
497,500 | 4.264 | 08/24/28 | 494,236 | |||||||||||
BW NHHC Holdco, Inc.(i) (3M LIBOR + 5.000%) | ||||||||||||||
289,865 | 5.488 | 05/15/25 | 216,393 | |||||||||||
Da Vinci Purchaser Corp.(i) (3M LIBOR + 4.000%) | ||||||||||||||
498,731 | 5.006 | 01/08/27 | 497,175 | |||||||||||
DaVita, Inc.(i) (1M LIBOR + 1.750%) | ||||||||||||||
92,813 | 2.514 | 08/12/26 | 91,428 | |||||||||||
Envision Healthcare Corp.(i) (1M LIBOR + 3.750%) | ||||||||||||||
2,581,308 | 4.514 | 10/10/25 | 1,568,144 | |||||||||||
Forefront Management Holdings, LLC | ||||||||||||||
210,630 | 5.016 | 03/23/29 | 209,050 | |||||||||||
Global Medical Response, Inc.(i) (3M LIBOR + 4.250%) | ||||||||||||||
1,360,611 | 5.250 | 10/02/25 | 1,348,420 | |||||||||||
Heartland Dental LLC(i) (1M LIBOR + 3.500%) | ||||||||||||||
748,059 | 4.198 | 04/30/25 | 740,226 | |||||||||||
ICON Luxembourg S.a.r.l.(i) | ||||||||||||||
(3M LIBOR + 2.250%) | ||||||||||||||
637,754 | 3.313 | 07/03/28 | 633,667 | |||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Healthcare Providers & Services – (continued) | ||||||||||||||
Lifescan Global Corp.(i) (3M LIBOR + 6.000%) | ||||||||||||||
$ | 3,877,620 | 6.962 | % | 10/01/24 | $ | 3,693,433 | ||||||||
MED ParentCo. LP(i) (1M LIBOR + 4.250%) | ||||||||||||||
245,051 | 5.014 | 08/31/26 | 239,998 | |||||||||||
Medline Borrower LP(i) (1M LIBOR + 3.250%) | ||||||||||||||
5,855,000 | 4.014 | 10/23/28 | 5,752,537 | |||||||||||
Onex TSG Intermediate Corp.(i) (1M LIBOR + 4.750%) | ||||||||||||||
496,250 | 5.514 | 02/28/28 | 489,958 | |||||||||||
Parexel International Corp.(i) (1M LIBOR + 3.500%) | ||||||||||||||
4,493,000 | 4.264 | 11/15/28 | 4,457,910 | |||||||||||
Phoenix Guarantor, Inc.(i) | ||||||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
342,125 | 4.014 | 03/05/26 | 336,015 | |||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
234,705 | 4.132 | 03/05/26 | 230,683 | |||||||||||
Quorum Health Corp.(i) (3M LIBOR + 6.500%) | ||||||||||||||
61,892 | 7.500 | 04/29/25 | 49,204 | |||||||||||
| RegionalCare Hospital Partners Holdings, Inc.(i) (1M LIBOR + | | ||||||||||||
6,384,556 | 4.499 | 11/16/25 | 6,302,067 | |||||||||||
Select Medical Corp.(i) (1M LIBOR + 2.250%) | ||||||||||||||
854,077 | 3.020 | 03/06/25 | 845,801 | |||||||||||
Surgery Center Holdings, Inc.(i) (1M LIBOR + 3.750%) | ||||||||||||||
3,226,607 | 4.500 | 08/31/26 | 3,193,890 | |||||||||||
|
| |||||||||||||
31,390,235 | ||||||||||||||
|
| |||||||||||||
Home Furnishings(i) – 0.3% | ||||||||||||||
AI Aqua Merger Sub, Inc. (1M SOFR + 3.750%) | ||||||||||||||
1,875,000 | 4.250 | 07/31/28 | 1,844,925 | |||||||||||
Herman Miller, Inc (1M LIBOR + 2.000%) | ||||||||||||||
495,627 | 2.750 | 07/19/28 | 488,316 | |||||||||||
Weber-Stephen Products LLC (1M LIBOR + 3.250%) | ||||||||||||||
559,845 | 4.014 | 10/30/27 | 542,070 | |||||||||||
|
| |||||||||||||
2,875,311 | ||||||||||||||
|
| |||||||||||||
Household Products(i) – 0.0% | ||||||||||||||
Illuminate Merger Sub Corp. (3M LIBOR + 3.500%) | ||||||||||||||
249,375 | 4.506 | 07/21/28 | 234,191 | |||||||||||
Kronos Acquisition Holdings, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
255 | 4.989 | 12/22/26 | 236 | |||||||||||
|
| |||||||||||||
234,427 | ||||||||||||||
|
| |||||||||||||
Housewares(i) – 0.0% | ||||||||||||||
Springs Windows Fashions LLC (1M LIBOR + 4.000%) | ||||||||||||||
500,000 | 4.750 | 10/06/28 | 462,190 | |||||||||||
|
| |||||||||||||
Insurance(i) – 0.9% | ||||||||||||||
Acrisure, LLC (1M LIBOR + 4.250%) | ||||||||||||||
749,375 | 4.750 | 02/15/27 | 743,133 | |||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
980,005 | 4.014 | 05/09/25 | 969,842 | |||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
1,746,241 | 4.051 | 11/06/27 | 1,732,271 | |||||||||||
Asurion LLC | ||||||||||||||
(1M LIBOR + 3.125%) | ||||||||||||||
169,343 | 3.889 | 11/03/23 | 168,466 | |||||||||||
|
| |||||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Insurance(i) – (continued) | ||||||||||||||
Asurion LLC – (continued) | ||||||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
247,500 | 4.014 | 07/31/27 | 241,622 | |||||||||||
(1M LIBOR + 5.250%) | ||||||||||||||
1,051,000 | 6.014 | 01/20/29 | 1,018,419 | |||||||||||
Broadstreet Partners, Inc. | ||||||||||||||
(1M LIBOR + 3.000%) | ||||||||||||||
745,560 | 3.764 | 01/27/27 | 733,273 | |||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
988,747 | 4.014 | 01/27/27 | 974,737 | |||||||||||
HUB International Ltd. (3M LIBOR + 3.250%) | ||||||||||||||
2,231,119 | 4.348 | 04/25/25 | 2,217,777 | |||||||||||
OneDigital Borrower LLC (3M SOFR + 4.250%) | ||||||||||||||
498,750 | 4.750 | 11/16/27 | 494,700 | |||||||||||
USI, Inc. | ||||||||||||||
(3M LIBOR + 3.000%) | ||||||||||||||
488,491 | 4.006 | 05/16/24 | 483,606 | |||||||||||
(3M LIBOR + 3.250%) | ||||||||||||||
246,849 | 4.256 | 12/02/26 | 244,565 | |||||||||||
|
| |||||||||||||
10,022,411 | ||||||||||||||
|
| |||||||||||||
Internet(i) – 0.4% | ||||||||||||||
Cablevision Lightpath LLC (3M LIBOR + 3.250%) | ||||||||||||||
611,581 | 3.804 | 11/30/27 | 605,465 | |||||||||||
CNT Holdings I Corp (3M LIBOR + 6.750%) | ||||||||||||||
500,000 | 7.500 | 11/06/28 | 497,085 | |||||||||||
CNT Holdings I Corp. (3M LIBOR + 3.500%) | ||||||||||||||
872,483 | 4.250 | 11/08/27 | 862,126 | |||||||||||
Eagle Broadband Investments LLC (3M LIBOR + 3.000%) | ||||||||||||||
612,533 | 4.063 | 11/12/27 | 605,973 | |||||||||||
Hunter Holdco 3 Ltd.(l) (3M LIBOR + 4.250%) | ||||||||||||||
500,000 | 4.750 | 08/19/28 | 495,625 | |||||||||||
MH Sub I LLC (1M LIBOR + 3.750%) | ||||||||||||||
498,731 | 4.750 | 09/13/24 | 495,958 | |||||||||||
Proofpoint, Inc. (3M LIBOR + 3.250%) | ||||||||||||||
462,588 | 3.758 | 08/31/28 | 455,478 | |||||||||||
PUG LLC (1M LIBOR + 3.500%) | ||||||||||||||
748,724 | 4.264 | 02/12/27 | 729,070 | |||||||||||
|
| |||||||||||||
4,746,780 | ||||||||||||||
|
| |||||||||||||
Leisure Time(i) – 0.8% | ||||||||||||||
Alterra Mountain Co. | ||||||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
498,747 | 4.094 | 08/17/28 | 494,697 | |||||||||||
(1M LIBOR + 2.750%) | ||||||||||||||
707,054 | 3.514 | 07/31/24 | 701,220 | |||||||||||
Carnival Corp. | ||||||||||||||
(3M LIBOR + 3.000%) | ||||||||||||||
893,587 | 3.750 | 06/30/25 | 878,110 | |||||||||||
(3M LIBOR + 3.250%) | ||||||||||||||
1,620,938 | 4.000 | 10/18/28 | 1,594,597 | |||||||||||
ClubCorp Holdings, Inc. (3M LIBOR + 2.750%) | ||||||||||||||
2,801,437 | 3.756 | 09/18/24 | 2,720,111 | |||||||||||
Equinox Holdings, Inc. (3M LIBOR + 3.000%) | ||||||||||||||
2,245,332 | 4.006 | 03/08/24 | 2,120,290 | |||||||||||
Hayward Industries, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
246,878 | 3.198 | 05/30/28 | 243,896 | |||||||||||
|
|
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(m) – (continued) | ||||||||||||||
Leisure Time(i) – (continued) | ||||||||||||||
Life Time Fitness, Inc. (3M LIBOR + 4.750%) | ||||||||||||||
$ | 482,868 | 5.750 | % | 12/16/24 | $ | 481,661 | ||||||||
|
| |||||||||||||
9,234,582 | ||||||||||||||
|
| |||||||||||||
Machinery – Construction & Mining(i) – 0.0% | ||||||||||||||
Vertiv Group Corp. (1M LIBOR + 2.750%) | ||||||||||||||
64,031 | 3.202 | 03/02/27 | 62,208 | |||||||||||
|
| |||||||||||||
Machinery-Diversified – 0.2% | ||||||||||||||
Ali Group S.R.L.(i) (1M LIBOR) | ||||||||||||||
500,000 | 2.632 | 12/20/28 | 489,480 | |||||||||||
Engineered Machinery Holdings, Inc.(i) (3M LIBOR + 3.750%) | ||||||||||||||
498,750 | 4.756 | 05/19/28 | 495,947 | |||||||||||
Pro Mach Group, Inc.(i) (3M LIBOR + 4.000%) | ||||||||||||||
933,415 | 5.000 | 08/31/28 | 927,413 | |||||||||||
SPX FLOW, Inc.(i) (1M SOFR + 4.600%) | ||||||||||||||
250,000 | 5.300 | 05/31/22 | 243,360 | |||||||||||
Star US Bidco LLC(i) (1M LIBOR + 4.250%) | ||||||||||||||
498,731 | 5.250 | 03/17/27 | 493,330 | |||||||||||
Vertical US Newco, Inc.(i) (1M LIBOR + 3.500%) | ||||||||||||||
129,567 | 4.000 | 07/30/27 | 128,191 | |||||||||||
|
| |||||||||||||
2,777,721 | ||||||||||||||
|
| |||||||||||||
Media(i) – 1.1% | ||||||||||||||
Cengage Learning, Inc. (3M LIBOR + 4.750%) | ||||||||||||||
1,600,626 | 5.750 | 07/14/26 | 1,572,615 | |||||||||||
CSC Holdings LLC | ||||||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
744,363 | 2.804 | 07/17/25 | 728,917 | |||||||||||
(1M LIBOR + 2.250%) | ||||||||||||||
176,802 | 2.804 | 01/15/26 | 173,266 | |||||||||||
Diamond Sports Group LLC | ||||||||||||||
(1M SOFR + 8.000%) | ||||||||||||||
545,657 | 9.000 | 05/26/26 | 553,755 | |||||||||||
(3M SOFR + 3.250%) | ||||||||||||||
2,684,934 | 4.016 | 08/24/26 | 889,384 | |||||||||||
DirecTV Financing LLC (1M LIBOR + 5.000%) | ||||||||||||||
2,453,395 | 5.764 | 08/02/27 | 2,440,883 | |||||||||||
iHeartCommunications, Inc. (1M LIBOR + 3.000%) | ||||||||||||||
3,075,431 | 3.764 | 05/01/26 | 3,046,799 | |||||||||||
LCPR Loan Financing LLC (1M LIBOR + 3.750%) | ||||||||||||||
954,208 | 4.304 | 10/16/28 | 951,031 | |||||||||||
Sinclair Television Group, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
16,059 | 3.270 | 09/30/26 | 15,457 | |||||||||||
The McClatchy Co.(l) (1M LIBOR + 10.000%) | ||||||||||||||
354,065 | 10.000 | 07/15/26 | 343,443 | |||||||||||
Univision Communications, Inc. (1M LIBOR + 2.750%) | ||||||||||||||
679,320 | 3.750 | 03/15/24 | 676,351 | |||||||||||
Ziggo Financing Partnership (1M LIBOR + 2.500%) | ||||||||||||||
740,000 | 3.054 | 04/30/28 | 724,275 | |||||||||||
|
| |||||||||||||
12,116,176 | ||||||||||||||
|
| |||||||||||||
Metal Fabricate/Hardware(i) – 0.0% | ||||||||||||||
Grinding Media, Inc. (3M LIBOR + 4.000%) | ||||||||||||||
498,123 | 4.796 | 10/12/28 | 486,916 | |||||||||||
|
| |||||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Mining(i)(l) – 0.1% | ||||||||||||||
Arctic Canadian Diamond Co.Ltd (3M LIBOR + 5.000%) | ||||||||||||||
669,851 | 4.000 | 12/31/27 | 669,851 | |||||||||||
|
| |||||||||||||
Miscellaneous Manufacturing(i) – 0.1% | ||||||||||||||
Gates Global LLC (1M LIBOR + 2.500%) | ||||||||||||||
241,260 | 3.264 | 03/31/27 | 236,333 | |||||||||||
LTI Holdings, Inc. (1M LIBOR + 3.500%) | ||||||||||||||
498,708 | 3.500 | 09/06/25 | 487,697 | |||||||||||
|
| |||||||||||||
724,030 | ||||||||||||||
|
| |||||||||||||
Oil Field Services(i) – 0.3% | ||||||||||||||
Citgo Petroleum Corp. (1M LIBOR + 6.250%) | ||||||||||||||
393,721 | 7.014 | 03/28/24 | 392,102 | |||||||||||
Delek US Holdings, Inc. (1M LIBOR + 2.250%) | ||||||||||||||
484,910 | 2.999 | 03/31/25 | 475,416 | |||||||||||
Gulf Finance LLC (1M LIBOR + 6.750%) | ||||||||||||||
1,989,509 | 7.750 | 08/25/26 | 1,806,613 | |||||||||||
QuarterNorth Energy Holding, Inc. (3M LIBOR + 8.000%) | ||||||||||||||
1,002,843 | 9.000 | 08/27/26 | 1,004,097 | |||||||||||
|
| |||||||||||||
3,678,228 | ||||||||||||||
|
| |||||||||||||
Packaging – 0.6% | ||||||||||||||
BWAY Holding Co.(i) (1M LIBOR + 3.250%) | ||||||||||||||
748,037 | 3.758 | 04/03/24 | 732,515 | |||||||||||
Charter NEX US, Inc.(i) (1M LIBOR + 3.750%) | ||||||||||||||
748,106 | 4.514 | 12/01/27 | 743,700 | |||||||||||
Graham Packaging Co., Inc. | ||||||||||||||
997,481 | 3.750 | 08/04/27 | 975,726 | |||||||||||
Klockner-Pentaplast of America, Inc.(i)(6M LIBOR + 4.750%) | ||||||||||||||
1,302,602 | 5.554 | 08/31/22 | 1,157,141 | |||||||||||
LABL, Inc.(i) (1M LIBOR + 5.000%) | ||||||||||||||
748,125 | 5.764 | 10/29/28 | 733,634 | |||||||||||
Pregis TopCo Corp.(i) (1M LIBOR + 4.000%) | ||||||||||||||
498,724 | 4.764 | 07/31/26 | 488,540 | |||||||||||
Pretium PKG Holdings, Inc.(i) (1M LIBOR + 4.000%) | ||||||||||||||
498,750 | 4.500 | 10/02/28 | 483,538 | |||||||||||
Proampac PG Borrower LLC(i) (3M LIBOR + 3.750%) | ||||||||||||||
997,494 | 4.500 | 11/03/25 | 980,666 | |||||||||||
TricorBraun Holdings, Inc.(i) (1M LIBOR + 3.250%) | ||||||||||||||
235,951 | 4.014 | 03/03/28 | 230,675 | |||||||||||
|
| |||||||||||||
6,526,135 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals – 1.7% | ||||||||||||||
Bausch Health Cos., Inc. (i) (1M TSFR) | ||||||||||||||
1,500,000 | 5.790 | 01/27/27 | 1,449,375 | |||||||||||
Change Healthcare Holdings LLC(i) (1M LIBOR + 2.500%) | ||||||||||||||
491,994 | 3.500 | 03/01/24 | 490,788 | |||||||||||
Endo Luxembourg Finance Co. I S.a r.l.(i) (1M LIBOR + 5.000%) | ||||||||||||||
2,367,630 | 5.813 | 03/27/28 | 2,190,650 | |||||||||||
Gainwell Acquisition Corp.(i) (3M LIBOR + 4.000%) | ||||||||||||||
2,110,583 | 5.006 | 10/01/27 | 2,101,359 | |||||||||||
| Grifols Worldwide Operations USA, Inc.(i) (1M LIBOR + | | ||||||||||||
448,754 | 2.764 | 11/15/27 | 438,052 | |||||||||||
Jazz Financing Lux S.a.r.l.(i) (1M LIBOR + 3.500%) | ||||||||||||||
2,110,617 | 4.264 | 05/05/28 | 2,106,396 | |||||||||||
|
|
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, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Pharmaceuticals – (continued) | ||||||||||||||
Mallinckrodt International Finance S.A.(i) | ||||||||||||||
(3M LIBOR + 5.250%) | ||||||||||||||
$ | 956,588 | 6.246 | % | 09/24/24 | $ | 887,235 | ||||||||
(3M LIBOR + 5.500%) | ||||||||||||||
2,169,574 | 6.250 | 02/24/25 | 2,009,026 | |||||||||||
Midwest Veterinary Partners LLC(i) (3M LIBOR + 4.000) | ||||||||||||||
498,747 | 4.764 | 04/27/28 | 491,266 | |||||||||||
Organon & Co.(i) (3M LIBOR + 3.000%) | ||||||||||||||
1,496,614 | 3.563 | 06/02/28 | 1,488,204 | |||||||||||
Packaging Coordinators Midco, Inc.(i) (3M LIBOR + 3.750%) | ||||||||||||||
1,496,222 | 4.756 | 11/30/27 | 1,486,870 | |||||||||||
Pathway Vet Alliance LLC(i) (3M LIBOR + 4.000) | ||||||||||||||
997,475 | 4.514 | 03/31/27 | 987,709 | |||||||||||
Pearl Intermediate Parent LLC(i) (1M LIBOR + 6.250%) | ||||||||||||||
500,000 | 7.014 | 02/13/26 | 496,565 | |||||||||||
PetVet Care Centers LLC(i) (1M LIBOR + 3.500%) | ||||||||||||||
997,442 | 4.264 | 02/14/25 | 990,271 | |||||||||||
Southern Veterinary Partners LLC(i) (3M LIBOR + 4.000%) | ||||||||||||||
748,106 | 5.239 | 10/05/27 | 743,198 | |||||||||||
Sunshine Luxembourg VII S.a.r.l.(i) (3M LIBOR + 3.750%) | ||||||||||||||
997,481 | 4.756 | 10/01/26 | 987,686 | |||||||||||
|
| |||||||||||||
19,344,650 | ||||||||||||||
|
| |||||||||||||
Pipelines(i) – 0.5% | ||||||||||||||
BCP Raptor LLC (1M LIBOR + 4.750%) | ||||||||||||||
500,000 | 4.750 | 11/03/25 | 498,215 | |||||||||||
Brazos Delaware II LLC (1M LIBOR + 4.000%) | ||||||||||||||
249,329 | 4.625 | 05/21/25 | 247,504 | |||||||||||
Epic Y-Grade Services LP (3M LIBOR + 6.000%) | ||||||||||||||
2,211,945 | 6.508 | 06/30/27 | 1,831,491 | |||||||||||
Freeport LNG Investments LLLP (3M LIBOR + 3.500%) | ||||||||||||||
989,194 | 4.563 | 12/21/28 | 982,853 | |||||||||||
Lucid Energy Group II Borrower LLC (3M LIBOR + 4.250%) | ||||||||||||||
250,000 | 5.000 | 11/24/28 | 247,552 | |||||||||||
Mashantucket (Western) Pequot Tribe (1M LIBOR + 7.125%) | ||||||||||||||
1,068,393 | 8.375 | 02/16/25 | 1,040,348 | |||||||||||
Traverse Midstream Partners LLC (3M SOFR + 4.250%) | ||||||||||||||
1,379,374 | 5.384 | 09/27/24 | 1,373,622 | |||||||||||
|
| |||||||||||||
6,221,585 | ||||||||||||||
|
| |||||||||||||
Retailing(i) – 0.8% | ||||||||||||||
1011778 B.C. Unlimited Liability Co. (1M LIBOR + 1.750%) | ||||||||||||||
803,175 | 2.514 | 11/19/26 | 786,942 | |||||||||||
Academy Ltd. (1M LIBOR + 3.750%) | ||||||||||||||
1,238,122 | 4.500 | 11/05/27 | 1,221,098 | |||||||||||
Belk, Inc. | ||||||||||||||
(3M LIBOR + 7.500%) | ||||||||||||||
112,852 | 8.500 | 07/31/25 | 110,877 | |||||||||||
(3M LIBOR + 13.000%) | ||||||||||||||
525,612 | 13.000 | 07/31/25 | 302,558 | |||||||||||
EG Group Ltd. (3M LIBOR + 4.000%) | ||||||||||||||
391,837 | 5.006 | 02/07/25 | 383,020 | |||||||||||
Great Outdoors Group LLC (1M LIBOR + 3.750%) | ||||||||||||||
997,494 | 4.514 | 03/06/28 | 986,272 | |||||||||||
Medical Solutions Holdings, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
630,000 | 4.506 | 11/01/28 | 623,858 | |||||||||||
|
| |||||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Retailing(i) – (continued) | ||||||||||||||
PetSmart, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
3,078,735 | 4.989 | 02/11/28 | 3,046,408 | |||||||||||
Restoration Hardware, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
246,880 | 3.264 | 10/20/28 | 236,960 | |||||||||||
Serta Simmons Bedding LLC (1M LIBOR + 7.500%) | ||||||||||||||
647,939 | 8.500 | 08/10/23 | 582,685 | |||||||||||
SRS Distribution, Inc. (3M LIBOR + 3.500%) | ||||||||||||||
619,987 | 4.553 | 06/02/28 | 596,738 | |||||||||||
Staples, Inc. (3M LIBOR + 5.000%) | ||||||||||||||
742,366 | 5.317 | 04/16/26 | 710,482 | |||||||||||
|
| |||||||||||||
9,587,898 | ||||||||||||||
|
| |||||||||||||
Semiconductors(i) – 0.1% | ||||||||||||||
Bright Bidco B.V. (6M LIBOR + 3.500%) | ||||||||||||||
2,775,773 | 4.774 | 06/30/24 | 1,293,954 | |||||||||||
| MACOM Technology Solutions Holdings, Inc. (1M LIBOR + | | ||||||||||||
89,956 | 3.014 | 05/17/24 | 89,259 | |||||||||||
|
| |||||||||||||
1,383,213 | ||||||||||||||
|
| |||||||||||||
Software – 2.8% | ||||||||||||||
Applied Systems, Inc.(i) (3M LIBOR + 5.500%) | ||||||||||||||
750,000 | 6.506 | 09/19/25 | 747,720 | |||||||||||
Apttus Corp.(i) (3M LIBOR + 4.250%) | ||||||||||||||
534,858 | 5.000 | 05/08/28 | 532,409 | |||||||||||
Athenahealth, Inc.(i) (1M SOFR + 3.500%) | ||||||||||||||
1,068,841 | 4.009 | 02/15/29 | 1,052,808 | |||||||||||
Banff Merger Sub, Inc.(i) (1M LIBOR + 3.750%) | ||||||||||||||
738,554 | 4.514 | 10/02/25 | 728,679 | |||||||||||
Camelot U.S. Acquisition 1 Co.(i) (1M LIBOR + 3.000%) | ||||||||||||||
743,655 | 3.764 | 10/30/26 | 733,898 | |||||||||||
Ceridian HCM Holding, Inc.(i) (1M LIBOR + 2.500%) | ||||||||||||||
1,719,213 | 3.264 | 04/30/25 | 1,695,041 | |||||||||||
Dynatrace LLC(i) (1M LIBOR + 2.250%) | ||||||||||||||
192,756 | 3.014 | 08/22/25 | 191,841 | |||||||||||
Epicor Software Corp.(i) | ||||||||||||||
(1M LIBOR + 3.250%) | ||||||||||||||
3,092,385 | 4.014 | 07/30/27 | 3,070,027 | |||||||||||
(1M LIBOR + 7.750%) | ||||||||||||||
750,000 | 8.750 | 07/31/28 | 763,597 | |||||||||||
Finastra USA, Inc.(i) (3M LIBOR + 3.500%) | ||||||||||||||
3,840,682 | 4.739 | 06/13/24 | 3,721,275 | |||||||||||
Greeneden U.S. Holdings II LLC(i) (1M LIBOR + 4.000%) | ||||||||||||||
493,750 | 4.764 | 12/01/27 | 491,898 | |||||||||||
Greenway Health LLC(i) (3M LIBOR + 3.750%) | ||||||||||||||
123,461 | 4.756 | 02/16/24 | 115,066 | |||||||||||
Informatica LLC(i) (1M LIBOR + 2.750%) | ||||||||||||||
1,250,000 | 3.563 | 10/27/28 | 1,230,075 | |||||||||||
Pitney Bowes, Inc.(i) (1M LIBOR + 4.000%) | ||||||||||||||
1,585,244 | 4.764 | 03/17/28 | 1,558,818 | |||||||||||
Polaris Newco LLC(i) (1M LIBOR + 4.000%) | ||||||||||||||
2,365,930 | 4.764 | 06/02/28 | 2,338,320 | |||||||||||
Project Ruby Ultimate Parent Corp. (i) (1M LIBOR) | ||||||||||||||
498,741 | 4.053 | 03/03/28 | 493,210 | |||||||||||
Rackspace Technology Global, Inc.(i) (3M LIBOR + 2.750%) | ||||||||||||||
2,012,642 | 3.553 | 02/15/28 | 1,963,171 | |||||||||||
|
|
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(m) – (continued) | ||||||||||||||
Software – (continued) | ||||||||||||||
RealPage, Inc. | ||||||||||||||
$ | 875,000 | 7.250 | % | 04/23/29 | $ | 878,097 | ||||||||
Riverbed Technology, Inc.(i) (3M LIBOR + 6.000%) | ||||||||||||||
1,215,663 | 7.000 | 12/08/26 | 946,017 | |||||||||||
Seattle SpinCo, Inc.(i) (1M LIBOR + 2.750%) | ||||||||||||||
1,405,702 | 3.514 | 06/21/24 | 1,387,259 | |||||||||||
Sophia, LP(i) (3M LIBOR + 3.500%) | ||||||||||||||
1,733,169 | 4.256 | 10/07/27 | 1,711,504 | |||||||||||
Sovos Compliance LLC(i) (1M LIBOR + 4.500%) | ||||||||||||||
850,608 | 5.264 | 08/11/28 | 848,958 | |||||||||||
The Dun & Bradstreet Corp.(i) (1M LIBOR + 3.250%) | ||||||||||||||
739,997 | 3.918 | 02/06/26 | 733,707 | |||||||||||
The Ultimate Software Group, Inc.(i) | ||||||||||||||
(3M LIBOR + 3.250%) | ||||||||||||||
2,609,694 | 4.212 | 05/04/26 | 2,580,335 | |||||||||||
(3M LIBOR + 3.750%) | ||||||||||||||
498,721 | 5.085 | 05/04/26 | 495,968 | |||||||||||
(3M LIBOR + 3.250%) | ||||||||||||||
500,000 | 6.212 | 05/03/27 | 494,875 | |||||||||||
Tibco Software, Inc.(i) (1M LIBOR + 3.750%) | ||||||||||||||
356,890 | 4.520 | 06/30/26 | 355,552 | |||||||||||
Zelis Healthcare Corp.(i) (1M LIBOR + 3.500%) | ||||||||||||||
497,481 | 3.955 | 09/30/26 | 493,800 | |||||||||||
|
| |||||||||||||
32,353,925 | ||||||||||||||
|
| |||||||||||||
Telecommunication Services(i) – 1.2% | ||||||||||||||
Altice France SA | ||||||||||||||
(3M LIBOR + 3.688%) | ||||||||||||||
236,111 | 4.732 | 01/31/26 | 233,382 | |||||||||||
(3M LIBOR + 4.000%) | ||||||||||||||
217,105 | 4.506 | 08/14/26 | 215,296 | |||||||||||
Avaya, Inc. (1M LIBOR + 4.000%) | ||||||||||||||
1,875,000 | 4.554 | 12/15/27 | 1,843,744 | |||||||||||
CommScope, Inc. (1M LIBOR + 3.250%) | ||||||||||||||
79,273 | 4.014 | 04/06/26 | 76,122 | |||||||||||
Delta TopCo, Inc. (3M LIBOR + 3.750%) | ||||||||||||||
495,000 | 4.500 | 12/01/27 | 487,926 | |||||||||||
Frontier Communications Corp. (3M LIBOR + 3.750%) | ||||||||||||||
1,490,000 | 4.813 | 05/01/28 | 1,462,688 | |||||||||||
GOGO Intermediate Holdings LLC (3M LIBOR + 3.750%) | ||||||||||||||
1,241,247 | 4.989 | 04/30/28 | 1,228,214 | |||||||||||
Intelsat Jackson Holdings S.A.(6M SOFR + 4.250%) | ||||||||||||||
1,500,000 | 0.000 | 02/01/29 | 1,455,000 | |||||||||||
Maxar Technologies Ltd. (3M LIBOR + 2.750%) | ||||||||||||||
2,250,737 | 3.520 | 10/04/24 | 2,229,985 | |||||||||||
MLN US Holding Co. LLC (1M LIBOR + 4.500%) | ||||||||||||||
1,198,837 | 4.952 | 11/30/25 | 1,144,146 | |||||||||||
Plantronics, Inc. (1M LIBOR + 2.500%) | ||||||||||||||
455,522 | 3.264 | 07/02/25 | 451,463 | |||||||||||
West Corp. | ||||||||||||||
(1M LIBOR + 3.500%) | ||||||||||||||
91,241 | 4.500 | 10/10/24 | 84,198 | |||||||||||
(1M LIBOR + 4.000%) | ||||||||||||||
2,574,555 | 5.000 | 10/10/24 | 2,406,410 | |||||||||||
Xplornet Communications, Inc. | ||||||||||||||
(1M LIBOR + 4.500) | ||||||||||||||
498,747 | 4.764 | 10/02/28 | 490,019 | |||||||||||
|
| |||||||||||||
Bank Loans(m) – (continued) | ||||||||||||||
Telecommunication Services(i) – (continued) | ||||||||||||||
Xplornet Communications, Inc. – (continued) | ||||||||||||||
(1M LIBOR + 7.000) | ||||||||||||||
250,000 | 7.500 | %(l) | 10/01/29 | 246,875 | ||||||||||
|
| |||||||||||||
14,055,468 | ||||||||||||||
|
| |||||||||||||
Transportation(i) – 0.0% | ||||||||||||||
LaserShip, Inc. (3M LIBOR + 4.500%) | ||||||||||||||
498,747 | 5.250 | 05/07/28 | 493,759 | |||||||||||
|
| |||||||||||||
TOTAL BANK LOANS | ||||||||||||||
(Cost $255,805,473) | $ | 247,599,856 | ||||||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – 0.6% | ||||||||
Commercial Services & Supplies(e) – 0.0% | ||||||||
10,8799 | Cenveo, Inc. | $ | 114,230 | |||||
65,182 | Monitronics International, Inc. | 179,250 | ||||||
|
| |||||||
293,480 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.0% | ||||||||
7,679 | Premier Brands Group Holdings LLC | 5,375 | ||||||
|
| |||||||
Diversified Financial Services – 0.0% | ||||||||
20,510 | Avation Capital SA(e) | — | ||||||
5,500 | Copper Earnout Trust(k)(l) | 33,000 | ||||||
1,681 | Voyager Aviation Holdings LLC(l) | 180,125 | ||||||
|
| |||||||
213,125 | ||||||||
|
| |||||||
Energy Equipment & Services(e) – 0.0% | ||||||||
8,479 | Noble Corp. | 270,734 | ||||||
17,981 | Parker Drilling Co. | 67,429 | ||||||
|
| |||||||
338,163 | ||||||||
|
| |||||||
IT Services – 0.0% | ||||||||
10,686 | Riverbed Technology, Inc. | 100,181 | ||||||
|
| |||||||
Media(e) – 0.0% | ||||||||
33,365 | Clear Channel Outdoor Holdings, Inc. | 82,078 | ||||||
3,675 | Cumulus Media, Inc. Class A | 50,605 | ||||||
|
| |||||||
132,683 | ||||||||
|
| |||||||
Metals & Mining(l) – 0.0% | ||||||||
627 | Arctic Canadian Diamond Co. Ltd | — | ||||||
|
| |||||||
Multiline Retail – 0.0% | ||||||||
68 | Belk, Inc. | 680 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.3% | ||||||||
304 | California Resources Corp. | 12,224 | ||||||
6,826 | Civitas Resources, Inc. | 400,140 | ||||||
18,456 | Fieldwood Energy, Inc. | 2,390,052 | ||||||
2,295 | Valaris Ltd. | 116,471 | ||||||
|
| |||||||
2,918,887 | ||||||||
|
|
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, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Professional Services(e) – 0.0% | ||||||||
17,299 | Skillsoft Corp. | $ | 92,550 | |||||
|
| |||||||
Real Estate – 0.1% | ||||||||
41,250 | Copper Property CTL Pass Through Trust | 651,420 | ||||||
|
| |||||||
Specialty Retail(l) – 0.1% | ||||||||
7,504 | Guitar Center, Inc. | 1,432,026 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.1% | ||||||||
5,606 | iQor US Inc. | 39,242 | ||||||
16,319 | Windstream Corp. | 259,750 | ||||||
|
| |||||||
298,992 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $6,772,481) | $ | 6,477,562 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Preferred Stocks(l) – 0.0% | ||||||||
Specialty Retail – 0.0% | ||||||||
Guitar Center, Inc. | ||||||||
104 | 0.000% | $ | 9,730 | |||||
(Cost $9,761) | ||||||||
|
|
Units | Description | Expiration Date | Value | |||||||||||
Warrants(e) – 0.0% | ||||||||||||||
Energy Equipment & Services – 0.0% | ||||||||||||||
Noble Corp. | ||||||||||||||
9,802 | 02/05/28 | $ | 157,863 | |||||||||||
|
| |||||||||||||
Oil, Gas & Consumable Fuels – 0.0% | ||||||||||||||
California Resources Corp. | ||||||||||||||
670 | 10/27/24 | 8,023 | ||||||||||||
Fieldwood Energy, Inc. | ||||||||||||||
6,687 | 08/01/29 | 50,321 | ||||||||||||
|
| |||||||||||||
Specialty Retail(l) – 0.0% | ||||||||||||||
Guitar Center, Inc. | ||||||||||||||
3,972 | 307,926 | |||||||||||||
|
| |||||||||||||
Wireless Telecommunication Services(l) – 0.0% | ||||||||||||||
Windstream Corp. | ||||||||||||||
27,912 | 460,548 | |||||||||||||
|
| |||||||||||||
TOTAL WARRANTS | ||||||||||||||
(Cost $674,556) | $ | 984,681 | ||||||||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(o) – 5.1% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
58,139,576 | 0.317 | % | $ | 58,139,576 | ||||
(Cost $58,139,576) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 98.3% |
| |||||||
(Cost $1,234,656,608) |
| $ | 1,130,830,915 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.7% |
| 20,178,476 | ||||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 1,151,009,391 | |||||
|
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, 2022. | |
(e) | Security is currently in default and/or non-income producing. | |
(f) | Actual maturity date is July 28, 2121. | |
(g) | Actual maturity date is April 03, 2120. | |
(h) | Pay-in-kind securities. | |
(i) | 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, 2022. | |
(j) | Guaranteed by a foreign government until maturity. | |
(k) | 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 $3,492,511, which represents approximately 0.3% of the Fund’s net assets as of April 30, 2022. |
Restricted Security | Acquisition Date | Cost | ||||||||
Chesapeake Energy Corp. (Corporate Obligations) | 06/21/19 | $ | 359,915 | |||||||
Monitronics International, Inc. (Common Stocks) | 04/01/20 | 1,069,075 | ||||||||
Revlon Consumer Products Corp. (Bank Loans) | 12/31/20 | 2,487,996 | ||||||||
Copper Earnout Trust (Common Stocks) | 12/07/20 | 39,600 | ||||||||
Neiman Marcus Group Ltd. LLC (Corporate Obligations) | 10/15/21 | 605,000 |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
(l) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(m) | 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, 2022. 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. | |
(n) | 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. | |
(o) | 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 | |
MXN | —Mexican Peso | |
MYR | —Malaysian Ringgit | |
PEN | —Peruvian Nuevo Sol | |
PLN | —Polish Zloty | |
RON | —New Romanian Leu | |
THB | —Thai Baht | |
USD | —U.S. Dollar | |
UYU | —Uruguayan Peso | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
CMT | —Constant Maturity Treasury Indexes | |
CP | —Commercial Paper | |
CPI | —Consumer Price Index | |
LIBOR | —London Interbank Offered Rate | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
SOFR | —Secured Overnight Funding Rate | |
|
ADDITIONAL INVESTMENT INFORMATION |
UNFUNDED LOAN COMMITMENTS — At April 30, 2022, 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) | |||||||||
Athenahealth, Inc., due 02/15/29 | $ | 181,159 | $ | 178,442 | $ | (1,994 | ) | |||||
Forefront management LLC, due 03/23/29 | 39,370 | 39,075 | (295 | ) | ||||||||
Medical Solutions Holdings, Inc., due 11/01/28 | 120,000 | 118,830 | (1,466 | ) | ||||||||
Pro Mach Group, Inc, due 08/31/28 | 64,246 | 63,833 | (878 | ) | ||||||||
Sovos Compliance LLC, due 08/11/28 | 147,260 | 146,974 | (1,532 | ) | ||||||||
TOTAL | $ | (6,165 | ) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2022, 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 | ||||||||||||||||
BofA Securities LLC | MXN | 12,381,048 | USD | 600,000 | 05/24/22 | $ | 3,831 | |||||||||||||
USD | 308,720 | CLP | 249,600,000 | 05/24/22 | 17,495 | |||||||||||||||
USD | 930,827 | PLN | 3,788,000 | 05/09/22 | 77,078 | |||||||||||||||
USD | 345,439 | RON | 1,554,000 | 06/03/22 | 15,681 | |||||||||||||||
USD | 5,315,000 | ZAR | 82,425,020 | 07/20/22 | 141,487 |
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, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Barclays Bank PLC | USD | 3,128,731 | EUR | 2,900,000 | 05/13/22 | $ | 67,723 | |||||||||||||
USD | 5,113,378 | EUR | 4,616,000 | 06/06/22 | 235,651 | |||||||||||||||
USD | 485,940 | PLN | 2,071,000 | 05/09/22 | 19,174 | |||||||||||||||
USD | 1,000,000 | THB | 33,908,200 | 07/18/22 | 8,320 | |||||||||||||||
BNP Paribas SA | CZK | 28,201,932 | USD | 1,188,000 | 06/10/22 | 15,138 | ||||||||||||||
USD | 403,535 | BRL | 1,958,737 | 06/06/22 | 12,016 | |||||||||||||||
USD | 627,000 | HUF | 210,057,440 | 05/31/22 | 43,601 | |||||||||||||||
USD | 5,815,086 | PLN | 25,015,011 | 05/09/22 | 177,138 | |||||||||||||||
USD | 232,000 | ZAR | 3,441,538 | 07/20/22 | 15,987 | |||||||||||||||
Citibank NA | EUR | 155,000 | USD | 163,356 | 05/03/22 | 180 | ||||||||||||||
GBP | 1,025,000 | USD | 1,287,129 | 07/27/22 | 2,299 | |||||||||||||||
USD | 71,053 | CAD | 91,000 | 07/27/22 | 242 | |||||||||||||||
USD | 1,361,674 | EUR | 1,250,799 | 07/27/22 | 35,972 | |||||||||||||||
USD | 130,000 | GBP | 101,211 | 07/27/22 | 2,678 | |||||||||||||||
JPMorgan Securities, Inc. | BRL | 5,266,512 | USD | 1,002,000 | 06/06/22 | 50,688 | ||||||||||||||
USD | 338,543 | HUF | 117,624,000 | 05/31/22 | 11,863 | |||||||||||||||
USD | 2,000,000 | MXN | 41,340,000 | 07/26/22 | 8,258 | |||||||||||||||
USD | 654,900 | PLN | 2,833,752 | 05/09/22 | 16,222 | |||||||||||||||
USD | 446,875 | RON | 2,036,000 | 06/03/22 | 14,837 | |||||||||||||||
USD | 788,683 | ZAR | 11,672,515 | 07/20/22 | 56,043 | |||||||||||||||
MS & Co. Int. PLC | USD | 12,551,301 | EUR | 11,756,558 | 05/27/22 | 134,205 | ||||||||||||||
USD | 1,215,125 | EUR | 1,112,000 | 06/06/22 | 40,074 | |||||||||||||||
USD | 1,687,331 | GBP | 1,337,665 | 05/27/22 | 5,317 | |||||||||||||||
USD | 695,000 | HUF | 232,512,250 | 05/31/22 | 49,237 | |||||||||||||||
USD | 654,000 | PLN | 2,823,972 | 05/09/22 | 17,526 | |||||||||||||||
TOTAL | $ | 1,295,961 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
BofA Securities LLC | HUF | 69,513,000 | USD | 204,030 | 05/31/22 | $ | (10,969 | ) | ||||||||||||
RON | 3,590,000 | USD | 801,339 | 06/03/22 | (39,543 | ) | ||||||||||||||
Barclays Bank PLC | EUR | 41,291,000 | USD | 47,423,886 | 05/13/22 | (3,840,414 | ) | |||||||||||||
GBP | 4,510,000 | USD | 6,096,365 | 05/13/22 | (425,354 | ) | ||||||||||||||
MYR | 19,657,240 | USD | 4,607,670 | 07/21/22 | (89,595 | ) | ||||||||||||||
PLN | 5,671,000 | USD | 1,414,000 | 05/09/22 | (135,855 | ) | ||||||||||||||
THB | 167,322,708 | USD | 4,958,932 | 07/18/22 | (65,410 | ) | ||||||||||||||
BNP Paribas SA | EUR | 2,501,000 | USD | 2,758,473 | 06/06/22 | (115,665 | ) | |||||||||||||
HUF | 490,680,690 | USD | 1,462,026 | 05/31/22 | (99,244 | ) | ||||||||||||||
PLN | 4,860,735 | USD | 1,179,636 | 05/09/22 | (84,111 | ) | ||||||||||||||
USD | 594,990 | MXN | 12,381,048 | 05/24/22 | (8,841 | ) | ||||||||||||||
Citibank NA | CAD | 1,780,834 | USD | 1,420,120 | 07/27/22 | (34,374 | ) | |||||||||||||
EUR | 11,479,892 | USD | 12,573,689 | 07/27/22 | (406,342 | ) | ||||||||||||||
GBP | 1,086,933 | USD | 1,427,279 | 07/27/22 | (59,942 | ) | ||||||||||||||
USD | 1,805,782 | EUR | 1,705,000 | 07/27/22 | (1,320 | ) | ||||||||||||||
USD | 228,802 | GBP | 182,000 | 07/27/22 | (150 | ) | ||||||||||||||
JPMorgan Securities, Inc. | CZK | 23,272,820 | USD | 1,030,546 | 06/10/22 | (37,692 | ) | |||||||||||||
USD | 656,500 | BRL | 3,307,775 | 06/06/22 | (4,669 | ) | ||||||||||||||
USD | 2,421,816 | EUR | 2,304,000 | 06/06/22 | (12,821 | ) |
50 | 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 (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS&Co. Int. PLC | CLP | 1,700,000,000 | USD | 2,117,852 | 05/24/22 | $ | (134,351 | ) | ||||||||||||
EUR | 460,000 | USD | 492,766 | 05/27/22 | (6,921 | ) | ||||||||||||||
PLN | 26,000,000 | USD | 6,500,894 | 05/09/22 | (640,947 | ) | ||||||||||||||
TOTAL | $ | (6,254,530 | ) |
FUTURES CONTRACTS — At April 30, 2022, 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 | 34 | 06/08/22 | $ | 5,509,013 | $ | (325,785 | ) | |||||||||
Short position contracts: | ||||||||||||||||
Italian 10 Year Government Bonds | (42 | ) | 06/08/22 | (5,775,093 | ) | 437,814 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 112,029 |
SWAP CONTRACTS — At April 30, 2022, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
Referenced Obligation/Index | Financing Rate Received/ (Paid) by the Fund(a) | Credit Spread at April 30, 2022(b) | Termination Date | Notional Amount (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||||
CDX.NA.HY Index 38 | (5.000)% | 4.615% | 06/20/27 | $ | 31,670 | $ | 683,410 | $ | 1,715,193 | $ | (1,031,783 | ) |
(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. |
| ||
Investment Abbreviation: | ||
BofA Securities LLC | —Bank of America Securities LLC | |
CDX.NA.HY Index 38 | —CDX North America High Yield Index 38 | |
MS & Co. Int PLC | —Morgan Stanley & Co. International PLC | |
|
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 97.0% | ||||||||
Australia – 3.5% | ||||||||
118,382 | APA Group (Gas Utilities) | $ | 951,214 | |||||
205,652 | Atlas Arteria Ltd. (Transportation Infrastructure) | 999,072 | ||||||
37,473 | Charter Hall Group (Equity Real Estate Investment Trusts (REITs)) | 402,738 | ||||||
173,398 | Dexus (Equity Real Estate Investment Trusts (REITs)) | 1,355,724 | ||||||
169,162 | Goodman Group (Equity Real Estate Investment Trusts (REITs)) | 2,815,514 | ||||||
248,262 | Ingenia Communities Group (Equity Real Estate Investment Trusts (REITs)) | 817,304 | ||||||
73,500 | Lendlease Corp. Ltd. (Real Estate Management & Development) | 629,627 | ||||||
660,832 | Mirvac Group (Equity Real Estate Investment Trusts (REITs)) | 1,116,866 | ||||||
660,115 | National Storage REIT (Equity Real Estate Investment Trusts (REITs)) | 1,195,632 | ||||||
121,068 | NEXTDC Ltd.* (IT Services) | 939,953 | ||||||
742,341 | Scentre Group (Equity Real Estate Investment Trusts (REITs)) | 1,546,675 | ||||||
202,758 | The GPT Group (Equity Real Estate Investment Trusts (REITs)) | 720,781 | ||||||
278,327 | Transurban Group (Transportation Infrastructure) | 2,794,851 | ||||||
|
| |||||||
16,285,951 | ||||||||
|
| |||||||
Belgium – 0.8% | ||||||||
2,756 | Aedifica SA (Equity Real Estate Investment Trusts (REITs)) | 326,677 | ||||||
17,106 | Shurgard Self Storage SA (Real Estate Management & Development) | 989,866 | ||||||
9,088 | VGP NV (Real Estate Management & Development) | 2,363,758 | ||||||
|
| |||||||
3,680,301 | ||||||||
|
| |||||||
Brazil – 0.2% | ||||||||
585,932 | Santos Brasil Participacoes SA (Transportation Infrastructure) | 840,271 | ||||||
|
| |||||||
Canada – 8.0% | ||||||||
42,580 | Allied Properties Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 1,383,150 | ||||||
41,009 | AltaGas Ltd. (Gas Utilities) | 937,877 | ||||||
48,265 | Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs)) | 1,890,550 | ||||||
304,504 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 13,288,051 | ||||||
91,065 | Gibson Energy, Inc. (Oil, Gas & Consumable Fuels) | 1,733,896 | ||||||
34,852 | Hydro One Ltd.(a) (Electric Utilities) | 942,210 | ||||||
149,330 | InterRent Real Estate Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 1,640,171 | ||||||
132,010 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 4,995,140 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Canada – (continued) | ||||||||
284,116 | Summit Industrial Income REIT (Equity Real Estate Investment Trusts (REITs)) | 4,498,439 | ||||||
116,404 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 6,157,048 | ||||||
|
| |||||||
37,466,532 | ||||||||
|
| |||||||
China – 0.8% | ||||||||
164,600 | China Gas Holdings Ltd. (Gas Utilities) | 200,642 | ||||||
274,000 | China Merchants Port Holdings Co. Ltd. (Transportation Infrastructure) | 478,348 | ||||||
198,000 | China Resources Gas Group Ltd. (Gas Utilities) | 743,963 | ||||||
2,102,000 | China Tower Corp. Ltd. Class H(a) (Diversified Telecommunication Services) | 245,323 | ||||||
1,262,049 | COSCO SHIPPING Ports Ltd. (Transportation Infrastructure) | 899,887 | ||||||
109,300 | ENN Energy Holdings Ltd. (Gas Utilities) | 1,464,081 | ||||||
|
| |||||||
4,032,244 | ||||||||
|
| |||||||
Denmark(a) – 0.3% | ||||||||
11,014 | Orsted A/S (Electric Utilities) | 1,218,484 | ||||||
|
| |||||||
Finland – 0.4% | ||||||||
84,928 | Kojamo Oyj (Real Estate Management & Development) | 1,689,488 | ||||||
|
| |||||||
France – 2.7% | ||||||||
6,544 | Gecina SA (Equity Real Estate Investment Trusts (REITs)) | 737,169 | ||||||
170,072 | Getlink SE (Transportation Infrastructure) | 3,112,166 | ||||||
117,361 | Klepierre SA (Equity Real Estate Investment Trusts (REITs)) | 2,809,112 | ||||||
6,826 | Unibail-Rodamco-Westfield* (Equity Real Estate Investment Trusts (REITs)) | 481,745 | ||||||
55,760 | Vinci SA (Construction & Engineering) | 5,410,608 | ||||||
|
| |||||||
12,550,800 | ||||||||
|
| |||||||
Germany – 1.2% | ||||||||
119,235 | Aroundtown SA (Real Estate Management & Development) | 599,577 | ||||||
83,006 | E.ON SE (Multi-Utilities) | 863,840 | ||||||
109,422 | Vonovia SE (Real Estate Management & Development) | 4,359,478 | ||||||
|
| |||||||
5,822,895 | ||||||||
|
| |||||||
Hong Kong – 2.7% | ||||||||
288,275 | CK Asset Holdings Ltd. (Real Estate Management & Development) | 1,954,256 | ||||||
1,413,250 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 1,558,702 | ||||||
|
|
52 | 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) | ||||||||
107,019 | Hongkong Land Holdings Ltd. (Real Estate Management & Development) | $ | 499,239 | |||||
167,808 | Link REIT (Equity Real Estate Investment Trusts (REITs)) | 1,449,489 | ||||||
317,000 | New World Development Co. Ltd. (Real Estate Management & Development) | 1,212,459 | ||||||
239,139 | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | 2,754,184 | ||||||
496,790 | Swire Properties Ltd. (Real Estate Management & Development) | 1,190,586 | ||||||
490,921 | Wharf Real Estate Investment Co. Ltd. (Real Estate Management & Development) | 2,313,498 | ||||||
|
| |||||||
12,932,413 | ||||||||
|
| |||||||
Italy – 1.0% | ||||||||
51,164 | Atlantia SpA (Transportation Infrastructure)* | 1,220,545 | ||||||
153,688 | Snam SpA (Gas Utilities) | 842,917 | ||||||
319,260 | Terna – Rete Elettrica Nazionale (Electric Utilities) | 2,603,911 | ||||||
|
| |||||||
4,667,373 | ||||||||
|
| |||||||
Japan – 6.1% | ||||||||
848 | Daiwa House REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,064,033 | ||||||
144 | Daiwa Office Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 815,221 | ||||||
16,500 | East Japan Railway Co. (Road & Rail) | 860,422 | ||||||
1,004 | GLP J-REIT (Equity Real Estate Investment Trusts (REITs)) | 1,354,772 | ||||||
548 | Industrial & Infrastructure Fund Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 786,317 | ||||||
4,536 | Invincible Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,479,085 | ||||||
2,804 | Japan Hotel REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,424,113 | ||||||
3,172 | Japan Metropolitan Fund Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 2,521,196 | ||||||
209,188 | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | 3,047,152 | ||||||
260,372 | Mitsui Fudosan Co. Ltd. (Real Estate Management & Development) | 5,518,256 | ||||||
233 | Mitsui Fudosan Logistics Park, Inc. (Equity Real Estate Investment Trusts (REITs)) | 998,969 | ||||||
319 | Mori Hills REIT Investment Corp. (Equity Real Estate Investment Trusts (REITs)) | 361,790 | ||||||
27 | Nippon Accommodations Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 132,945 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
349 | Nippon Building Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,811,765 | ||||||
1,330 | Nomura Real Estate Master Fund, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,669,867 | ||||||
733 | Sekisui House Reit, Inc. (Equity Real Estate Investment Trusts (REITs)) | 428,916 | ||||||
8,000 | Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development) | 212,228 | ||||||
34,300 | The Kansai Electric Power Co., Inc. (Electric Utilities) | 300,674 | ||||||
18,600 | Toho Gas Co. Ltd. (Gas Utilities) | 436,338 | ||||||
27,800 | Tokyo Gas Co. Ltd. (Gas Utilities) | 532,494 | ||||||
202,408 | Tokyu Fudosan Holdings Corp. (Real Estate Management & Development) | 1,053,264 | ||||||
21,700 | West Japan Railway Co. (Road & Rail) | 805,482 | ||||||
|
| |||||||
28,615,299 | ||||||||
|
| |||||||
Luxembourg – 0.1% | ||||||||
42,754 | SES SA (Media) | 382,542 | ||||||
|
| |||||||
Mexico – 0.2% | ||||||||
5,445 | Grupo Aeroportuario del Pacifico SAB de CV ADR (Transportation Infrastructure) | 837,386 | ||||||
139,155 | Prologis Property Mexico SA de CV (Equity Real Estate Investment Trusts (REITs)) | 373,485 | ||||||
|
| |||||||
1,210,871 | ||||||||
|
| |||||||
New Zealand* – 0.3% | ||||||||
284,384 | Auckland International Airport Ltd. (Transportation Infrastructure) | 1,428,462 | ||||||
|
| |||||||
Philippines – 0.1% | ||||||||
76,320 | International Container Terminal Services, Inc. (Transportation Infrastructure) | 313,369 | ||||||
|
| |||||||
Singapore – 2.0% | ||||||||
1,870,743 | CapitaLand Integrated Commercial Trust (Equity Real Estate Investment Trusts (REITs)) | 3,134,601 | ||||||
1,097,948 | Capitaland Investment Ltd. (Real Estate Management & Development)* | 3,329,197 | ||||||
1,048,175 | Digital Core REIT Management Pte Ltd.* (Equity Real Estate Investment Trusts (REITs)) | 1,039,241 | ||||||
2,656,473 | Lendlease Global Commercial REIT (Equity Real Estate Investment Trusts (REITs)) | 1,517,393 | ||||||
262,100 | Mapletree Industrial Trust (Equity Real Estate Investment Trusts (REITs)) | 492,507 | ||||||
|
| |||||||
9,512,939 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS MULTI-MANAGER REAL ASSETS STRATEGY FUND
Schedule of Investments (continued)
April 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Spain – 2.7% | ||||||||
19,460 | Aena SME SA*(a) (Transportation Infrastructure) | $ | 2,761,559 | |||||
118,711 | Cellnex Telecom SA(a) (Diversified Telecommunication Services) | 5,533,153 | ||||||
104,306 | Ferrovial SA (Construction & Engineering) | 2,674,860 | ||||||
91,015 | Inmobiliaria Colonial Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 756,825 | ||||||
75,543 | Merlin Properties Socimi SA (Equity Real Estate Investment Trusts (REITs)) | 820,673 | ||||||
|
| |||||||
12,547,070 | ||||||||
|
| |||||||
Sweden – 1.3% | ||||||||
24,573 | Castellum AB (Real Estate Management & Development) | 486,628 | ||||||
107,017 | Fabege AB (Real Estate Management & Development) | 1,298,986 | ||||||
24,436 | Fastighets AB Balder Class B* (Real Estate Management & Development) | 1,211,226 | ||||||
121,491 | Pandox AB* (Real Estate Management & Development) | 1,692,666 | ||||||
423,718 | Samhallsbyggnadsbolaget i Norden AB (Real Estate Management & Development) | 1,330,970 | ||||||
20,931 | Wihlborgs Fastigheter AB (Real Estate Management & Development) | 362,894 | ||||||
|
| |||||||
6,383,370 | ||||||||
|
| |||||||
United Kingdom – 5.8% | ||||||||
120,761 | Big Yellow Group PLC (Equity Real Estate Investment Trusts (REITs)) | 2,182,389 | ||||||
642,924 | Capital & Counties Properties PLC (Equity Real Estate Investment Trusts (REITs)) | 1,328,388 | ||||||
268,845 | Grainger PLC (Real Estate Management & Development) | 1,002,684 | ||||||
60,552 | Great Portland Estates PLC (Equity Real Estate Investment Trusts (REITs)) | 514,323 | ||||||
624,908 | National Grid PLC (Multi-Utilities) | 9,284,240 | ||||||
127,832 | Pennon Group PLC (Water Utilities) | 1,776,386 | ||||||
62,799 | Safestore Holdings PLC (Equity Real Estate Investment Trusts (REITs)) | 987,939 | ||||||
419,677 | Segro PLC (Equity Real Estate Investment Trusts (REITs)) | 7,026,275 | ||||||
91,151 | The British Land Co. PLC (Equity Real Estate Investment Trusts (REITs)) | 587,141 | ||||||
43,686 | The UNITE Group PLC (Equity Real Estate Investment Trusts (REITs)) | 618,603 | ||||||
614,356 | Tritax Big Box REIT PLC (Equity Real Estate Investment Trusts (REITs)) | 1,875,425 | ||||||
|
| |||||||
27,183,793 | ||||||||
|
| |||||||
United States – 56.8% | ||||||||
83,916 | Acadia Realty Trust (Equity Real Estate Investment Trusts (REITs)) | 1,755,523 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
13,839 | Agree Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 939,945 | ||||||
37,031 | Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 6,745,567 | ||||||
27,785 | Ameren Corp. (Multi-Utilities) | 2,581,226 | ||||||
141,428 | American Homes 4 Rent Class A (Equity Real Estate Investment Trusts (REITs)) | 5,601,963 | ||||||
58,537 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 14,108,588 | ||||||
26,691 | American Water Works Co., Inc. (Water Utilities) | 4,112,549 | ||||||
25,345 | Apartment Income REIT Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,246,214 | ||||||
16,915 | Atmos Energy Corp. (Gas Utilities) | 1,918,161 | ||||||
14,090 | AvalonBay Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,205,193 | ||||||
7,919 | Brandywine Realty Trust (Equity Real Estate Investment Trusts (REITs)) | 92,415 | ||||||
41,596 | Broadstone Net Lease, Inc. (Equity Real Estate Investment Trusts (REITs)) | 860,621 | ||||||
38,405 | Camden Property Trust (Equity Real Estate Investment Trusts (REITs)) | 6,025,360 | ||||||
155,665 | CenterPoint Energy, Inc. (Multi-Utilities) | 4,764,906 | ||||||
44,847 | Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | 6,090,671 | ||||||
14,723 | Clearway Energy, Inc. Class C (Independent Power and Renewable Electricity Producers) | 449,493 | ||||||
32,836 | Community Healthcare Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,209,022 | ||||||
26,501 | Cousins Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 951,386 | ||||||
65,976 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 12,219,415 | ||||||
41,360 | CSX Corp. (Road & Rail) | 1,420,302 | ||||||
153,164 | CubeSmart (Equity Real Estate Investment Trusts (REITs)) | 7,276,822 | ||||||
10,208 | D.R. Horton, Inc. (Household Durables) | 710,375 | ||||||
18,799 | Digital Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,746,910 | ||||||
30,528 | DTE Midstream, Inc.* (Oil, Gas & Consumable Fuels) | 1,640,880 | ||||||
627 | Duke Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 34,328 | ||||||
25,993 | Edison International (Electric Utilities) | 1,788,058 | ||||||
76,738 | EPR Properties (Equity Real Estate Investment Trusts (REITs)) | 4,030,280 | ||||||
7,880 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,666,350 | ||||||
13,713 | Equity LifeStyle Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,059,741 | ||||||
107,739 | Equity Residential (Equity Real Estate Investment Trusts (REITs)) | 8,780,728 | ||||||
|
|
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) | ||||||||
United States – (continued) | ||||||||
104,172 | Essential Properties Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | $ | 2,500,128 | |||||
18,388 | Essex Property Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 6,054,617 | ||||||
12,865 | Evergy, Inc. (Electric Utilities) | 872,890 | ||||||
41,790 | Eversource Energy (Electric Utilities) | 3,652,446 | ||||||
41,199 | Exelon Corp. (Electric Utilities) | 1,927,289 | ||||||
23,755 | Extra Space Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | 4,513,450 | ||||||
20,743 | Federal Realty Investment Trust (Equity Real Estate Investment Trusts (REITs)) | 2,428,176 | ||||||
63,294 | First Industrial Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,671,052 | ||||||
12,682 | Gaming & Leisure Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 562,827 | ||||||
109,380 | Global Medical REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,614,449 | ||||||
20,402 | Healthcare Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 552,486 | ||||||
36,012 | Healthcare Trust of America, Inc. Class A (Equity Real Estate Investment Trusts (REITs)) | 1,096,926 | ||||||
119,586 | Host Hotels & Resorts, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,433,575 | ||||||
35,001 | Hudson Pacific Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 814,823 | ||||||
129,912 | Invitation Homes, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,173,096 | ||||||
19,079 | Kilroy Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,335,530 | ||||||
205,817 | Kimco Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 5,213,345 | ||||||
67,258 | Kite Realty Group Trust (Equity Real Estate Investment Trusts (REITs)) | 1,499,853 | ||||||
38,623 | Life Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) | 5,117,161 | ||||||
4,957 | Marriott Vacations Worldwide Corp. (Hotels, Restaurants & Leisure) | 740,229 | ||||||
50,898 | Medical Properties Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) | 936,014 | ||||||
79,164 | NETSTREIT Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,711,526 | ||||||
10,221 | NextEra Energy, Inc. (Electric Utilities) | 725,895 | ||||||
155,194 | NiSource, Inc. (Multi-Utilities) | 4,519,249 | ||||||
26,296 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 1,665,326 | ||||||
167,491 | Park Hotels & Resorts, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,301,248 | ||||||
234,196 | PG&E Corp.* (Electric Utilities) | 2,962,579 | ||||||
25,220 | PNM Resources, Inc. (Electric Utilities) | 1,176,765 | ||||||
12,708 | Portland General Electric Co. (Electric Utilities) | 601,470 | ||||||
83,627 | Prologis, Inc. (Equity Real Estate Investment Trusts (REITs)) | 13,404,572 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
9,455 | Public Storage (Equity Real Estate Investment Trusts (REITs)) | 3,512,532 | ||||||
24,079 | Regency Centers Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,657,358 | ||||||
100,189 | Rexford Industrial Realty, Inc. (Equity Real Estate Investment Trusts (REITs)) | 7,818,750 | ||||||
40,908 | Sabra Health Care REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 477,805 | ||||||
22,935 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | 7,960,968 | ||||||
61,759 | Sempra Energy (Multi-Utilities) | 9,965,432 | ||||||
30,504 | Simon Property Group, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,599,472 | ||||||
11,562 | SL Green Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 800,322 | ||||||
15,787 | Southwest Gas Holdings, Inc. (Gas Utilities) | 1,390,993 | ||||||
11,943 | Spire, Inc. (Gas Utilities) | 868,853 | ||||||
38,726 | STORE Capital Corp. (Equity Real Estate Investment Trusts (REITs)) | 1,100,980 | ||||||
13,830 | Sun Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,428,133 | ||||||
66,407 | Sunstone Hotel Investors, Inc.* (Equity Real Estate Investment Trusts (REITs)) | 813,486 | ||||||
56,196 | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 4,125,348 | ||||||
8,214 | Terreno Realty Corp. (Equity Real Estate Investment Trusts (REITs)) | 597,569 | ||||||
193,353 | The Macerich Co. (Equity Real Estate Investment Trusts (REITs)) | 2,426,580 | ||||||
154,499 | The Williams Cos., Inc. (Oil, Gas & Consumable Fuels) | 5,297,771 | ||||||
8,405 | Travel + Leisure Co. (Hotels, Restaurants & Leisure) | 466,309 | ||||||
49,378 | Ventas, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,742,948 | ||||||
107,009 | VICI Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) | 3,189,928 | ||||||
3,630 | Waste Connections, Inc. (Commercial Services & Supplies) | 500,831 | ||||||
5,363 | Waste Management, Inc. (Commercial Services & Supplies) | 881,892 | ||||||
9,083 | WEC Energy Group, Inc. (Multi-Utilities) | 908,754 | ||||||
112,874 | Welltower, Inc. (Equity Real Estate Investment Trusts (REITs)) | 10,250,088 | ||||||
10,363 | Weyerhaeuser Co. (Equity Real Estate Investment Trusts (REITs)) | 427,163 | ||||||
|
| |||||||
267,022,249 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $380,185,772) | $ | 455,786,716 | ||||||
|
|
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, 2022 (Unaudited)
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 3.4% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
15,785,563 | 0.317% | $ | 15,785,563 | |||||
(Cost $15,785,563) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.4% | ||||||||
(Cost $395,971,335) | $ | 471,572,279 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.4)% | (1,917,217 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 469,655,062 | ||||||
|
|
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 | —British Pound | |
HKD | —Hong Kong Dollar | |
SGD | —Singapore Dollar | |
USD | —United States Dollar | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
Sector Allocation as of April 30, 2022
Sector | % of Total Market Value | |||
Real Estate | 64.7 | % | ||
Utilities | 14.9 | |||
Energy | 9.6 | |||
Industrials | 6.0 | |||
Investment Companies | 3.3 | |||
Communication Services | 1.3 | |||
Consumer Discretionary | 0.4 | |||
Information Technology | 0.2 | |||
Total Investments | 100.4 | % | ||
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2022, 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 | 102,721 | GBP | 81,517 | 05/04/22 | $ | 219 | |||||||||||||
USD | 80,900 | HKD | 634,695 | 05/04/22 | 10 | |||||||||||||||
USD | 18,625 | SGD | 25,718 | 05/05/22 | 28 | |||||||||||||||
TOTAL | $ | 257 |
FUTURES CONTRACTS — At April 30, 2022, 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 | 228 | 06/17/22 | $ | 9,167,880 | $ | 135,227 |
56 | 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, 2022 (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 $344,573,894, $1,176,517,032 and $380,185,772, respectively) | $ | 367,500,143 | $ | 1,072,691,339 | $ | 455,786,716 | ||||||||
Investments of affiliated issuers, at value (cost $26,151,910, $58,139,576 and $15,785,563, respectively) | 26,151,910 | 58,139,576 | 15,785,563 | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | 3,286,588 | 1,295,961 | 257 | |||||||||||
Cash | 566,646 | 14,174,752 | 128,611 | |||||||||||
Foreign currencies, at value (cost $178,399, $1,729,757 and $282,891, respectively) | 179,024 | 1,723,450 | 280,827 | |||||||||||
Variation margin on futures contracts | 112,724 | 359,123 | — | |||||||||||
Variation margin on swaps contracts | — | 48,916 | — | |||||||||||
Receivables: | ||||||||||||||
Collateral on certain derivative contracts(a) | 1,823,926 | 10,451,981 | 576,840 | |||||||||||
Foreign tax reclaims | 630,608 | 296,174 | 136,755 | |||||||||||
Dividends and interest | 494,200 | 15,116,724 | 808,613 | |||||||||||
Investments sold | 439,927 | 53,707,420 | 17,708,815 | |||||||||||
Investments sold on an extended settlement basis | 281,413 | 7,859,562 | 2,190,180 | |||||||||||
Fund shares sold | 130,000 | — | 2,500,000 | |||||||||||
Reimbursement from investment adviser | 100,721 | — | — | |||||||||||
Due from broker | — | 1,237,222 | — | |||||||||||
Due from broker — upfront payment | — | 100,758 | — | |||||||||||
Other assets | 15,327 | 81,888 | 30,228 | |||||||||||
Total assets | 401,713,157 | 1,237,284,846 | 495,933,405 | |||||||||||
Liabilities: | ||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 650,847 | 6,254,530 | — | |||||||||||
Variation margin on futures contracts | — | — | 307,826 | |||||||||||
Unrealized loss on unfunded loan commitment | — | 6,165 | — | |||||||||||
Payables: | ||||||||||||||
Fund shares redeemed | 7,700,000 | 34,500,000 | 24,410,000 | |||||||||||
Due to broker | 1,230,000 | 1,765,512 | — | |||||||||||
Investments purchased | 515,337 | 38,001,817 | 258,173 | |||||||||||
Investments purchased on an extended settlement basis | 252,941 | 3,728,648 | 395,041 | |||||||||||
Management fees | 140,304 | 389,073 | 230,893 | |||||||||||
Distribution and service fees and transfer agency fees | 6,910 | 20,313 | 8,646 | |||||||||||
Accrued expenses and other liabilities | 1,846,281 | 1,609,397 | 667,764 | |||||||||||
Total liabilities | 12,342,620 | 86,275,455 | 26,278,343 | |||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 335,848,537 | 1,327,887,119 | 381,396,927 | |||||||||||
Total distributable earnings (loss) | 53,522,000 | (176,877,728 | ) | 88,258,135 | ||||||||||
NET ASSETS | $ | 389,370,537 | $ | 1,151,009,391 | $ | 469,655,062 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 39,403,587 | 145,035,037 | 43,170,579 | |||||||||||
Net asset value, offering and redemption price per share: | $9.88 | $7.94 | $10.88 |
(a) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Forwards | Swaps | |||||||||
Multi-Manager Global Equity | $1,823,926 | $ | — | $ | — | |||||||
Multi-Manager Non-Core Fixed Income | 140,521 | 1,060,000 | 9,251,460 | |||||||||
Multi-Manager Real Assets Strategy | 576,840 | — | — |
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2022 (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 $262,597, $552 and $383,716, respectively) | $ | 3,422,621 | $ | 944,717 | $ | 7,150,587 | ||||||||
Non-cash dividends — unaffiliated issuers | 258,290 | — | — | |||||||||||
Dividends — affiliated issuers | 12,246 | 36,178 | 6,967 | |||||||||||
Interest | — | 34,360,218 | — | |||||||||||
Total investment income | 3,693,157 | 35,341,113 | 7,157,554 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 2,436,189 | 5,689,863 | 3,182,197 | |||||||||||
Custody, accounting and administrative services | 698,118 | 508,432 | 280,443 | |||||||||||
Professional fees | 120,928 | 108,641 | 91,605 | |||||||||||
Transfer Agency fees | 47,305 | 133,879 | 63,644 | |||||||||||
Printing and mailing costs | 19,133 | 23,262 | 19,209 | |||||||||||
Trustee fees | 14,718 | 16,938 | 15,196 | |||||||||||
Registration fees | 12,027 | 110,036 | 34,260 | |||||||||||
Prime broker fees | 4,614 | 870 | — | |||||||||||
Other | 5,505 | 11,532 | 8,481 | |||||||||||
Total expenses | 3,358,537 | 6,603,453 | 3,695,035 | |||||||||||
Less — expense reductions | (2,155,780 | ) | (3,000,630 | ) | (1,495,458 | ) | ||||||||
Net expenses | 1,202,757 | 3,602,823 | 2,199,577 | |||||||||||
NET INVESTMENT INCOME | 2,490,400 | 31,738,290 | 4,957,977 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments — unaffiliated issuers (including commission recapture of $39,328, $0 and $13,656, respectively) | 34,361,376 | (40,970,195 | ) | 32,946,749 | ||||||||||
Futures contracts | (1,469,696 | ) | 902,478 | (309,368 | ) | |||||||||
Swap contracts | — | (458,892 | ) | — | ||||||||||
Forward foreign currency exchange contracts | 5,003,234 | (4,731,385 | ) | (8,116 | ) | |||||||||
Foreign currency transactions | (291,711 | ) | (292,686 | ) | (140,114 | ) | ||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments — unaffiliated issuers | (99,760,605 | ) | (99,709,297 | ) | (51,975,192 | ) | ||||||||
Futures contracts | (1,819,297 | ) | (120,687 | ) | (234,744 | ) | ||||||||
Unfunded loan commitments | — | (5,879 | ) | — | ||||||||||
Swap contracts | — | (1,038,890 | ) | — | ||||||||||
Forward foreign currency exchange contracts | 2,027,203 | (3,431,778 | ) | 257 | ||||||||||
Foreign currency translation | 1,439 | (89,925 | ) | (31,999 | ) | |||||||||
Net realized and unrealized loss | (61,948,057 | ) | (149,947,136 | ) | (19,752,527 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (59,457,657 | ) | $ | (118,208,846 | ) | $ | (14,794,550 | ) |
58 | 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, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 2,490,400 | $ | 5,925,652 | $ | 31,738,290 | $ | 52,169,031 | ||||||||||||||
Net realized gain (loss) | 37,603,203 | 121,160,990 | (45,550,680 | ) | (4,138,875 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | (99,551,260 | ) | 70,851,939 | (104,396,456 | ) | 21,040,650 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (59,457,657 | ) | 197,938,581 | (118,208,846 | ) | 69,070,806 | ||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings | (127,713,203 | ) | (11,198,105 | ) | (32,585,787 | ) | (49,948,317 | ) | ||||||||||||||
From return of capital | — | — | — | (3,326,163 | ) | |||||||||||||||||
Total distributions to shareholders | (127,713,203 | ) | (11,198,105 | ) | (32,585,787 | ) | (53,274,480 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 7,140,000 | 27,650,000 | 52,750,000 | 664,383,000 | ||||||||||||||||||
Reinvestment of distributions | 127,713,203 | 11,198,105 | 32,574,473 | 53,171,912 | ||||||||||||||||||
Cost of shares redeemed | (84,709,280 | ) | (226,639,947 | ) | (208,599,482 | ) | (248,296,288 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 50,143,923 | (187,791,842 | ) | (123,275,009 | ) | 469,258,624 | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (137,026,937 | ) | (1,051,366 | ) | (274,069,642 | ) | 485,054,950 | |||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of period | 526,397,474 | 527,448,840 | 1,425,079,033 | 940,024,083 | ||||||||||||||||||
End of period | $ | 389,370,537 | $ | 526,397,474 | $ | 1,151,009,391 | $ | 1,425,079,033 |
The accompanying notes are an integral part of these financial statements. | 59 |
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, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 4,957,977 | $ | 12,550,336 | ||||||
Net realized gain | 32,489,151 | 44,666,452 | ||||||||
Net change in unrealized gain (loss) | (52,241,678 | ) | 108,096,361 | |||||||
Net increase (decrease) in net assets resulting from operations | (14,794,550 | ) | 165,313,149 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings | (37,115,315 | ) | (7,892,296 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 27,000,000 | 229,310,000 | ||||||||
Reinvestment of distributions | 37,115,315 | 7,892,296 | ||||||||
Cost of shares redeemed | (275,857,768 | ) | (121,265,768 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (211,742,453 | ) | 115,936,528 | |||||||
TOTAL INCREASE (DECREASE) | (263,652,318 | ) | 273,357,381 | |||||||
Net assets: | ||||||||||
Beginning of period | 733,307,380 | 459,949,999 | ||||||||
End of period | $ | 469,655,062 | $ | 733,307,380 |
60 | 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
(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 thse 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. | 61 |
GOLDMAN SACHS MULTI-MANAGER NON-CORE FIXED INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(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. |
62 | 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
(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. | 63 |
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
April 30, 2022 (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, 2022, 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, Diamond Hill Capital Management Inc., GW&K Investment Management, LLC, Massachusetts Financial Services Company, doing business as MFS Investment Management, Principal Global Investors, LLC, T. Rowe Price Associates, Inc., 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, Pacific Asset Management LLC, RBC Global Asset Management (U.S.) Inc.*, 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., Principal Real Estate Investors, LLC, PGIM Real Estate, a business unit of PGIM, Inc., Presima Inc., and RREEF America L.L.C. (the “Underlying Managers”). Effective March 7, 2022, Presima Inc. no longer served as an Underlying Manager for the Goldman Sachs Multi-Manager Real Assets Strategy Fund. Pursuant to the terms of the Sub-Advisory Agreements, the Underlying Managers are responsible for making investment decisions and managing the investments of the Fund. GSAM compensates the Underlying Managers directly in accordance with the terms of the Sub-Advisory Agreements. The Funds are not charged any separate or additional investment advisory fees by the Underlying Managers.
* | As of November 1, 2021, RBC Global Asset Management (U.S.) Inc. assumed investment management responsibilities from BlueBay Asset Management USA LLC. BlueBay Asset Management LLP and RBC Global Asset Management (U.S.) Inc. co-manage an allocation of global high yield debt for the Fund. |
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized 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
64
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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 a Fund is 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
65
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
66
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. 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.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date.All forward foreign currency exchange contracts are marked to market daily 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.
iii. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement. The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of April 30, 2022:
MULTI-MANAGER GLOBAL EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Africa | $ | 471,555 | $ | 960,035 | $ | — | ||||||
Asia | 4,830,150 | 56,035,158 | — | |||||||||
Australia and Oceania | 632,671 | 2,599,060 | — | |||||||||
Europe | 10,415,262 | 78,164,325 | — | |||||||||
North America | 208,774,222 | 41,434 | — | |||||||||
South America | 2,398,787 | 535,546 | — | |||||||||
Warrants | — | 140 | — | |||||||||
Exchange Traded Funds | 1,641,798 | — | — | |||||||||
Investment Companies | 26,151,910 | — | — | |||||||||
Total | $ | 255,316,355 | $ | 138,335,698 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 3,286,588 | $ | — | ||||||
Liabilities(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (650,847 | ) | $ | — | |||||
Futures Contracts | (703,376 | ) | — | — | ||||||||
Total | $ | (703,376 | ) | $ | (650,847 | ) | $ | — |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER NON-CORE FIXED INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Fixed Income |
| |||||||||||
Foreign Debt Obligations | $ | — | $ | 370,149,467 | $ | — | ||||||
Corporate Obligations | — | 447,262,934 | 207,109 | |||||||||
Bank Loans | — | 244,168,229 | 3,431,627 | |||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | 878,248 | 3,954,163 | 1,654,881 | |||||||||
Warrants | — | 216,207 | 768,474 | |||||||||
Investment Company | 58,139,576 | — | — | |||||||||
Total | $ | 59,017,824 | $ | 1,065,751,000 | $ | 6,062,091 | ||||||
Liabilities | ||||||||||||
Fixed Income | ||||||||||||
Unfunded Loan Committment | $ | — | $ | (6,165 | ) | $ | — | |||||
Derivative Type | ||||||||||||
Assets(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,295,961 | $ | — | ||||||
Futures Contracts | 437,814 | — | — | |||||||||
Total | $ | 437,814 | $ | 1,295,961 | $ | — | ||||||
Liabilities(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (6,254,530 | ) | $ | — | |||||
Futures Contracts | (325,785 | ) | — | — | ||||||||
Credit Default Swap Contracts | — | (1,031,783 | ) | — | ||||||||
Total | $ | (325,785 | ) | $ | (7,286,313 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MULTI-MANAGER REAL ASSETS STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | $ | 132,945 | $ | 55,273,319 | $ | — | ||||||
Australia and Oceania | — | 17,714,413 | — | |||||||||
Europe | 1,002,684 | 75,123,432 | — | |||||||||
North America | 305,699,652 | — | — | |||||||||
South America | 840,271 | — | — | |||||||||
Investment Company | 15,785,563 | — | — | |||||||||
Total | $ | 323,461,115 | $ | 148,111,164 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) |
| |||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 257 | $ | — | ||||||
Futures Contracts | 135,227 | — | — | |||||||||
Total | $ | 135,227 | $ | 257 | $ | — |
(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, 2022. 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 | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 3,286,588 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (650,847) | ||||||
Equity | — | — | Variation margin on futures contracts | (703,376) | (a) | |||||||
Total | $ | 3,286,588 | $ | (1,354,223) |
(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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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
Multi-Manager Non-Core Fixed Income | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest Rate | Variation margin on futures contracts | $ | 437,814 | (a) | Variation margin on futures contracts | $ | (325,785) | (a) | ||||
Credit | Variation margin on swap contracts | (1,031,783) | (a) | |||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 1,295,961 | Payable for unrealized loss on forward foreign currency exchange contracts | (6,254,530) | ||||||||
Total | $ | 1,733,775 | $ | (7,612,098) | ||||||||
Multi-Manager Real Assets Strategy | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 257 | — | $ | — | ||||||
Equity | Variation margin on futures contracts | 135,227 | (a) | — | — | |||||||
Total | $ | 135,484 | $ | — |
(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, 2022. 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 | Statements 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 | $ | 5,003,234 | $ | 2,027,203 | |||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (1,469,696 | ) | (1,819,297 | ) | |||||
Total | $ | 3,533,538 | $ | 207,906 | ||||||
Multi-Manager Non-Core Fixed Income | ||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain | |||||||
Interest rate | Net realized gain (loss) from futures contracts / Net change in unrealized gain (loss) on futures contracts contracts | $ | 902,478 | $ | (120,687 | ) | ||||
Credit | Net realized gain (loss) from swap contracts/ Net change in unrealized gain (loss) on swap contracts | (458,892 | ) | (1,038,890 | ) | |||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/ Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (4,731,385 | ) | (3,431,778 | ) | |||||
Total | $ | (4,287,799 | ) | $ | (4,591,355 | ) |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
4. INVESTMENTS IN DERIVATIVES (continued) |
Multi-Manager Real Assets Strategy Fund | ||||||||||
Risk | Statements 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 | $ | (8,116 | ) | $ | 257 | ||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (309,368 | ) | (234,744 | ) | |||||
Total | $ | (317,484 | ) | $ | (234,487 | ) |
For the six months ended April 30, 2022, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts, or Shares/Units(a) | ||||||||||||
Futures contracts | Forward contracts | Swap Agreements | ||||||||||
Multi-Manager Global Equity Fund | 182 | $ | 248,356,302 | $ | — | |||||||
Multi Manager Non Core Fixed Income Fund | 100 | 199,926,777 | 42,140,000 | |||||||||
Multi-Manager Real Asset Strategy Fund | 324 | 601,418 | — |
(a) | Amounts(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, and swap agreements, based on absolute values, which is indicative of volume for this derivative type, for the months that the Fund held such derivatives for the six months ended April 30, 2022. |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Additionally, the Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Underlying Managers believe to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of April 30, 2022:
Multi-Manager Global Equity Fund |
| |||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||
Counterparty | Forward Currency Contracts | Forward Currency Contracts | Net Derivative Asset (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | |||||||||||||||
BNP Paribas SA | $ | 2,429,621 | $ | (481,361 | ) | $ | 1,948,260 | $ | (1,230,000 | ) | $ | 718,260 | ||||||||
Brown Brothers Harriman & Co. | — | (34 | ) | (34 | ) | — | (34 | ) | ||||||||||||
JPMorgan Securities, Inc. | 856,411 | (168,841 | ) | 687,570 | — | 687,570 | ||||||||||||||
State Street Bank and Trust | 556 | (611 | ) | (55 | ) | — | (55 | ) | ||||||||||||
Total | $ | 3,286,588 | $ | (650,847 | ) | $ | 2,635,741 | $ | (1,230,000 | ) | $ | 1,405,741 |
(1) | Gross amounts available for offset but not netted in the Statement of Assets and Liabilities. |
(2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the 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, 2022, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | ||||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | Effective Net Management | |||||||||||||||||||||
Multi-Manager Global Equity | 1.03 | % | 0.93 | % | 0.89 | % | 0.87 | % | 0.84 | % | 1.03 | % | 0.39 | % | ||||||||||||||
Multi-Manager Non-Core Fixed Income | 0.85 | 0.85 | 0.77 | 0.73 | 0.71 | 0.85 | % | 0.40 | % | |||||||||||||||||||
Multi-Manager Real Asset Strategy | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 | 1.00 | % | 0.53 | % |
* | 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, 2023, and prior to such date GSAM may not terminate the arrangements without the approval of the Board of Trustees. |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Funds invest in Institutional Shares and/or Class R6 Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest. For the six months ended April 30, 2022, GSAM waived $23,616, $73,028 and $13,028 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
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, 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, 2023, 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, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursements | Total Annual Operating Expense Reductions | |||||||||||
Multi-Manager Global Equity | $ | 1,521,875 | $ | 633,905 | $ | 2,155,780 | ||||||||
Multi-Manager Non-Core Fixed Income | 3,000,630 | — | 3,000,630 | |||||||||||
Multi-Manager Real Assets Strategy | 1,495,458 | — | 1,495,458 |
D. Line of Credit Facility — As of April 30, 2022, the Funds participated in a $1,250,000,000 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, 2022, the Funds did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
E. Other Transactions with Affiliates — For the six months ended April 30, 2022, Goldman Sachs earned $168, $235 and $1,190, 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, Multi-Manager Non-Core Fixed Income Fund and Multi-Manager Real Assets Strategy Fund respectively.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
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, 2022:
Fund | Market Value as of October 31, | Purchases at Cost | Proceeds from Sales | Market Value as of April 30, | Shares as of April 30, | Dividend Income from Affiliated Investment Companies | ||||||||||||||||||
Multi-Manager Global Equity | ||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 12,999,041 | $ | 139,955,855 | $ | (140,778,620 | ) | $ | 12,176,276 | 12,176,276 | $ | 5,719 | ||||||||||||
Goldman Sachs Financial Square Government Fund — Class R6 Shares | 21,160,598 | 41,344,513 | (48,529,477 | ) | 13,975,634 | 13,975,634 | 6,527 | |||||||||||||||||
Multi-Manager Non-Core Fixed Income | ||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 131,055,477 | 570,259,045 | (643,174,946 | ) | 58,139,576 | 58,139,576 | 36,178 | |||||||||||||||||
Multi-Manager Real Asset Strategy | ||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 12,166,287 | 145,580,527 | (141,961,251 | ) | 15,785,563 | 15,785,563 | 6,967 |
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, 2022, were as follows:
Fund | Purchases of Government Securities | Purchases Excluding Government Securities | Sales of Government Securities | Sales Excluding Government Securities | ||||||||||||||
Multi-Manager Global Equity | $ | — | $ | 211,212,821 | $ | — | $ | 274,278,291 | ||||||||||
Multi-Manager Non-Core Fixed Income | 3,706,362 | 15,092,757 | 488,456,613 | 596,214,034 | ||||||||||||||
Multi-Manager Real Asset Strategy | — | 320,730,866 | — | 555,336,795 |
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, October 31, 2021, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Multi-Manager Global Equity Fund | Multi-Manager Non Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||
Capital loss carryforwards: | ||||||||||||
Perpetual short-term | $ | — | $ | (2,026,460 | ) | $ | — | |||||
Perpetual long-term | — | (14,338,065 | ) | — | ||||||||
Total capital loss carryforwards: | $ | — | $ | (16,364,525 | ) | $ | — | |||||
Timing differences (Straddle Loss Deferral/Dividend Payable) | $ | (14,548 | ) | $ | (1,526,380 | ) | $ | — |
As of April 30, 2022, 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 Fund | Multi-Manager Non Core Fixed Income | Multi-Manager Real Assets Strategy | ||||||||||
Tax Cost | $ | 380,944,379 | $ | 1,237,253,245 | $ | 417,373,873 | ||||||
Gross unrealized gain | 50,485,005 | 9,003,330 | 86,314,891 | |||||||||
Gross unrealized loss | (37,777,331 | ) | (115,425,660 | ) | (32,116,485 | ) | ||||||
Net unrealized gains (losses) on securities | 12,707,674 | (106,422,330 | ) | 54,198,406 |
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, market discount accretion and premium amortization, partnership investments, 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,
77
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
On March 5, 2021, the United Kingdom’s Financial Conduct Authority (“FCA”) and ICE Benchmark Authority formally announced that certain LIBOR benchmarks will cease publication after December 31, 2021 while others will cease publication after June 30, 2023. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to a Fund’s investments resulting from a substitute reference rate may also adversely affect a Fund’s performance and/or NAV.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
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.
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GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
8. OTHER RISKS (continued) |
Industry Concentration Risk — Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject a Fund to a greater risk of loss as a result of adverse economic, business, political, environmental or other developments than if its investments were diversified across different industries.
Interest Rate Risk— When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, 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 funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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
79
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
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 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 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 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. 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.
80
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Multi-Manager Global Equity Fund | ||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 515,504 | $ | 7,140,000 | 1,915,368 | $ | 27,650,000 | ||||||||||
Reinvestment of distributions | 11,242,054 | 127,713,203 | 926,961 | 11,198,105 | ||||||||||||
Shares redeemed | (7,658,513 | ) | (84,709,280 | ) | (17,114,617 | ) | (226,639,947 | ) | ||||||||
NET INCREASE (DECREASE) | 4,099,045 | $ | 50,143,923 | (14,272,288 | ) | $ | (187,791,842 | ) |
Multi-Manager Non-Core Fixed Income Fund | ||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 6,206,680 | $ | 52,750,000 | 73,449,726 | $ | 664,383,000 | ||||||||||
Reinvestment of distributions | 3,850,701 | 32,574,473 | 5,845,623 | 53,171,912 | ||||||||||||
Shares redeemed | (25,001,689 | ) | (208,599,482 | ) | (27,333,492 | ) | (248,296,288 | ) | ||||||||
NET INCREASE (DECREASE) | (14,944,308 | ) | $ | (123,275,009 | ) | 51,961,857 | $ | 469,258,624 |
Multi-Manager Real Assets Strategy Fund | ||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) | For the Fiscal Year Ended October 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,436,265 | $ | 27,000,000 | 21,161,423 | $ | 229,310,000 | ||||||||||
Reinvestment of distributions | 3,236,155 | 37,115,315 | 807,809 | 7,892,296 | ||||||||||||
Shares redeemed | (24,869,195 | ) | (275,857,768 | ) | (11,109,422 | ) | (121,265,768 | ) | ||||||||
NET INCREASE (DECREASE) | (19,196,775 | ) | $ | (211,742,453 | ) | 10,859,810 | $ | 115,936,528 |
81
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Liquidity Risk Management Program (Unaudited)
Each Portfolio has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Portfolio’s liquidity risk, i.e., the risk that a Portfolio is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Board of Trustees of the Trust has designated GSAM, each Portfolio’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Portfolio that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Portfolio’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 3-4, 2022, 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, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. 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 Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other risks to which it may be subject.
82
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Fund Expenses — Six Months Period Ended April 30, 2022 (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, 2021 through April 30, 2022, 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 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | Beginning Account Value 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | Beginning Account Value 11/1/21 | Ending Account Value 4/30/22 | Expenses Paid for the 6 months ended 4/30/22* | |||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 873.77 | $ | 2.37 | $ | 1,000.00 | $ | 913.20 | $ | 2.56 | $ | 1,000.00 | $ | 974.30 | $ | 3.38 | ||||||||||||||||||
Hypothethical 5% return | 1,000.00 | 1,022.27 | + | 2.56 | 1,000.00 | 1,022.12 | + | 2.71 | 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, 2022. 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 | 0.54 | |||
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. |
83
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Multi-Manager Global Equity 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 November 16-17, 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 Diamond Hill Capital Management, 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 present 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, they 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 noted that, because the Sub-Adviser had not previously provided services to the Fund, there was no performance information to evaluate 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 includes 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 and how it would change upon hiring the Sub-Adviser. 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.
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 the 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.
84
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Multi-Manager Non-Core Fixed Income 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 November 16-17, 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 Pacific Asset Management LLC (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 present 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, they 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 noted that, because the Sub-Adviser had not previously provided services to the Fund, there was no performance information to evaluate 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 includes 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 and how it would change upon hiring the Sub-Adviser. 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.
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 the 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
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 3-4, 2022, 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 Principal Real Estate Investors, LLC (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 present 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, they 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 an affiliate of the Sub-Adviser currently manages assets for another investment portfolio of the Trust. They noted that, because the Sub-Adviser had not previously provided services to the Fund, there was no performance information to evaluate 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 includes 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 and how it would change upon hiring the Sub-Adviser. 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.
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 the 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.
86
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Multi-Manager Global Equity 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 November 16-17, 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 T. Rowe Price Associates, 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 present 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, they 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 noted that, because the Sub-Adviser had not previously provided services to the Fund, there was no performance information to evaluate 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 includes 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 and how it would change upon hiring the Sub-Adviser. 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.
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 the 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.
87
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust II (“the Trust”) was held on December 3, 2021 to consider and act upon the proposal below. Each Fund has amortized its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund in an amount equal to the portion of the increase in the Fund’s total expense ratio that exceeds a specified percentage.
At the Meeting, Steven D. Krichmar, Linda A. Lang, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against/Withheld | Abstain | |||||||||
Steven D. Krichmar | 997,212,261 | 10,105,414 | 0 | |||||||||
Linda A. Lang | 1,004,981,372 | 2,336,303 | 0 | |||||||||
Michael Latham | 995,719,416 | 11,598,259 | 0 | |||||||||
Lawrence W. Stranghoener | 995,630,574 | 11,687,101 | 0 | |||||||||
88
GOLDMAN SACHS STRATEGIC MULTI-ASSET CLASS FUNDS
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Funds’ operations are difficult to predict.
89
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 $2.13 trillion in assets under supervision as of March 31, 2022, 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | 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 |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | 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 |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth. |
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 Linda A. Lang Michael Latham James A. McNamara Lawrence W. Stranghoener | 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.
© 2022 Goldman Sachs. All rights reserved. 281685-OTU-1625019 SMACSAR-22
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 November 4, 2021 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: | June 30, 2022 |
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: | June 30, 2022 | |||
By: | /s/ Joseph F. DiMaria | |||
Joseph F. DiMaria | ||||
Principal Financial Officer | ||||
Goldman Sachs Trust II | ||||
Date: | June 30, 2022 |