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 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Copies to:
| | |
| Caroline Kraus, Esq. | | 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: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
| | The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
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| Annual Report | | | | December 31, 2021 |
| | |
| | | | Fund of Funds Portfolios |
| | | | Balanced Strategy |
| | | | Growth and Income Strategy |
| | | | Growth Strategy |
| | | | Satellite Strategies |
Goldman Sachs Fund of Funds Portfolios
| ∎ | | GROWTH AND INCOME STRATEGY |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
MARKET REVIEW
Goldman Sachs Fund of Funds Portfolios
Market Review
The capital markets and the Portfolios were most influenced during the 12-month period ended December 31, 2021 (the “Reporting Period”) by the distribution of COVID-19 vaccines, improving economic conditions, rising inflation, higher interest rates, and continued fiscal stimulus and accommodative monetary policies from central banks and governments.
When the Reporting Period began in the first quarter of 2021, global equities added to their 2020 calendar year gains, while spread, or non-government bond, sector performance was largely negative. Rising bond yields and value-led equity markets dominated these months. Two key drivers of performance were continued fiscal stimulus, notably the authorization of $1.9 trillion in additional COVID-19 relief spending in the U.S., and progress in the COVID-19 vaccine rollout. The accelerating rollout of COVID-19 vaccines boosted investors’ hopes of a sustainable reopening of the global economy. To varying degrees, central banks around the world leaned against market expectations for earlier than previously expected policy normalization, indicating their policies would remain accommodative despite improvements in economic growth given weak underlying inflation dynamics.
During the second calendar quarter, global equities and spread sectors recorded positive returns overall. Discussions during these months centered on the central bank liquidity tailwind, fiscal stimulus, COVID-19 vaccine rollout progress, economic reopening momentum and strong corporate profits. In May, remarkably strong U.S. inflation data, coupled with the release of a disappointing April U.S. jobs report, suggested that pandemic-related dynamics, such as temporary supply shortages, were likely to continue affecting economic data in the near term. This led to a recalibration in investors’ economic growth expectations, though the reassessment may also have reflected their concerns about the spreading Delta variant and the potential of a sooner than consensus anticipated withdrawal of U.S. Federal Reserve (the “Fed”) policy support. Indeed, during June, Fed officials indicated they were mindful of increases in inflation and inflation expectations.
The third quarter of 2021 was a mixed time for risk assets. Market sentiment was broadly supported by reassuring comments from central bank officials and by strong corporate earnings. However, growing concerns about the spread of the more infectious Delta variant in numerous countries and a regulatory crackdown in China led to a large equity sell-off in September. While developed equity markets posted modest gains for the quarter, emerging markets equities were down significantly. In the fixed income markets, spread sectors were challenged by ongoing concerns about the spread of the Delta variant, especially in countries with low levels of vaccination, and its potential impact on the global economic recovery. Emerging markets debt was hurt further by worries about potential contagion from a debt crisis at one of China’s largest property developers.
During the fourth quarter of 2021, global equities broadly advanced, led by double-digit gains in the U.S. equity market. Despite a sharp increase in infections from the Omicron variant and persistent elevated inflation due to a multitude of COVID-19-related factors, U.S. economic growth continued to track well above trend. Meanwhile, corporate earnings consistently surprised to the upside, and U.S consumption of goods and services remained strong into the end of the Reporting Period. In the fixed income markets, spread sector returns were muted. Interest rates were volatile, as investors shifted forward their expectations about the withdrawal of the Fed’s accommodative policies amid a series of upside inflation surprises. Indeed, the Fed’s narrative on inflation shifted from “transitory” to “more persistent” during the fourth calendar quarter. In December, policymakers began to scale back the Fed’s $120 billion a month asset purchase program. They subsequently announced they would accelerate the pace of tapering starting in January 2022 and indicated they might hike interest rates three times in 2022.
Looking Ahead
At the end of the Reporting Period, we noted that market behavior across asset classes supported the notion the worldwide economy was in a mid-cycle phase. Decisive action and coordination from global policymakers had successfully put many economies back on track after the COVID-19 shock. However, unprecedented levels of liquidity and the “Great Inflation Debate” were likely, in our view, to remain key drivers of macro uncertainty in 2022. Given that price stability had become the Fed’s top policy priority amid labor market improvement in 2021, we expected any Fed action in the near term to be highly data dependent and for uncertainty about that policy to add to overall market volatility. Against this backdrop, we maintained a cautiously positive view of risk assets at the end of the Reporting Period, anticipated choppy markets and continued to believe a dynamic investment approach and careful risk management could help us navigate potentially treacherous market conditions ahead.
1
PORTFOLIO RESULTS
Goldman Sachs Fund of Funds Portfolios – Asset Allocation
Investment Objectives
The Goldman Sachs Balanced Strategy Portfolio seeks current income and long-term capital appreciation. The Goldman Sachs Growth and Income Strategy Portfolio seeks long-term capital appreciation and current income. The Goldman Sachs Growth Strategy Portfolio seeks long-term capital appreciation and, secondarily, current income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Group discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Asset Allocation (the “Portfolios”) for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Portfolios perform during the Reporting Period? |
| A | | Goldman Sachs Balanced Strategy Portfolio — During the Reporting Period, the Balanced Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 7.53%, 6.73%, 7.93%, 7.44%, 7.75%, 8.00%, 7.32% and 7.94%, respectively. This compares to the 6.31% average annual total return of the Portfolio’s blended benchmark, which is composed 60% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Global Index”) and 40% of the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI ACWI Index”), during the same period. |
| | The components of the Portfolio’s blended benchmark, the Bloomberg Global Index and the MSCI ACWI Index, generated average annual total returns of -1.39% and 18.54%, respectively, during the Reporting Period. |
| | Goldman Sachs Growth and Income Strategy Portfolio — During the Reporting Period, the Growth and Income Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 12.27%, 11.44%, 12.64%, 12.03%, 12.48%, 12.69%, 11.94% and 12.66%, respectively. This compares to the 10.29% average annual total return of the Portfolio’s blended benchmark, which is composed 40% of the Bloomberg Global Index and 60% of the MSCI ACWI Index, during the same period. |
| | The components of the Portfolio’s blended benchmark, the Bloomberg Global Index and the MSCI ACWI Index, generated average annual total returns of -1.39% and 18.54%, respectively, during the Reporting Period. |
| | Goldman Sachs Growth Strategy Portfolio — During the Reporting Period, the Growth Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 16.54%, 15.67%, 17.03%, 16.41%, 16.86%, 17.02%, 16.31% and 17.03%, respectively. This compares to the 14.37% average annual total return of the Portfolio’s blended benchmark, which is composed 80% of the MSCI ACWI Index and 20% of the Bloomberg Global Index, during the same period. |
| | The components of the Portfolio’s blended benchmark, the Bloomberg Global Index and the MSCI ACWI Index, generated average annual total returns of -1.39% and 18.54%, respectively, during the Reporting Period. |
| Q | | What key factors were responsible for the Portfolios’ performance during the Reporting Period? |
| A | | The Portfolios seek to achieve their respective investment objectives by investing mainly in a combination of underlying funds and exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”). Some of the Portfolios’ Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”); some of the Underlying Funds invest primarily in equity securities (the “Underlying Equity Funds”); and other Underlying Funds invest dynamically across equity, fixed income, commodity and other markets using various strategies including a managed-volatility or trend-following approach (the “Underlying Dynamic Funds”). |
| | Performance is driven by three sources of return: long-term strategic asset allocation, medium-term and short-term dynamic allocation, and excess returns from investments in |
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PORTFOLIO RESULTS
| | Underlying Funds. Long-term strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors, including but not limited to, equity, interest rate, emerging markets, credit, momentum and active risk. The resulting strategic asset allocations are implemented using a range of bottom-up security selection strategies across equity, fixed income and dynamic asset classes, which may utilize fundamental or quantitative investment techniques. We then incorporate our medium-term and short-term dynamic views into the Portfolios in order to react to changes in the economic cycle and the markets, respectively. Each Portfolio’s positioning may therefore change over time based on our medium-term and short-term market views on dislocations and attractive investment opportunities. These views may impact the relative weighting across asset classes, the allocation to geographies, sectors and industries as well as the Portfolios’ duration and sensitivity to inflation. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.) |
| | During the Reporting Period, the Portfolios generated strong, positive returns on an absolute basis. In relative terms, all three Portfolios — the Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio — outperformed their respective blended benchmarks.* |
| | Long-term strategic asset allocation added to the performance of all three Portfolios during the Reporting Period. Also contributing positively were our short-term dynamic decisions and, to a lesser extent, our medium-term dynamic views. Security selection within the Underlying Funds bolstered the performance of the Portfolios overall. |
| | During the Reporting Period, our long-term strategic asset allocation added to the performance of the Portfolios, with those having greater equity exposure producing greater positive returns. In particular, the Portfolios were helped by their overweights to equities compared to their respective benchmark indices. Within fixed income, all three of the Portfolios benefited from their strategic allocations to inflation-protected securities and high yield corporate bonds, as these market segments performed well in the inflationary environment and amid risk-on investor sentiment, or increased risk appetite. For the same reasons, the Goldman Sachs Balanced Strategy Portfolio and the Goldman Sachs Growth and Income Strategy Portfolio benefited from their strategic allocations to high yield floating rate securities. |
| | Our medium-term dynamic views, which seek to respond to changes in the business or economic cycle, enhanced the performance of all three Portfolios. The Portfolios benefited from the decision to sell put options on the Russell 2000® Index to express medium-term dynamic views on small-cap equities. (A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time.) These positive results were offset somewhat by dynamic duration positioning across the Portfolios, which included allocations to U.S. Treasury securities, as interest rates rose during the Reporting Period. |
| | Short-term dynamic views, which seek to take advantage of what we consider short-term market mispricing, added to the performance of all three Portfolios. Short-term dynamic views were expressed through the Goldman Sachs Tactical Tilt Overlay Fund (the “Underlying Tactical Fund”), which generated positive returns during the Reporting Period. |
| | Security selection within the Underlying Funds added to the performance of all three of the Portfolios. |
| Q | | How did the Portfolios’ Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | | Among the Underlying Equity Funds, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs Dynamic Global Equity Fund, the Goldman Sachs International Small Cap Insights Fund, the Goldman Sachs International Equity Insights Fund, the Goldman Sachs Global Infrastructure Fund and the Goldman Sachs Global Real Estate Securities Fund outperformed their respective benchmark indices. The performance of the Goldman Sachs ActiveBeta® Large Cap Equity ETF versus its benchmark index was rather flat during the Reporting Period. |
| | Among Underlying Fixed Income Funds, the Goldman Sachs High Yield Floating Rate Fund and the Goldman Sachs Local Emerging Markets Debt Fund outperformed their respective benchmark indices. The Goldman Sachs Inflation Protected Securities Fund and the Goldman Sachs Short Duration Income Fund outperformed their respective benchmark indices between December 17, 2021, when they were added as Underlying Funds, and the end of the Reporting Period. During the Reporting Period overall, the |
| | * | | As measured by Institutional Shares. |
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PORTFOLIO RESULTS
| | Goldman Sachs High Yield Fund, the Goldman Sachs Global Core Fixed Income Fund and the Goldman Sachs Emerging Markets Debt Fund underperformed their respective benchmark indices. |
| | Among Underlying Dynamic Funds, the Goldman Sachs Managed Futures Strategy Fund outperformed its cash benchmark, while the Goldman Sachs Alternative Premia Fund underperformed its cash benchmark during the Reporting Period. (The Goldman Sachs Alternative Premia Fund, which was removed in 2020 as an Underlying Fund for the Goldman Sachs Growth Strategy Portfolio, remained an Underlying Fund for the Goldman Sachs Balanced Strategy Portfolio and the Goldman Sachs Growth and Income Strategy Portfolio.) |
| | The Underlying Tactical Fund outperformed its cash benchmark during the Reporting Period. |
| Q | | How did the Portfolios use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, all three Portfolios used derivatives for passive replication of asset classes. Specifically, each of the Portfolios held a strategic position in S&P 500® Index futures (positive impact on performance). They also employed put options on U.S. small-cap equities (positive impact). |
| | Within fixed income, all three Portfolios invested in a strategy that utilized interest rate options to profit if interest rates fall, remain constant, or rise less than anticipated (negative impact). In addition, U.S. Treasury futures were used to express our medium-term dynamic views on longer-term Treasury securities and to position the Portfolios toward the long-term end of the U.S. Treasury yield curve (negative impact). (Yield curve is a spectrum of interest rates based on maturities of varying lengths.) |
| | The three Portfolios used forward foreign currency exchange contracts within a foreign currency hedging strategy (positive impact), which seeks to manage the risk associated with investing in non-U.S. currencies. |
| | During the Reporting Period overall, some of the Portfolios’ Underlying Funds, including the Underlying Tactical Fund, used derivatives to apply their active investment views with greater versatility and potentially to afford greater risk management precision. As market conditions warranted during the Reporting Period, some of these Underlying Funds engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes. |
| Q | | What changes did you make during the Reporting Period within the Portfolios? |
| A | | No changes were made to the Portfolios’ long-term strategic asset allocations during the Reporting Period. |
| | Medium-term dynamic views on small cap equities were expressed by increasing equity beta through selling put options on the Russell 2000® Index in January 2021. (Equity beta is a measure of the volatility of a stock compared to the market as a whole.) Another change in our medium-term dynamic views was our decision in May to adjust the Portfolios’ duration positioning through decreasing holdings of longer-maturity U.S. Treasury futures and increasing allocations to the long U.S. interest rate options strategy, through which we seek to profit if interest rates fall, remain constant or rise less than anticipated. (Our long U.S. interest rate options strategy is a macroeconomic hedge that buys put options on short-term interest rates.) In December, we adopted the medium-term dynamic view that we should reduce equity and fixed income risk in the Portfolios. To this end, we decreased exposures to emerging markets equities by trimming allocations to the Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs Emerging Markets Debt Fund and Goldman Sachs Local Emerging Markets Debt Fund. |
| | In addition, during December 2021, we added the Goldman Sachs Inflation Protected Securities Fund and the Goldman Sachs Short Duration Income Fund as Underlying Funds of the Portfolios. |
| Q | | Were there any changes to the Portfolios’ portfolio management team during the Reporting Period? |
| A | | Effective May 24, 2021, Christopher Lvoff no longer served as a portfolio manager for the Portfolios, and Siwen Wu became a portfolio manager for the Portfolios. At the end of the Reporting Period, Neill Nuttall and Siwen Wu were portfolio managers for the Portfolios. By design, all investment decisions for the Portfolios are performed within a team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Portfolios. |
4
PORTFOLIO RESULTS
|
| |
| Portfolio Management Changes |
| |
| Effective January 3, 2022, after the end of the Reporting Period, Alexandra Wilson-Elizondo became a portfolio manager for the Portfolios, joining Neill Nuttall and Siwen Wu. |
5
FUND BASICS
Balanced Strategy
as of December 31, 2021
| 1 | | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
| 2 | | Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2021. Actual Fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. |
6
FUND BASICS
|
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
|
| Percentage of Net Assets |
| 3 | | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
7
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Performance Summary
December 31, 2021
The following graph shows the value, as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Balanced Strategy Composite Index (the “Balanced Composite”), which is comprised of 60% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Global Index”) and 40% of the MSCI® All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”), the Bloomberg Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Balanced Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
Class A | | | | | | | | | | | | | | |
Excluding sales charges | | | 7.53% | | | | 7.27% | | | | 6.07% | | | —% |
Including sales charges | | | 1.59% | | | | 6.06% | | | | 5.47% | | | —% |
|
Class C | | | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 6.73% | | | | 6.45% | | | | 5.27% | | | —% |
Including contingent deferred sales charges | | | 5.64% | | | | 6.45% | | | | 5.27% | | | —% |
|
Institutional | | | 7.93% | | | | 7.67% | | | | 6.47% | | | —% |
|
Service | | | 7.44% | | | | 7.13% | | | | 6.03% | | | —% |
|
Investor | | | 7.75% | | | | 7.52% | | | | 6.33% | | | —% |
|
Class R6 (Commenced July 31, 2015) | | | 8.00% | | | | 7.67% | | | | N/A | | | 6.47% |
|
Class R | | | 7.32% | | | | 7.00% | | | | 5.83% | | | —% |
|
Class P (Commenced April 17, 2018) | | | 7.94% | | | | N/A | | | | N/A | | | 7.23% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
8
FUND BASICS
Growth and Income Strategy
as of December 31, 2021
| 1 | | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
| 2 | | Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2021. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
9
FUND BASICS
|
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
|
| Percentage of Net Assets |
| 3 | | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
10
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Performance Summary
December 31, 2021
The following graph shows the value, as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Growth and Income Strategy Composite Index (the “Growth and Income Composite”), which is comprised of 60% of the MSCI® All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”) and 40% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Global Index”), the Bloomberg Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Growth and Income Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
Class A | | | | | | | | | | | | | | |
Excluding sales charges | | | 12.27% | | | | 9.61% | | | | 8.02% | | | —% |
Including sales charges | | | 6.11% | | | | 8.38% | | | | 7.41% | | | —% |
|
Class C | | | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 11.44% | | | | 8.80% | | | | 7.20% | | | —% |
Including contingent deferred sales charges | | | 10.34% | | | | 8.80% | | | | 7.20% | | | —% |
|
Institutional | | | 12.64% | | | | 10.01% | | | | 8.42% | | | —% |
|
Service | | | 12.03% | | | | 9.48% | | | | 7.89% | | | —% |
|
Investor | | | 12.48% | | | | 9.88% | | | | 8.28% | | | —% |
|
Class R6 (Commenced July 31, 2015) | | | 12.69% | | | | 10.04% | | | | N/A | | | 8.23% |
|
Class R | | | 11.94% | | | | 9.33% | | | | 7.74% | | | —% |
|
Class P (Commenced April 17, 2018) | | | 12.66% | | | | N/A | | | | N/A | | | 8.90% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
11
FUND BASICS
Growth Strategy
as of December 31, 2021
| 1 | | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
| 2 | | Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2021. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
12
FUND BASICS
|
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
|
| Percentage of Net Assets |
| 3 | | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s Investment strategies, holdings, and performance.
13
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Performance Summary
December 31, 2021
The following graph shows the value, as of December 31, 2021, of a $10,000 investment made on January 1, 2012 in Class A Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Growth Strategy Composite Index (the “Growth Strategy Composite”), which is comprised of 80% of the MSCI® All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”) and 20% of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Global Index”), the Bloomberg Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Growth Strategy Portfolio’s 10 Year Performance |
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 16.54% | | | | 11.83% | | | 9.93% | | —% |
Including sales charges | | | 10.14% | | | | 10.58% | | | 9.32% | | —% |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 15.67% | | | | 11.00% | | | 9.12% | | —% |
Including contingent deferred sales charges | | | 14.55% | | | | 11.00% | | | 9.12% | | —% |
|
Institutional | | | 17.03% | | | | 12.26% | | | 10.36% | | —% |
|
Service | | | 16.41% | | | | 11.71% | | | 9.83% | | —% |
|
Investor | | | 16.86% | | | | 12.11% | | | 10.22% | | —% |
|
Class R6 (Commenced July 31, 2015) | | | 17.02% | | | | 12.29% | | | N/A | | 9.92% |
|
Class R | | | 16.31% | | | | 11.55% | | | 9.66% | | —% |
|
Class P (Commenced April 17, 2018) | | | 17.03% | | | | N/A | | | N/A | | 10.65% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
14
PORTFOLIO RESULTS
Goldman Sachs Fund of Funds Portfolios – Satellite Strategies Portfolio
Investment Objective
The Portfolio seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Satellite Strategies Portfolio (the “Portfolio”) for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Portfolio perform during the Reporting Period? |
| A | | During the Reporting Period, the Portfolio’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 8.20%, 7.39%, 8.49%, 7.94%, 8.50%, 8.50%, 7.93% and 8.49%, respectively. This compares to the 10.90% average annual total return of the Portfolio’s blended benchmark, which is composed 40% of the Bloomberg U.S. Aggregate Bond Index (the “Bloomberg U.S. Index”), 30% of the Standard & Poor’s 500 Index (the “S&P 500® Index”) and 30% of the MSCI EAFE Net Total Return Index (the “MSCI EAFE Index”), during the same period. |
| | The components of the blended benchmark, the Bloomberg U.S. Index, the S&P 500® Index and the MSCI EAFE Index, generated average annual total returns of -1.54%, 28.71% and 11.26%, respectively, during the same period. |
| Q | | How did various satellite asset classes perform during the Reporting Period? |
| A | | During the Reporting Period, satellite asset classes generally produced positive returns, with the notable exceptions of emerging markets equities, U.S. dollar-denominated emerging markets debt and emerging markets local debt. Relative to traditional equity and fixed income classes, satellite asset classes underperformed during the Reporting Period. |
| | Among equity satellite asset classes, U.S. small cap equities, as measured by the Russell 2000® Index, performed best, gaining 14.82%. International small cap equities, as represented by MSCI EAFE Small Cap Equity Index (Net, Unhedged), returned 10.10%. During the Reporting Period, small-cap equities, both in the U.S. and internationally, lagged their large-cap counterparts, as risks of COVID-19 variants, supply constraints and the potential of slower economic growth due to higher inflation weighed on their performance. Emerging markets equities, as measured by the MSCI Emerging Markets Index (Net, Unhedged), declined 2.54% during the Reporting Period. |
| | As for fixed income satellite asset classes, concerns about rising inflation pushed inflation-protected securities higher, while less interest rate-sensitive high yield corporate bonds outperformed investment grade corporate bonds. Inflation-protected securities, as represented by the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index, returned 5.96%. High yield corporate bonds, as measured by the Bloomberg U.S. High-Yield 2% Issuer Capped Bond Index, gained 5.25%. Leveraged loans, as measured by the Credit Suisse Leveraged Loan Index, generated 5.39%. On the other hand, U.S. dollar-denominated emerging markets debt, as represented by the J.P. Morgan Emerging Market Bond Index Global Diversified Index, fell 1.80%. Emerging markets local debt, as measured by the J.P. Morgan Government Bond Index–Emerging Markets Global Diversified Index (Unhedged), dropped 8.75%. |
| | Real assets posted strong positive returns during the Reporting Period. U.S. energy master limited partnerships (“MLPs”), as measured by the Alerian MLP Index, climbed 40.17%. Global real estate, as measured by the FTSE/NAREIT Developed Index (Net, Unhedged), gained 26.42%. Global infrastructure securities, as represented by the Dow Jones Brookfield Global Infrastructure Index (Net, Unhedged), were up 19.87%. |
| Q | | What key factors were responsible for the Portfolio’s performance during the Reporting Period? |
| A | | The Portfolio seeks to achieve its investment objective by investing mainly in a combination of underlying funds and exchange-traded funds (“ETFs”) (collectively, the |
15
PORTFOLIO RESULTS
| | “Underlying Funds”). Some of the Portfolio’s Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”), and some of the Underlying Funds invest primarily in equity securities (the “Underlying Equity Funds”). |
| | The Portfolio’s performance is driven by three sources of return: long-term strategic asset allocation, medium-term dynamic allocation, and excess returns from investments in Underlying Funds. Long-term strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors, including but not limited to, equity, interest rate, emerging markets, credit, momentum and active risk. We apply a factor-based risk budgeting approach to develop a strategic allocation across the satellite asset classes included in the Portfolio. Our model focuses on broad asset classes, such as emerging markets, high yield credit and real assets. We then incorporate our medium-term dynamic views into the Portfolio in order to react to changes in the economic cycle. The Portfolio’s positioning may therefore change over time based on our medium-term dynamic views of attractive investment opportunities. These views may impact relative weighting across asset classes, the allocation to geographies, sectors and industries as well as the Portfolio’s duration and sensitivity to inflation. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.) |
| | During the Reporting Period, our strategic asset allocation generated positive absolute returns but underperformed the Portfolio’s blended benchmark of core asset classes. Our medium-term dynamic allocation did not have a material impact on the Portfolio’s performance during the Reporting Period. Security selection within the Underlying Funds marginally detracted from the Portfolio’s returns during the Reporting Period, with the underperformance concentrated in the Goldman Sachs Global Infrastructure Fund. |
| | Strategic asset allocation detracted from the Portfolio’s performance during the Reporting Period. The Fund was hurt by its strategic allocations to the emerging markets. Emerging markets asset classes were hit with a number of emerging markets-specific risks, such as potentially greater sensitivity to COVID-19-induced economic slowdowns, investor concerns about possible contagion from a debt crisis at one of China’s largest property developers and fears of a further regulatory crackdown in China. During the Reporting Period, emerging markets equities generated negative absolute returns and underperformed the equity component of the blended benchmark. U.S dollar-denominated emerging markets debt and emerging markets local debt each produced negative absolute returns and underperformed the fixed income component of the blended benchmark. On the other hand, the Portfolio benefited from its strategic allocations to global infrastructure securities, international small-cap equities, global real estate securities and energy MLPs, all of which generated positive absolute returns and outperformed the equity component of the blended benchmark. In addition, the Portfolio benefited from strategic allocations to inflation-protected securities, leveraged loans and high yield corporate bonds, as each generated a positive absolute return and outperformed the fixed income component of the blended benchmark. |
| | Regarding our medium-term dynamic asset allocation, the Portfolio benefited from our risk mitigation efforts wherein we reduced exposure to emerging markets equities and emerging markets local debt and added exposure to inflation-protected securities. This was largely offset by the medium-term dynamic views expressed as we made adjustments to the Portfolio’s strategic allocations during the first quarter of 2021. |
| Q | | How did the Portfolio’s Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | | During the Reporting Period, security selection within the Underlying Funds overall detracted from the Portfolio’s returns. Among Underlying Equity Funds, the Goldman Sachs Emerging Markets Equity Fund, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs International Small Cap Insights Fund and the Goldman Sachs MLP Energy Infrastructure Fund outperformed their respective benchmark indices. The Goldman Sachs Global Real Estate Securities Fund and the Goldman Sachs Global Infrastructure Fund underperformed their respective benchmark indices. The performance of the Goldman Sachs ActiveBeta® Emerging Markets Equity ETF versus its benchmark index was relatively flat. |
| | Among Underlying Fixed Income Funds, the Goldman Sachs Emerging Markets Debt Fund, the Goldman Sachs High Yield Fund and the Goldman Sachs High Yield Floating Rate Fund underperformed their respective benchmark indices. The impact from security selection on the Goldman Sachs Local Emerging Markets Debt Fund was relatively neutral. In addition, security selection had a rather neutral impact on the performance of the Goldman Sachs Inflation Protected Securities Fund between March 5, 2021, when it was added as an Underlying Fund for the Portfolio, and the end of the Reporting Period. |
16
PORTFOLIO RESULTS
| Q | | How did the Portfolio use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Portfolio did not directly invest in derivatives. However, some of the Underlying Funds used derivatives to apply their active investment views with greater versatility and to potentially afford greater risk management precision. As market conditions warranted, some of these Underlying Funds may have engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes. |
| Q | | What changes did you make during the Reporting Period within the Portfolio? |
| A | | We made a number of adjustments to the Portfolio’s strategic allocations during the Reporting Period. In the first quarter of 2021, we increased the Portfolio’s strategic allocation to international small-cap equities and reduced its strategic allocation to emerging markets equities. We increased the Portfolio’s strategic allocation to U.S. energy MLPs. We reduced the Portfolio’s allocation to global real estate securities and increased its strategic allocation to global infrastructure securities. Additionally, in March, we added a strategic allocation to inflation-protected securities through the addition of a new Underlying Fund, the Goldman Sachs Inflation Protected Securities Fund. We funded this new strategic allocation by reducing the Portfolio’s strategic allocations to high yield corporate bonds, leveraged loans, U.S. dollar-denominated emerging markets debt and emerging markets local debt. |
| | Regarding medium-term dynamic asset allocation, in December 2021, we reduced the Portfolio’s allocations to emerging markets equities and emerging markets local debt and added to the Portfolio’s allocation to inflation-protected securities. |
| Q | | Were there any changes to the Portfolio’s portfolio management team during the Reporting Period? |
| A | | Effective May 24, 2021, Christopher Lvoff no longer served as a portfolio manager for the Portfolio, and Siwen Wu became a portfolio manager for the Portfolio. At the end of the Reporting Period, Neill Nuttall and Siwen Wu were portfolio managers for the Portfolio. By design, all investment decisions for the Portfolio are performed within a team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Portfolio. |
|
| |
| Portfolio Management Changes |
| |
| Effective January 3, 2022, after the end of the Reporting Period, Alexandra Wilson-Elizondo became a portfolio manager for the Portfolio, joining Neill Nuttall and Siwen Wu. |
17
FUND BASICS
Satellite Strategies Portfolio
as of December 31, 2021
| | | | | | |
| | TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO1 AS OF 12/31/21 |
| |
| | | Percentage of Investment Portfolio |
| |
| | |  |
| 1 | | Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2021. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
18
FUND BASICS
|
| OVERALL UNDERLYING FUND WEIGHTINGS2 |
|
| Percentage of Net Assets |
| 2 | | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
19
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Performance Summary
December 31, 2021
The following graph shows the value, as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s current benchmarks, the Satellite Strategies Composite Index (the “Satellite Composite”), which is comprised of 40% of the Bloomberg U.S. Aggregate Bond Index, 30% of the S&P 500® Index, and 30% of the MSCI® Europe, Australasia and Far East Index (the “MSCI EAFE Index”), the S&P 500® Index, the Bloomberg U.S. Aggregate Bond Index and the MSCI EAFE Index (Gross, USD, Unhedged) (all with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Satellite Strategies Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
Class A | | | | | | | | | | | | | | |
Excluding sales charges | | | 8.20% | | | | 6.28% | | | | 5.17% | | | —% |
Including sales charges | | | 2.23% | | | | 5.10% | | | | 4.58% | | | —% |
|
Class C | | | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 7.39% | | | | 5.48% | | | | 4.38% | | | —% |
Including contingent deferred sales charges | | | 6.36% | | | | 5.48% | | | | 4.38% | | | —% |
|
Institutional | | | 8.49% | | | | 6.69% | | | | 5.58% | | | —% |
|
Service | | | 7.94% | | | | 6.15% | | | | 5.06% | | | —% |
|
Investor | | | 8.50% | | | | 6.54% | | | | 5.43% | | | —% |
|
Class R6 (Commenced July 31, 2015) | | | 8.50% | | | | 6.69% | | | | N/A | | | 5.45% |
|
Class R | | | 7.93% | | | | 6.02% | | | | 4.91% | | | —% |
|
Class P (Commenced April 17, 2018) | | | 8.49% | | | | N/A | | | | N/A | | | 5.23% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
20
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Index Definitions
Alerian MLP Index is the leading gauge of energy infrastructure master limited partnerships. The capped, float-adjusted, capitalization-weighted index, whose constituents earn the majority of their cash flow from midstream activities involving energy commodities, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX).
Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Bond Index, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.
Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.
FTSE EPRA/NAREIT Developed Index is a free-float adjusted, market capitalization-weighted index designed to track the performance of listed real estate companies in developed countries worldwide. Constituents of the Index are screened on liquidity, size and revenue.
J.P. Morgan Emerging Market Bond Index — Global Diversified Index is an unmanaged index of external debt instruments of emerging countries. The index is positioned as the investable benchmark that includes only those countries that are accessible by most of the international investor base and is popular largely due to its diversification weighting scheme and country coverage.
J.P. Morgan Government Bond Index — Emerging Markets Global Diversified Index is an unmanaged index of debt instruments issued by emerging markets governments in local currency. As emerging markets look increasingly toward their domestic market for sources of finance, investors are looking more closely at local markets in search for higher yield and greater diversification.
MSCI ACWI Investable Market Index captures large, mid and small cap representation across 23 developed markets and 27 emerging markets countries.
MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI EAFE Small Cap Index is an equity index that captures small-cap representation across developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 14% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets Index captures large-cap and mid-cap representation across 26 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
Dow Jones Brookfield Global Infrastructure Index is designed to measure the performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. To be included in the index, a company must derive at least 70% of cash flows from infrastructure lines of business.
Bloomberg U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities.
Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index measures the performance of the U.S. TIPS market.
It is not possible to invest directly in an unmanaged index.
21
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | | Description | | Value | |
|
| Underlying Funds(a) – 92.0% | |
| Dynamic – 9.5% | |
| | 2,865,566 | | | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | | $ | 29,400,709 | |
| | 1,647,985 | | | Goldman Sachs Managed Futures Strategy Fund – Class R6 | | | 16,809,450 | |
| | 1,855,329 | | | Goldman Sachs Alternative Premia Fund – Class R6 | | | 12,467,810 | |
| | | | | | | | |
| | | | | | | 58,677,969 | |
| | |
| Equity – 28.0% | |
| | 4,025,706 | | | Goldman Sachs Dynamic Global Equity Fund – Class R6 | | | 93,154,848 | |
| | 2,190,999 | | | Goldman Sachs International Equity Insights Fund – Class R6 | | | 31,550,390 | |
| | 1,825,489 | | | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | | | 17,743,749 | |
| | 904,054 | | | Goldman Sachs International Small Cap Insights Fund – Class R6 | | | 12,503,067 | |
| | 808,154 | | | Goldman Sachs Global Infrastructure Fund – Class R6 | | | 10,861,585 | |
| | 554,402 | | | Goldman Sachs Global Real Estate Securities Fund – Class R6 | | | 7,002,097 | |
| | | | | | | | |
| | | | | | | 172,815,736 | |
| | |
| Exchange Traded Funds – 18.6% | |
| | 625,350 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 59,495,799 | |
| | 1,022,389 | | | Goldman Sachs Access Investment Grade Corporate Bond ETF | | | 55,301,021 | |
| | | | | | | | |
| | | | | | | 114,796,820 | |
| | |
| Fixed Income – 35.9% | |
| | 12,670,665 | | | Goldman Sachs Global Income Fund – Class R6 | | | 160,917,442 | |
| | 1,573,189 | | | Goldman Sachs Core Fixed Income Fund – Class R6 | | | 17,132,033 | |
| | 1,146,851 | | | Goldman Sachs Emerging Markets Debt Fund – Class R6 | | | 13,727,808 | |
| | 1,155,667 | | | Goldman Sachs Short Duration Bond Fund – Class R6 | | | 11,672,238 | |
| | 685,225 | | | Goldman Sachs High Yield Floating Rate Fund – Class R6 | | | 6,413,708 | |
| | 501,883 | | | Goldman Sachs Inflation Protected Securities Fund – Class R6 | | | 5,882,067 | |
| | 890,242 | | | Goldman Sachs High Yield Fund – Class R6 | | | 5,724,256 | |
| | 21,306 | | | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | | | 113,987 | |
| | | | | | | | |
| | | | | | | 221,583,539 | |
| | |
| | TOTAL UNDERLYING FUNDS – 92.0% | |
| | (Cost $512,946,224) | | $ | 567,874,064 | |
| | |
| | | | | | |
| Shares | | Dividend
Rate | | Value | |
|
| Investment Company(a) – 5.5% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 34,000,024 | | 0.026% | | $ | 34,000,024 | |
| (Cost $34,000,024) | |
| |
| TOTAL INVESTMENTS – 97.5% | |
| (Cost $546,946,248) | | $ | 601,874,088 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.5% | | | 15,247,627 | |
| |
| NET ASSETS – 100.0% | | $ | 617,121,715 | |
| |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets |
| |
(a) | | Represents an Affiliated Issuer. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
CHF | | —Swiss Franc |
DKK | | —Danish Krone |
EUR | | —Euro |
GBP | | —British Pound |
HKD | | —Hong Kong Dollar |
ILS | | —Israeli Shekel |
JPY | | —Japanese Yen |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
SEK | | —Swedish Krona |
SGD | | —Singapore Dollar |
USD | | —U.S. Dollar |
| | |
Investment Abbreviation: |
ETF | | —Exchange Traded Fund |
|
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
MS & Co. Int. PLC | | USD | | | 8,298,119 | | | JPY | | | 937,000,000 | | | | 03/16/22 | | | $ | 147,075 | |
| | USD | | | 82,114 | | | NZD | | | 120,000 | | | | 03/16/22 | | | | 28 | |
| | USD | | | 1,274,136 | | | SEK | | | 11,475,000 | | | | 03/16/22 | | | | 3,433 | |
| | | USD | | | 1,107,506 | | | HKD | | | 8,630,000 | | | | 03/16/22 | | | | 598 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 151,134 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
MS & Co. Int. PLC | | USD | | | 11,552,843 | | | EUR | | | 10,160,000 | | | | 03/16/22 | | | | (32,555 | ) |
| | USD | | | 3,581,376 | | | CHF | | | 3,280,000 | | | | 03/16/22 | | | | (25,448 | ) |
| | USD | | | 374,232 | | | SGD | | | 510,000 | | | | 03/16/22 | | | | (4,073 | ) |
| | USD | | | 2,464,392 | | | AUD | | | 3,440,000 | | | | 03/16/22 | | | | (38,878 | ) |
| | USD | | | 5,033,772 | | | GBP | | | 3,770,000 | | | | 03/16/22 | | | | (67,387 | ) |
| | USD | | | 889,758 | | | DKK | | | 5,820,000 | | | | 03/16/22 | | | | (2,668 | ) |
| | USD | | | 221,204 | | | NOK | | | 2,000,000 | | | | 03/16/22 | | | | (5,578 | ) |
| | | USD | | | 127,304 | | | ILS | | | 400,000 | | | | 03/16/22 | | | | (1,443 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (178,030 | ) |
FUTURES CONTRACTS — At December 31, 2021, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
S&P 500 E-Mini Index | | | 134 | | | | 03/18/22 | | | $ | 31,881,950 | | | $ | 660,875 | |
10 Year U.S. Treasury Notes | | | 183 | | | | 03/22/22 | | | | 23,875,781 | | | | 160,810 | |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | 821,685 | |
PURCHASED OPTIONS CONTRACTS — At December 31, 2021, the Portfolio had the following purchased options:
EXCHANGE TRADED OPTIONS ON FUTURES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid (Received)
by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | | $ | 97.750 | | | | 03/13/2023 | | | | 172 | | | $ | 430,000 | | | $ | 474,075 | | | $ | 620,238 | | | $ | (146,163 | ) |
Eurodollar Futures | | | | | 97.750 | | | | 06/19/2023 | | | | 96 | | | | 240,000 | | | | 241,800 | | | | 391,501 | | | | (149,701 | ) |
Eurodollar Futures | | | | | 98.000 | | | | 12/19/2022 | | | | 46 | | | | 115,000 | | | | 114,425 | | | | 114,532 | | | | (107 | ) |
Eurodollar Futures | | | | | 98.250 | | | | 09/19/2022 | | | | 48 | | | | 120,000 | | | | 115,800 | | | | 114,711 | | | | 1,089 | |
Eurodollar Futures | | | | | 98.750 | | | | 12/19/2022 | | | | 128 | | | | 320,000 | | | | 118,400 | | | | 118,697 | | | | (297 | ) |
Eurodollar Futures | | | | | 99.000 | | | | 06/13/2022 | | | | 94 | | | | 235,000 | | | | 101,050 | | | | 98,918 | | | | 2,132 | |
Eurodollar Futures | | | | | 99.000 | | | | 09/19/2022 | | | | 132 | | | | 330,000 | | | | 99,825 | | | | 100,956 | | | | (1,131 | ) |
Eurodollar Futures | | | | | 99.000 | | | | 12/19/2022 | | | | 384 | | | | 960,000 | | | | 216,000 | | | | 546,824 | | | | (330,824 | ) |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | 1,100 | | | $ | 2,750,000 | | | $ | 1,481,375 | | | $ | 2,106,377 | | | $ | (625,002 | ) |
| | |
|
Abbreviation: |
MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Underlying Funds(a) – 93.1% | |
| Dynamic – 7.5% | |
| | 3,874,269 | | | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | | $ | 39,749,999 | |
| | 2,383,714 | | | Goldman Sachs Managed Futures Strategy Fund – Class R6 | | | 24,313,886 | |
| | 1,988,235 | | | Goldman Sachs Alternative Premia Fund – Class R6 | | | 13,360,941 | |
| | | | | | | | |
| | | | | | | 77,424,826 | |
| | |
| Equity – 38.8% | |
| | 9,211,479 | | | Goldman Sachs Dynamic Global Equity Fund – Class R6 | | | 213,153,632 | |
| | 5,872,704 | | | Goldman Sachs International Equity Insights Fund – Class R6 | | | 84,566,938 | |
| | 4,656,327 | | | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | | | 45,259,502 | |
| | 1,947,420 | | | Goldman Sachs International Small Cap Insights Fund – Class R6 | | | 26,932,814 | |
| | 1,383,164 | | | Goldman Sachs Global Infrastructure Fund – Class R6 | | | 18,589,730 | |
| | 893,004 | | | Goldman Sachs Global Real Estate Securities Fund – Class R6 | | | 11,278,642 | |
| | | | | | | | |
| | | | | | | 399,781,258 | |
| | |
| Exchange Traded Funds – 30.1% | |
| | 2,304,212 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 219,222,730 | |
| | 1,667,374 | | | Goldman Sachs Access Investment Grade Corporate Bond ETF | | | 90,188,259 | |
| | | | | | | | |
| | | | | | | 309,410,989 | |
| | |
| Fixed Income – 16.7% | |
| | 7,391,397 | | | Goldman Sachs Global Income Fund – Class R6 | | | 93,870,742 | |
| | 2,134,475 | | | Goldman Sachs Emerging Markets Debt Fund – Class R6 | | | 25,549,663 | |
| | 1,971,496 | | | Goldman Sachs Short Duration Bond Fund – Class R6 | | | 19,912,114 | |
| | 856,181 | | | Goldman Sachs Inflation Protected Securities Fund – Class R6 | | | 10,034,441 | |
| | 1,551,355 | | | Goldman Sachs High Yield Fund – Class R6 | | | 9,975,214 | |
| | 999,610 | | | Goldman Sachs High Yield Floating Rate Fund – Class R6 | | | 9,356,350 | |
| | 675,826 | | | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | | | 3,615,668 | |
| | | | | | | | |
| | | | | | | 172,314,192 | |
| | |
| | TOTAL UNDERLYING FUNDS – 93.1% | |
| | (Cost $792,831,960) | | $ | 958,931,265 | |
| | |
| | |
| | | | | | |
| Shares | | Dividend
Rate | | Value | |
|
| Investment Company(a) – 4.1% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 42,000,030 | | 0.026% | | $ | 42,000,030 | |
| (Cost $42,000,030) | |
| |
| TOTAL INVESTMENTS – 97.2% | |
| (Cost $834,831,990) | | $ | 1,000,931,295 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.8% | | | 28,700,417 | |
| |
| NET ASSETS – 100.0% | | $ | 1,029,631,712 | |
| |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets |
| |
(a) | | Represents an Affiliated Issuer. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
CHF | | —Swiss Franc |
DKK | | —Danish Krone |
EUR | | —Euro |
GBP | | —British Pound |
HKD | | —Hong Kong Dollar |
ILS | | —Israeli Shekel |
JPY | | —Japanese Yen |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
SEK | | —Swedish Krona |
SGD | | —Singapore Dollar |
USD | | —U.S. Dollar |
|
Investment Abbreviation: |
ETF | | —Exchange Traded Fund |
|
For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
MS & Co. Int. PLC | | USD | | | 14,683,331 | | | JPY | | | 1,658,000,000 | | | | 03/16/22 | | | $ | 260,247 | |
| | USD | | | 2,256,803 | | | SEK | | | 20,325,000 | | | | 03/16/22 | | | | 6,082 | |
| | USD | | | 150,542 | | | NZD | | | 220,000 | | | | 03/16/22 | | | | 51 | |
| | | USD | | | 1,959,631 | | | HKD | | | 15,270,000 | | | | 03/16/22 | | | | 1,058 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 267,438 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
MS & Co. Int. PLC | | USD | | | 20,433,522 | | | EUR | | | 17,970,000 | | | | 03/16/22 | | | $ | (57,579 | ) |
| | USD | | | 6,343,841 | | | CHF | | | 5,810,000 | | | | 03/16/22 | | | | (45,077 | ) |
| | USD | | | 8,905,904 | | | GBP | | | 6,670,000 | | | | 03/16/22 | | | | (119,223 | ) |
| | USD | | | 4,362,833 | | | AUD | | | 6,090,000 | | | | 03/16/22 | | | | (68,829 | ) |
| | USD | | | 660,409 | | | SGD | | | 900,000 | | | | 03/16/22 | | | | (7,188 | ) |
| | USD | | | 1,574,658 | | | DKK | | | 10,300,000 | | | | 03/16/22 | | | | (4,722 | ) |
| | USD | | | 387,107 | | | NOK | | | 3,500,000 | | | | 03/16/22 | | | | (9,761 | ) |
| | | USD | | | 216,417 | | | ILS | | | 680,000 | | | | 03/16/22 | | | | (2,455 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (314,834 | ) |
FUTURES CONTRACTS — At December 31, 2021, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
S&P 500 E-Mini Index | | | 169 | | | | 03/18/22 | | | $ | 40,209,325 | | | $ | 833,490 | |
10 Year U.S. Treasury Notes | | | 255 | | | | 03/22/22 | | | | 33,269,531 | | | | 301,045 | |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | 1,134,535 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Portfolio had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid (Received)
by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | | $97.750 | | | 06/19/2023 | | | | 161 | | | $ | 402,500 | | | $ | 405,519 | | | $ | 656,580 | | | $ | (251,061 | ) |
Eurodollar Futures | | | | 97.750 | | | 03/13/2023 | | | | 285 | | | | 712,500 | | | | 785,531 | | | | 1,030,250 | | | | (244,719 | ) |
Eurodollar Futures | | | | 98.000 | | | 12/19/2022 | | | | 76 | | | | 190,000 | | | | 189,050 | | | | 189,226 | | | | (176 | ) |
Eurodollar Futures | | | | 98.250 | | | 09/19/2022 | | | | 78 | | | | 195,000 | | | | 188,175 | | | | 186,406 | | | | 1,769 | |
Eurodollar Futures | | | | 98.750 | | | 12/19/2022 | | | | 209 | | | | 522,500 | | | | 193,325 | | | | 193,810 | | | | (485 | ) |
Eurodollar Futures | | | | 99.000 | | | 09/19/2022 | | | | 216 | | | | 540,000 | | | | 163,350 | | | | 165,201 | | | | (1,851 | ) |
Eurodollar Futures | | | | 99.000 | | | 06/13/2022 | | | | 153 | | | | 382,500 | | | | 164,475 | | | | 161,005 | | | | 3,470 | |
Eurodollar Futures | | | | 99.000 | | | 12/19/2022 | | | | 698 | | | | 1,745,000 | | | | 392,625 | | | | 993,966 | | | | (601,341 | ) |
| | | | | | | | |
| TOTAL | | | | | | | | | | | 1,876 | | | $ | 4,690,000 | | | $ | 2,482,050 | | | $ | 3,576,444 | | | $ | (1,094,394 | ) |
| | |
|
Abbreviation: |
MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
|
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Underlying Funds(a) – 92.3% | |
| Dynamic – 4.2% | |
| | 2,620,196 | | | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | | $ | 26,883,216 | |
| | 1,353,981 | | | Goldman Sachs Managed Futures Strategy Fund – Class R6 | | | 13,810,609 | |
| | | | | | | | |
| | | | | | | 40,693,825 | |
| | |
| Equity – 49.8% | |
| | 10,061,412 | | | Goldman Sachs Dynamic Global Equity Fund – Class R6 | | | 232,821,080 | |
| | 7,678,580 | | | Goldman Sachs International Equity Insights Fund – Class R6 | | | 110,571,553 | |
| | 6,692,673 | | | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | | | 65,052,779 | |
| | 3,208,037 | | | Goldman Sachs International Small Cap Insights Fund – Class R6 | | | 44,367,155 | |
| | 1,325,784 | | | Goldman Sachs Global Infrastructure Fund – Class R6 | | | 17,818,541 | |
| | 750,589 | | | Goldman Sachs Global Real Estate Securities Fund – Class R6 | | | 9,479,943 | |
| | | | | | | | |
| | | | | | | 480,111,051 | |
| | |
| Exchange Traded Funds – 31.2% | |
| | 3,057,660 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 290,905,772 | |
| | 171,088 | | | Goldman Sachs Access Investment Grade Corporate Bond ETF | | | 9,254,150 | |
| | | | | | | | |
| | | | | | | 300,159,922 | |
| | |
| Fixed Income – 7.1% | |
| | 2,492,548 | | | Goldman Sachs Emerging Markets Debt Fund – Class R6 | | | 29,835,802 | |
| | 1,852,471 | | | Goldman Sachs Short Duration Bond Fund – Class R6 | | | 18,709,960 | |
| | 1,561,232 | | | Goldman Sachs High Yield Fund – Class R6 | | | 10,038,724 | |
| | 804,491 | | | Goldman Sachs Inflation Protected Securities Fund – Class R6 | | | 9,428,632 | |
| | 8,643 | | | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | | | 46,240 | |
| | | | | | | | |
| | | | | | | 68,059,358 | |
| | |
| | TOTAL UNDERLYING FUNDS – 92.3% | |
| | (Cost $684,717,312) | | $ | 889,024,156 | |
| | |
| | |
| | | | | | |
| Shares | | Dividend
Rate | | Value | |
|
| Investment Company(a) – 5.3% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 51,000,036 | | 0.026% | | $ | 51,000,036 | |
| (Cost $51,000,036) | | | | |
| |
| TOTAL INVESTMENTS – 97.6% | |
| (Cost $735,717,348) | | $ | 940,024,192 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.4% | | | 23,590,388 | |
| |
| NET ASSETS – 100.0% | | $ | 963,614,580 | |
| |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets |
| |
(a) | | Represents an Affiliated Issuer. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
CHF | | —Swiss Franc |
DKK | | —Danish Krone |
EUR | | —Euro |
GBP | | —British Pound |
HKD | | —Hong Kong Dollar |
ILS | | —Israeli Shekel |
JPY | | —Japanese Yen |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
SEK | | —Swedish Krona |
SGD | | —Singapore Dollar |
USD | | —U.S. Dollar |
| | |
Investment Abbreviation: |
ETF | | —Exchange Traded Fund |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
MS & Co. Int. PLC | | USD | | | 12,929,833 | | | JPY | | | 1,460,000,000 | | | | 03/16/22 | | | $ | 229,168 | |
| | USD | | | 136,857 | | | NZD | | | 200,000 | | | | 03/16/22 | | | | 46 | |
| | USD | | | 1,773,797 | | | SEK | | | 15,975,000 | | | | 03/16/22 | | | | 4,780 | |
| | | USD | | | 1,754,299 | | | HKD | | | 13,670,000 | | | | 03/16/22 | | | | 948 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 234,942 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
MS & Co. Int. PLC | | USD | | | 16,408,220 | | | EUR | | | 14,430,000 | | | | 03/16/22 | | | $ | (46,237 | ) |
| | USD | | | 4,935,311 | | | CHF | | | 4,520,000 | | | | 03/16/22 | | | | (35,068 | ) |
| | USD | | | 565,017 | | | SGD | | | 770,000 | | | | 03/16/22 | | | | (6,149 | ) |
| | USD | | | 3,603,456 | | | AUD | | | 5,030,000 | | | | 03/16/22 | | | | (56,848 | ) |
| | USD | | | 7,377,079 | | | GBP | | | 5,525,000 | | | | 03/16/22 | | | | (98,757 | ) |
| | USD | | | 1,219,978 | | | DKK | | | 7,980,000 | | | | 03/16/22 | | | | (3,658 | ) |
| | USD | | | 309,686 | | | NOK | | | 2,800,000 | | | | 03/16/22 | | | | (7,809 | ) |
| | | USD | | | 178,226 | | | ILS | | | 560,000 | | | | 03/16/22 | | | | (2,023 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (256,549 | ) |
FUTURES CONTRACTS — At December 31, 2021, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
S&P 500 E-Mini Index | | | 199 | | | | 03/18/22 | | | $ | 47,347,075 | | | $ | 981,447 | |
10 Year U.S. Treasury Notes | | | 275 | | | | 03/22/22 | | | | 35,878,906 | | | | 281,289 | |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | 1,262,736 | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased options:
EXCHANGE TRADED OPTIONS ON FUTURES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid (Received)
by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | | $97.750 | | | 03/13/2023 | | | | 310 | | | $ | 775,000 | | | $ | 854,437 | | | $ | 1,102,302 | | | $ | (247,865 | ) |
Eurodollar Futures | | | | 97.750 | | | 06/19/2023 | | | | 163 | | | | 407,500 | | | | 410,556 | | | | 664,736 | | | | (254,180 | ) |
Eurodollar Futures | | | | 98.000 | | | 12/19/2022 | | | | 88 | | | | 220,000 | | | | 218,900 | | | | 219,104 | | | | (204 | ) |
Eurodollar Futures | | | | 98.250 | | | 09/19/2022 | | | | 91 | | | | 227,500 | | | | 219,538 | | | | 217,474 | | | | 2,064 | |
Eurodollar Futures | | | | 98.750 | | | 12/19/2022 | | | | 243 | | | | 607,500 | | | | 224,775 | | | | 225,339 | | | | (564 | ) |
Eurodollar Futures | | | | 99.000 | | | 06/13/2022 | | | | 178 | | | | 445,000 | | | | 191,350 | | | | 187,313 | | | | 4,037 | |
Eurodollar Futures | | | | 99.000 | | | 09/19/2022 | | | | 251 | | | | 627,500 | | | | 189,819 | | | | 191,970 | | | | (2,151 | ) |
Eurodollar Futures | | | | 99.000 | | | 12/19/2022 | | | | 741 | | | | 1,852,500 | | | | 416,813 | | | | 1,055,199 | | | | (638,386 | ) |
| | | | | | | | |
| TOTAL | | | | | | | | | | | 2,065 | | | $ | 5,162,500 | | | $ | 2,726,188 | | | $ | 3,863,437 | | | $ | (1,137,249 | ) |
| | |
|
Abbreviation: |
MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | | Description | | Value | |
|
| Underlying Funds(a) – 99.2% | |
| Equity – 62.1% | |
| | 1,923,217 | | | Goldman Sachs International Small Cap Insights Fund – Class R6 | | $ | 26,598,088 | |
| | 1,907,408 | | | Goldman Sachs Global Infrastructure Fund – Class R6 | | | 25,635,560 | |
| | 653,740 | | | Goldman Sachs Global Real Estate Securities Fund – Class R6 | | | 8,256,743 | |
| | 697,714 | | | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | | | 6,781,782 | |
| | 251,372 | | | Goldman Sachs MLP Energy Infrastructure Fund – Class R6 | | | 6,113,364 | |
| | 185,114 | | | Goldman Sachs Emerging Markets Equity Fund – Class R6 | | | 5,423,845 | |
| | | | | | | | |
| | | | | | | 78,809,382 | |
| | |
| Exchange Traded Funds – 3.1% | |
| | 105,925 | | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | 3,920,284 | |
| | |
| Fixed Income – 34.0% | |
| | 1,610,176 | | | Goldman Sachs Emerging Markets Debt Fund – Class R6 | | | 19,273,806 | |
| | 853,746 | | | Goldman Sachs Inflation Protected Securities Fund – Class R6 | | | 10,005,898 | |
| | 999,533 | | | Goldman Sachs High Yield Fund – Class R6 | | | 6,426,997 | |
| | 678,536 | | | Goldman Sachs High Yield Floating Rate Fund – Class R6 | | | 6,351,097 | |
| | 220,123 | | | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | | | 1,177,657 | |
| | | | | | | | |
| | | | | | | 43,235,455 | |
| | |
| | TOTAL UNDERLYING FUNDS – 99.2% | |
| | (Cost $96,798,805) | | $ | 125,965,121 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.8% | | | 1,037,997 | |
| | |
| | NET ASSETS – 100.0% | | $ | 127,003,118 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
(a) | | Represents an Affiliated Issuer. |
| | |
|
Investment Abbreviation: |
ETF | | —Exchange Traded Fund |
|
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities
December 31, 2021
| | | | | | | | | | |
| | | | | Balanced
Strategy Portfolio | | | Growth and Income
Strategy Portfolio | |
| | Assets: | | | | | | | | |
| | Investments in Affiliated Funds, at value (cost $546,946,248 and $834,831,990, respectively) | | $ | 601,874,088 | | | $ | 1,000,931,295 | |
| | Purchased options, at value (premium paid $2,106,377 and $3,576,444, respectively) | | | 1,481,375 | | | | 2,482,050 | |
| | Cash | | | 10,154,657 | | | | 17,422,730 | |
| | Foreign currencies, at value (cost $17,482 and $42,607, respectively) | | | 24,339 | | | | 43,308 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 151,134 | | | | 267,438 | |
| | Variation margin on futures contracts | | | 213,215 | | | | 512,725 | |
| | Receivables: | | | | | | | | |
| | Dividends | | | 6,660,692 | | | | 14,192,218 | |
| | Portfolio shares sold | | | 2,251,053 | | | | 6,650,285 | |
| | Collateral on certain derivative contracts(a) | | | 1,423,775 | | | | 1,950,711 | |
| | Reimbursement from investment adviser | | | 17,373 | | | | 17,911 | |
| | Other assets | | | 61,275 | | | | 64,801 | |
| | Total assets | | | 624,312,976 | | | | 1,044,535,472 | |
| | | | | | | | | | |
| | Liabilities: | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 178,030 | | | | 314,834 | |
| | Payables: | | | | | | | | |
| | Investments purchased | | | 6,556,803 | | | | 14,022,712 | |
| | Portfolio shares redeemed | | | 193,434 | | | | 172,185 | |
| | Management fees | | | 74,219 | | | | 126,953 | |
| | Distribution and Service fees and Transfer Agency fees | | | 67,614 | | | | 138,030 | |
| | Accrued expenses | | | 121,161 | | | | 129,046 | |
| | Total liabilities | | | 7,191,261 | | | | 14,903,760 | |
| | | | | | | | | | |
| | Net Assets: | |
| | Paid-in capital | | | 556,870,094 | | | | 855,373,067 | |
| | Total distributable earnings | | | 60,251,621 | | | | 174,258,645 | |
| | | NET ASSETS | | $ | 617,121,715 | | | $ | 1,029,631,712 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 113,819,988 | | | $ | 297,995,948 | |
| | | Class C | | | 6,677,574 | | | | 10,130,427 | |
| | | Institutional | | | 426,392,176 | | | | 443,098,584 | |
| | | Service | | | 388,080 | | | | 2,755,060 | |
| | | Investor | | | 5,429,742 | | | | 8,948,305 | |
| | | Class R6 | | | 277,323 | | | | 922,514 | |
| | | Class R | | | 10,837,475 | | | | 5,579,065 | |
| | | Class P | | | 53,299,357 | | | | 260,201,809 | |
| | | Total Net Assets | | $ | 617,121,715 | | | $ | 1,029,631,712 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 8,880,811 | | | | 18,227,851 | |
| | | Class C | | | 520,604 | | | | 638,050 | |
| | | Institutional | | | 33,278,831 | | | | 27,015,723 | |
| | | Service | | | 29,876 | | | | 168,987 | |
| | | Investor | | | 425,690 | | | | 550,363 | |
| | | Class R6 | | | 21,636 | | | | 56,260 | |
| | | Class R | | | 849,571 | | | | 344,380 | |
| | | Class P | | | 4,158,400 | | | | 15,874,008 | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | |
| | | Class A | | | $12.82 | | | | $16.35 | |
| | | Class C | | | 12.83 | | | | 15.88 | |
| | | Institutional | | | 12.81 | | | | 16.40 | |
| | | Service | | | 12.99 | | | | 16.30 | |
| | | Investor | | | 12.76 | | | | 16.26 | |
| | | Class R6 | | | 12.82 | | | | 16.40 | |
| | | Class R | | | 12.76 | | | | 16.20 | |
| | | Class P | | | 12.82 | | | | 16.39 | |
| | (a) | | Segregated for initial margin and/or collateral on transactions as follows: |
| | | | | | | | | | | | |
| Portfolio | | Futures | | | Options | | | Forward
Foreign Currency | |
Balanced Strategy | | $ | 983,771 | | | $ | 4 | | | $ | 440,000 | |
| | | |
Growth and Income Strategy | | | 870,702 | | | | 9 | | | | 1,080,000 | |
| | (b) | | Maximum public offering price per share for Class A Shares of the Balanced Strategy and Growth and Income Strategy Portfolios is $13.57 and $17.30, respectively. 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. | | 31 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities (continued)
December 31, 2021
| | | | | | | | | | |
| | | | | Growth
Strategy Portfolio | | | Satellite
Strategies Portfolio | |
| | Assets: | | | | | | | | |
| | Investments in Affiliated Funds, at value (cost $735,717,348 and $96,798,805, respectively) | | $ | 940,024,192 | | | $ | 125,965,121 | |
| | Purchased options, at value (premium paid $3,863,437 and $0, respectively) | | | 2,726,188 | | | | — | |
| | Cash | | | 17,138,214 | | | | 1,155,478 | |
| | Foreign currencies, at value (cost $53,597 and $0, respectively) | | | 54,371 | | | | — | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 234,942 | | | | — | |
| | Variation margin on futures contracts | | | 592,614 | | | | — | |
| | Receivables: | | | | | | | | |
| | Dividends | | | 14,818,490 | | | | 224,337 | |
| | Portfolio shares sold | | | 1,683,201 | | | | 3,656 | |
| | Collateral on certain derivative contracts(a) | | | 2,076,248 | | | | — | |
| | Reimbursement from investment adviser | | | 19,097 | | | | 32,580 | |
| | Other assets | | | 66,749 | | | | 52,656 | |
| | Total assets | | | 979,434,306 | | | | 127,433,828 | |
| | | | | | | | | | |
| | Liabilities: | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 256,549 | | | | — | |
| | Payables: | | | | | | | | |
| | Investments purchased | | | 14,801,096 | | | | 224,334 | |
| | Portfolio shares redeemed | | | 322,771 | | | | 57,255 | |
| | Management fees | | | 119,239 | | | | 13,242 | |
| | Distribution and Service fees and Transfer Agency fees | | | 173,571 | | | | 22,459 | |
| | Accrued expenses | | | 146,500 | | | | 113,420 | |
| | Total liabilities | | | 15,819,726 | | | | 430,710 | |
| | | | | | | | | | |
| | Net Assets: | |
| | Paid-in capital | | | 751,393,117 | | | | 120,174,655 | |
| | Total distributable earnings | | | 212,221,463 | | | | 6,828,463 | |
| | | NET ASSETS | | $ | 963,614,580 | | | $ | 127,003,118 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 387,436,137 | | | $ | 46,065,774 | |
| | | Class C | | | 19,333,682 | | | | 2,208,603 | |
| | | Institutional | | | 249,376,573 | | | | 58,742,362 | |
| | | Service | | | 2,412,794 | | | | 137,379 | |
| | | Investor | | | 13,835,645 | | | | 15,372,458 | |
| | | Class R6 | | | 6,263,217 | | | | 812,419 | |
| | | Class R | | | 7,787,752 | | | | 553,553 | |
| | | Class P | | | 277,168,780 | | | | 3,110,570 | |
| | | Total Net Assets | | $ | 963,614,580 | | | $ | 127,003,118 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 19,744,596 | | | | 5,149,725 | |
| | | Class C | | | 962,216 | | | | 246,813 | |
| | | Institutional | | | 12,715,205 | | | | 6,586,405 | |
| | | Service | | | 123,360 | | | | 15,365 | |
| | | Investor | | | 717,152 | | | | 1,723,643 | |
| | | Class R6 | | | 319,286 | | | | 90,927 | |
| | | Class R | | | 409,683 | | | | 62,084 | |
| | | Class P | | | 14,126,570 | | | | 348,155 | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | |
| | | Class A | | | $19.62 | | | | $8.95 | |
| | | Class C | | | 20.09 | | | | 8.95 | |
| | | Institutional | | | 19.61 | | | | 8.92 | |
| | | Service | | | 19.56 | | | | 8.94 | |
| | | Investor | | | 19.29 | | | | 8.92 | |
| | | Class R6 | | | 19.62 | | | | 8.93 | |
| | | Class R | | | 19.01 | | | | 8.92 | |
| | | Class P | | | 19.62 | | | | 8.93 | |
| | (a) | | Segregated for initial margin and/or collateral on transactions as follows: |
| | | | | | | | | | | | |
Portfolio | | Futures | | | Options | | | Forward
Foreign Currency | |
| | | |
Growth Strategy | | $ | 1,116,245 | | | $ | 3 | | | $ | 960,000 | |
| | (b) | | Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $20.76 and $9.47, respectively. 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. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | |
| | | | | Balanced
Strategy Portfolio | | | Growth and Income
Strategy Portfolio | |
| | Investment income: | | | | | | | | |
| | | |
| | Dividends from Affiliated Funds | | $ | 13,755,148 | | | $ | 27,007,938 | |
| | | |
| | Interest | | | 168 | | | | 173 | |
| | | |
| | Total investment income | | | 13,755,316 | | | | 27,008,111 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | | |
| | Management fees | | | 854,062 | | | | 1,455,331 | |
| | | |
| | Distribution and Service (12b-1) fees(a) | | | 392,634 | | | | 873,181 | |
| | | |
| | Transfer Agency fees(a) | | | 379,450 | | | | 739,539 | |
| | | |
| | Registration fees | | | 103,041 | | | | 102,441 | |
| | | |
| | Professional fees | | | 87,163 | | | | 87,163 | |
| | | |
| | Printing and mailing costs | | | 60,814 | | | | 94,327 | |
| | | |
| | Custody, accounting and administrative services | | | 58,074 | | | | 59,603 | |
| | | |
| | Trustee fees | | | 19,844 | | | | 20,411 | |
| | | |
| | Service fees — Class C | | | 19,472 | | | | 28,355 | |
| | | |
| | Shareholder Administration fees — Service Shares | | | 1,021 | | | | 6,726 | |
| | | |
| | Prime Broker Fees | | | 714 | | | | 1,452 | |
| | | |
| | Other | | | 7,620 | | | | 8,396 | |
| | | |
| | Total expenses | | | 1,983,909 | | | | 3,476,925 | |
| | | |
| | Less — expense reductions | | | (315,531 | ) | | | (337,220 | ) |
| | | |
| | Net expenses | | | 1,668,378 | | | | 3,139,705 | |
| | | |
| | NET INVESTMENT INCOME | | | 12,086,938 | | | | 23,868,406 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | | |
| | Capital gain distributions from Affiliated Funds | | | 10,240,807 | | | | 23,151,473 | |
| |
| | Net realized gain (loss) from: | |
| | | |
| | Affiliated Funds | | | 6,361,725 | | | | 11,086,362 | |
| | | |
| | Purchased options | | | 352,022 | | | | 572,541 | |
| | | |
| | Futures contracts | | | 6,265,171 | | | | 7,606,320 | |
| | | |
| | Written options | | | 150,941 | | | | 249,262 | |
| | | |
| | Forward foreign currency exchange contracts | | | 2,071,132 | | | | 3,651,530 | |
| | | |
| | Foreign currency transactions | | | (1,927 | ) | | | (3,434 | ) |
| | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | | |
| | Affiliated Funds | | | 6,181,477 | | | | 44,281,749 | |
| | | |
| | Purchased options | | | (1,359,859 | ) | | | (2,299,476 | ) |
| | | |
| | Futures contracts | | | 170,233 | | | | 299,412 | |
| | | |
| | Forward foreign currency exchange contracts | | | 341,276 | | | | 598,459 | |
| | | |
| | Foreign currency translation | | | 2,738 | | | | (1,804 | ) |
| | | |
| | Net realized and unrealized gain | | | 30,775,736 | | | | 89,192,394 | |
| | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 42,862,674 | | | $ | 113,060,800 | |
| | (a) | | Class specific Distribution and/or Service (12b-1) and Transfer Agent fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agent Fees | |
Portfolio | | Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Balanced Strategy | | $ | 281,920 | | | $ | 58,417 | | | $ | 1,021 | | | $ | 51,276 | | | $ | 175,107 | | | $ | 11,972 | | | $ | 151,997 | | | $ | 163 | | | $ | 8,438 | | | $ | 421 | | | $ | 15,951 | | | $ | 15,401 | |
Growth and Income Strategy | | | 753,327 | | | | 85,064 | | | | 6,726 | | | | 28,064 | | | | 468,102 | | | | 17,444 | | | | 154,424 | | | | 1,076 | | | | 13,382 | | | | 1,441 | | | | 8,736 | | | | 74,934 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations (continued)
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | |
| | | | | Growth
Strategy Portfolio | | | Satellite
Strategies Portfolio | |
| | Investment income: | |
| | | |
| | Dividends from Affiliated Funds | | $ | 26,839,047 | | | $ | 4,028,581 | |
| | | |
| | Interest | | | 173 | | | | — | |
| | | |
| | Total investment income | | | 26,839,220 | | | | 4,028,581 | |
| | | | | | | | | | |
| | Expenses: | |
| | | |
| | Management fees | | | 1,317,962 | | | | 174,438 | |
| | | |
| | Distribution and Service (12b-1) fees(a) | | | 1,138,074 | | | | 145,806 | |
| | | |
| | Transfer Agency fees(a) | | | 804,250 | | | | 133,776 | |
| | | |
| | Printing and mailing costs | | | 126,850 | | | | 52,817 | |
| | | |
| | Registration fees | | | 101,042 | | | | 97,181 | |
| | | |
| | Professional fees | | | 87,163 | | | | 78,390 | |
| | | |
| | Service fees — Class C | | | 51,544 | | | | 7,909 | |
| | | |
| | Custody, accounting and administrative services | | | 28,728 | | | | 52,527 | |
| | | |
| | Trustee fees | | | 20,280 | | | | 19,249 | |
| | | |
| | Shareholder Administration fees — Service Class | | | 5,842 | | | | 338 | |
| | | |
| | Prime Broker Fees | | | 1,064 | | | | — | |
| | | |
| | Other | | | 3,192 | | | | 7,098 | |
| | | |
| | Total expenses | | | 3,685,991 | | | | 769,529 | |
| | | |
| | Less — expense reductions | | | (340,289 | ) | | | (294,055 | ) |
| | | |
| | Net expenses | | | 3,345,702 | | | | 475,474 | |
| | | |
| | NET INVESTMENT INCOME | | | 23,493,518 | | | | 3,553,107 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | | |
| | Capital gain distributions from Affiliated Funds | | | 27,190,897 | | | | 1,215,914 | |
| |
| | Net realized gain (loss) from: | |
| | | |
| | Affiliated Funds | | | 872,539 | | | | 9,756,147 | |
| | | |
| | Purchased options | | | 532,933 | | | | — | |
| | | |
| | Futures contracts | | | 9,941,779 | | | | — | |
| | | |
| | Written options | | | 217,934 | | | | — | |
| | | |
| | Forward foreign currency exchange contracts | | | 2,891,953 | | | | — | |
| | | |
| | Foreign currency transactions | | | (4,318 | ) | | | — | |
| |
| | Net change in unrealized gain (loss) on: | |
| | | |
| | Affiliated Funds | | | 70,345,425 | | | | (2,665,088 | ) |
| | | |
| | Purchased options | | | (2,266,344 | ) | | | — | |
| | | |
| | Futures contracts | | | 644,712 | | | | — | |
| | | |
| | Forward foreign currency exchange contracts | | | 489,277 | | | | — | |
| | | |
| | Foreign currency translation | | | (1,453 | ) | | | — | |
| | | |
| | Net realized and unrealized gain | | | 110,855,334 | | | | 8,306,973 | |
| | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 134,348,852 | | | $ | 11,860,080 | |
| | (a) | | Class specific Distribution and/or Service (12b-1) and Transfer Agent fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agent Fees | |
Portfolio | | Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Growth Strategy | | $ | 942,154 | | | $ | 154,633 | | | $ | 5,842 | | | $ | 35,445 | | | $ | 586,443 | | | $ | 31,876 | | | $ | 84,204 | | | $ | 935 | | | $ | 14,071 | | | $ | 2,142 | | | $ | 11,056 | | | $ | 73,523 | |
Satellite Strategies | | | 118,680 | | | | 23,727 | | | | 338 | | | | 3,061 | | | | 73,746 | | | | 4,700 | | | | 27,471 | | | | 53 | | | | 25,667 | | | | 255 | | | | 942 | | | | 942 | |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | | | | | Growth and Income Strategy Portfolio | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | $ | 12,086,938 | | | $ | 10,234,390 | | | | | | | $ | 23,868,406 | | | $ | 13,638,689 | |
| | | | | | |
| | Net realized gain | | | 25,439,871 | | | | 9,873,483 | | | | | | | | 46,314,054 | | | | 16,031,160 | |
| | | | | | |
| | Net change in unrealized gain | | | 5,335,865 | | | | 32,656,676 | | | | | | | | 42,878,340 | | | | 67,329,095 | |
| | | | | | |
| | Net increase in net assets resulting from operations | | | 42,862,674 | | | | 52,764,549 | | | | | | | | 113,060,800 | | | | 96,998,944 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (6,582,745 | ) | | | (2,073,315 | ) | | | | | | | (18,566,465 | ) | | | (9,110,698 | ) |
| | | | | | |
| | Class C Shares | | | (355,961 | ) | | | (110,788 | ) | | | | | | | (600,680 | ) | | | (355,597 | ) |
| | | | | | |
| | Institutional Shares | | | (24,534,890 | ) | | | (8,390,148 | ) | | | | | | | (27,429,776 | ) | | | (12,189,122 | ) |
| | | | | | |
| | Service Shares | | | (22,403 | ) | | | (8,087 | ) | | | | | | | (169,209 | ) | | | (82,395 | ) |
| | | | | | |
| | Investor Shares | | | (339,317 | ) | | | (133,619 | ) | | | | | | | (578,890 | ) | | | (265,906 | ) |
| | | | | | |
| | Class R6 Shares | | | (56,227 | ) | | | (36,509 | ) | | | | | | | (193,783 | ) | | | (169,572 | ) |
| | | | | | |
| | Class R Shares | | | (599,135 | ) | | | (160,141 | ) | | | | | | | (335,400 | ) | | | (152,196 | ) |
| | | | | | |
| | Class P Shares | | | (3,256,498 | ) | | | (922,139 | ) | | | | | | | (17,029,160 | ) | | | (7,826,935 | ) |
| | | | | | |
| | Total distributions to shareholders | | | (35,747,176 | ) | | | (11,834,746 | ) | | | | | | | (64,903,363 | ) | | | (30,152,421 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 155,504,123 | | | | 138,023,285 | | | | | | | | 156,183,201 | | | | 110,868,743 | |
| | | | | | |
| | Reinvestment of distributions | | | 35,275,963 | | | | 11,642,690 | | | | | | | | 63,389,324 | | | | 29,318,345 | |
| | | | | | |
| | Cost of shares redeemed | | | (149,789,884 | ) | | | (148,350,909 | ) | | | | | | | (159,209,541 | ) | | | (197,903,957 | ) |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | 40,990,202 | | | | 1,315,066 | | | | | | | | 60,362,984 | | | | (57,716,869 | ) |
| | | | | | |
| | TOTAL INCREASE | | | 48,105,700 | | | | 42,244,869 | | | | | | | | 108,520,421 | | | | 9,129,654 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | | | |
| | Beginning of year | | | 569,016,015 | | | | 526,771,146 | | | | | | | | 921,111,291 | | | | 911,981,637 | |
| | | | | | |
| | End of year | | $ | 617,121,715 | | | $ | 569,016,015 | | | | | | | $ | 1,029,631,712 | | | $ | 921,111,291 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | | | | | Satellite Strategies Portfolio | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | $ | 23,493,518 | | | $ | 9,138,002 | | | | | | | $ | 3,553,107 | | | $ | 3,967,788 | |
| | | | | | |
| | Net realized gain | | | 41,643,717 | | | | 10,540,709 | | | | | | | | 10,972,061 | | | | 12,366,745 | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | 69,211,617 | | | | 71,452,977 | | | | | | | | (2,665,088 | ) | | | (17,227,251 | ) |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 134,348,852 | | | | 91,131,688 | | | | | | | | 11,860,080 | | | | (892,718 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (23,014,339 | ) | | | (10,784,596 | ) | | | | | | | (1,393,385 | ) | | | (837,479 | ) |
| | | | | | |
| | Class C Shares | | | (973,896 | ) | | | (496,344 | ) | | | | | | | (48,742 | ) | | | (103,991 | ) |
| | | | | | |
| | Institutional Shares | | | (15,126,286 | ) | | | (5,137,868 | ) | | | | | | | (2,042,049 | ) | | | (2,538,186 | ) |
| | | | | | |
| | Service Shares | | | (144,077 | ) | | | (62,574 | ) | | | | | | | (3,921 | ) | | | (3,303 | ) |
| | | | | | |
| | Investor Shares | | | (871,358 | ) | | | (234,991 | ) | | | | | | | (511,388 | ) | | | (410,262 | ) |
| | | | | | |
| | Class R6 Shares | | | (422,854 | ) | | | (227,886 | ) | | | | | | | (27,412 | ) | | | (54,834 | ) |
| | | | | | |
| | Class R Shares | | | (459,935 | ) | | | (184,960 | ) | | | | | | | (15,569 | ) | | | (12,690 | ) |
| | | | | | |
| | Class P Shares | | | (17,316,359 | ) | | | (7,003,021 | ) | | | | | | | (102,003 | ) | | | (77,222 | ) |
| | | | | | |
| | Return of captial | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | — | | | | — | | | | | | | | (199,842 | ) | | | — | |
| | | | | | |
| | Class C Shares | | | — | | | | — | | | | | | | | (6,991 | ) | | | — | |
| | | | | | |
| | Institutional Shares | | | — | | | | — | | | | | | | | (292,874 | ) | | | — | |
| | | | | | |
| | Service Shares | | | — | | | | — | | | | | | | | (563 | ) | | | — | |
| | | | | | |
| | Investor Shares | | | — | | | | — | | | | | | | | (73,344 | ) | | | — | |
| | | | | | |
| | Class R6 Shares | | | — | | | | — | | | | | | | | (3,931 | ) | | | — | |
| | | | | | |
| | Class R Shares | | | — | | | | — | | | | | | | | (2,233 | ) | | | — | |
| | | | | | |
| | Class P Shares | | | — | | | | — | | | | | | | | (14,629 | ) | | | — | |
| | | | | | |
| | Total distributions to shareholders | | | (58,329,104 | ) | | | (24,132,240 | ) | | | | | | | (4,738,876 | ) | | | (4,037,967 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 198,331,238 | | | | 99,145,043 | | | | | | | | 12,397,265 | | | | 25,021,685 | |
| | | | | | |
| | Reinvestment of distributions | | | 56,415,779 | | | | 23,183,595 | | | | | | | | 4,335,872 | | | | 3,663,014 | |
| | | | | | |
| | Cost of shares redeemed | | | (142,327,398 | ) | | | (136,535,679 | ) | | | | | | | (72,120,868 | ) | | | (180,205,714 | ) |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | 112,419,619 | | | | (14,207,041 | ) | | | | | | | (55,387,731 | ) | | | (151,521,015 | ) |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 188,439,367 | | | | 52,792,407 | | | | | | | | (48,266,527 | ) | | | (156,451,700 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | | | |
| | Beginning of year | | | 775,175,213 | | | | 722,382,806 | | | | | | | | 175,269,645 | | | | 331,721,345 | |
| | | | | | |
| | End of year | | $ | 963,614,580 | | | $ | 775,175,213 | | | | | | | $ | 127,003,118 | | | $ | 175,269,645 | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.64 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.55 | | | $ | 10.82 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.24 | | | | 0.20 | | | | 0.20 | | | | 0.16 | | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.71 | | | | 1.04 | | | | 1.37 | | | | (0.95 | ) | | | 1.05 | |
| | | | | | |
| | Total from investment operations | | | 0.95 | | | | 1.24 | | | | 1.57 | | | | (0.79 | ) | | | 1.21 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.24 | ) | | | (0.25 | ) | | | (0.24 | ) | | | (0.27 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.77 | ) | | | (0.24 | ) | | | (0.25 | ) | | | (0.44 | ) | | | (0.48 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.82 | | | $ | 12.64 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.55 | |
| | | | | | |
| | Total return(c) | | | 7.53 | % | | | 10.71 | % | | | 15.24 | % | | | (6.90 | )% | | | 11.19 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 113,820 | | | $ | 110,057 | | | $ | 106,285 | | | $ | 106,235 | | | $ | 119,662 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.56 | % | | | 0.57 | % | | | 0.58 | % | | | 0.59 | % | | | 0.62 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.61 | % | | | 0.64 | % | | | 0.67 | % | | | 0.63 | % | | | 0.68 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.84 | % | | | 1.71 | % | | | 1.76 | % | | | 1.46 | % | | | 1.40 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.67 | | | $ | 11.66 | | | $ | 10.34 | | | $ | 11.55 | | | $ | 10.82 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.12 | | | | 0.10 | | | | 0.10 | | | | 0.05 | | | | 0.07 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.73 | | | | 1.06 | | | | 1.38 | | | | (0.92 | ) | | | 1.05 | |
| | | | | | |
| | Total from investment operations | | | 0.85 | | | | 1.16 | | | | 1.48 | | | | (0.87 | ) | | | 1.12 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.26 | ) | | | (0.15 | ) | | | (0.16 | ) | | | (0.14 | ) | | | (0.18 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.69 | ) | | | (0.15 | ) | | | (0.16 | ) | | | (0.34 | ) | | | (0.39 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.83 | | | $ | 12.67 | | | $ | 11.66 | | | $ | 10.34 | | | $ | 11.55 | |
| | | | | | |
| | Total return(c) | | | 6.73 | % | | | 9.90 | % | | | 14.30 | % | | | (7.58 | )% | | | 10.30 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 6,678 | | | $ | 9,575 | | | $ | 10,978 | | | $ | 12,807 | | | $ | 34,542 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 1.31 | % | | | 1.32 | % | | | 1.33 | % | | | 1.33 | % | | | 1.37 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 1.36 | % | | | 1.39 | % | | | 1.42 | % | | | 1.38 | % | | | 1.42 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 0.91 | % | | | 0.86 | % | | | 0.93 | % | | | 0.43 | % | | | 0.58 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.63 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.55 | | | $ | 10.82 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.29 | | | | 0.25 | | | | 0.25 | | | | 0.20 | | | | 0.21 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.71 | | | | 1.02 | | | | 1.36 | | | | (0.95 | ) | | | 1.04 | |
| | | | | | |
| | Total from investment operations | | | 1.00 | | | | 1.27 | | | | 1.61 | | | | (0.75 | ) | | | 1.25 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.39 | ) | | | (0.28 | ) | | | (0.29 | ) | | | (0.28 | ) | | | (0.31 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.82 | ) | | | (0.28 | ) | | | (0.29 | ) | | | (0.48 | ) | | | (0.52 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.81 | | | $ | 12.63 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.55 | |
| | | | | | |
| | Total return(c) | | | 7.93 | % | | | 11.05 | % | | | 15.68 | % | | | (6.53 | )% | | | 11.63 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 426,392 | | | $ | 388,941 | | | $ | 351,189 | | | $ | 292,183 | | | $ | 353,778 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.19 | % | | | 0.19 | % | | | 0.20 | % | | | 0.20 | % | | | 0.22 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.25 | % | | | 0.26 | % | | | 0.28 | % | | | 0.24 | % | | | 0.28 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.23 | % | | | 2.12 | % | | | 2.19 | % | | | 1.76 | % | | | 1.85 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.79 | | | $ | 11.78 | | | $ | 10.45 | | | $ | 11.68 | | | $ | 10.94 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.22 | | | | 0.16 | | | | 0.17 | | | | 0.15 | | | | 0.15 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.73 | | | | 1.07 | | | | 1.39 | | | | (0.95 | ) | | | 1.06 | |
| | | | | | |
| | Total from investment operations | | | 0.95 | | | | 1.23 | | | | 1.56 | | | | (0.80 | ) | | | 1.21 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.32 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.23 | ) | | | (0.26 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.75 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.43 | ) | | | (0.47 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.99 | | | $ | 12.79 | | | $ | 11.78 | | | $ | 10.45 | | | $ | 11.68 | |
| | | | | | |
| | Total return(c) | | | 7.44 | % | | | 10.52 | % | | | 14.99 | % | | | (6.93 | )% | | | 11.04 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 388 | | | $ | 421 | | | $ | 532 | | | $ | 667 | | | $ | 833 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.69 | % | | | 0.69 | % | | | 0.70 | % | | | 0.70 | % | | | 0.72 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.75 | % | | | 0.77 | % | | | 0.78 | % | | | 0.74 | % | | | 0.78 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.67 | % | | | 1.38 | % | | | 1.47 | % | | | 1.31 | % | | | 1.31 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.58 | | | $ | 11.59 | | | $ | 10.28 | | | $ | 11.50 | | | $ | 10.78 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.28 | | | | 0.33 | | | | 0.23 | | | | 0.18 | | | | 0.18 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.70 | | | | 0.93 | | | | 1.36 | | | | (0.93 | ) | | | 1.05 | |
| | | | | | |
| | Total from investment operations | | | 0.98 | | | | 1.26 | | | | 1.59 | | | | (0.75 | ) | | | 1.23 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.37 | ) | | | (0.27 | ) | | | (0.28 | ) | | | (0.27 | ) | | | (0.30 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.80 | ) | | | (0.27 | ) | | | (0.28 | ) | | | (0.47 | ) | | | (0.51 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.76 | | | $ | 12.58 | | | $ | 11.59 | | | $ | 10.28 | | | $ | 11.50 | |
| | | | | | |
| | Total return(c) | | | 7.75 | % | | | 10.97 | % | | | 15.49 | % | | | (6.61 | )% | | | 11.41 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 5,430 | | | $ | 7,594 | | | $ | 3,663 | | | $ | 2,937 | | | $ | 3,976 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.31 | % | | | 0.32 | % | | | 0.33 | % | | | 0.34 | % | | | 0.37 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.36 | % | | | 0.39 | % | | | 0.42 | % | | | 0.38 | % | | | 0.42 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.13 | % | | | 2.78 | % | | | 2.07 | % | | | 1.64 | % | | | 1.60 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.63 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.55 | | | $ | 10.83 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.21 | | | | 0.23 | | | | 0.23 | | | | 0.35 | | | | 0.54 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.79 | | | | 1.05 | | | | 1.38 | | | | (1.09 | ) | | | 0.71 | |
| | | | | | |
| | Total from investment operations | | | 1.00 | | | | 1.28 | | | | 1.61 | | | | (0.74 | ) | | | 1.25 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.38 | ) | | | (0.29 | ) | | | (0.29 | ) | | | (0.29 | ) | | | (0.32 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.81 | ) | | | (0.29 | ) | | | (0.29 | ) | | | (0.49 | ) | | | (0.53 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.82 | | | $ | 12.63 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.55 | |
| | | | | | |
| | Total return(c) | | | 8.00 | % | | | 11.06 | % | | | 15.70 | % | | | (6.52 | )% | | | 11.54 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 277 | | | $ | 1,449 | | | $ | 1,766 | | | $ | 2,308 | | | $ | 551 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.19 | % | | | 0.31 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.24 | % | | | 0.26 | % | | | 0.27 | % | | | 0.24 | % | | | 0.39 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.64 | % | | | 1.89 | % | | | 2.04 | % | | | 3.10 | % | | | 4.64 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 12.58 | | | $ | 11.59 | | | $ | 10.28 | | | $ | 11.50 | | | $ | 10.79 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.22 | | | | 0.16 | | | | 0.18 | | | | 0.14 | | | | 0.15 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.70 | | | | 1.04 | | | | 1.35 | | | | (0.95 | ) | | | 1.02 | |
| | | | | | |
| | Total from investment operations | | | 0.92 | | | | 1.20 | | | | 1.53 | | | | (0.81 | ) | | | 1.17 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.31 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.21 | ) | | | (0.25 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | |
| | Total distributions | | | (0.74 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.41 | ) | | | (0.46 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.76 | | | $ | 12.58 | | | $ | 11.59 | | | $ | 10.28 | | | $ | 11.50 | |
| | | | | | |
| | Total return(c) | | | 7.32 | % | | | 10.39 | % | | | 14.94 | % | | | (7.07 | )% | | | 10.81 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 10,837 | | | $ | 9,435 | | | $ | 10,241 | | | $ | 8,443 | | | $ | 8,629 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.81 | % | | | 0.82 | % | | | 0.83 | % | | | 0.84 | % | | | 0.87 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.86 | % | | | 0.90 | % | | | 0.92 | % | | | 0.88 | % | | | 0.93 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.65 | % | | | 1.40 | % | | | 1.61 | % | | | 1.23 | % | | | 1.30 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 12.64 | | | $ | 11.64 | | | $ | 10.32 | | | $ | 11.54 | |
| | | | | |
| | Net investment income(b)(c) | | | 0.29 | | | | 0.25 | | | | 0.24 | | | | 0.20 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.71 | | | | 1.04 | | | | 1.37 | | | | (0.96 | ) |
| | | | | |
| | Total from investment operations | | | 1.00 | | | | 1.29 | | | | 1.61 | | | | (0.76 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.39 | ) | | | (0.29 | ) | | | (0.29 | ) | | | (0.26 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.43 | ) | | | — | | | | — | | | | (0.20 | ) |
| | | | | |
| | Total distributions | | | (0.82 | ) | | | (0.29 | ) | | | (0.29 | ) | | | (0.46 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 12.82 | | | $ | 12.64 | | | $ | 11.64 | | | $ | 10.32 | |
| | | | | |
| | Total return(d) | | | 7.94 | % | | | 11.15 | % | | | 15.69 | % | | | (6.67 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 53,299 | | | $ | 41,545 | | | $ | 42,118 | | | $ | 43,098 | |
| | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.19 | %(f) |
| | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.24 | % | | | 0.25 | % | | | 0.27 | % | | | 0.24 | %(f) |
| | | | | |
| | Ratio of net investment income to average net assets(c) | | | 2.24 | % | | | 2.10 | % | | | 2.17 | % | | | 2.48 | %(f) |
| | | | | |
| | Portfolio turnover rate(g) | | | 9 | % | | | 19 | % | | | 55 | % | | | 45 | % |
| | (a) | | Class P Shares commenced operations April 17, 2018. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (g) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 44 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.51 | | | $ | 14.26 | | | $ | 12.26 | | | $ | 13.81 | | | $ | 12.17 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.36 | | | | 0.20 | | | | 0.22 | | | | 0.18 | | | | 0.18 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.53 | | | | 1.54 | | | | 2.06 | | | | (1.41 | ) | | | 1.79 | |
| | | | | | |
| | Total from investment operations | | | 1.89 | | | | 1.74 | | | | 2.28 | | | | (1.23 | ) | | | 1.97 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.53 | ) | | | (0.23 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.33 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.05 | ) | | | (0.49 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.35 | | | $ | 15.51 | | | $ | 14.26 | | | $ | 12.26 | | | $ | 13.81 | |
| | | | | | |
| | Total return(c) | | | 12.27 | % | | | 12.29 | % | | | 18.60 | % | | | (8.94 | )% | | | 16.19 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 297,996 | | | $ | 293,868 | | | $ | 286,721 | | | $ | 272,658 | | | $ | 302,116 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.56 | % | | | 0.57 | % | | | 0.58 | % | | | 0.59 | % | | | 0.59 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.59 | % | | | 0.62 | % | | | 0.64 | % | | | 0.61 | % | | | 0.63 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.15 | % | | | 1.38 | % | | | 1.65 | % | | | 1.29 | % | | | 1.35 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.12 | | | $ | 13.92 | | | $ | 11.98 | | | $ | 13.49 | | | $ | 11.90 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.20 | | | | 0.06 | | | | 0.09 | | | | 0.01 | | | | 0.06 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.53 | | | | 1.53 | | | | 2.04 | | | | (1.31 | ) | | | 1.76 | |
| | | | | | |
| | Total from investment operations | | | 1.73 | | | | 1.59 | | | | 2.13 | | | | (1.30 | ) | | | 1.82 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.45 | ) | | | (0.13 | ) | | | (0.19 | ) | | | (0.21 | ) | | | (0.23 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.97 | ) | | | (0.39 | ) | | | (0.19 | ) | | | (0.21 | ) | | | (0.23 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 15.88 | | | $ | 15.12 | | | $ | 13.92 | | | $ | 11.98 | | | $ | 13.49 | |
| | | | | | |
| | Total return(c) | | | 11.44 | % | | | 11.44 | % | | | 17.78 | % | | | (9.62 | )% | | | 15.31 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 10,130 | | | $ | 13,454 | | | $ | 19,069 | | | $ | 27,099 | | | $ | 94,118 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 1.31 | % | | | 1.32 | % | | | 1.33 | % | | | 1.34 | % | | | 1.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 1.34 | % | | | 1.37 | % | | | 1.39 | % | | | 1.36 | % | | | 1.38 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.23 | % | | | 0.45 | % | | | 0.66 | % | | | 0.11 | % | | | 0.50 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.56 | | | $ | 14.31 | | | $ | 12.29 | | | $ | 13.85 | | | $ | 12.21 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.44 | | | | 0.25 | | | | 0.27 | | | | 0.20 | | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.52 | | | | 1.54 | | | | 2.08 | | | | (1.39 | ) | | | 1.78 | |
| | | | | | |
| | Total from investment operations | | | 1.96 | | | | 1.79 | | | | 2.35 | | | | (1.19 | ) | | | 2.02 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.60 | ) | | | (0.28 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.38 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.12 | ) | | | (0.54 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.38 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.40 | | | $ | 15.56 | | | $ | 14.31 | | | $ | 12.29 | | | $ | 13.85 | |
| | | | | | |
| | Total return(c) | | | 12.64 | % | | | 12.68 | % | | | 19.17 | % | | | (8.63 | )% | | | 16.60 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 443,099 | | | $ | 364,206 | | | $ | 371,610 | | | $ | 360,006 | | | $ | 574,136 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.19 | % | | | 0.19 | % | | | 0.20 | % | | | 0.20 | % | | | 0.19 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.23 | % | | | 0.24 | % | | | 0.25 | % | | | 0.22 | % | | | 0.23 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.65 | % | | | 1.77 | % | | | 2.01 | % | | | 1.48 | % | | | 1.80 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.48 | | | $ | 14.23 | | | $ | 12.23 | | | $ | 13.77 | | | $ | 12.14 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.34 | | | | 0.16 | | | | 0.21 | | | | 0.15 | | | | 0.17 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.51 | | | | 1.56 | | | | 2.05 | | | | (1.38 | ) | | | 1.77 | |
| | | | | | |
| | Total from investment operations | | | 1.85 | | | | 1.72 | | | | 2.26 | | | | (1.23 | ) | | | 1.94 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.51 | ) | | | (0.21 | ) | | | (0.26 | ) | | | (0.31 | ) | | | (0.31 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.03 | ) | | | (0.47 | ) | | | (0.26 | ) | | | (0.31 | ) | | | (0.31 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.30 | | | $ | 15.48 | | | $ | 14.23 | | | $ | 12.23 | | | $ | 13.77 | |
| | | | | | |
| | Total return(c) | | | 12.03 | % | | | 12.18 | % | | | 18.51 | % | | | (9.00 | )% | | | 16.03 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,755 | | | $ | 2,669 | | | $ | 2,920 | | | $ | 2,780 | | | $ | 3,414 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.69 | % | | | 0.69 | % | | | 0.70 | % | | | 0.70 | % | | | 0.69 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.73 | % | | | 0.74 | % | | | 0.75 | % | | | 0.72 | % | | | 0.73 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.07 | % | | | 1.17 | % | | | 1.53 | % | | | 1.13 | % | | | 1.27 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.44 | | | $ | 14.19 | | | $ | 12.20 | | | $ | 13.74 | | | $ | 12.12 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.41 | | | | 0.23 | | | | 0.26 | | | | 0.20 | | | | 0.23 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.51 | | | | 1.54 | | | | 2.04 | | | | (1.38 | ) | | | 1.75 | |
| | | | | | |
| | Total from investment operations | | | 1.92 | | | | 1.77 | | | | 2.30 | | | | (1.18 | ) | | | 1.98 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.58 | ) | | | (0.26 | ) | | | (0.31 | ) | | | (0.36 | ) | | | (0.36 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.10 | ) | | | (0.52 | ) | | | (0.31 | ) | | | (0.36 | ) | | | (0.36 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.26 | | | $ | 15.44 | | | $ | 14.19 | | | $ | 12.20 | | | $ | 13.74 | |
| | | | | | |
| | Total return(c) | | | 12.48 | % | | | 12.64 | % | | | 18.91 | % | | | (8.68 | )% | | | 16.39 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 8,948 | | | $ | 7,997 | | | $ | 7,670 | | | $ | 7,366 | | | $ | 7,241 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.31 | % | | | 0.32 | % | | | 0.33 | % | | | 0.34 | % | | | 0.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.34 | % | | | 0.37 | % | | | 0.39 | % | | | 0.36 | % | | | 0.38 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.50 | % | | | 1.64 | % | | | 1.92 | % | | | 1.48 | % | | | 1.72 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 49 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.55 | | | $ | 14.30 | | | $ | 12.29 | | | $ | 13.85 | | | $ | 12.20 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.32 | | | | 0.22 | | | | 0.26 | | | | 0.36 | | | | 0.30 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.64 | | | | 1.57 | | | | 2.08 | | | | (1.54 | ) | | | 1.73 | |
| | | | | | |
| | Total from investment operations | | | 1.96 | | | | 1.79 | | | | 2.34 | | | | (1.18 | ) | | | 2.03 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.59 | ) | | | (0.28 | ) | | | (0.33 | ) | | | (0.38 | ) | | | (0.38 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.11 | ) | | | (0.54 | ) | | | (0.33 | ) | | | (0.38 | ) | | | (0.38 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.40 | | | $ | 15.55 | | | $ | 14.30 | | | $ | 12.29 | | | $ | 13.85 | |
| | | | | | |
| | Total return(c) | | | 12.69 | % | | | 12.70 | % | | | 19.10 | % | | | (8.61 | )% | | | 16.71 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 923 | | | $ | 4,694 | | | $ | 6,300 | | | $ | 6,331 | | | $ | 84 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.19 | % | | | 0.18 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.22 | % | | | 0.23 | % | | | 0.24 | % | | | 0.22 | % | | | 0.22 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.94 | % | | | 1.59 | % | | | 1.92 | % | | | 2.67 | % | | | 2.21 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 50 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 15.39 | | | $ | 14.15 | | | $ | 12.17 | | | $ | 13.70 | | | $ | 12.09 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.31 | | | | 0.16 | | | | 0.20 | | | | 0.13 | | | | 0.18 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.52 | | | | 1.53 | | | | 2.02 | | | | (1.37 | ) | | | 1.73 | |
| | | | | | |
| | Total from investment operations | | | 1.83 | | | | 1.69 | | | | 2.22 | | | | (1.24 | ) | | | 1.91 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.50 | ) | | | (0.19 | ) | | | (0.24 | ) | | | (0.29 | ) | | | (0.30 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.02 | ) | | | (0.45 | ) | | | (0.24 | ) | | | (0.29 | ) | | | (0.30 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.20 | | | $ | 15.39 | | | $ | 14.15 | | | $ | 12.17 | | | $ | 13.70 | |
| | | | | | |
| | Total return(c) | | | 11.94 | % | | | 12.05 | % | | | 18.30 | % | | | (9.10 | )% | | | 15.83 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 5,579 | | | $ | 5,270 | | | $ | 4,991 | | | $ | 4,251 | | | $ | 5,441 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.81 | % | | | 0.82 | % | | | 0.83 | % | | | 0.84 | % | | | 0.84 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.84 | % | | | 0.87 | % | | | 0.89 | % | | | 0.86 | % | | | 0.88 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.87 | % | | | 1.15 | % | | | 1.46 | % | | | 1.00 | % | | | 1.35 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % | | | 81 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 51 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 15.55 | | | $ | 14.30 | | | $ | 12.29 | | | $ | 13.91 | |
| | | | | |
| | Net investment income(b)(c) | | | 0.44 | | | | 0.26 | | | | 0.29 | | | | 0.23 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 1.52 | | | | 1.53 | | | | 2.05 | | | | (1.52 | ) |
| | | | | |
| | Total from investment operations | | | 1.96 | | | | 1.79 | | | | 2.34 | | | | (1.29 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.60 | ) | | | (0.28 | ) | | | (0.33 | ) | | | (0.33 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.26 | ) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (1.12 | ) | | | (0.54 | ) | | | (0.33 | ) | | | (0.33 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 16.39 | | | $ | 15.55 | | | $ | 14.30 | | | $ | 12.29 | |
| | | | | |
| | Total return(d) | | | 12.66 | % | | | 12.70 | % | | | 19.10 | % | | | (9.29 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 260,202 | | | $ | 228,953 | | | $ | 212,702 | | | $ | 185,028 | |
| | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.19 | %(f) |
| | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.22 | % | | | 0.23 | % | | | 0.24 | % | | | 0.22 | %(f) |
| | | | | |
| | Ratio of net investment income to average net assets(c) | | | 2.62 | % | | | 1.80 | % | | | 2.12 | % | | | 2.48 | %(f) |
| | | | | |
| | Portfolio turnover rate(g) | | | 8 | % | | | 13 | % | | | 61 | % | | | 32 | % |
| | (a) | | Class P Shares commenced operations April 17, 2018. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (g) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.88 | | | $ | 16.18 | | | $ | 13.73 | | | $ | 15.83 | | | $ | 13.39 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.47 | | | | 0.19 | | | | 0.25 | | | | 0.19 | | | | 0.15 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.49 | | | | 2.07 | | | | 2.80 | | | | (1.93 | ) | | | 2.67 | |
| | | | | | |
| | Total from investment operations | | | 2.96 | | | | 2.26 | | | | 3.05 | | | | (1.74 | ) | | | 2.82 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.70 | ) | | | (0.21 | ) | | | (0.32 | ) | | | (0.36 | ) | | | (0.38 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.22 | ) | | | (0.56 | ) | | | (0.60 | ) | | | (0.36 | ) | | | (0.38 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 19.62 | | | $ | 17.88 | | | $ | 16.18 | | | $ | 13.73 | | | $ | 15.83 | |
| | | | | | |
| | Total return(c) | | | 16.54 | % | | | 13.96 | % | | | 22.24 | % | | | (10.98 | )% | | | 21.02 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 387,436 | | | $ | 353,363 | | | $ | 338,384 | | | $ | 308,475 | | | $ | 316,078 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.56 | % | | | 0.57 | % | | | 0.58 | % | | | 0.59 | % | | | 0.59 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.60 | % | | | 0.64 | % | | | 0.65 | % | | | 0.62 | % | | | 0.63 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.40 | % | | | 1.18 | % | | | 1.61 | % | | | 1.19 | % | | | 1.00 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 18.27 | | | $ | 16.51 | | | $ | 13.98 | | | $ | 15.81 | | | $ | 13.37 | |
| | | | | | |
| | Net investment income (loss)(a)(b) | | | 0.29 | | | | 0.05 | | | | 0.10 | | | | (0.03 | ) | | | 0.03 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.57 | | | | 2.11 | | | | 2.87 | | | | (1.80 | ) | | | 2.66 | |
| | | | | | |
| | Total from investment operations | | | 2.86 | | | | 2.16 | | | | 2.97 | | | | (1.83 | ) | | | 2.69 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.52 | ) | | | (0.05 | ) | | | (0.16 | ) | | | — | | | | (0.25 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.04 | ) | | | (0.40 | ) | | | (0.44 | ) | | | — | | | | (0.25 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 20.09 | | | $ | 18.27 | | | $ | 16.51 | | | $ | 13.98 | | | $ | 15.81 | |
| | | | | | |
| | Total return(c) | | | 15.67 | % | | | 13.10 | % | | | 21.31 | % | | | (11.58 | )% | | | 20.08 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 19,334 | | | $ | 22,590 | | | $ | 29,424 | | | $ | 36,201 | | | $ | 126,894 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 1.31 | % | | | 1.32 | % | | | 1.33 | % | | | 1.34 | % | | | 1.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 1.35 | % | | | 1.39 | % | | | 1.40 | % | | | 1.37 | % | | | 1.38 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets(b) | | | 1.44 | % | | | 0.28 | % | | | 0.64 | % | | | (0.20 | )% | | | 0.18 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 54 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.86 | | | $ | 16.17 | | | $ | 13.72 | | | $ | 15.81 | | | $ | 13.37 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.57 | | | | 0.25 | | | | 0.24 | | | | 0.19 | | | | 0.22 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.47 | | | | 2.06 | | | | 2.87 | | | | (1.87 | ) | | | 2.66 | |
| | | | | | |
| | Total from investment operations | | | 3.04 | | | | 2.31 | | | | 3.11 | | | | (1.68 | ) | | | 2.88 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.77 | ) | | | (0.27 | ) | | | (0.38 | ) | | | (0.41 | ) | | | (0.44 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.29 | ) | | | (0.62 | ) | | | (0.66 | ) | | | (0.41 | ) | | | (0.44 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 19.61 | | | $ | 17.86 | | | $ | 16.17 | | | $ | 13.72 | | | $ | 15.81 | |
| | | | | | |
| | Total return(c) | | | 17.03 | % | | | 14.29 | % | | | 22.77 | % | | | (10.65 | )% | | | 21.53 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 249,377 | | | $ | 169,166 | | | $ | 147,389 | | | $ | 247,863 | | | $ | 455,902 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.19 | % | | | 0.19 | % | | | 0.20 | % | | | 0.20 | % | | | 0.20 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.23 | % | | | 0.26 | % | | | 0.26 | % | | | 0.23 | % | | | 0.24 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.88 | % | | | 1.58 | % | | | 1.59 | % | | | 1.22 | % | | | 1.46 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 55 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.83 | | | $ | 16.13 | | | $ | 13.69 | | | $ | 15.77 | | | $ | 13.35 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.46 | | | | 0.15 | | | | 0.22 | | | | 0.15 | | | | 0.15 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.46 | | | | 2.08 | | | | 2.80 | | | | (1.90 | ) | | | 2.64 | |
| | | | | | |
| | Total from investment operations | | | 2.92 | | | | 2.23 | | | | 3.02 | | | | (1.75 | ) | | | 2.79 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.67 | ) | | | (0.18 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.37 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.19 | ) | | | (0.53 | ) | | | (0.58 | ) | | | (0.33 | ) | | | (0.37 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 19.56 | | | $ | 17.83 | | | $ | 16.13 | | | $ | 13.69 | | | $ | 15.77 | |
| | | | | | |
| | Total return(c) | | | 16.41 | % | | | 13.81 | % | | | 22.10 | % | | | (11.06 | )% | | | 20.88 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,413 | | | $ | 2,120 | | | $ | 2,266 | | | $ | 2,252 | | | $ | 2,888 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.69 | % | | | 0.69 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.73 | % | | | 0.76 | % | | | 0.77 | % | | | 0.73 | % | | | 0.74 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.36 | % | | | 0.94 | % | | | 1.47 | % | | | 0.96 | % | | | 1.00 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 56 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.60 | | | $ | 15.93 | | | $ | 13.53 | | | $ | 15.59 | | | $ | 13.20 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.75 | | | | 0.22 | | | | 0.28 | | | | 0.18 | | | | 0.23 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.21 | | | | 2.05 | | | | 2.76 | | | | (1.86 | ) | | | 2.58 | |
| | | | | | |
| | Total from investment operations | | | 2.96 | | | | 2.27 | | | | 3.04 | | | | (1.68 | ) | | | 2.81 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.75 | ) | | | (0.25 | ) | | | (0.36 | ) | | | (0.38 | ) | | | (0.42 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.27 | ) | | | (0.60 | ) | | | (0.64 | ) | | | (0.38 | ) | | | (0.42 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 19.29 | | | $ | 17.60 | | | $ | 15.93 | | | $ | 13.53 | | | $ | 15.59 | |
| | | | | | |
| | Total return(c) | | | 16.86 | % | | | 14.24 | % | | | 22.50 | % | | | (10.74 | )% | | | 21.30 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 13,836 | | | $ | 7,004 | | | $ | 7,204 | | | $ | 6,477 | | | $ | 8,008 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.31 | % | | | 0.32 | % | | | 0.33 | % | | | 0.33 | % | | | 0.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.35 | % | | | 0.39 | % | | | 0.40 | % | | | 0.37 | % | | | 0.39 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 3.83 | % | | | 1.38 | % | | | 1.85 | % | | | 1.14 | % | | | 1.54 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 57 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.87 | | | $ | 16.17 | | | $ | 13.72 | | | $ | 15.81 | | | $ | 13.37 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.55 | | | | 0.21 | | | | 0.31 | | | | 0.39 | | | | 0.17 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.49 | | | | 2.11 | | | | 2.80 | | | | (2.06 | ) | | | 2.71 | |
| | | | | | |
| | Total from investment operations | | | 3.04 | | | | 2.32 | | | | 3.11 | | | | (1.67 | ) | | | 2.88 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.77 | ) | | | (0.27 | ) | | | (0.38 | ) | | | (0.42 | ) | | | (0.44 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.29 | ) | | | (0.62 | ) | | | (0.66 | ) | | | (0.42 | ) | | | (0.44 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 19.62 | | | $ | 17.87 | | | $ | 16.17 | | | $ | 13.72 | | | $ | 15.81 | |
| | | | | | |
| | Total return(c) | | | 17.02 | % | | | 14.35 | % | | | 22.72 | % | | | (10.55 | )% | | | 21.51 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 6,263 | | | $ | 6,792 | | | $ | 7,554 | | | $ | 6,603 | | | $ | 964 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.19 | % | | | 0.18 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.22 | % | | | 0.25 | % | | | 0.26 | % | | | 0.22 | % | | | 0.23 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.79 | % | | | 1.31 | % | | | 2.00 | % | | | 2.54 | % | | | 1.12 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 58 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.36 | | | $ | 15.74 | | | $ | 13.37 | | | $ | 15.42 | | | $ | 13.08 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.44 | | | | 0.15 | | | | 0.20 | | | | 0.14 | | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.39 | | | | 1.99 | | | | 2.73 | | | | (1.87 | ) | | | 2.54 | |
| | | | | | |
| | Total from investment operations | | | 2.83 | | | | 2.14 | | | | 2.93 | | | | (1.73 | ) | | | 2.70 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.66 | ) | | | (0.17 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.36 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (1.18 | ) | | | (0.52 | ) | | | (0.56 | ) | | | (0.32 | ) | | | (0.36 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 19.01 | | | $ | 17.36 | | | $ | 15.74 | | | $ | 13.37 | | | $ | 15.42 | |
| | | | | | |
| | Total return(c) | | | 16.31 | % | | | 13.61 | % | | | 21.98 | % | | | (11.18 | )% | | | 20.67 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 7,788 | | | $ | 6,353 | | | $ | 6,400 | | | $ | 5,475 | | | $ | 6,334 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.81 | % | | | 0.82 | % | | | 0.83 | % | | | 0.84 | % | | | 0.84 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.85 | % | | | 0.89 | % | | | 0.90 | % | | | 0.87 | % | | | 0.89 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.31 | % | | | 0.94 | % | | | 1.36 | % | | | 0.90 | % | | | 1.06 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % | | | 85 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 59 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 17.87 | | | $ | 16.17 | | | $ | 13.72 | | | $ | 15.96 | |
| | | | | |
| | Net investment income(b)(c) | | | 0.59 | | | | 0.26 | | | | 0.32 | | | | 0.28 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 2.45 | | | | 2.06 | | | | 2.79 | | | | (2.10 | ) |
| | | | | |
| | Total from investment operations | | | 3.04 | | | | 2.32 | | | | 3.11 | | | | (1.82 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.77 | ) | | | (0.27 | ) | | | (0.38 | ) | | | (0.42 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.52 | ) | | | (0.35 | ) | | | (0.28 | ) | | | — | |
| | | | | |
| | Total distributions | | | (1.29 | ) | | | (0.62 | ) | | | (0.66 | ) | | | (0.42 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 19.62 | | | $ | 17.87 | | | $ | 16.17 | | | $ | 13.72 | |
| | | | | |
| | Total return(d) | | | 17.03 | % | | | 14.36 | % | | | 22.72 | % | | | (11.39 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 277,169 | | | $ | 207,786 | | | $ | 183,763 | | | $ | 148,866 | |
| | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.19 | %(f) |
| | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.22 | % | | | 0.25 | % | | | 0.26 | % | | | 0.22 | %(f) |
| | | | | |
| | Ratio of net investment income to average net assets(c) | | | 2.98 | % | | | 1.62 | % | | | 2.08 | % | | | 2.56 | %(f) |
| | | | | |
| | Portfolio turnover rate(g) | | | 5 | % | | | 8 | % | | | 69 | % | | | 29 | % |
| | (a) | | Class P Shares commenced operations April 17, 2018. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (g) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 60 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.56 | | | $ | 8.45 | | | $ | 7.38 | | | $ | 8.45 | | | $ | 7.64 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.22 | | | | 0.15 | | | | 0.27 | | | | 0.19 | | | | 0.20 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.48 | | | | 0.11 | | | | 1.08 | | | | (1.06 | ) | | | 0.88 | |
| | | | | | |
| | Total from investment operations | | | 0.70 | | | | 0.26 | | | | 1.35 | | | | (0.87 | ) | | | 1.08 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.31 | ) | | | (0.15 | ) | | | (0.28 | ) | | | (0.20 | ) | | | (0.27 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.31 | ) | | | (0.15 | ) | | | (0.28 | ) | | | (0.20 | ) | | | (0.27 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.95 | | | $ | 8.56 | | | $ | 8.45 | | | $ | 7.38 | | | $ | 8.45 | |
| | | | | | |
| | Total return(d) | | | 8.20 | % | | | 3.40 | % | | | 18.38 | % | | | (10.39 | )% | | | 14.28 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 46,066 | | | $ | 46,265 | | | $ | 46,921 | | | $ | 39,384 | | | $ | 53,090 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.54 | % | | | 0.55 | % | | | 0.56 | % | | | 0.56 | % | | | 0.57 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.75 | % | | | 0.75 | % | | | 0.66 | % | | | 0.61 | % | | | 0.61 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.42 | % | | | 1.90 | % | | | 3.30 | % | | | 2.35 | % | | | 2.42 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 61 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.54 | | | $ | 8.42 | | | $ | 7.34 | | | $ | 8.40 | | | $ | 7.60 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.12 | | | | 0.07 | | | | 0.16 | | | | 0.12 | | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.51 | | | | 0.13 | | | | 1.12 | | | | (1.04 | ) | | | 0.87 | |
| | | | | | |
| | Total from investment operations | | | 0.63 | | | | 0.20 | | | | 1.28 | | | | (0.92 | ) | | | 1.01 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.08 | ) | | | (0.20 | ) | | | (0.14 | ) | | | (0.21 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.22 | ) | | | (0.08 | ) | | | (0.20 | ) | | | (0.14 | ) | | | (0.21 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.95 | | | $ | 8.54 | | | $ | 8.42 | | | $ | 7.34 | | | $ | 8.40 | |
| | | | | | |
| | Total return(d) | | | 7.39 | % | | | 2.59 | % | | | 17.55 | % | | | (11.07 | )% | | | 13.37 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,209 | | | $ | 5,772 | | | $ | 16,235 | | | $ | 28,041 | | | $ | 44,710 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 1.28 | % | | | 1.30 | % | | | 1.31 | % | | | 1.31 | % | | | 1.32 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 1.49 | % | | | 1.49 | % | | | 1.40 | % | | | 1.36 | % | | | 1.36 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.33 | % | | | 0.95 | % | | | 2.01 | % | | | 1.53 | % | | | 1.78 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 62 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.54 | | | $ | 8.43 | | | $ | 7.36 | | | $ | 8.43 | | | $ | 7.62 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.23 | | | | 0.17 | | | | 0.27 | | | | 0.21 | | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.49 | | | | 0.12 | | | | 1.11 | | | | (1.05 | ) | | | 0.88 | |
| | | | | | |
| | Total from investment operations | | | 0.72 | | | | 0.29 | | | | 1.38 | | | | (0.84 | ) | | | 1.12 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.18 | ) | | | (0.31 | ) | | | (0.23 | ) | | | (0.31 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.34 | ) | | | (0.18 | ) | | | (0.31 | ) | | | (0.23 | ) | | | (0.31 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.92 | | | $ | 8.54 | | | $ | 8.43 | | | $ | 7.36 | | | $ | 8.43 | |
| | | | | | |
| | Total return(d) | | | 8.49 | % | | | 3.81 | % | | | 18.86 | % | | | (10.06 | )% | | | 14.80 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 58,742 | | | $ | 99,006 | | | $ | 194,783 | | | $ | 260,987 | | | $ | 488,118 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.17 | % | | | 0.17 | % | | | 0.18 | % | | | 0.17 | % | | | 0.17 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.38 | % | | | 0.36 | % | | | 0.27 | % | | | 0.22 | % | | | 0.22 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.62 | % | | | 2.19 | % | | | 3.38 | % | | | 2.62 | % | | | 2.96 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 63 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.56 | | | $ | 8.44 | | | $ | 7.37 | | | $ | 8.43 | | | $ | 7.63 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.21 | | | | 0.13 | | | | 0.25 | | | | 0.18 | | | | 0.20 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.47 | | | | 0.13 | | | | 1.09 | | | | (1.05 | ) | | | 0.86 | |
| | | | | | |
| | Total from investment operations | | | 0.68 | | | | 0.26 | | | | 1.34 | | | | (0.87 | ) | | | 1.06 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.30 | ) | | | (0.14 | ) | | | (0.27 | ) | | | (0.19 | ) | | | (0.26 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.30 | ) | | | (0.14 | ) | | | (0.27 | ) | | | (0.19 | ) | | | (0.26 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.94 | | | $ | 8.56 | | | $ | 8.44 | | | $ | 7.37 | | | $ | 8.43 | |
| | | | | | |
| | Total return(d) | | | 7.94 | % | | | 3.32 | % | | | 18.25 | % | | | (10.41 | )% | | | 14.06 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 137 | | | $ | 128 | | | $ | 258 | | | $ | 243 | | | $ | 350 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.67 | % | | | 0.67 | % | | | 0.68 | % | | | 0.67 | % | | | 0.67 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.88 | % | | | 0.86 | % | | | 0.78 | % | | | 0.72 | % | | | 0.72 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.34 | % | | | 1.62 | % | | | 3.13 | % | | | 2.20 | % | | | 2.41 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 64 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.53 | | | $ | 8.43 | | | $ | 7.36 | | | $ | 8.43 | | | $ | 7.62 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.23 | | | | 0.16 | | | | 0.27 | | | | 0.20 | | | | 0.22 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.49 | | | | 0.11 | | | | 1.10 | | | | (1.05 | ) | | | 0.88 | |
| | | | | | |
| | Total from investment operations | | | 0.72 | | | | 0.27 | | | | 1.37 | | | | (0.85 | ) | | | 1.10 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.33 | ) | | | (0.17 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.29 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.33 | ) | | | (0.17 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.92 | | | $ | 8.53 | | | $ | 8.43 | | | $ | 7.36 | | | $ | 8.43 | |
| | | | | | |
| | Total return(d) | | | 8.50 | % | | | 3.55 | % | | | 18.71 | % | | | (10.19 | )% | | | 14.62 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 15,372 | | | $ | 18,816 | | | $ | 22,706 | | | $ | 27,782 | | | $ | 46,011 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.29 | % | | | 0.30 | % | | | 0.32 | % | | | 0.31 | % | | | 0.32 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.50 | % | | | 0.50 | % | | | 0.41 | % | | | 0.36 | % | | | 0.36 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.62 | % | | | 2.12 | % | | | 3.39 | % | | | 2.53 | % | | | 2.74 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 65 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.55 | | | $ | 8.44 | | | $ | 7.36 | | | $ | 8.43 | | | $ | 7.63 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.25 | | | | 0.14 | | | | 0.29 | | | | 0.23 | | | | 0.25 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.47 | | | | 0.15 | | | | 1.10 | | | | (1.07 | ) | | | 0.86 | |
| | | | | | |
| | Total from investment operations | | | 0.72 | | | | 0.29 | | | | 1.39 | | | | (0.84 | ) | | | 1.11 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.18 | ) | | | (0.31 | ) | | | (0.23 | ) | | | (0.31 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.34 | ) | | | (0.18 | ) | | | (0.31 | ) | | | (0.23 | ) | | | (0.31 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.93 | | | $ | 8.55 | | | $ | 8.44 | | | $ | 7.36 | | | $ | 8.43 | |
| | | | | | |
| | Total return(d) | | | 8.50 | % | | | 3.79 | % | | | 19.02 | % | | | (10.04 | )% | | | 14.66 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 812 | | | $ | 815 | | | $ | 45,956 | | | $ | 44,046 | | | $ | 40,326 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.16 | % | | | 0.16 | % | | | 0.17 | % | | | 0.16 | % | | | 0.16 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.37 | % | | | 0.33 | % | | | 0.26 | % | | | 0.22 | % | | | 0.20 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.76 | % | | | 1.79 | % | | | 3.59 | % | | | 2.88 | % | | | 3.09 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 66 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.53 | | | $ | 8.42 | | | $ | 7.35 | | | $ | 8.41 | | | $ | 7.61 | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.19 | | | | 0.12 | | | | 0.23 | | | | 0.17 | | | | 0.19 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.48 | | | | 0.12 | | | | 1.09 | | | | (1.05 | ) | | | 0.86 | |
| | | | | | |
| | Total from investment operations | | | 0.67 | | | | 0.24 | | | | 1.32 | | | | (0.88 | ) | | | 1.05 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.28 | ) | | | (0.13 | ) | | | (0.25 | ) | | | (0.18 | ) | | | (0.25 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.28 | ) | | | (0.13 | ) | | | (0.25 | ) | | | (0.18 | ) | | | (0.25 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.92 | | | $ | 8.53 | | | $ | 8.42 | | | $ | 7.35 | | | $ | 8.41 | |
| | | | | | |
| | Total return(d) | | | 7.93 | % | | | 3.09 | % | | | 18.12 | % | | | (10.56 | )% | | | 13.94 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 554 | | | $ | 724 | | | $ | 1,140 | | | $ | 1,955 | | | $ | 2,645 | |
| | | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.79 | % | | | 0.80 | % | | | 0.81 | % | | | 0.81 | % | | | 0.82 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(e) | | | 1.00 | % | | | 0.99 | % | | | 0.91 | % | | | 0.86 | % | | | 0.86 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 2.08 | % | | | 1.56 | % | | | 2.88 | % | | | 2.09 | % | | | 2.33 | % |
| | | | | | |
| | Portfolio turnover rate(f) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % | | | 57 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| | (e) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (f) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 67 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 8.55 | | | $ | 8.44 | | | $ | 7.37 | | | $ | 8.37 | |
| | | | | |
| | Net investment income(b)(c) | | | 0.25 | | | | 0.18 | | | | 0.30 | | | | 0.20 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.47 | | | | 0.11 | | | | 1.08 | | | | (1.01 | ) |
| | | | | |
| | Total from investment operations | | | 0.72 | | | | 0.29 | | | | 1.38 | | | | (0.81 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.18 | ) | | | (0.31 | ) | | | (0.19 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | (d) | | | — | | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.34 | ) | | | (0.18 | ) | | | (0.31 | ) | | | (0.19 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 8.93 | | | $ | 8.55 | | | $ | 8.44 | | | $ | 7.37 | |
| | | | | |
| | Total return(e) | | | 8.49 | % | | | 3.82 | % | | | 18.85 | % | | | (9.76 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 3,111 | | | $ | 3,743 | | | $ | 3,722 | | | $ | 2,902 | |
| | | | | |
| | Ratio of net expenses to average net assets(f) | | | 0.16 | % | | | 0.16 | % | | | 0.17 | % | | | 0.16 | %(g) |
| | | | | |
| | Ratio of total expenses to average net assets(f) | | | 0.37 | % | | | 0.36 | % | | | 0.27 | % | | | 0.22 | %(g) |
| | | | | |
| | Ratio of net investment income to average net assets(c) | | | 2.80 | % | | | 2.31 | % | | | 3.70 | % | | | 3.51 | %(g) |
| | | | | |
| | Portfolio turnover rate(h) | | | 33 | % | | | 5 | % | | | 6 | % | | | 17 | % |
| | (a) | | Class P Shares commenced operations April 17, 2018. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| | (d) | | Amount is less than $0.005 per share. |
| | (e) | | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (f) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (h) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 68 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act.
| | | | |
| Portfolio | | Share Classes Offered | | Diversified/ Non-diversified |
All Portfolios | | A, C, Institutional, Service, Investor, R6, R, P | | Diversified |
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, Service, 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 Portfolios pursuant to a management agreement (the “Agreement”) with the Trust.
The Portfolios are expected to invest primarily in a combination of domestic and international equity and fixed income underlying funds that currently exist or that may become available for investment in the future for which GSAM or an affiliate now or in the future acts as investment adviser or principal underwriter without considering or canvassing the universe of unaffiliated funds available, and may also invest in unaffiliated exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”).
|
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The valuation policy of the Portfolios and underlying funds (“Underlying Funds”) is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Portfolio are charged to that Portfolio, while such expenses incurred by the Trust are allocated across the applicable Portfolios on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees. Expenses included in the accompanying financial statements reflect the expenses of each Portfolio and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Portfolios may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by each Portfolio will vary.
69
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Portfolio’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Portfolio is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| | | | | | |
| Portfolio | | | | Income Distributions Declared/Paid | | Capital Gains Distributions Declared/Paid |
Balanced Strategy, Growth and Income Strategy and Satellite Strategies | | | | Quarterly | | Annually |
Growth 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 Portfolio’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Portfolios’ 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 Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| | |
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS | | |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolios’ 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).
70
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, 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 Portfolios’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Underlying Funds (including Money Market Funds) — Investments in the Underlying Funds are valued at the NAV per share on the day of valuation. Because the Portfolios invest primarily in other mutual funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Portfolio 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 Portfolio, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Portfolio 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.
71
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy— The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
|
BALANCED STRATEGY
| |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Dynamic | | $ | 58,677,969 | | | $ | — | | | $ | — | |
| | | |
Equity | | | 172,815,736 | | | | — | | | | — | |
| | | |
Exchange Traded Funds | | | 114,796,820 | | | | — | | | | — | |
| | | |
Fixed Income | | | 221,583,539 | | | | — | | | | — | |
| | | |
Investment Companies | | | 34,000,024 | | | | — | | | | — | |
| | | |
| Total | | $ | 601,874,088 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 151,134 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 821,685 | | | | — | | | | — | |
| | | |
Options Purchased | | | 1,481,375 | | | | — | | | | — | |
| | | |
| Total | | $ | 2,303,060 | | | $ | 151,134 | | | $ | — | |
| | | |
| Liabilities(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (178,030 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
72
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
|
GROWTH AND INCOME STRATEGY
| |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Dynamic | | $ | 77,424,826 | | | $ | — | | | $ | — | |
| | | |
Equity | | | 399,781,258 | | | | — | | | | — | |
| | | |
Exchange Traded Funds | | | 309,410,989 | | | | — | | | | — | |
| | | |
Fixed Income | | | 172,314,192 | | | | — | | | | — | |
| | | |
Investment Companies | | | 42,000,030 | | | | — | | | | — | |
| | | |
| Total | | $ | 1,000,931,295 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 267,438 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 1,134,535 | | | | — | | | | — | |
| | | |
Options Purchased | | | 2,482,050 | | | | — | | | | — | |
| | | |
| Total | | $ | 3,616,585 | | | $ | 267,438 | | | $ | — | |
| | | |
| Liabilities(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (314,834 | ) | | $ | — | |
| | | |
GROWTH STRATEGY
| | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Dynamic | | $ | 40,693,825 | | | $ | — | | | $ | — | |
| | | |
Equity | | | 480,111,051 | | | | — | | | | — | |
| | | |
Exchange Traded Funds | | | 300,159,922 | | | | — | | | | — | |
| | | |
Fixed Income | | | 68,059,358 | | | | — | | | | — | |
| | | |
Investment Companies | | | 51,000,036 | | | | — | | | | — | |
| | | |
| Total | | $ | 940,024,192 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 234,942 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 1,262,736 | | | | — | | | | — | |
| | | |
Options Purchased | | | 2,726,188 | | | | — | | | | — | |
| | | |
| Total | | $ | 3,988,924 | | | $ | 234,942 | | | $ | — | |
| | | |
| Liabilities(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (256,549 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
73
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
SATELLITE STRATEGIES
| | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Equity | | $ | 78,809,382 | | | $ | — | | | $ | — | |
| | | |
Exchange Traded Funds | | | 3,920,284 | | | | — | | | | — | |
| | | |
Fixed Income | | | 43,235,455 | | | | — | | | | — | |
| | | |
| Total | | $ | 125,965,121 | | | $ | — | | | $ | — | |
For further information regarding security characteristics, see the Schedules of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Portfolios’ 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 Portfolios’ net exposure.
| | | | | | | | | | | | |
| | | |
| Balance Strategy Portfolio | | | | | | | | | | |
| Risk | | Statements of Assets
and Liabilities | | Assets | | | Statements of Assets
and Liabilities | | Liabilities | |
Interest rate | | Variation margin on futures contracts; Purchased options, at value | | $ | 1,642,185 | (a) | | — | | $ | — | |
Equity | | Variation margin on futures contracts; Purchased options, at value | | | 660,875 | (a) | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts. | | | 151,134 | | | Payable for unrealized loss on forward foreign currency exchange contracts. | | | (178,030) | |
| Total | | | | $ | 2,454,194 | | | | | $ | (178,030) | |
| | | |
| Growth and Income Strategy Portfolio | | | | | | | | | | |
| Risk | | Statement of Assets
and Liabilities | | Assets | | | Statement of Assets
and Liabilities | | Liabilities | |
Interest rate | | Variation margin on futures contracts; Purchased options, at value | | $ | 2,783,095 | (a) | | — | | $ | — | |
Equity | | Variation margin on futures contracts | | | 833,490 | (a) | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts. | | | 267,438 | | | Payable for unrealized loss on forward foreign currency exchange contracts. | | | (314,834) | |
| Total | | | | $ | 3,884,023 | | | | | $ | (314,834) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of December 31, 2021 is reported within the Statements of Assets and Liabilities. |
74
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | |
| | | |
| Growth Strategy Portfolio | | | | | | | | | | |
| Risk | | Statement of Assets and Liabilities | | Assets | | | Statement of Assets
and Liabilities | | Liabilities | |
Interest rate | | Variation margin on futures contracts; Purchased options, at value | | $ | 3,007,577 | (a) | | — | | | — | |
Equity | | Variation margin on futures contracts | | | 981,447 | (a) | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts. | | | 234,942 | | | Payable for unrealized loss on forward foreign currency exchange contracts. | | | (256,549) | |
| Total | | | | $ | 4,223,966 | | | | | $ | (256,549) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of December 31, 2021 is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Portfolios’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | | | | | |
|
| Balanced Strategy Portfolio | |
| Risk | | Statement of Operations | | Net Realized
Gain (Loss) | | | | | | Net Change
in Unrealized
Gain (Loss) | |
| Interest rate | | Net realized gain from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | | $ | (351,517 | ) | | | | | | $ | (930,796 | ) |
| Equity | | Net realized gain (loss) from futures contracts, written options and purchased options /Net change in unrealized gain on futures contracts and purchased options | | | 7,119,651 | | | | | | | | (258,830 | ) |
| Currency | | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | | | 2,071,132 | | | | | | | | 341,276 | |
| Total | | | | $ | 8,839,266 | | | | | | | $ | (848,350 | ) |
|
| Growth and Income Portfolio | |
| Risk | | Statement of Operations | | Net Realized
Gain (Loss) | | | | | | Net Change in
Unrealized
Gain (Loss) | |
| Interest rate | | Net realized gain from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | | $ | (359,859 | ) | | | | | | $ | (2,032,673 | ) |
| Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain on futures contracts and purchased options | | | 8,787,982 | | | | | | | | 32,609 | |
| Currency | | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | | | 3,651,530 | | | | | | | | 598,459 | |
| Total | | | | $ | 12,079,653 | | | | | | | $ | (1,401,605 | ) |
75
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | | | |
|
| Growth Strategy Portfolio | |
| Risk | | Statement of Operations | | Net Realized
Gain (Loss) | | | | | | Net Change in
Unrealized
Gain (Loss) | |
Interest
rate | | Net realized gain from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | | $ | (246,733 | ) | | | | | | $ | (2,010,609 | ) |
| Equity | | Net realized gain (loss) from futures contracts and written options /Net change in unrealized gain on futures contracts | | | 10,939,379 | | | | | | | | 388,977 | |
| Currency | | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | | | 2,891,953 | | | | | | | | 489,277 | |
| Total | | | | $ | 13,584,599 | | | | | | | $ | (1,132,355 | ) |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type was as follows:
| | | | | | | | | | | | | | | | |
| | | Average Number of Contracts, Notional Amounts, or Shares/Units(a) | |
| | | Futures
Contracts | | | Forward
Contacts | | | Purchased
Options | | | Written
Options | |
Balanced Strategy | | | 302 | | | $ | 37,457,822 | | | $ | 1,164,792 | | | | 5,324 | |
Growth and Income Strategy | | | 463 | | | | 68,351,918 | | | | 2,022,917 | | | | 8,792 | |
Growth Strategy | | | 459 | | | | 51,225,279 | | | | 2,112,292 | | | | 7,687 | |
| (a) | | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, or shares/units outstanding for purchased and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Portfolio held such derivatives during the fiscal year ended December 31, 2021. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolios, 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 Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of average daily net assets of 0.124% for the Satellite Strategies Portfolio and 0.15% for each of the other Portfolios.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Portfolio, 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 Portfolio, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of each applicable Portfolio, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Portfolio, as set forth below.
The Trust, on behalf of Service Shares of each applicable Portfolio, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for
76
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Portfolio, as set forth below.
| | | | | | | | | | | | | | | | |
| | | Distribution and/or Service Plan Rates | |
| | | Class A* | | | Class C | | | Class R* | | | Service | |
Distribution and/or Service Plan | | | 0.25 | % | | | 0.75 | % | | | 0.50 | % | | | 0.25 | % |
| * | | 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 Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained the following amounts:
| | | | | | | | |
| | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Portfolio | | Class A | | | Class C | |
Balanced Strategy | | $ | 11,020 | | | $ | 137 | |
Growth and Income Strategy | | | 11,973 | | | | 793 | |
Growth Strategy | | | 13,481 | | | | 699 | |
Satellite Strategies | | | 779 | | | | — | |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Portfolio, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide 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 and Service Shares of the Portfolios, respectively.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolios 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: 0.16% 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 and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Portfolios (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolios are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets are 0.01% for the Satellite Strategies Portfolio and 0.004% for each other Portfolio. These Other Expense limitations will remain in place through at least April 30, 2022 and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolios’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
77
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | |
| Portfolio | | | | Other Expense
Reimbursements | |
Balanced Strategy | | | | $ | 315,531 | |
Growth and Income Strategy | | | | | 337,220 | |
Growth Strategy | | | | | 340,289 | |
Satellite Strategies | | | | | 294,055 | |
G. Line of Credit Facility — As of December 31, 2021, the Portfolios participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Portfolios based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2021, the Portfolios did not have any borrowings under the facility. Prior to April 26, 2021 the facility was $700,000,000.
H. Other Transactions with Affiliates — The Portfolios invest primarily in the Class R6 Shares of the Underlying Funds (except certain Underlying Funds that are ETFs). These Underlying Funds are considered to be affiliated with the Portfolios. The tables below show the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2021 (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| Balanced Strategy Portfolio | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares
as of
12/31/2021 | | | Dividend
Income | | | Capital
gains
Distribution | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | $ | 54,505 | | | $ | 2,906 | | | $ | — | | | $ | — | | | $ | (2,110 | ) | | $ | 55,301 | | | $ | 1,022 | | | $ | 1,197 | | | $ | — | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 55,178 | | | | — | | | | (8,484 | ) | | | 2,564 | | | | 10,238 | | | | 59,496 | | | | 625 | | | | 656 | | | | — | |
Goldman Sachs Alternative Premia Fund — Class R6 | | | 10,365 | | | | 2,331 | | | | — | | | | — | | | | (228 | ) | | | 12,468 | | | | 1,855 | | | | — | | | | — | |
Goldman Sachs Core Fixed Income Fund — Class R6 | | | 17,438 | | | | 329 | | | | — | | | | — | | | | (635 | ) | | | 17,132 | | | | 1,573 | | | | 329 | | | | — | |
Goldman Sachs Dynamic Global Equity Fund — Class R6 | | | 91,461 | | | | 10,726 | | | | (15,250 | ) | | | 2,598 | | | | 3,620 | | | | 93,155 | | | | 4,026 | | | | 5,596 | | | | 5133 | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 16,969 | | | | 3,717 | | | | (5,750 | ) | | | (128 | ) | | | (1,080 | ) | | | 13,728 | | | | 1,147 | | | | 716 | | | | — | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 24,135 | | | | 3,183 | | | | (6,800 | ) | | | 1,192 | | | | (3,966 | ) | | | 17,744 | | | | 1,825 | | | | 382 | | | | 2,801 | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 27,862 | | | | 161,408 | | | | (155,270 | ) | | | — | | | | — | | | | 34,000 | | | | 34,000 | | | | 6 | | | | — | |
Goldman Sachs Global Income Fund — Class R6 | | | 144,088 | | | | 22,460 | | | | — | | | | — | | | | (5,631 | ) | | | 160,917 | | | | 12,671 | | | | 1,844 | | | | 515 | |
78
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | |
|
| Balanced Strategy Portfolio (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares
as of
12/31/2021 | | | Dividend
Income | | | Capital
gains
Distribution | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | $ | 9,319 | | | $ | 179 | | | $ | — | | | $ | — | | | $ | 1,364 | | | $ | 10,862 | | | $ | 808 | | | $ | 144 | | | $ | 34 | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 5,537 | | | | 152 | | | | — | | | | 2 | | | | 1,311 | | | | 7,002 | | | | 554 | | | | 151 | | | | — | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 6,144 | | | | 217 | | | | — | | | | — | | | | 53 | | | | 6,414 | | | | 685 | | | | 217 | | | | — | |
Goldman Sachs High Yield Fund — Class R6 | | | 5,506 | | | | 270 | | | | — | | | | — | | | | (52 | ) | | | 5,724 | | | | 890 | | | | 270 | | | | — | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | — | | | | 5,892 | | | | — | | | | — | | | | (10 | ) | | | 5,882 | | | | 502 | | | | 64 | | | | — | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 26,386 | | | | 6,230 | | | | (2,500 | ) | | | 383 | | | | 1,051 | | | | 31,550 | | | | 2,191 | | | | 840 | | | | 791 | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 12,824 | | | | 410 | | | | (2,000 | ) | | | 184 | | | | 1,085 | | | | 12,503 | | | | 904 | | | | 410 | | | | — | |
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | | | 5,072 | | | | 135 | | | | (4,500 | ) | | | (433 | ) | | | (160 | ) | | | 114 | | | | 21 | | | | 136 | | | | — | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | 16,009 | | | | 1,165 | | | | — | | | | — | | | | (365 | ) | | | 16,809 | | | | 1,648 | | | | 197 | | | | 967 | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | — | | | | 11,660 | | | | — | | | | — | | | | 12 | | | | 11,672 | | | | 1,156 | | | | 4 | | | | — | |
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | | | 27,119 | | | | 598 | | | | — | | | | — | | | | 1,684 | | | | 29,401 | | | | 2,866 | | | | 596 | | | | — | |
| | | | | | | | | |
Total | | $ | 555,917 | | | $ | 233,968 | | | $ | (200,554 | ) | | $ | 6,362 | | | $ | 6,181 | | | $ | 601,874 | | | | | | | $ | 13,755 | | | $ | 10,241 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| Growth and Income Strategy Portfolio | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares
as of
12/31/2021 | | | Dividend
Income | | | Capital
Gains
Distribution | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | $ | $88,640 | | | $ | $4,982 | | | $ | — | | | $ | — | | | $ | (3,434 | ) | | $ | 90,188 | | | | 1,667 | | | $ | $1,949 | | | $ | — | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 191,211 | | | | — | | | | (18,655 | ) | | | 5,973 | | | | 40,694 | | | | 219,223 | | | | 2,304 | | | | 2,403 | | | | — | |
Goldman Sachs Alternative Premia Fund — Class R6 | | | 8,522 | | | | 4,971 | | | | — | | | | — | | | | (132 | ) | | | 13,361 | | | | 1,988 | | | | — | | | | — | |
Goldman Sachs Dynamic Global Equity Fund — Class R6 | | | 191,890 | | | | 24,541 | | | | (17,000 | ) | | | 3,491 | | | | 10,231 | | | | 213,153 | | | | 9,212 | | | | 12,797 | | | | 11,743 | |
79
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares
as of
12/31/2021 | | | Dividend
Income | | | Capital
Gains
Distribution | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | $ | 31,955 | | | $ | 5,851 | | | $ | (10,000 | ) | | $ | (502 | ) | | $ | (1,754 | ) | | $ | 25,550 | | | | 2,135 | | | $ | 1,351 | | | $ | — | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 53,314 | | | | 8,119 | | | | (9,000 | ) | | | 1,903 | | | | (9,077 | ) | | | 45,259 | | | | 4,656 | | | | 976 | | | | 7,144 | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 33,271 | | | | 193,067 | | | | (184,338 | ) | | | — | | | | — | | | | 42,000 | | | | 42,000 | | | | 9 | | | | — | |
Goldman Sachs Global Income Fund — Class R6 | | | 86,318 | | | | 10,947 | | | | — | | | | — | | | | (3,394 | ) | | | 93,871 | | | | 7,391 | | | | 1,124 | | | | 324 | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 15,950 | | | | 305 | | | | — | | | | — | | | | 2,335 | | | | 18,590 | | | | 1,383 | | | | 246 | | | | 58 | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 8,919 | | | | 244 | | | | — | | | | 3 | | | | 2,113 | | | | 11,279 | | | | 893 | | | | 243 | | | | — | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 8,963 | | | | 317 | | | | — | | | | — | | | | 76 | | | | 9,356 | | | | 1,000 | | | | 317 | | | | — | |
Goldman Sachs High Yield Fund — Class R6 | | | 9,595 | | | | 471 | | | | — | | | | — | | | | (91 | ) | | | 9,975 | | | | 1,551 | | | | 470 | | | | — | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | — | | | | 10,051 | | | | — | | | | — | | | | (17 | ) | | | 10,034 | | | | 856 | | | | 109 | | | | — | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 82,040 | | | | 5,119 | | | | (7,000 | ) | | | 1,277 | | | | 3,131 | | | | 84,567 | | | | 5,873 | | | | 2,637 | | | | 2481 | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 23,828 | | | | 883 | | | | — | | | | — | | | | 2,222 | | | | 26,933 | | | | 1,947 | | | | 883 | | | | — | |
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | | | 9,871 | | | | 5,194 | | | | (10,000 | ) | | | (1,059 | ) | | | (390 | ) | | | 3,616 | | | | 676 | | | | 395 | | | | — | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | 23,155 | | | | 1,687 | | | | — | | | | — | | | | (528 | ) | | | 24,314 | | | | 2,384 | | | | 285 | | | | 1,401 | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | — | | | | 19,892 | | | | — | | | | — | | | | 20 | | | | 19,912 | | | | 1,972 | | | | 7 | | | | — | |
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | | | 36,666 | | | | 807 | | | | — | | | | — | | | | 2,277 | | | | 39,750 | | | | 3,874 | | | | 807 | | | | — | |
Total | | $ | 904,108 | | | $ | 297,448 | | | $ | (255,993 | ) | | $ | 11,086 | | | $ | 44,282 | | | $ | 1,000,931 | | | | | | | $ | 27,008 | | | $ | 23,151 | |
80
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Growth Strategy Portfolio | | | | | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost* | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares
as of
12/31/2021 | | | Dividend
Income | | | Capital
Gains
Distribution | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | $ | 9,622 | | | $ | — | | | $ | — | | | $ | — | | | | (368 | ) | | $ | 9,254 | | | | 171 | | | $ | 205 | | | $ | — | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 231,434 | | | | — | | | | — | | | | — | | | | 59,472 | | | | 290,906 | | | | 3,058 | | | | 3,094 | | | | — | |
Goldman Sachs Dynamic Global Equity Fund — Class R6 | | | 201,458 | | | | 26,806 | | | | (9,000 | ) | | | 1,178 | | | | 12,379 | | | | 232,821 | | | | 10,061 | | | | 13,978 | | | | 12,827 | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 31,594 | | | | 10,604 | | | | (10,000 | ) | | | (243 | ) | | | (2,119 | ) | | | 29,836 | | | | 2,493 | | | | 1,354 | | | | — | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 62,408 | | | | 22,671 | | | | (9,000 | ) | | | 538 | | | | (11,564 | ) | | | 65,053 | | | | 6,693 | | | | 1,402 | | | | 10,269 | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 23,241 | | | | 209,818 | | | | (182,059 | ) | | | — | | | | — | | | | 51,000 | | | | 51,000 | | | | 12 | | | | — | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 15,288 | | | | 292 | | | | — | | | | — | | | | 2,238 | | | | 17,818 | | | | 1,326 | | | | 236 | | | | 55 | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 7,497 | | | | 204 | | | | — | | | | 3 | | | | 1,776 | | | | 9,480 | | | | 751 | | | | 205 | | | | — | |
Goldman Sachs High Yield Fund — Class R6 | | | 7,720 | | | | 2,395 | | | | — | | | | — | | | | (76 | ) | | | 10,039 | | | | 1,561 | | | | 395 | | | | — | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | — | | | | 9,445 | | | | — | | | | — | | | | (16 | ) | | | 9,429 | | | | 804 | | | | 102 | | | | — | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 92,110 | | | | 13,692 | | | | — | | | | — | | | | 4,769 | | | | 110,571 | | | | 7,679 | | | | 3,449 | | | | 3,244 | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 32,183 | | | | 12,455 | | | | (3,500 | ) | | | 288 | | | | 2,941 | | | | 44,367 | | | | 3,208 | | | | 1,455 | | | | — | |
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | | | 8,846 | | | | 237 | | | | (8,000 | ) | | | (891 | ) | | | (146 | ) | | | 46 | | | | 9 | | | | 237 | | | | — | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | 13,153 | | | | 958 | | | | — | | | | — | | | | (300 | ) | | | 13,811 | | | | 1,354 | | | | 162 | | | | 796 | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | — | | | | 18,691 | | | | — | | | | — | | | | 19 | | | | 18,710 | | | | 1,852 | | | | 7 | | | | — | |
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | | | 21,997 | | | | 3,546 | | | | — | | | | — | | | | 1,340 | | | | 26,883 | | | | 2,620 | | | | 546 | | | | — | |
Total | | $ | 758,551 | | | $ | 331,814 | | | $ | (221,559 | ) | | $ | 873 | | | $ | 70,345 | | | $ | 940,024 | | | | | | | $ | 26,839 | | | $ | 27,191 | |
81
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| Satellite Strategies Portfolio | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost* | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares
as of
12/31/2021 | | | Dividend
Income | | | Capital
Gain
Distributions | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | $ | 7,688 | | | $ | — | | | $ | (3,811 | ) | | $ | 894 | | | $ | (851 | ) | | $ | 3,920 | | | | 106 | | | $ | 118 | | | $ | — | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 29,062 | | | | 837 | | | | (8,990 | ) | | | 951 | | | | (2,586 | ) | | | 19,274 | | | | 1,610 | | | | 837 | | | | — | |
Goldman Sachs Emerging Markets Equity Fund — Class R6 | | | 10,511 | | | | 52 | | | | (5,350 | ) | | | 3,865 | | | | (3,654 | ) | | | 5,424 | | | | 185 | | | | 51 | | | | — | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 7,381 | | | | 3,817 | | | | (3,390 | ) | | | 324 | | | | (1,350 | ) | | | 6,782 | | | | 698 | | | | 146 | | | | 1,071 | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 25,913 | | | | 9,344 | | | | (13,810 | ) | | | 1,249 | | | | 2,939 | | | | 25,635 | | | | 1,907 | | | | 362 | | | | 82 | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 31,230 | | | | 175 | | | | (25,100 | ) | | | 483 | | | | 1,469 | | | | 8,257 | | | | 654 | | | | 174 | | | | — | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 10,511 | | | | 252 | | | | (4,515 | ) | | | (76 | ) | | | 179 | | | | 6,351 | | | | 679 | | | | 252 | | | | — | |
Goldman Sachs High Yield Fund — Class R6 | | | 20,458 | | | | 430 | | | | (14,325 | ) | | | 1,627 | | | | (1,763 | ) | | | 6,427 | | | | 1,000 | | | | 430 | | | | — | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | — | | | | 11,590 | | | | (1,755 | ) | | | 40 | | | | 131 | | | | 10,006 | | | | 854 | | | | 376 | | | | 63 | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 19,691 | | | | 12,772 | | | | (8,425 | ) | | | 1,269 | | | | 1,291 | | | | 26,598 | | | | 1,923 | | | | 872 | | | | — | |
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | | | 9,315 | | | | 81 | | | | (7,575 | ) | | | (446 | ) | | | (197 | ) | | | 1,178 | | | | 220 | | | | 82 | | | | — | |
Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | | | 1,553 | | | | 5,927 | | | | (2,670 | ) | | | (424 | ) | | | 1,727 | | | | 6,113 | | | | 251 | | | | 329 | | | | — | |
Total | | $ | 173,313 | | | $ | 45,277 | | | $ | (99,716 | ) | | $ | 9,756 | | | $ | (2,665 | ) | | $ | 125,965 | | | | | | | $ | 4,029 | | | $ | 1,216 | |
| * | | Includes reinvestment of distributions. |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2021, were:
| | | | | | | | | | |
| Portfolio | | | | Purchases | | | Sales | |
Balanced Strategy | | | | $ | 74,207,210 | | | $ | 45,933,859 | |
Growth and Income Strategy | | | | | 107,226,274 | | | | 72,715,466 | |
Growth Strategy | | | | | 124,968,127 | | | | 40,489,388 | |
Satellite Strategy | | | | | 45,465,485 | | | | 99,716,159 | |
82
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | Growth and
Income Strategy | | | Growth Strategy | | | Satellite
Strategies | |
Distribution paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 21,056,715 | | | $ | 39,538,347 | | | $ | 39,671,545 | | | $ | 4,144,469 | |
Net long-term capital gains | | | 14,690,462 | | | | 25,365,016 | | | | 18,657,559 | | | | — | |
Total taxable distributions | | $ | 35,747,177 | | | $ | 64,903,363 | | | $ | 58,329,104 | | | $ | 4,144,469 | |
Return of Capital | | | — | | | | — | | | | — | | | | 594,407 | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | Growth and
Income Strategy | | | Growth
Strategy | | | Satellite
Strategies | |
Distribution paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 11,834,746 | | | $ | 18,028,476 | | | $ | 12,985,654 | | | $ | 4,037,967 | |
Net long-term capital gains | | | — | | | | 12,123,945 | | | | 11,146,586 | | | | — | |
Total taxable distributions | | $ | 11,834,746 | | | $ | 30,152,421 | | | $ | 24,132,240 | | | $ | 4,037,967 | |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | Growth and
Income Strategy | | | Growth
Strategy | | | Satellite
Strategies | |
Undistributed long-term capital gains | | $ | 6,350,525 | | | $ | 13,169,384 | | | $ | 12,587,580 | | | $ | — | |
Capital loss carryforwards(1) | | | | | | | | | | | | | | | | |
Perpetual Long-Term | | | — | | | | — | | | | — | | | | (18,474,678 | ) |
Timing differences (Straddle Loss Deferral) | | | (599 | ) | | | (1,058 | ) | | | (947 | ) | | | — | |
Unrealized gains (losses) — net | | | 53,901,695 | | | | 161,090,319 | | | | 199,634,830 | | | | 25,303,141 | |
Total accumulated earnings (losses) net | | $ | 60,251,621 | | | $ | 174,258,645 | | | $ | 212,221,463 | | | $ | 6,828,463 | |
| (1) | | The Satellite Strategies Portfolio utilized $9,642,743 of capital losses. |
As of December 31, 2021, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | Growth and
Income Strategy | | | Growth
Strategy | | | Satellite
Strategies | |
Tax Cost | | $ | 550,255,415 | | | $ | 843,410,866 | | | $ | 744,357,453 | | | $ | 100,661,981 | |
Gross unrealized gain | | | 60,324,879 | | | | 168,601,496 | | | | 201,252,003 | | | | 25,336,144 | |
Gross unrealized loss | | | (6,423,184 | ) | | | (7,511,177 | ) | | | (1,617,173 | ) | | | (33,003 | ) |
Net unrealized gains (losses) | | $ | 53,901,695 | | | $ | 161,090,319 | | | $ | 199,634,830 | | | $ | 25,303,141 | |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures contracts, options contracts, and foreign currency contracts.
The Satellite Strategies Fund reclassified $2,833 from paid-in capital to distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from taxable overdistributions.
83
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 7. TAX INFORMATION (continued) |
GSAM has reviewed the Portfolios’ 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 Portfolios’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
The Portfolios’ risks include, but are not limited to, the following:
Derivatives Risk — The Portfolios’ 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 Portfolios. 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 Portfolio’s investments in dividend-paying securities could cause a Portfolio to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Portfolio’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 Portfolio to produce current income.
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 Portfolio or an Underlying Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscations of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Portfolio or an Underlying 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 Portfolio or an Underlying Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
Investments in the Underlying Funds Risk — The investments of the Portfolios may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Portfolios’ investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolios are subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Portfolios have a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.
Large Shareholder Transactions Risk — A Portfolio or an Underlying 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 Portfolio or
84
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 8. OTHER RISKS (continued) |
an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Portfolio’s or an Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s or the Underlying Fund’s expense ratio. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or the Underlying Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Portfolio or an Underlying Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio or Underlying Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio or Underlying Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Portfolio or Underlying Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying Fund’s NAV and dilute remaining investors’ interests. 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 a Portfolio investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Portfolio’s or Underlying Fund’s liquidity.
Market and Credit Risks — In the normal course of business, a Portfolio and an Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of securities in which a Portfolio and/or an Underlying 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 Portfolio and/or an Underlying Fund and their investments. Additionally, a Portfolio and/or an Underlying Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.
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 Portfolios. Additionally, in the course of business, the Portfolios enter into contracts that contain a variety of indemnification clauses. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
85
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
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.
86
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced Strategy Portfolio | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021
| | | For the Fiscal Year Ended
December 31, 2020
| |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 882,441 | | | $ | 11,568,762 | | | | 806,106 | | | $ | 9,371,853 | |
Reinvestment of distributions | | | 479,560 | | | | 6,211,490 | | | | 161,208 | | | | 1,956,189 | |
Shares redeemed | | | (1,191,360 | ) | | | (15,594,930 | ) | | | (1,388,358 | ) | | | (16,050,087 | ) |
| | | | 170,641 | | | | 2,185,322 | | | | (421,044 | ) | | | (4,722,045 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 62,236 | | | | 819,411 | | | | 152,765 | | | | 1,760,807 | |
Reinvestment of distributions | | | 27,446 | | | | 355,496 | | | | 8,805 | | | | 109,881 | |
Shares redeemed | | | (325,028 | ) | | | (4,238,947 | ) | | | (346,972 | ) | | | (4,036,182 | ) |
| | | | (235,346 | ) | | | (3,064,040 | ) | | | (185,402 | ) | | | (2,165,494 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 9,610,152 | | | | 126,204,107 | | | | 9,619,191 | | | | 115,945,581 | |
Reinvestment of distributions | | | 1,892,322 | | | | 24,498,342 | | | | 692,210 | | | | 8,350,848 | |
Shares redeemed | | | (9,012,460 | ) | | | (117,833,634 | ) | | | (9,699,923 | ) | | | (114,183,314 | ) |
| | | | 2,490,014 | | | | 32,868,815 | | | | 611,478 | | | | 10,113,115 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 61 | | | | 804 | | | | 209 | | | | 2,470 | |
Shares redeemed | | | (3,118 | ) | | | (40,495 | ) | | | (12,403 | ) | | | (151,463 | ) |
| | | | (3,057 | ) | | | (39,691 | ) | | | (12,194 | ) | | | (148,993 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 92,915 | | | | 1,228,623 | | | | 373,809 | | | | 4,570,701 | |
Reinvestment of distributions | | | 26,313 | | | | 339,317 | | | | 10,916 | | | | 133,619 | |
Shares redeemed | | | (297,322 | ) | | | (3,792,091 | ) | | | (96,997 | ) | | | (1,089,565 | ) |
| | | | (178,094 | ) | | | (2,224,151 | ) | | | 287,728 | | | | 3,614,755 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7,652 | | | | 100,736 | | | | 10,357 | | | | 121,259 | |
Reinvestment of distributions | | | 1,212 | | | | 15,707 | | | | 853 | | | | 10,015 | |
Shares redeemed | | | (101,913 | ) | | | (1,327,087 | ) | | | (48,256 | ) | | | (581,682 | ) |
| | | | (93,049 | ) | | | (1,210,644 | ) | | | (37,046 | ) | | | (450,408 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 81,994 | | | | 1,080,919 | | | | 108,195 | | | | 1,269,012 | |
Reinvestment of distributions | | | 46,496 | | | | 599,113 | | | | 13,214 | | | | 159,999 | |
Shares redeemed | | | (29,032 | ) | | | (380,994 | ) | | | (254,775 | ) | | | (3,003,397 | ) |
| | | | 99,458 | | | | 1,299,038 | | | | (133,366 | ) | | | (1,574,386 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,117,076 | | | | 14,500,761 | | | | 424,684 | | | | 4,981,602 | |
Reinvestment of distributions | | | 251,253 | | | | 3,256,498 | | | | 76,524 | | | | 922,139 | |
Shares redeemed | | | (497,659 | ) | | | (6,581,706 | ) | | | (831,434 | ) | | | (9,255,219 | ) |
| | | | 870,670 | | | | 11,175,553 | | | | (330,226 | ) | | | (3,351,478 | ) |
| | | | |
NET INCREASE (DECREASE) | | | 3,121,237 | | | $ | 40,990,202 | | | | (220,072 | ) | | $ | 1,315,066 | |
87
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Growth and Income Strategy Portfolio | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | �� | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 924,031 | | | $ | 15,131,597 | | | | 1,001,133 | | | $ | 14,063,210 | |
Reinvestment of distributions | | | 1,052,123 | | | | 17,367,488 | | | | 568,375 | | | | 8,516,207 | |
Shares redeemed | | | (2,689,504 | ) | | | (44,400,979 | ) | | | (2,729,843 | ) | | | (38,118,863 | ) |
| | | | (713,350 | ) | | | (11,901,894 | ) | | | (1,160,335 | ) | | | (15,539,446 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 88,439 | | | | 1,416,143 | | | | 88,895 | | | | 1,236,549 | |
Reinvestment of distributions | | | 37,387 | | | | 599,913 | | | | 23,505 | | | | 349,075 | |
Shares redeemed | | | (377,363 | ) | | | (5,986,984 | ) | | | (592,480 | ) | | | (8,007,231 | ) |
| | | | (251,537 | ) | | | (3,970,928 | ) | | | (480,080 | ) | | | (6,421,607 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,433,958 | | | | 107,492,095 | | | | 5,182,916 | | | | 76,541,111 | |
Reinvestment of distributions | | | 1,654,960 | | | | 27,399,204 | | | | 816,050 | | | | 12,170,985 | |
Shares redeemed | | | (4,476,473 | ) | | | (73,927,656 | ) | | | (8,571,487 | ) | | | (120,264,037 | ) |
| | | | 3,612,445 | | | | 60,963,643 | | | | (2,572,521 | ) | | | (31,551,941 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 21,432 | | | | 351,503 | | | | 4,849 | | | | 69,559 | |
Reinvestment of distributions | | | 1,259 | | | | 20,718 | | | | 875 | | | | 13,109 | |
Shares redeemed | | | (26,139 | ) | | | (426,688 | ) | | | (38,494 | ) | | | (554,592 | ) |
| | | | (3,448 | ) | | | (54,467 | ) | | | (32,770 | ) | | | (471,924 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 114,316 | | | | 1,896,250 | | | | 64,633 | | | | 909,258 | |
Reinvestment of distributions | | | 35,253 | | | | 578,890 | | | | 17,938 | | | | 265,906 | |
Shares redeemed | | | (117,292 | ) | | | (1,940,176 | ) | | | (104,836 | ) | | | (1,448,110 | ) |
| | | | 32,277 | | | | 534,964 | | | | (22,265 | ) | | | (272,946 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 48,558 | | | | 797,639 | | | | 28,686 | | | | 413,366 | |
Reinvestment of distributions | | | 3,537 | | | | 58,551 | | | | 1,615 | | | | 23,957 | |
Shares redeemed | | | (297,620 | ) | | | (4,953,119 | ) | | | (169,079 | ) | | | (2,390,358 | ) |
| | | | (245,525 | ) | | | (4,096,929 | ) | | | (138,778 | ) | | | (1,953,035 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 34,402 | | | | 560,370 | | | | 50,504 | | | | 698,780 | |
Reinvestment of distributions | | | 20,504 | | | | 335,400 | | | | 10,189 | | | | 152,171 | |
Shares redeemed | | | (52,998 | ) | | | (875,316 | ) | | | (70,861 | ) | | | (969,139 | ) |
| | | | 1,908 | | | | 20,454 | | | | (10,168 | ) | | | (118,188 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,738,325 | | | | 28,537,604 | | | | 1,164,270 | | | | 16,936,910 | |
Reinvestment of distributions | | | 1,028,942 | | | | 17,029,160 | | | | 524,524 | | | | 7,826,935 | |
Shares redeemed | | | (1,613,715 | ) | | | (26,698,623 | ) | | | (1,844,068 | ) | | | (26,151,627 | ) |
| | | | 1,153,552 | | | | 18,868,141 | | | | (155,274 | ) | | | (1,387,782 | ) |
| | | | |
NET INCREASE (DECREASE) | | | 3,586,322 | | | $ | 60,362,984 | | | | (4,572,191 | ) | | $ | (57,716,869 | ) |
88
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Growth Strategy Portfolio | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,215,844 | | | $ | 23,918,249 | | | | 952,811 | | | $ | 14,899,877 | |
Reinvestment of distributions | | | 1,075,018 | | | | 21,305,550 | | | | 562,692 | | | | 9,975,598 | |
Shares redeemed | | | (2,313,832 | ) | | | (45,295,447 | ) | | | (2,659,217 | ) | | | (41,661,077 | ) |
| | | | (22,970 | ) | | | (71,648 | ) | | | (1,143,714 | ) | | | (16,785,602 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 178,476 | | | | 3,503,010 | | | | 115,961 | | | | 1,857,819 | |
Reinvestment of distributions | | | 47,782 | | | | 968,121 | | | | 27,434 | | | | 492,028 | |
Shares redeemed | | | (500,803 | ) | | | (9,817,915 | ) | | | (688,823 | ) | | | (10,860,045 | ) |
| | | | (274,545 | ) | | | (5,346,784 | ) | | | (545,428 | ) | | | (8,510,198 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,151,190 | | | | 117,824,612 | | | | 3,336,916 | | | | 56,246,806 | |
Reinvestment of distributions | | | 761,391 | | | | 15,081,997 | | | | 288,202 | | | | 5,118,577 | |
Shares redeemed | | | (3,666,804 | ) | | | (70,356,702 | ) | | | (3,273,219 | ) | | | (52,266,823 | ) |
| | | | 3,245,777 | | | | 62,549,907 | | | | 351,899 | | | | 9,098,560 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 12,046 | | | | 235,463 | | | | 15,123 | | | | 236,070 | |
Reinvestment of distributions | | | 2,007 | | | | 39,645 | | | | 882 | | | | 15,576 | |
Shares redeemed | | | (9,640 | ) | | | (189,476 | ) | | | (37,528 | ) | | | (619,839 | ) |
| | | | 4,413 | | | | 85,632 | | | | (21,523 | ) | | | (368,193 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 397,717 | | | | 7,801,529 | | | | 93,099 | | | | 1,429,337 | |
Reinvestment of distributions | | | 44,692 | | | | 871,358 | | | | 13,445 | | | | 234,991 | |
Shares redeemed | | | (123,241 | ) | | | (2,397,561 | ) | | | (160,653 | ) | | | (2,517,024 | ) |
| | | | 319,168 | | | | 6,275,326 | | | | (54,109 | ) | | | (852,696 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 78,715 | | | | 1,563,410 | | | | 256,374 | | | | 3,405,418 | |
Reinvestment of distributions | | | 18,814 | | | | 372,814 | | | | 9,131 | | | | 162,156 | |
Shares redeemed | | | (158,395 | ) | | | (3,112,316 | ) | | | (352,598 | ) | | | (5,980,284 | ) |
| | | | (60,866 | ) | | | (1,176,092 | ) | | | (87,093 | ) | | | (2,412,710 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 49,910 | | | | 956,362 | | | | 71,249 | | | | 1,119,560 | |
Reinvestment of distributions | | | 23,958 | | | | 459,935 | | | | 10,567 | | | | 181,648 | |
Shares redeemed | | | (30,109 | ) | | | (559,716 | ) | | | (122,574 | ) | | | (1,872,096 | ) |
| | | | 43,759 | | | | 856,581 | | | | (40,758 | ) | | | (570,888 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,171,043 | | | | 42,528,603 | | | | 1,225,584 | | | | 19,950,156 | |
Reinvestment of distributions | | | 873,749 | | | | 17,316,359 | | | | 394,137 | | | | 7,003,021 | |
Shares redeemed | | | (544,784 | ) | | | (10,598,265 | ) | | | (1,357,109 | ) | | | (20,758,491 | ) |
| | | | 2,500,008 | | | | 49,246,697 | | | | 262,612 | | | | 6,194,686 | |
| | | | |
NET INCREASE (DECREASE) | | | 5,754,744 | | | $ | 112,419,619 | | | | (1,278,114 | ) | | $ | (14,207,041 | ) |
89
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2021
|
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Satellite Strategies Portfolio | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 523,296 | | | $ | 4,647,666 | | | | 1,145,188 | | | $ | 8,749,162 | |
Reinvestment of distributions | | | 157,690 | | | | 1,409,842 | | | | 102,102 | | | | 753,943 | |
Shares redeemed | | | (936,839 | ) | | | (8,394,866 | ) | | | (1,394,131 | ) | | | (10,704,125 | ) |
| | | | (255,853 | ) | | | (2,337,358 | ) | | | (146,841 | ) | | | (1,201,020 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 16,649 | | | | 152,803 | | | | 18,345 | | | | 139,519 | |
Reinvestment of distributions | | | 5,866 | | | | 52,532 | | | | 12,367 | | | | 88,754 | |
Shares redeemed | | | (451,497 | ) | | | (3,988,734 | ) | | | (1,283,127 | ) | | | (9,821,116 | ) |
| | | | (428,982 | ) | | | (3,783,399 | ) | | | (1,252,415 | ) | | | (9,592,843 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 568,524 | | | | 5,060,671 | | | | 1,571,612 | | | | 12,311,549 | |
Reinvestment of distributions | | | 238,157 | | | | 2,121,044 | | | | 307,906 | | | | 2,265,956 | |
Shares redeemed | | | (5,819,509 | ) | | | (51,168,764 | ) | | | (13,388,305 | ) | | | (106,106,332 | ) |
| | | | (5,012,828 | ) | | | (43,987,049 | ) | | | (11,508,787 | ) | | | (91,528,827 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 253 | | | | 2,279 | | | | 484 | | | | 3,780 | |
Reinvestment of distributions | | | 295 | | | | 2,637 | | | | 293 | | | | 2,112 | |
Shares redeemed | | | (165 | ) | | | (1,493 | ) | | | (16,356 | ) | | | (128,273 | ) |
| | | | 383 | | | | 3,423 | | | | (15,579 | ) | | | (122,381 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 233,017 | | | | 2,094,224 | | | | 378,548 | | | | 2,930,215 | |
Reinvestment of distributions | | | 65,648 | | | | 584,732 | | | | 55,617 | | | | 410,262 | |
Shares redeemed | | | (779,692 | ) | | | (6,936,508 | ) | | | (923,864 | ) | | | (6,801,591 | ) |
| | | | (481,027 | ) | | | (4,257,552 | ) | | | (489,699 | ) | | | (3,461,114 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 25,403 | | | | 223,151 | | | | 61,994 | | | | 475,643 | |
Reinvestment of distributions | | | 3,433 | | | | 30,651 | | | | 7,453 | | | | 54,297 | |
Shares redeemed | | | (33,260 | ) | | | (295,954 | ) | | | (5,421,875 | ) | | | (45,667,982 | ) |
| | | | (4,424 | ) | | | (42,152 | ) | | | (5,352,428 | ) | | | (45,138,042 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 5,524 | | | | 49,585 | | | | 13,336 | | | | 96,817 | |
Reinvestment of distributions | | | 1,997 | | | | 17,802 | | | | 1,423 | | | | 10,468 | |
Shares redeemed | | | (30,318 | ) | | | (268,324 | ) | | | (65,276 | ) | | | (527,686 | ) |
| | | | (22,797 | ) | | | (200,937 | ) | | | (50,517 | ) | | | (420,401 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 19,473 | | | | 166,886 | | | | 41,176 | | | | 315,000 | |
Reinvestment of distributions | | | 13,058 | | | | 116,632 | | | | 10,376 | | | | 77,222 | |
Shares redeemed | | | (122,297 | ) | | | (1,066,225 | ) | | | (54,624 | ) | | | (448,609 | ) |
| | | | (89,766 | ) | | | (782,707 | ) | | | (3,072 | ) | | | (56,387 | ) |
| | | | |
NET DECREASE | | | (6,295,294 | ) | | $ | (55,387,731 | ) | | | (18,819,338 | ) | | $ | (151,521,015 | ) |
90
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio, and Goldman Sachs Satellite Strategies Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio, and Goldman Sachs Satellite Strategies Portfolio (four of the Portfolios constituting Goldman Sachs Trust, referred to hereafter as the “Portfolios”) as of December 31, 2021, the related statements of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2021, the results of each of their operations for the year then ended, the changes in their net assets for each of the two years in the period ended December 31, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
91
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Portfolio Expenses — Six Month Period Ended December 31, 2021 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6, Class R or Class P Shares of a Portfolio, 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/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Portfolio expenses.
The Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class R6, Class R or Class P Shares of the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolios’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ 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 Portfolios 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 and do not include expenses of Underlying Funds in which the Portfolios invest. 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balanced Strategy Portfolio | | | Growth and Income Strategy Portfolio | | | Growth Strategy Portfolio | | | Satellite Strategies Portfolio | |
| Share Class | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,020.30 | | | $ | 2.85 | | | $ | 1,000.00 | | | $ | 1,033.70 | | | $ | 2.87 | | | $ | 1,000.00 | | | $ | 1,043.50 | | | $ | 2.88 | | | $ | 1,000.00 | | | $ | 1,000.80 | | | $ | 2.77 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.38 | + | | | 2.85 | | | | 1,000.00 | | | | 1,022.38 | + | | | 2.85 | | | | 1,000.00 | | | | 1,022.38 | + | | | 2.85 | | | | 1,000.00 | | | | 1,022.38 | + | | | 2.80 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,016.50 | | | | 6.66 | | | | 1,000.00 | | | | 1,029.60 | | | | 6.70 | | | | 1,000.00 | | | | 1,039.50 | | | | 6.73 | | | | 1,000.00 | | | | 996.60 | | | | 6.54 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.60 | + | | | 6.67 | | | | 1,000.00 | | | | 1,018.60 | + | | | 6.67 | | | | 1,000.00 | | | | 1,018.60 | + | | | 6.67 | | | | 1,000.00 | | | | 1,018.65 | + | | | 6.61 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,021.60 | | | | 0.97 | | | | 1,000.00 | | | | 1,035.00 | | | | 0.97 | | | | 1,000.00 | | | | 1,045.10 | | | | 0.98 | | | | 1,000.00 | | | | 1,002.80 | | | | 0.91 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.25 | + | | | 0.97 | | | | 1,000.00 | | | | 1,024.25 | + | | | 0.97 | | | | 1,000.00 | | | | 1,024.25 | + | | | 0.97 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,019.40 | | | | 3.51 | | | | 1,000.00 | | | | 1,032.60 | | | | 3.54 | | | | 1,000.00 | | | | 1,043.00 | | | | 3.55 | | | | 1,000.00 | | | | 1,000.20 | | | | 3.38 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.73 | + | | | 3.52 | | | | 1,000.00 | | | | 1,021.73 | + | | | 3.52 | | | | 1,000.00 | | | | 1,021.73 | + | | | 3.52 | | | | 1,000.00 | | | | 1,021.73 | + | | | 3.41 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,021.00 | | | | 1.58 | | | | 1,000.00 | | | | 1,034.70 | | | | 1.59 | | | | 1,000.00 | | | | 1,044.60 | | | | 1.60 | | | | 1,000.00 | | | | 1,002.20 | | | | 1.51 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,023.64 | + | | | 1.58 | | | | 1,000.00 | | | | 1,023.64 | + | | | 1.58 | | | | 1,000.00 | | | | 1,023.64 | + | | | 1.58 | | | | 1,000.00 | | | | 1,023.69 | + | | | 1.53 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,022.10 | | | | 0.92 | | | | 1,000.00 | | | | 1,035.40 | | | | 0.97 | | | | 1,000.00 | | | | 1,045.60 | | | | 0.93 | | | | 1,000.00 | | | | 1,001.80 | | | | 0.86 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | | | | 1,000.00 | | | | 1,024.25 | + | | | 0.97 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | | | | 1,000.00 | | | | 1,024.35 | + | | | 0.87 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,019.20 | | | | 4.12 | | | | 1,000.00 | | | | 1,032.10 | | | | 4.15 | | | | 1,000.00 | | | | 1,042.40 | | | | 4.17 | | | | 1,000.00 | | | | 999.50 | | | | 4.03 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.12 | + | | | 4.13 | | | | 1,000.00 | | | | 1,021.12 | + | | | 4.13 | | | | 1,000.00 | | | | 1,021.12 | + | | | 4.13 | | | | 1,000.00 | | | | 1,021.12 | + | | | 4.08 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,022.40 | | | | 0.92 | | | | 1,000.00 | | | | 1,035.10 | | | | 0.92 | | | | 1,000.00 | | | | 1,045.70 | | | | 0.93 | | | | 1,000.00 | | | | 1,001.80 | | | | 0.86 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.87 | |
| * | | Expenses for each share class are calculated using each Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| + | | Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolios | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Balanced Strategy | | | 0.56 | % | | | 1.31 | % | | | 0.19 | % | | | 0.69 | % | | | 0.31 | % | | | 0.18 | % | | | 0.81 | % | | | 0.18 | % |
Growth and Income Strategy | | | 0.56 | | | | 1.31 | | | | 0.19 | | | | 0.69 | | | | 0.31 | | | | 0.19 | | | | 0.81 | | | | 0.18 | |
Growth Strategy | | | 0.56 | | | | 1.31 | | | | 0.19 | | | | 0.69 | | | | 0.31 | | | | 0.18 | | | | 0.81 | | | | 0.18 | |
Satellite Strategies | | | 0.55 | | | | 1.30 | | | | 0.18 | | | | 0.67 | | | | 0.30 | | | | 0.17 | | | | 0.80 | | | | 0.17 | |
92
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Trustees and Officers (Unaudited) Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007- 2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); Director of MoneyLion Inc. (an operator of a data-driven, digital financial platform) (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014- 2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019- January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021–September 2021); and Managing Director (2013–2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | | | | | | |
93
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Trustees and Officers (Unaudited) (continued) Independent Trustees (continued)
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
Interested Trustee*
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
| James A. McNamara Age: 59 | | President and Trustee | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018- Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 39 portfolios (26 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs ETF Trust II and Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
94
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Trustees and Officers (Unaudited) (continued) Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II, Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II, Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | | | | |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
95
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Goldman Sachs Fund of Funds Portfolios — Tax Information (unaudited)
For the year ended December 31, 2021, 11.85%, 16.71%, 19.43% and 12.13% of the dividends paid from net investment company taxable income by the Balanced Strategy, Growth and Income Strategy, Growth Strategy and Satellite Strategies Portfolios, respectively, qualify for the dividends received deduction available to corporations.
For the 2021 tax year, each Portfolio has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios from sources within foreign countries and possessions of the United States was $0.0611, $0.1189, $0.1942, and $0.0679 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios during the year from foreign sources was 13.54%, 18.16%, 22.36%, and 19.75%, respectively. The total amount of taxes paid by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios to such countries was $0.0082, $0.0159, $0.0271, and $0.0101 per share, respectively.
For the year ended December 31, 2021, 17.95%, 25.19%, 30.74%, and 39.83% of the dividends paid from net investment company taxable income by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, Balanced Strategy, Growth and Income Strategy, and Growth Strategy designate $14,690,462, $25,365,016, and $18,657,559 respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2021.
During the year ended December 31, 2021, Balanced Strategy, Growth and Income Strategy, and Growth Strategy designate $4,066,148, $5,185,216, and $5,462,524 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
96
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 $2.21 trillion in assets under supervision as of December 31, 2021, 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
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund4 |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Alternative Premia Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Global Infrastructure Fund |
| ∎ | | Clean Energy Income 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. |
| * | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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 portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, 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 Portfolios. 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.
Diversification does not protect an investor from market risk and does not ensure a profit.
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change. They should not be construed as investment advice.
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended December 31 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.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Portfolios 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).
Holdings and allocations shown are as of December 31, 2021 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Portfolio 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. 268341-OTU-1564471FFAR-22
Goldman Sachs Funds
| | | | |
| | |
| Annual Report | | | | December 31, 2021 |
| | |
| | | | Alternative Funds I |
| | | | Managed Futures Strategy |
Goldman Sachs Alternative Funds I
| ∎ | | MANAGED FUTURES STRATEGY |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Managed Futures Strategy Fund
Investment Objective
The Fund seeks to generate long-term absolute return.
Portfolio Management Discussion and Analysis
In July 2021, the Board of Trustees of Goldman Sachs Trust approved a change to the Fund’s benchmark index from the ICE Bank of America Merrill Lynch U.S. Dollar One-Month LIBOR Constant Maturity Index to the ICE Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index. This change became effective July 29, 2021. Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Managed Futures Strategy Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 4.64%, 3.71%, 4.99%, 4.83%, 5.00%, 4.33% and 4.98%, respectively. These returns compare to the 0.05% average annual total return of the Fund’s benchmark, the ICE® BofAML® Three-Month U.S. Treasury Bill Index (“the Index”), during the same time period. The Fund’s former benchmark, the ICE® BofAML® U.S. Dollar One-Month LIBOR Constant Maturity Index returned 0.10% during the Reporting Period. |
| | | We note that the Fund’s benchmark being the Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant. |
| Q | | What were the primary contributors to and detractors from the Fund’s performance during the Reporting Period? |
| A | | The Fund implements a trend-following strategy that takes long and/or short positions in a wide range of asset classes, including equities, fixed income and currencies, among others, to seek long-term absolute return. The Fund seeks to achieve its investment objective by investing primarily in a portfolio of equities, equity index futures, bonds, bond futures, equity swaps, interest rate swaps, currency forwards and non-deliverable forwards, options, exchange-traded funds (“ETFs”) and structured securities. As a result of the Fund’s use of derivatives, the Fund may also hold significant amounts of U.S. Treasuries or short-term investments. The Fund’s investments are made without restriction as to issuer capitalization, country, currency, maturity or credit rating. |
| | | During the Reporting Period, the Fund generated solid positive performance. Exposures to developed markets equities and commodities contributed the most to the Fund’s performance. Conversely, exposures to developed markets currencies and developed markets fixed income securities detracted the most. |
| | | More specifically, positioning in developed markets equities was the largest positive contributor to returns during the Reporting Period, with 16 of the 18 regions in which the Fund invests adding value. U.S. equities were the best contributor by geography. The Fund ended the Reporting Period with net long positions in developed markets equities. In terms of commodities, positioning in coffee was the largest contributor. The Fund was long coffee and net long commodities at the end of the Reporting Period. |
| | | Conversely, the New Zealand dollar detracted the most during the Reporting Period. The Fund was short the New Zealand dollar and short developed markets currencies overall at the end of the Reporting Period. Within developed markets fixed income, European bonds were the biggest detractor during the Reporting Period. The Fund was short European bonds and short developed markets fixed income overall at the end of the Reporting Period. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund used derivatives, including futures, swaps and forwards, to implement long and short positions. The Fund invested in equity index futures, forward foreign currency |
1
PORTFOLIO RESULTS
| | exchange contracts and currency forwards to achieve exposure to equities (both in U.S. and non-U.S. companies) and currencies (U.S. and non-U.S. currencies), respectively. The Fund used interest rate swaps, Treasury futures and currency forwards to achieve exposure to fixed income. We used commodity futures as a means of expressing momentum/trend views on various commodity assets. The use of futures had a positive impact on Fund performance, while the use of the other instruments had a neutral to negative impact during the Reporting Period. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized positive absolute returns during the Reporting Period. |
| Q | | What positioning changes did you make within the Fund during the Reporting Period? |
| A | | Relative to the Fund’s positioning at the start of the Reporting Period, the Fund increased its long positioning in developed markets equities and decreased its long positioning in emerging markets equities. The Fund’s positioning in developed markets fixed income and emerging markets fixed income both shifted from long to short. Among currencies, the Fund’s positioning in developed markets currencies and emerging markets currencies both shifted from long to short. We decreased the Fund’s long positions in commodities during the Reporting Period. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was positioned long developed markets equities, emerging markets equities and commodities. The Fund was positioned short developed markets fixed income, emerging markets fixed income, developed markets currencies and emerging markets currencies at the end of the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | | Going into 2022, we intend to continue to seek to identify price trends in various asset classes over short-, medium- and long-term horizons via a proprietary investment model. Upon identifying a trend in a given instrument or asset, the Fund will take a long or short position in the instrument or asset. Long positions benefit from an increase in price of the underlying instrument or asset, while short positions benefit from a decrease in price of the underlying instrument or asset. The size of the Fund’s position in an instrument or asset is primarily related to the strength of the overall trend identified by the investment model. |
| | | Going forward, the Fund seeks to maintain economic exposure to commodities markets by investing in a wholly-owned subsidiary of the Fund organized as a company under the laws of the Cayman Islands (the “Subsidiary”) and in commodity index-linked notes. The Subsidiary primarily obtains its commodity exposure investing in futures and swaps instruments. The Subsidiary may also hold bonds or other instruments, including fixed income securities, either as investments or to serve as margin or collateral for its swap positions. |
| | | We continue to believe that the Fund’s trend-following strategy is important because it attempts to adapt to changing markets, seeking what we believe are the best opportunities for investment and attempting to manage risk when the markets become unstable. There is no guarantee that the Fund’s trend-following strategy will cause it to achieve its investment objective. |
2
FUND BASICS
Managed Futures Strategy Fund
as of December 31, 2021
| 1 | | The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. 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
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on February 29, 2012 (commencement of operations) in Investor Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofA 3 Month U.S. Treasury Bill Index (“3 Month T-Bill Index”), and the Fund’s former benchmark, the ICE BofAML USD LIBOR One-Month Constant Maturity Index (the “LIBOR One-Month Index”), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Managed Futures Strategy Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from February 29, 2012 through December 31, 2021.
| | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Since Inception |
Class A (Commenced February 29, 2012) | | | | | | | | | | |
Excluding sales charges | | | 4.64% | | | | 2.65% | | | 1.95% |
Including sales charges | | | -1.12% | | | | 1.49% | | | 1.37% |
| | | | | | | | | | |
Class C (Commenced February 29, 2012) | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 3.71% | | | | 1.85% | | | 1.17% |
Including contingent deferred sales charges | | | 2.63% | | | | 1.85% | | | 1.17% |
| | | | | �� | | | | | |
Institutional (Commenced February 29, 2012) | | | 4.99% | | | | 3.03% | | | 2.34% |
| | | | | | | | | | |
Investor (Commenced February 29, 2012) | | | 4.83% | | | | 2.89% | | | 2.20% |
| | | | | | | | | | |
Class R6 (Commenced April 30, 2018) | | | 5.00% | | | | N/A | | | 3.84% |
| | | | | | | | | | |
Class R (Commenced February 29, 2012) | | | 4.33% | | | | 2.40% | | | 1.69% |
| | | | | | | | | | |
Class P (Commenced April 17, 2018) | | | 4.98% | | | | N/A | | | 3.21% |
| | | | | | | | | | |
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
4
FUND BASICS
Index Definitions
The ICE BofAML USD LIBOR One-Month Constant Maturity Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
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.
5
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company – 67.5%(a) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 186,867,060 | | | 0.026% | | $ | 186,867,060 | |
| | (Cost $186,867,060) | |
| | |
| | TOTAL INVESTMENTS – 67.5% | |
| | (Cost $186,867,060) | | $ | 186,867,060 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 32.5% | | | 89,808,815 | |
| | |
| | NET ASSETS – 100.0% | | $ | 276,675,875 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
(a) | | Represents an affiliated issuer. |
| | |
|
Investment Abbreviations: |
BA | | —Banker Acceptance Rate |
BBR | | —Bank Bill Reference Rate |
BUBOR | | —Budapest Interbank Offered Rate |
EURIBOR | | —Euro Interbank Offered Rate |
JIBAR | | —Johannesburg Interbank Agreed Rate |
LIBOR | | —London Interbank Offered Rate |
PRIBOR | | —Prague Interbank Offered Rate |
STIBOR | | —Stockholm Interbank Offered Rate |
TIIE | | —Interbank Equilibrium Interest Rate |
WIBOR | | —Warsaw Interbank Offered Rate |
|
| | |
|
Currency Abbreviations: |
AUD | | — Australian Dollar |
BRL | | — Brazilian Real |
CAD | | — Canadian Dollar |
CHF | | — Swiss Franc |
CLP | | — Chilean Peso |
COP | | — Colombian Peso |
CZK | | — Czech Koruna |
EUR | | — Euro |
GBP | | — British Pound |
HUF | | — Hungarian Foriant |
IDR | | — Indonesian Rupiah |
IDR | | — Indian Rupee |
JPY | | — Japanese Yen |
KRW | | — South Korean Won |
MXN | | — Mexican Peso |
NOK | | — Norwegian Krone |
NZD | | — New Zealand Dollar |
PLN | | — Polish Zloty |
RUB | | — Russian Ruble |
SEK | | — Sweedish Krona |
USD | | — United States Dollar |
ZAR | | — South African Rand |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
Amsterdam Exchange Index | | | 23 | | | | 01/21/22 | | | $ | 4,103,129 | | | $ | 45,978 | |
Brent Crude Oil | | | 14 | | | | 01/31/22 | | | | 1,041,208 | | | | 49,952 | |
CAC 40 10 Euro Index | | | 63 | | | | 01/21/22 | | | | 4,978,491 | | | | 100,036 | |
Coffee “C” | | | 25 | | | | 03/21/22 | | | | 1,927,579 | | | | 188,827 | |
Corn | | | 68 | | | | 03/14/22 | | | | 1,929,664 | | | | 85,686 | |
Cotton No. 2 | | | 52 | | | | 03/09/22 | | | | 2,927,569 | | | | 31 | |
E-Mini Dow | | | 31 | | | | 03/18/22 | | | | 5,523,637 | | | | 91,393 | |
EURO STOXX 50 Index | | | 119 | | | | 03/18/22 | | | | 5,610,340 | | | | 146,605 | |
Feeder Cattle | | | 19 | | | | 03/31/22 | | | | 1,589,935 | | | | 25,065 | |
FTSE 100 Index | | | 72 | | | | 03/18/22 | | | | 6,821,813 | | | | 146,656 | |
FTSE China A50 Index | | | 66 | | | | 01/27/22 | | | | 1,056,304 | | | | (20,170 | ) |
FTSE Taiwan Index Equity Index | | | 87 | | | | 01/25/22 | | | | 5,480,535 | | | | 99,645 | |
FTSE/JSE Top 40 Index | | | 216 | | | | 03/17/22 | | | | 8,900,825 | | | | 136,228 | |
FTSE/MIB Index | | | 76 | | | | 03/18/22 | | | | 11,409,627 | | | | 274,719 | |
German Stock Index | | | 3 | | | | 03/18/22 | | | | 1,338,024 | | | | 9,833 | |
Hard Red Winter Wheat | | | 37 | | | | 03/14/22 | | | | 1,463,384 | | | | 17,541 | |
HSCEI | | | 6 | | | | 01/28/22 | | | | 892,140 | | | | 10,028 | |
IBEX 35 Index | | | 32 | | | | 01/21/22 | | | | 3,058,316 | | | | 82,899 | |
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: (continued) | | | | | | | | | | | | | | | | |
Lean Hogs | | | 4 | | | | 02/14/22 | | | $ | 127,467 | | | $ | 2,613 | |
Live Cattle | | | 33 | | | | 02/28/22 | | | | 1,836,774 | | | | 6,606 | |
LME Aluminum Base Metal | | | 15 | | | | 02/16/22 | | | | 982,171 | | | | 69,704 | |
LME Copper Base Metal | | | 14 | | | | 02/14/22 | | | | 3,363,368 | | | | 45,457 | |
LME Copper Base Metal | | | 14 | | | | 01/17/22 | | | | 3,304,668 | | | | 106,957 | |
LME Lead Base Metal | | | 67 | | | | 01/17/22 | | | | 3,969,494 | | | | (70,513 | ) |
LME Lead Base Metal | | | 43 | | | | 02/14/22 | | | | 2,388,782 | | | | 104,680 | |
LME Nickel Base Metal | | | 26 | | | | 02/14/22 | | | | 3,127,298 | | | | 122,728 | |
LME Nickel Base Metal | | | 26 | | | | 01/17/22 | | | | 3,013,112 | | | | 243,154 | |
LME Primary Aluminium | | | 44 | | | | 01/17/22 | | | | 2,789,186 | | | | 294,114 | |
LME Zinc Base Metal | | | 42 | | | | 02/16/22 | | | | 3,382,179 | | | | 358,446 | |
LME Zinc Base Metal | | | 42 | | | | 01/19/22 | | | | 3,356,417 | | | | 402,583 | |
Low Sulphur Gasoil | | | 17 | | | | 02/10/22 | | | | 1,088,884 | | | | 43,316 | |
Mini VSTOXX®Index | | | 1,077 | | | | 01/19/22 | | | | 2,947,662 | | | | (449,103 | ) |
NASDAQ 100 E-Mini Index | | | 13 | | | | 03/18/22 | | | | 4,262,555 | | | | (19,160 | ) |
Natural Gas | | | 16 | | | | 01/27/22 | | | | 586,609 | | | | 15,951 | |
Nikkei 225 Index | | | 11 | | | | 03/10/22 | | | | 2,707,503 | | | | 93,010 | |
NY Harbor USLD | | | 13 | | | | 01/31/22 | | | | 1,205,986 | | | | 65,266 | |
OMXS30 Index | | | 387 | | | | 01/21/22 | | | | 9,879,894 | | | | 377,134 | |
RBOB Gasoline | | | 14 | | | | 01/31/22 | | | | 1,223,091 | | | | 83,386 | |
S&P 500 E-Mini Index | | | 217 | | | | 03/18/22 | | | | 50,312,219 | | | | 1,317,506 | |
S&P/TSX 60 Index | | | 43 | | | | 03/17/22 | | | | 8,446,286 | | | | 145,872 | |
SET50 Index | | | 610 | | | | 03/30/22 | | | | 3,528,793 | | | | 59,445 | |
SPI 200 Index | | | 116 | | | | 03/17/22 | | | | 15,065,249 | | | | 186,808 | |
Sugar No. 11 | | | 105 | | | | 02/28/22 | | | | 2,329,670 | | | | (109,382 | ) |
TurkDEX ISE 30 | | | 4,422 | | | | 02/28/22 | | | | 8,445,196 | | | | (413,426 | ) |
Wheat | | | 40 | | | | 03/14/22 | | | | 1,575,414 | | | | (34,914 | ) |
WTI Crude Oil | | | 14 | | | | 01/20/22 | | | | 997,819 | | | | 58,201 | |
| | | | |
| Total | | | | | | | | | | | | | | $ | 4,597,391 | |
Short position contracts: | | | | | | | | | | | | | | | | |
100 oz Gold | | | (13 | ) | | | 02/24/22 | | | | (2,309,690 | ) | | | (69,700 | ) |
CBOE Volatality Index | | | (90 | ) | | | 01/19/22 | | | | (2,128,749 | ) | | | 358,045 | |
CME E-mini Russell 2000 Index | | | (82 | ) | | | 03/18/22 | | | | (9,294,138 | ) | | | 98,658 | |
Hang Seng Index | | | (107 | ) | | | 01/28/22 | | | | (5,647,634 | ) | | | (23,981 | ) |
KOSPI 200 Index | | | (33 | ) | | | 03/10/22 | | | | (2,691,835 | ) | | | (62,822 | ) |
LME Copper Base Metal | | | (14 | ) | | | 01/17/22 | | | | (3,369,757 | ) | | | (41,868 | ) |
LME Lead Base Metal | | | (6 | ) | | | 02/14/22 | | | | (346,631 | ) | | | (1,294 | ) |
LME Lead Base Metal | | | (67 | ) | | | 01/17/22 | | | | (3,764,181 | ) | | | (134,800 | ) |
LME Nickel Base Metal | | | (26 | ) | | | 01/17/22 | | | | (3,140,872 | ) | | | (115,394 | ) |
LME Primary Aluminium | | | (44 | ) | | | 01/17/22 | | | | (2,864,989 | ) | | | (218,311 | ) |
LME Zinc Base Metal | | | (42 | ) | | | 01/19/22 | | | | (3,388,221 | ) | | | (370,779 | ) |
LME Zinc Base Metal | | | (5 | ) | | | 02/16/22 | | | | (416,235 | ) | | | (29,078 | ) |
MSCI EAFE E-Mini Index | | | (184 | ) | | | 03/18/22 | | | | (11,290,963 | ) | | | 9,003 | |
SGX MB Iron Ore CFR China (65% Fe Fines) Index | | | (81 | ) | | | 03/18/22 | | | | (9,200,084 | ) | | | (203,206 | ) |
Silver | | | (22 | ) | | | 03/29/22 | | | | (2,478,417 | ) | | | (86,783 | ) |
Soybean | | | (15 | ) | | | 03/14/22 | | | | (949,828 | ) | | | (54,985 | ) |
TOPIX Index | | | (18 | ) | | | 03/10/22 | | | | (3,120,007 | ) | | | (32,203 | ) |
| | | | |
| Total | | | | | | | | | | | | | | $ | (979,498 | ) |
| | | | |
| Total Futures Contracts | | | | | | | | | | | | | | $ | 3,617,893 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
Morgan Stanley and Co. | | NOK | | | 107,900,000 | | | USD | | | 11,932,063 | | | | 3/16/2022 | | | $ | 303,591 | |
| | CZK | | | 4,865,000 | | | USD | | | 215,607 | | | | 3/16/2022 | | | | 5,502 | |
| | INR | | | 1,186,000,000 | | | USD | | | 15,661,935 | | | | 3/16/2022 | | | | 117,829 | |
| | NOK | | | 23,400,000 | | | USD | | | 2,584,195 | | | | 3/16/2022 | | | | 69,320 | |
| | SEK | | | 63,300,000 | | | USD | | | 6,969,943 | | | | 3/16/2022 | | | | 39,426 | |
| | USD | | | 7,973,704 | | | COP | | | 32,142,000,000 | | | | 3/16/2022 | | | | 132,759 | |
| | USD | | | 933,500 | | | COP | | | 3,740,000,000 | | | | 3/16/2022 | | | | 21,138 | |
| | USD | | | 11,910,912 | | | HUF | | | 3,841,648,000 | | | | 3/16/2022 | | | | 158,255 | |
| | GBP | | | 9,118,000 | | | USD | | | 12,063,998 | | | | 3/16/2022 | | | | 273,696 | |
| | USD | | | 16,898,285 | | | KRW | | | 20,100,000,000 | | | | 3/16/2022 | | | | 24,677 | |
| | PLN | | | 6,060,000 | | | USD | | | 1,473,218 | | | | 3/16/2022 | | | | 22,596 | |
| | CHF | | | 17,000 | | | USD | | | 18,562 | | | | 3/16/2022 | | | | 130 | |
| | BRL | | | 34,340,000 | | | USD | | | 6,086,699 | | | | 1/4/2022 | | | | 75,475 | |
| | CAD | | | 49,000 | | | USD | | | 38,291 | | | | 3/16/2022 | | | | 439 | |
| | CHF | | | 3,816,000 | | | USD | | | 4,150,891 | | | | 3/16/2022 | | | | 44,963 | |
| | EUR | | | 773,000 | | | USD | | | 875,043 | | | | 3/16/2022 | | | | 6,341 | |
| | GBP | | | 756,000 | | | USD | | | 1,002,421 | | | | 3/16/2022 | | | | 20,533 | |
| | PLN | | | 787,000 | | | USD | | | 191,650 | | | | 3/16/2022 | | | | 2,608 | |
| | SEK | | | 27,345,000 | | | USD | | | 2,996,802 | | | | 3/16/2022 | | | | 31,179 | |
| | EUR | | | 9,272,000 | | | USD | | | 10,526,631 | | | | 3/16/2022 | | | | 45,410 | |
| | GBP | | | 22,000 | | | USD | | | 29,139 | | | | 3/16/2022 | | | | 629 | |
| | IDR | | | 232,020,000,000 | | | USD | | | 16,003,587 | | | | 3/16/2022 | | | | 181,200 | |
| | ZAR | | | 3,535,000 | | | USD | | | 217,443 | | | | 3/16/2022 | | | | 2,115 | |
| | AUD | | | 555,000 | | | USD | | | 398,913 | | | | 3/16/2022 | | | | 4,953 | |
| | CZK | | | 4,263,000 | | | USD | | | 188,541 | | | | 3/16/2022 | | | | 5,208 | |
| | EUR | | | 1,305,000 | | | USD | | | 1,482,172 | | | | 3/16/2022 | | | | 5,804 | |
| | GBP | | | 665,000 | | | USD | | | 887,230 | | | | 3/16/2022 | | | | 12,591 | |
| | USD | | | 7,328,913 | | | CLP | | | 6,190,000,000 | | | | 3/16/2022 | | | | 144,514 | |
| | USD | | | 20,501,304 | | | JPY | | | 2,314,949,000 | | | | 3/16/2022 | | | | 364,134 | |
| | EUR | | | 1,682,000 | | | USD | | | 1,912,587 | | | | 3/16/2022 | | | | 5,249 | |
| | CAD | | | 142,000 | | | USD | | | 111,157 | | | | 3/16/2022 | | | | 1,083 | |
| | EUR | | | 428,000 | | | USD | | | 487,015 | | | | 3/16/2022 | | | | 995 | |
| | GBP | | | 2,554,000 | | | USD | | | 3,410,147 | | | | 3/16/2022 | | | | 45,707 | |
| | MXN | | | 5,088,000 | | | USD | | | 237,126 | | | | 3/16/2022 | | | | 8,187 | |
| | SEK | | | 5,300,000 | | | SEK | | | 585,710 | | | | 3/16/2022 | | | | 1,172 | |
| | USD | | | 17,695,178 | | | SEK | | | 159,364,600 | | | | 3/16/2022 | | | | 48,334 | |
| | AUD | | | 13,340,000 | | | USD | | | 9,559,257 | | | | 3/16/2022 | | | | 148,079 | |
| | EUR | | | 1,076,000 | | | USD | | | 1,218,597 | | | | 3/16/2022 | | | | 8,271 | |
| | USD | | | 4,907,595 | | | RUB | | | 371,000,000 | | | | 3/16/2022 | | | | 26,327 | |
| | | USD | | | 6,070,491 | | | ZAR | | | 97,042,000 | | | | 3/16/2022 | | | | 43,234 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 2,453,653 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley and Co. | | USD | | | 3,423,629 | | | EUR | | | 3,020,000 | | | | 3/16/2022 | | | $ | (19,810 | ) |
| | USD | | | 4,437,105 | | | GBP | | | 3,350,000 | | | | 3/16/2022 | | | | (95,827 | ) |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley and Co. (continued) | | JPY | | | 1,188,000,000 | | | USD | | | 10,525,486 | | | | 3/16/2022 | | | $ | (191,367 | ) |
| | USD | | | 2,455,959 | | | NZD | | | 3,640,000 | | | | 3/16/2022 | | | | (34,151 | ) |
| | CAD | | | 2,448,000 | | | USD | | | 1,935,860 | | | | 3/16/2022 | | | | (902 | ) |
| | USD | | | 1,038,934 | | | MXN | | | 22,500,000 | | | | 3/16/2022 | | | | (45,882 | ) |
| | USD | | | 13,859,674 | | | PLN | | | 56,816,000 | | | | 3/16/2022 | | | | (164,440 | ) |
| | USD | | | 4,192,894 | | | GBP | | | 3,169,000 | | | | 3/16/2022 | | | | (95,124 | ) |
| | RUB | | | 925,500,000 | | | USD | | | 12,178,032 | | | | 3/16/2022 | | | | (1,176 | ) |
| | COP | | | 3,652,000,000 | | | USD | | | 914,811 | | | | 3/16/2022 | | | | (23,917 | ) |
| | USD | | | 13,198,393 | | | CZK | | | 298,148,000 | | | | 3/16/2022 | | | | (352,117 | ) |
| | USD | | | 5,052,143 | | | CHF | | | 4,627,000 | | | | 3/16/2022 | | | | (35,440 | ) |
| | USD | | | 6,749,215 | | | INR | | | 517,000,000 | | | | 3/16/2022 | | | | (129,484 | ) |
| | USD | | | 6,045,232 | | | BRL | | | 34,340,000 | | | | 1/4/2022 | | | | (116,943 | ) |
| | USD | | | 6,044,700 | | | BRL | | | 34,340,000 | | | | 2/2/2022 | | | | (74,147 | ) |
| | USD | | | 3,819,249 | | | CHF | | | 3,511,000 | | | | 3/16/2022 | | | | (41,245 | ) |
| | USD | | | 1,568,964 | | | EUR | | | 1,386,000 | | | | 3/16/2022 | | | | (11,369 | ) |
| | USD | | | 164,418 | | | GBP | | | 124,000 | | | | 3/16/2022 | | | | (3,368 | ) |
| | SEK | | | 1,127,000 | | | USD | | | 125,112 | | | | 3/16/2022 | | | | (316 | ) |
| | USD | | | 326,745 | | | CHF | | | 300,000 | | | | 3/16/2022 | | | | (3,118 | ) |
| | USD | | | 12,517,972 | | | EUR | | | 11,026,000 | | | | 3/16/2022 | | | | (54,000 | ) |
| | USD | | | 133,775 | | | GBP | | | 101,000 | | | | 3/16/2022 | | | | (2,890 | ) |
| | USD | | | 5,949,806 | | | AUD | | | 8,340,000 | | | | 3/16/2022 | | | | (119,098 | ) |
| | USD | | | 6,069,898 | | | GBP | | | 4,591,000 | | | | 3/16/2022 | | | | (142,248 | ) |
| | HUF | | | 204,570,000 | | | USD | | | 633,629 | | | | 3/16/2022 | | | | (7,794 | ) |
| | JPY | | | 1,004,276,000 | | | USD | | | 8,853,972 | | | | 3/16/2022 | | | | (118,023 | ) |
| | USD | | | 8,710,328 | | | NZD | | | 12,920,000 | | | | 3/16/2022 | | | | (128,193 | ) |
| | USD | | | 8,998,791 | | | CAD | | | 11,457,000 | | | | 3/16/2022 | | | | (57,097 | ) |
| | USD | | | 3,298,503 | | | MXN | | | 71,074,000 | | | | 3/16/2022 | | | | (128,262 | ) |
| | USD | | | 1,178,502 | | | ZAR | | | 19,180,000 | | | | 3/16/2022 | | | | (12,764 | ) |
| | USD | | | 52,613,191 | | | EUR | | | 46,270,000 | | | | 3/16/2022 | | | | (144,397 | ) |
| | USD | | | 7,661,096 | | | CAD | | | 9,820,000 | | | | 3/16/2022 | | | | (100,869 | ) |
| | USD | | | 867,069 | | | EUR | | | 762,000 | | | | 3/16/2022 | | | | (1,772 | ) |
| | USD | | | 9,723,391 | | | GBP | | | 7,282,250 | | | | 3/16/2022 | | | | (130,324 | ) |
| | USD | | | 5,122,742 | | | NOK | | | 47,100,000 | | | | 3/16/2022 | | | | (218,307 | ) |
| | NZD | | | 3,400,000 | | | USD | | | 2,327,096 | | | | 3/16/2022 | | | | (1,169 | ) |
| | USD | | | 1,314,458 | | | SEK | | | 11,962,000 | | | | 3/16/2022 | | | | (10,124 | ) |
| | USD | | | 986,022 | | | AUD | | | 1,376,000 | | | | 3/16/2022 | | | | (15,274 | ) |
| | USD | | | 952,130 | | | CZK | | | 21,600,000 | | | | 3/16/2022 | | | | (29,567 | ) |
| | USD | | | 161,951 | | | EUR | | | 143,000 | | | | 3/16/2022 | | | | (1,099 | ) |
| | | USD | | | 956,862 | | | PLN | | | 3,960,000 | | | | 3/16/2022 | | | | (20,600 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (2,884,014 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS—At December 31, 2021, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Payments Made by the Fund | | Payments
Received
by the Fund | | | Termination
Date | | Notional
Amounts (000’s)(a) | | | Value | | | Upfront
Premium
(Received) Paid | | | Unrealized
Appreciation/
(Depreciation) | |
3 Month BBR(b) | | | 0.750% | | | 03/16/2023 | | | AUD | | | | 234,480 | | | $ | (278,003 | ) | | $ | (396,853 | ) | | $ | 118,850 | |
3 Month BA(c) | | | 1.500 | | | 03/16/2023 | | | CAD | | | | 227,050 | | | | (280,153 | ) | | | (101,153 | ) | | | (179,000 | ) |
0.000%(d) | | | 1 Day SOFR | | | 03/16/2023 | | | CHF | | | | 510,870 | | | | 3,626,101 | | | | 3,935,674 | | | | (309,573 | ) |
1.000(d) | | | 1 Day SOFR | | | 03/16/2023 | | | EUR | | | | 1,311,880 | | | | 7,952,399 | | | | 7,852,702 | | | | 99,697 | |
1 Day SOFR(d) | | | 0.750 | | | 03/16/2023 | | | GBP | | | | 240,100 | | | | 610,489 | | | | 90,800 | | | | 519,689 | |
0.25(d) | | | 3 Month STIBOR | | | 03/16/2023 | | | SEK | | | | 7,454,350 | | | | 761,999 | | | | 1,090,192 | | | | (328,193 | ) |
1 Day SOFR(d) | | | 0.500 | | | 03/16/2023 | | | USD | | | | 1,038,080 | | | | 501,600 | | | | (366,517 | ) | | | 868,117 | |
1 Day SOFR(d) | | | 1 Day SOFR | | | 03/16/2024 | | | EUR | | | | 10,520 | | | | 91,891 | | | | 99,981 | | | | (8,090 | ) |
1.000(d) | | | 0.750 | | | 03/16/2024 | | | GBP | | | | 115,250 | | | | 1,119,043 | | | | 480,549 | | | | 638,494 | |
1 Day SOFR(d) | | | 1.000 | | | 03/16/2024 | | | USD | | | | 111,790 | | | | (293,192 | ) | | | (322,711 | ) | | | 29,519 | |
6 Month PRIBOR(d) | | | 2.000 | | | 03/16/2027 | | | CZK | | | | 604,850 | | | | 2,293,111 | | | | (1,246,736 | ) | | | 3,539,847 | |
6 Month BUBOR(d) | | | 2.500 | | | 03/16/2027 | | | HUF | | | | 7,775,410 | | | | 2,450,439 | | | | (434,239 | ) | | | 2,884,678 | |
1 Month TIIE(e) | | | 6.500 | | | 03/16/2027 | | | MXN | | | | 270,610 | | | | 548,337 | | | | (298,480 | ) | | | 846,817 | |
6 Month WIBOR(c) | | | 1.750 | | | 03/16/2027 | | | PLN | | | | 93,550 | | | | 2,132,141 | | | | (55,759 | ) | | | 2,187,900 | |
3 Month JIBAR(b) | | | 6.000 | | | 03/16/2027 | | | ZAR | | | | 182,300 | | | | 254,456 | | | | 497,637 | | | | (243,181 | ) |
3 Month BA(c) | | | 2.250 | | | 03/16/2032 | | | CAD | | | | 24,870 | | | | (433,947 | ) | | | (244,551 | ) | | | (189,396 | ) |
1 Day SOFR(d) | | | 0.000 | | | 03/16/2032 | | | CHF | | | | 8,830 | | | | 111,607 | | | | (22,709 | ) | | | 134,316 | |
1 Day SOFR(d) | | | 0.000 | | | 03/16/2032 | | | EUR | | | | 60,460 | | | | 838,485 | | | | (101,943 | ) | | | 940,428 | |
1.000(d) | | | 1.000 | | | 03/16/2032 | | | GBP | | | | 27,650 | | | | (132,816 | ) | | | (817,067 | ) | | | 684,251 | |
3 Month STIBOR(b) | | | 1.000 | | | 03/16/2032 | | | SEK | | | | 170,820 | | | | 1,140 | | | | (312,358 | ) | | | 313,498 | |
1 Day SOFR(d) | | | 1.250 | | | 03/16/2032 | | | USD | | | | 69,580 | | | | 639,092 | | | | 843,357 | | | | (204,265 | ) |
1.000(d) | | | 1 Day SOFR | | | 03/16/2052 | | | EUR | | | | 14,690 | | | | (585,793 | ) | | | 613,682 | | | | (1,199,475 | ) |
0.750(d) | | | 1 Day SOFR | | | 03/16/2052 | | | GBP | | | | 16,650 | | | | (502,510 | ) | | | 1,174,613 | | | | (1,677,123 | ) |
1.500(d) | | | 1 Day SOFR | | | 03/16/2052 | | | USD | | | | 31,040 | | | | 282,008 | | | | 316,089 | | | | (34,081 | ) |
| | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | $ | 21,707,924 | | | $ | 12,274,200 | | | $ | 9,433,724 | |
| | (a) | | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2021. |
| | (b) | | Payments made quarterly. |
| | (c) | | Payments made semi-annually. |
| | (d) | | Payments made annually. |
| | (e) | | Payments made monthly. |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statement of Assets and Liabilities(a)
December 31, 2021
| | | | | | |
| | | | | Managed
Futures
Strategy Fund | |
| | Assets: | |
| | Investments in affiliated issuers, at value (cost $186,867,060) | | $ | 186,867,060 | |
| | Cash | | | 23,036,052 | |
| | Foreign currency, at value (cost $40,430,473) | | | 40,906,450 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(b) | | | 26,793,468 | |
| | Fund shares sold | | | 104,628 | |
| | Reimbursement from investment adviser | | | 105,574 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 2,453,653 | |
| | Variation margin on futures contracts | | | 447,997 | |
| | Other assets | | | 89,654 | |
| | Total assets | | | 280,804,536 | |
| | | | | | |
| | Liabilities: | |
| | Variation margin on swaps | | | 128,126 | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 2,884,014 | |
| | Payables: | | | | |
| | Fund shares redeemed | | | 454,383 | |
| | Management fees | | | 284,250 | |
| | Distribution and Service fees and Transfer Agency fees | | | 33,751 | |
| | Accrued expenses | | | 344,137 | |
| | Total liabilities | | | 4,128,661 | |
| | | | | | |
| | Net Assets: | |
| | Paid-in capital | | | 257,903,604 | |
| | Total distributable earnings | | | 18,772,271 | |
| | | NET ASSETS | | $ | 276,675,875 | |
| | | Net Assets: | | | | |
| | | Class A | | $ | 16,921,836 | |
| | | Class C | | | 3,889,714 | |
| | | Institutional | | | 51,494,185 | |
| | | Investor | | | 146,008,132 | |
| | | Class R6 | | | 57,900,057 | |
| | | Class R | | | 450,709 | |
| | | Class P | | | 11,242 | |
| | | Total Net Assets | | $ | 276,675,875 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | |
| | | Class A | | | 1,717,904 | |
| | | Class C | | | 422,320 | |
| | | Institutional | | | 5,054,712 | |
| | | Investor | | | 14,506,941 | |
| | | Class R6 | | | 5,680,836 | |
| | | Class R | | | 46,737 | |
| | | Class P | | | 1,105 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | |
| | | Class A | | | $9.85 | |
| | | Class C | | | 9.21 | |
| | | Institutional | | | 10.19 | |
| | | Investor | | | 10.06 | |
| | | Class R6 | | | 10.19 | |
| | | Class R | | | 9.64 | |
| | | Class P | | | 10.17 | |
| | (a) | | Statement of Asset and Liabilities for the Managed Futures Strategy Fund is consolidated and includes the balances of Cayman Commodity-MFS, LLC. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Segregated for initial margin and/or collateral on transactions as follows: |
| | | | | | | | | | |
Futures | | | Swaps | | | | |
| $ | 15,738,073 | | | $ | 11,055,395 | | | | | |
| | (c) | | Maximum public offering price per share for Class A Shares of the Managed Futures Strategy Fund is $10.42. 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. | | 11 |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statement of Operations(a)
For the Fiscal Year Ended December 31, 2021
| | | | | | |
| | | | | Managed
Futures
Strategy Fund(a) | |
| | Investment income: | | | | |
| | |
| | Dividends — affiliated issuers | | $ | 107,715 | |
| | |
| | Total investment income | | | 107,715 | |
| | | | | | |
| | Expenses: | | | | |
| | |
| | Management fees | | | 2,926,300 | |
| | |
| | Overdraft fees | | | 748,583 | |
| | |
| | Transfer Agency fees(b) | | | 293,547 | |
| | |
| | Professional fees | | | 205,362 | |
| | |
| | Custody, accounting and administrative services | | | 145,234 | |
| | |
| | Registration fees | | | 100,255 | |
| | |
| | Printing and mailing costs | | | 88,825 | |
| | |
| | Distribution and/or Service (12b-1) fees(b) | | | 66,933 | |
| | |
| | Trustee fees | | | 19,527 | |
| | |
| | Service fees — Class C | | | 9,264 | |
| | |
| | Other | | | 1,695 | |
| | |
| | Total expenses | | | 4,605,525 | |
| | |
| | Less — expense reductions | | | (396,622 | ) |
| | |
| | Net expenses | | | 4,208,903 | |
| | |
| | NET INVESTMENT LOSS | | | (4,101,188 | ) |
| | | | | | |
| | Realized and unrealized gain (loss): | | | | |
| | |
| | Net realized gain (loss) from: | | | | |
| | |
| | Futures contracts | | | 23,149,951 | |
| | |
| | Swap Contracts | | | (5,818,842 | ) |
| | |
| | Forward foreign currency exchange contracts | | | (1,486,124 | ) |
| | |
| | Foreign currency transactions | | | (1,809,569 | ) |
| | |
| | Net change in unrealized gain (loss) on: | | | | |
| | |
| | Futures contracts | | | (596,652 | ) |
| | |
| | Swap contracts | | | 5,240,792 | |
| | |
| | Forward foreign currency exchange contracts | | | (3,028,164 | ) |
| | |
| | Foreign currency translations | | | 1,167,222 | |
| | |
| | Net realized and unrealized gain | | | 16,818,614 | |
| | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 12,717,426 | |
| | (a) | | Statement of Operations for the Managed Futures Strategy Fund is consolidated and includes the balances of Cayman Commodity-MFS, LLC. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Class specific Distribution and/or Service 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 | |
| $ | 36,899 | | | $ | 27,793 | | | $ | 2,241 | | | $ | 23,616 | | | $ | 5,929 | | | $ | 21,601 | | | $ | 238,776 | | | $ | 2,901 | | | $ | 717 | | | $ | 7 | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Changes in Net Assets(a)
| | | | | | | | | | |
| | | | | Managed Futures Strategy Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | |
| | Net investment loss | | $ | (4,101,188 | ) | | $ | (2,471,040 | ) |
| | Net realized gain | | | 14,035,416 | | | | 6,934,760 | |
| | Net change in unrealized gain | | | 2,783,198 | | | | 11,743,583 | |
| | Net increase in net assets resulting from operations | �� | | 12,717,426 | | | | 16,207,303 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From distributable earnings: | | | | | | | | |
| | Class A Shares | | | (1,210,096 | ) | | | (142,248 | ) |
| | Class C Shares | | | (266,704 | ) | | | (43,078 | ) |
| | Institutional Shares | | | (4,043,423 | ) | | | (573,968 | ) |
| | Investor Shares | | | (9,944,849 | ) | | | (1,830,145 | ) |
| | Class R6 Shares | | | (4,018,251 | ) | | | (659,155 | ) |
| | Class R Shares | | | (30,205 | ) | | | (6,810 | ) |
| | Class P Shares | | | (778 | ) | | | (842 | ) |
| | Total distributions to shareholders | | | (19,514,306 | ) | | | (3,256,246 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 88,484,718 | | | | 191,383,416 | |
| | Reinvestment of distributions | | | 19,398,048 | | | | 3,243,585 | |
| | Cost of shares redeemed | | | (94,537,306 | ) | | | (198,235,855 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 13,345,460 | | | | (3,608,854 | ) |
| | TOTAL INCREASE | | | 6,548,580 | | | | 9,342,203 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of year | | $ | 270,127,295 | | | $ | 260,785,092 | |
| | | |
| | End of year | | $ | 276,675,875 | | | $ | 270,127,295 | |
| | (a) | | Statements of Changes in Net Assets for the Managed Futures Strategy Fund are consolidated and include the balances of Cayman Commodity-MFS, LLC. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.12 | | | $ | 9.61 | | | $ | 10.03 | | | $ | 10.30 | | | $ | 10.12 | |
| | | | | | |
| | Net investment income (loss)(a) | |
| (0.19
| )
| | | (0.12 | ) | | | 0.01 | | | | (0.02 | ) | | | (0.10 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | |
| 0.64
|
| | | 0.76 | | | | 0.23 | | | | (0.23 | ) | | | 0.33 | |
| | | | | | |
| | Total from investment operations | | | 0.45 | | | | 0.64 | | | | 0.24 | | | | (0.25 | ) | | | 0.23 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.03 | ) | | | — | | | | (0.59 | ) | | | — | | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.69 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Total distributions | | | (0.72 | ) | | | (0.13 | ) | | | (0.66 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.85 | | | $ | 10.12 | | | $ | 9.61 | | | $ | 10.03 | | | $ | 10.30 | |
| | | | | | |
| | Total Return(b) | | | 4.64 | % | | | 6.62 | % | | | 2.28 | % | | | (2.37 | )% | | | 2.29 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 16,922 | | | $ | 11,964 | | | $ | 7,712 | | | $ | 8,622 | | | $ | 7,711 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.83 | % | | | 1.48 | % | | | 1.49 | % | | | 1.47 | % | | | 1.55 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.89 | % | | | 1.63 | % | | | 1.64 | % | | | 1.62 | % | | | 1.75 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | |
| (1.79
| )%
| | | (1.21 | )% | | | 0.06 | % | | | (0.19 | )% | | | (1.02 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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 MANAGED FUTURES STRATEGY FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.52 | | | $ | 9.11 | | | $ | 9.56 | | | $ | 9.88 | | | $ | 9.79 | |
| | | | | | |
| | Net investment loss(a) | | | (0.25 | ) | | | (0.18 | ) | | | (0.07 | ) | | | (0.09 | ) | | | (0.17 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.59 | | | | 0.72 | | | | 0.21 | | | | (0.21 | ) | | | 0.31 | |
| | | | | | |
| | Total from investment operations | | | 0.34 | | | | 0.54 | | | | 0.14 | | | | (0.30 | ) | | | 0.14 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | — | | | | (0.52 | ) | | | — | | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.65 | ) | | | (0.13 | ) | | | (0.07 | )�� | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Total distributions | | | (0.65 | ) | | | (0.13 | ) | | | (0.59 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.21 | | | $ | 9.52 | | | $ | 9.11 | | | $ | 9.56 | | | $ | 9.88 | |
| | | | | | |
| | Total Return(b) | | | 3.71 | % | | | 5.88 | % | | | 1.51 | % | | | (3.08 | )% | | | (1.44 | )% |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 3,890 | | | $ | 3,335 | | | $ | 3,279 | | | $ | 3,281 | | | $ | 3,480 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.58 | % | | | 2.22 | % | | | 2.24 | % | | | 2.22 | % | | | 2.29 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.64 | % | | | 2.37 | % | | | 2.39 | % | | | 2.37 | % | | | 2.48 | % |
| | | | | | |
| | Ratio of net investment loss to average net assets | | | (2.54 | )% | | | (1.92 | )% | | | (0.69 | )% | | | (0.95 | )% | | | (1.72 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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 MANAGED FUTURES STRATEGY FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.43 | | | $ | 9.87 | | | $ | 10.28 | | | $ | 10.52 | | | $ | 10.29 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.15 | ) | | | (0.07 | ) | | | 0.04 | | | | 0.02 | | | | (0.06 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.66 | | | | 0.76 | | | | 0.25 | | | | (0.24 | ) | | | 0.34 | |
| | | | | | |
| | Total from investment operations | | | 0.51 | | | | 0.69 | | | | 0.29 | | | | (0.22 | ) | | | 0.28 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.06 | ) | | | — | | | | (0.63 | ) | | | — | | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.69 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Total distributions | | | (0.75 | ) | | | (0.13 | ) | | | (0.70 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 10.19 | | | $ | 10.43 | | | $ | 9.87 | | | $ | 10.28 | | | $ | 10.52 | |
| | | | | | |
| | Total Return(b) | | | 4.99 | % | | | 6.95 | % | | | 2.82 | % | | | (2.13 | )% | | | 2.73 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 51,494 | | | $ | 49,052 | | | $ | 90,623 | | | $ | 83,425 | | | $ | 163,971 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.46 | % | | | 1.07 | % | | | 1.11 | % | | | 1.07 | % | | | 1.14 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.52 | % | | | 1.24 | % | | | 1.26 | % | | | 1.22 | % | | | 1.33 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.42 | )% | | | (0.74 | )% | | | 0.42 | % | | | 0.16 | % | | | (0.54 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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 MANAGED FUTURES STRATEGY FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.32 | | | $ | 9.77 | | | $ | 10.19 | | | $ | 10.44 | | | $ | 10.23 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.16 | ) | | | (0.10 | ) | | | 0.03 | | | | 0.01 | | | | (0.06 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.64 | | | | 0.78 | | | | 0.23 | | | | (0.24 | ) | | | 0.32 | |
| | | | | | |
| | Total from investment operations | | | 0.48 | | | | 0.68 | | | | 0.26 | | | | (0.23 | ) | | | 0.26 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.05 | ) | | | — | | | | (0.61 | ) | | | — | | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.69 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Total distributions | | | (0.74 | ) | | | (0.13 | ) | | | (0.68 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 10.06 | | | $ | 10.32 | | | $ | 9.77 | | | $ | 10.19 | | | $ | 10.44 | |
| | | | | | |
| | Total Return(b) | | | 4.83 | % | | | 6.92 | % | | | 2.60 | % | | | (2.24 | )% | | | 2.55 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 146,008 | | | $ | 149,762 | | | $ | 106,968 | | | $ | 105,393 | | | $ | 106,431 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.57 | % | | | 1.22 | % | | | 1.24 | % | | | 1.22 | % | | | 1.26 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.64 | % | | | 1.38 | % | | | 1.39 | % | | | 1.37 | % | | | 1.45 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.54 | )% | | | (0.96 | )% | | | 0.31 | % | | | 0.06 | % | | | (0.60 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31,
2018(a) | |
| | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 10.44 | | | $ | 9.87 | | | $ | 10.29 | | | $ | 10.36 | |
| | | | | |
| | Net investment income (loss)(b) | | | (0.15 | ) | | | (0.08 | ) | | | 0.05 | | | | 0.02 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.65 | | | | 0.78 | | | | 0.23 | | | | (0.07 | ) |
| | | | | |
| | Total from investment operations | | | 0.50 | | | | 0.70 | | | | 0.28 | | | | (0.05 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.06 | ) | | | — | | | | (0.63 | ) | | | — | |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.69 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.02 | ) |
| | | | | |
| | Total distributions | | | (0.75 | ) | | | (0.13 | ) | | | (0.70 | ) | | | (0.02 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 10.19 | | | $ | 10.44 | | | $ | 9.87 | | | $ | 10.29 | |
| | | | | |
| | Total Return(c) | | | 5.00 | % | | | 7.05 | % | | | 2.72 | % | | | (0.52 | )% |
| | | | | |
| | Net assets, end of period (in 000’s) | | $ | 57,900 | | | $ | 55,439 | | | $ | 51,499 | | | $ | 50,649 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 1.45 | % | | | 1.08 | % | | | 1.09 | % | | | 1.12 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 1.51 | % | | | 1.24 | % | | | 1.23 | % | | | 1.27 | %(d) |
| | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.41 | )% | | | (0.79 | )% | | | 0.47 | % | | | 0.31 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Commencement of operations on April 30, 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. |
| | (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. |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.92 | | | $ | 9.45 | | | $ | 9.87 | | | $ | 10.16 | | | $ | 10.00 | |
| | | | | | |
| | Net investment loss(a) | | | (0.21 | ) | | | (0.13 | ) | | | (0.02 | ) | | | (0.04 | ) | | | (0.12 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.62 | | | | 0.73 | | | | 0.23 | | | | (0.23 | ) | | | 0.33 | |
| | | | | | |
| | Total from investment operations | | | 0.41 | | | | 0.60 | | | | 0.21 | | | | (0.27 | ) | | | 0.21 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | — | | | | (0.56 | ) | | | — | | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.69 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Total distributions | | | (0.69 | ) | | | (0.13 | ) | | | (0.63 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.64 | | | $ | 9.92 | | | $ | 9.45 | | | $ | 9.87 | | | $ | 10.16 | |
| | | | | | |
| | Total Return(b) | | | 4.33 | % | | | 6.30 | % | | | 2.14 | % | | | (2.70 | )% | | | 2.11 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 451 | | | $ | 504 | | | $ | 539 | | | $ | 584 | | | $ | 595 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.08 | % | | | 1.72 | % | | | 1.74 | % | | | 1.72 | % | | | 1.79 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.14 | % | | | 1.87 | % | | | 1.89 | % | | | 1.87 | % | | | 1.98 | % |
| | | | | | |
| | Ratio of net investment loss to average net assets | | | (2.04 | )% | | | (1.41 | )% | | | (0.19 | )% | | | (0.44 | )% | | | (1.19 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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. | | 19 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31,
2018(a) | |
| | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 10.42 | | | $ | 9.86 | | | $ | 10.28 | | | $ | 10.56 | |
| | | | | |
| | Net investment income (loss)(b) | | | (0.15 | ) | | | (0.08 | ) | | | 0.05 | | | | 0.02 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.66 | | | | 0.77 | | | | 0.23 | | | | (0.28 | ) |
| | | | | |
| | Total from investment operations | | | 0.50 | | | | 0.69 | | | | 0.28 | | | | (0.26 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.06 | ) | | | — | | | | (0.63 | ) | | | — | |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.69 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.02 | ) |
| | | | | |
| | Total distributions | | | (0.75 | ) | | | (0.13 | ) | | | (0.70 | ) | | | (0.02 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 10.17 | | | $ | 10.42 | | | $ | 9.86 | | | $ | 10.28 | |
| | | | | |
| | Total Return(c) | | | 4.98 | % | | | 6.95 | % | | | 2.71 | % | | | (2.50 | )% |
| | | | | |
| | Net assets, end of period (in 000’s) | | $ | 11 | | | $ | 71 | | | $ | 166 | | | $ | 429 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 1.44 | % | | | 1.08 | % | | | 1.09 | % | | | 1.12 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 1.51 | % | | | 1.24 | % | | | 1.23 | % | | | 1.27 | %(d) |
| | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.40 | )% | | | (0.84 | )% | | | 0.49 | % | | | 0.32 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | — | % | | | — | % | | | — | % | | | — | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (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. |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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. Goldman Sachs Managed Futures Strategy 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 management agreement (the “Agreement”) with the Trust.
|
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Basis of Consolidation for Managed Futures Strategy Fund — Cayman Commodity-MFS, LLC. (a “Subsidiary”), a Cayman Islands exempted company, is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of December 31, 2021, the Fund’s net assets were $276,675,875, of which $56,515,462, or 20%, is represented by the Subsidiary.
B. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. 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.
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.
21
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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. Net investment income distributions and capital gains distributions, if any, are declared and paid at least annually.
The Subsidiary is classified as controlled foreign corporations under the Code. Therefore, the Fund is required to increase its taxable income by its share of its Subsidiary’s income. Net losses of 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 Statements 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’s 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 Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| | |
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS | | |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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
22
GOLDMAN SACHS ALTERNATIVE FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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:
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.
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 Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which 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.
23
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. The 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 the 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, the 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. The 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, the Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Fund sells protection through a credit default swap, the 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, the 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. The 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, the 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 the 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 the Fund bought credit protection.
24
GOLDMAN SACHS ALTERNATIVE FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 December 31, 2021:
| | | | | | | | | | | | |
|
| MANAGED FUTURES STRATEGY FUND | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Investment Company | | $ | 186,867,060 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 2,453,653 | | | $ | — | |
| | | |
Futures Contracts | | | 4,597,391 | | | | — | | | | — | |
| | | |
Interest Rate Swap Contracts | | | — | | | | 13,806,101 | | | | — | |
| | | |
| Total | | $ | 4,597,391 | | | $ | 16,259,754 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Liabilities(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Contracts | | $ | — | | | $ | (2,884,014 | ) | | $ | — | |
| | | |
Futures Contracts | | | (979,498 | ) | | | — | | | | — | |
| | | |
Interest Rate Swap Contracts | | | — | | | | (4,372,377 | ) | | | — | |
| | | |
| Total | | $ | (979,498 | ) | | $ | (7,256,391 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the
25
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| | | | | | | | | | | | |
| | |
| Managed Futures Strategy | | | | | | | |
| Risk | | Consolidated
Statements of Assets
and Liabilities | | Assets | | | Consolidated
Statements of Assets
and Liabilities | | Liabilities | |
Commodity | | Variation margin on futures contracts | | $ | 2,390,264 | (a) | | Variation margin on futures contracts | | $ | (1,541,007) | (a) |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 2,453,653 | | | Payable for unrealized gain on forward foreign currency exchange contracts | | | (2,884,014) | |
Equity | | Variation margin on futures contracts | | | 3,789,501 | (a) | | Variation margin on futures contracts | | | (1,020,865) | (a) |
Interest Rate | | Variation margin on swap contracts | | | 13,806,101 | (a) | | Variation margin on swap contracts | | | (4,372,377) | (a) |
| Total | | | | $ | 22,439,519 | | | | | $ | (9,818,263) | |
| (a) | | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Consolidated Schedule of Investments. Only the variation margin as of December 31, 2021, is reported within the Consolidated Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statements of Operations:
| | | | | | | | | | |
| |
| Managed Futures Strategy | | | | | |
| Risk | | Consolidated Statement of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| Commodity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | $ | 10,795,483 | | | $ | (1,487,843 | ) |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | (1,486,124 | ) | | | (3,028,164 | ) |
| Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | 16,608,432 | | | | 891,191 | |
| Interest Rate | | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | | | (10,072,806 | ) | | | 5,240,792 | |
| Total | | | | $ | 15,844,985 | | | $ | 1,615,976 | |
26
GOLDMAN SACHS ALTERNATIVE FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type were as follows:
| | | | | | | | | | | | |
| | | Average number of Contracts or Notional Amounts(1) | |
| | | Futures
Contracts | | | Forward
Contracts | | | Swap
Agreements | |
Managed Futures Strategy | | | 5,450 | | | $ | 534,950,608 | | | $ | 4,430,576,173 | |
| (1) | | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the fiscal year ended December 31, 2021. |
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 Investment Adviser believes 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 tables set forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | |
| Managed Futures Strategy | | | | | | | | | | | | | | | | | | | | |
| | | Derivative Assets(1) | | | Derivative Liabilities(1) | | | Net Derivative
Assets
(Liabilities) | | | Collateral
(Received)
Pledged(1) | | | Net
Amount(2) | |
| Counterparty | | Forwards | | | Forwards | |
Morgan Stanley Co., Inc. | | $ | 2,453,653 | | | $ | (2,884,014 | ) | | $ | (430,361 | ) | | $ | 430,361 | | | $ | — | |
| (1) | | Gross amounts available for offset but not netted in the Consolidated Statements 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. |
27
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the year ended December 31, 2021, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | | | | Effective Net
Management
Rate^(1) | |
| Fund | | | | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Rate | |
| Managed Futures Strategy | | | | | 1.00 | % | | | 0.90 | % | | | 0.86 | % | | | 0.84 | % | | | 0.82 | % | | | 1.00 | % | | | 0.89 | % |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
| (1) | | Reflects combined management fees paid to GSAM under the Agreement and the Fund’s Subsidiary Agreement (as defined below) after the waivers. |
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the fiscal year ended December 31, 2021, GSAM waived $226,757, of the Fund’s management fee.
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invest, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2021, GSAM waived $48,911 of the Fund’s management fees.
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 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 B* | | | Class C* | |
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. |
28
GOLDMAN SACHS ALTERNATIVE FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained $1,095 for Class A Shares and did not retain any portion of the CDSC for Class C Shares for the Fund.
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: 0.16% 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.
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 limitations as an annual percentage rate of average daily net assets for the Fund are 0.254%. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Subsidiaries also pay certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit each Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Other Expense
Reimbursement | | | Total
Expense
Reductions | |
| Managed Futures Strategy | | | | $ | 275,668 | | | $ | 120,954 | | | $ | 396,622 | |
G. Line of Credit Facility — As of December 31, 2021, the Fund participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2021, the Fund did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
29
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
H. Other Transactions with Affiliates — The following table provides information about the Fund’s investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Beginning
Value as of
December 31,
2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31,
2021 | | | Shares as of
December 31,
2021 | | | Dividend
Income | |
Managed Futures Strategy | | $ | 180,241,518 | | | $ | 68,944,334 | | | $ | (62,318,792 | ) | | $ | 186,867,060 | | | | 186,867,060 | | | $ | 107,715 | |
As of December 31, 2021, the following Goldman Sachs Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the Fund:
| | | | | | | | | | | | | | |
| Fund | | | | Goldman Sachs
Balanced
Strategy Portfolio | | | Goldman Sachs
Growth
Strategy Portfolio | | | Goldman
Sachs Growth
and Income
Strategy Portfolio | |
Managed Futures Strategy | | | | | 6 | % | | | 5 | % | | | 9 | % |
As of December 31, 2021, The Goldman Sachs Group, Inc. was the beneficial owner of the Fund:
| | | | | | |
| Fund | | | | Class P | |
Managed Futures Strategy | | | | | 100 | % |
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | | | |
| | | | | Managed
Futures Strategy | |
Distributions paid from: | | | | | | |
Ordinary income | | | | $ | 15,224,786 | |
Net long-term capital gains | | | | | 4,289,520 | |
Total taxable distributions | | | | $ | 19,514,306 | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | | | |
| | | | | Managed
Futures Strategy | |
Distributions paid from: | | | | | | |
Ordinary income | | | | $ | 127,725 | |
Net long-term capital gains | | | | | 3,128,521 | |
Total taxable distributions | | | | $ | 3,256,246 | |
30
GOLDMAN SACHS ALTERNATIVE FUNDS
|
| 6. TAX INFORMATION (continued) |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | |
| | | Managed Futures
Strategy | |
Timing differences (Qualified Late year Loss Deferral and Straddle Loss Deferral) | | $ | (2,124,642 | ) |
Unrealized gains — net | | | 20,896,913 | |
Total | | $ | 18,772,271 | |
As of December 31, 2021, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
| | | Managed Futures
Strategy | |
Tax cost | | $ | 184,493,022 | |
Gross unrealized gain | | | 26,789,664 | |
Gross unrealized loss | | | (5,892,751 | ) |
Net unrealized gain (loss) | | $ | 20,896,913 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to net mark to market gains (losses) on regulated futures and foreign currency contracts and differences in the tax treatment of underlying fund investments.
The Managed Futures Strategy Fund reclassified $15,588,411 from paid-in capital to distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from taxable overdistributions and underlying fund investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information, 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 exchange controls (including repatriation restrictions), confiscation of assets and property, trade
31
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 7. OTHER RISKS (continued) |
restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — 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.
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, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, 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 or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where 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.
32
GOLDMAN SACHS ALTERNATIVE FUNDS
|
| 7. OTHER RISKS (continued) |
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Tax Risk — 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. The Managed Futures Strategy Fund has not received a PLR, and is 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 their investments in commodity index-linked structured notes. The Managed Futures Strategy Fund has obtained an opinion of counsel that the Fund’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the income from investments in the Subsidiary 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 deductions for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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 enter 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.
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.
33
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Managed Futures Strategy Fund | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 775,155 | | | $ | 8,103,920 | | | | 812,401 | | | $ | 7,889,565 | |
Reinvestment of distributions | | | 123,207 | | | | 1,210,096 | | | | 14,242 | | | | 141,564 | |
Shares redeemed | | | (362,560 | ) | | | (3,753,053 | ) | | | (446,837 | ) | | | (4,371,545 | ) |
| | | | 535,802 | | | | 5,560,963 | | | | 379,806 | | | | 3,659,584 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 112,873 | | | | 1,106,535 | | | | 80,724 | | | | 740,636 | |
Reinvestment of distributions | | | 29,189 | | | | 266,704 | | | | 4,607 | | | | 43,078 | |
Shares redeemed | | | (70,213 | ) | | | (681,254 | ) | | | (94,581 | ) | | | (867,923 | ) |
| | | | 71,849 | | | | 691,985 | | | | (9,250 | ) | | | (84,209 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,127,784 | | | | 22,859,468 | | | | 7,705,607 | | | | 78,017,186 | |
Reinvestment of distributions | | | 386,304 | | | | 3,929,319 | | | | 54,914 | | | | 562,864 | |
Shares redeemed | | | (2,160,311 | ) | | | (22,852,193 | ) | | | (12,242,752 | ) | | | (121,705,770 | ) |
| | | | 353,777 | | | | 3,936,594 | | | | (4,482,231 | ) | | | (43,125,720 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 5,277,859 | | | | 56,050,862 | | | | 10,524,025 | | | | 104,023,405 | |
Reinvestment of distributions | | | 989,878 | | | | 9,943,473 | | | | 180,402 | | | | 1,829,272 | |
Shares redeemed | | | (6,275,580 | ) | | | (66,484,483 | ) | | | (7,135,351 | ) | | | (70,727,988 | ) |
| | | | (7,843 | ) | | | (490,148 | ) | | | 3,569,076 | | | | 35,124,689 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 29,530 | | | | 320,620 | | | | 44,949 | | | | 473,048 | |
Reinvestment of distributions | | | 395,007 | | | | 4,018,251 | | | | 64,245 | | | | 659,155 | |
Shares redeemed | | | (54,137 | ) | | | (590,020 | ) | | | (14,423 | ) | | | (150,000 | ) |
| | | | 370,400 | | | | 3,748,851 | | | | 94,771 | | | | 982,203 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,152 | | | | 42,535 | | | | 11,297 | | | | 107,460 | |
Reinvestment of distributions | | | 3,149 | | | | 30,205 | | | | 698 | | | | 6,810 | |
Shares redeemed | | | (11,373 | ) | | | (115,062 | ) | | | (18,242 | ) | | | (179,559 | ) |
| | | | (4,072 | ) | | | (42,322 | ) | | | (6,247 | ) | | | (65,289 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 77 | | | | 778 | | | | 13,089 | | | | 132,116 | |
Reinvestment of distributions | | | — | | | | — | | | | 82 | | | | 842 | |
Shares redeemed | | | (5,772 | ) | | | (61,241 | ) | | | (23,158 | ) | | | (233,070 | ) |
| | | | (5,695 | ) | | | (60,463 | ) | | | (9,987 | ) | | | (100,112 | ) |
| | | | |
NET DECREASE | | | 1,314,218 | | | $ | 13,345,460 | | | | (464,062 | ) | | $ | (3,608,854 | ) |
34
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Managed Futures Strategy Fund
Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of Goldman Sachs Managed Futures Strategy Fund and its subsidiary (one of the Funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2021, the related consolidated statements of operations for the year ended December 31, 2021, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, the results of its operations for the year then ended, the consolidated changes in net assets for each of the two years in the period ended December 31, 2021 and each of the consolidated financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs Fund complex since 2000.
35
GOLDMAN SACHS ALTERNATIVE FUNDS
| | |
| | |
Fund Expenses (Unaudited) —Period Ended December 31, 2021 | | |
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 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 July 1, 2021 through December 31, 2021, which represents a period of 184 days in a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Managed Futures Strategy Fund | |
| | | Beginning
Account Value
7/1/2021 | | | Ending
Account Value
12/31/2021 | | | Expenses Paid for the
6 months ended
12/31/2021* | |
| Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,011.43 | | | $ | 7.40 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,017.85 | + | | | 7.43 | |
| Class C | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,007.44 | | | | 11.18 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,014.06 | + | | | 11.22 | |
| Institutional | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,013.01 | | | | 5.53 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.71 | + | | | 5.55 | |
| Investor | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,012.95 | | | | 6.14 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.11 | + | | | 6.16 | |
| Class R6 | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,013.15 | | | | 5.48 | |
Hypothethical 5% return | | | 1,000.00 | | | | 1,019.76 | + | | | 5.50 | |
| Class R | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,010.73 | | | | 8.67 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.59 | + | | | 8.69 | |
| Class P | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,012.81 | | | | 5.48 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.76 | + | | | 5.50 | |
| | + | | 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 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 December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Managed Futures Strategy Fund | | | 1.46 | % | | | 2.21 | % | | | 1.09 | % | | | 1.21 | % | | | 1.08 | % | | | 1.71 | % | | | 1.08 | % |
36
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017- present); Director of MoneyLion Inc. (an operator of a data drive, digital financial platform (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019- present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | | | | | | |
37
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees (continued)
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con- Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
| | | | | | | | | | |
Interested Trustee*
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 59 | | President and Trustee | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 39 portfolios (26 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs ETF Trust II and Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
38
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Positions Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street
New York, NY 10282
Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street
New York, NY 10282
Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street
Jersey City, NJ 07302
Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Alternative Funds — Tax Information (Unaudited)
Pursuant to Section 852 of the Internal Revenue Code, the Managed Futures Strategy Fund designates $4,289,520, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2021.
During the fiscal year ended December 31, 2021, the Managed Futures Strategy Fund designates $13,770,334 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
39
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.21 trillion in assets under supervision as of December 31, 2021, 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
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund4 |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Real Estate Securities Fund |
| ∎ | | International 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 |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
| ∎ | | Clean Energy Income 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 |
| ∎ | | Strategic Factor Allocation 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. |
| | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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
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.
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 a 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).
Holdings and allocations shown are as of December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about 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. 268337-OTU-1556079SELSATAR-22
Goldman Sachs Funds
| | | | |
| | |
| Annual Report | | | | December 31, 2021 |
| | |
| | | | Alternative Funds II |
| | | | Commodity Strategy |
| | | | Defensive Equity |
Goldman Sachs Alternative Funds
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Commodity Strategy Fund
Investment Objective
The Fund seeks long-term total return.
Portfolio Management Discussion and Analysis
Through January 22, 2021, the Goldman Sachs Commodity Strategy Fund (the “Fund”) was managed by the Goldman Sachs Commodities Team of Goldman Sachs Asset Management. Effective after the close of business on January 22, 2021, the Fund’s day to day portfolio management transitioned to CoreCommodity Management, LLC (“CoreCommodity”). CoreCommodity, the investment sub-advisor to the Fund, is an independent asset management firm whose singular focus is to provide enhanced commodity exposure to the global investment community. Founded in 2003, CoreCommodity provides advisory and fiduciary management services, with assets across long-only and absolute return commodity investment programs. In addition, after the close of business on January 22, 2021, the Fund’s benchmark changed from the S&P GSCI Total Return Index to the Bloomberg Commodity Total Return Index. Below, CoreCommodity discusses the Fund’s performance and positioning for the period from January 22, 2021 through December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 33.03%, 32.04%, 33.52%, 33.33%, 33.44%, 32.73% and 33.46%, respectively. These returns compare to the 27.11% annual total return of the Fund’s benchmark, the Bloomberg Commodity Total Return Index (the “Bloomberg Commodity Index”), during the same period. The Fund’s former benchmark, the S&P GSCI® Total Return Index (Gross, USD, Unhedged), returned 40.35% during the same period. |
| Q | | What economic and market factors most influenced the commodities markets as a whole during the Reporting Period? |
| A | | Commodities markets overall, as measured by the Bloomberg Commodity Index, posted double-digit positive returns during calendar year 2021, marking a span of comprehensive price appreciation for most liquid commodity futures markets. Following a year of historic volatility in 2020, 2021 was a period of rapid recovery and economic re-engagement. A number of prominent economic and market forces helped propel the asset class higher, many of which remained intact—and were even intensifying—as the year ended. |
| | | Arguably the most significant factor for financial markets in general during the year was the ongoing COVID-19 pandemic. The first approved COVID-19 vaccine was administered in December 2020, lighting a fire under the global economy. Since then, vaccination rates, especially in the developed world, ramped up dramatically, as did improvements in contact tracing and testing capabilities. Despite several intermittent bouts with COVID-19 variants, global hospitalizations and mortality rates proceeded to decline throughout the calendar year. As lockdowns subsided, the commodities asset class benefited from a “V-shaped” recovery in demand and a seemingly benign recovery in supply. With the exception of crude oil, largely due to jet fuel demand, global consumption for most commodities was at or above pre-pandemic levels at the end of December 2021. |
| | | Resurgent demand was reinforced by several key factors, most notably wealth effects and protectionist policies. Between stimulus checks, negative interest rates, heady equity valuations and a surging real estate market, the average household generated notable wealth during the 18 months ended December 31, 2021. Ultra-accommodative monetary policy by the U.S. Federal Reserve (the “Fed”) encouraged a widespread return to consumerism. Since the throes of the pandemic, the Fed had purchased $120 billion in assets per month, with the Bank of England, European |
1
PORTFOLIO RESULTS
| | Central Bank and Bank of Japan implementing similar quantitative easing programs. Central banks firmly positioned themselves as the marginal buyer within the marketplace, which allowed for the “risk on” environment, or reduced investor risk aversion, experienced during the Reporting Period. Demand for raw materials was further bolstered by a shift in government policy. Whereas the previous decade was defined by globalization and efficiency gains, a new populist era emerged that promoted protectionism and redundancies. The latter spurred a bout of government spending and initiatives geared toward redistribution, infrastructure and climate — all of which are commodity-intensive endeavors. |
| | | On the supply side, commodity prices were lifted by an onslaught of disruptions and a steady increase in the cost curve. In Brazil, for example, farmers encountered damaging frost conditions followed by the worst drought in a century. In Chile and Peru, mining operations were regularly interrupted by labor disputes and civil unrest. In the U.S., western states faced one of the worst droughts in recent memory, hampering crop conditions across the grains sector. In China, new regulations to curb air pollution forced metals smelters to limit capacity. In Europe, summer heatwaves and low wind speeds undermined renewable power production, contributing to a worsening energy crisis. Beyond weather-related incidences, the reopening of businesses simultaneously, after undergoing months of lockdowns, proved detrimental to the global network of suppliers and intermediaries. Gridlock ensued, as did congested shipping lanes, inundated ports and a spike in shipping costs. Each of these disruptions served to elevate the operating costs borne by producers. |
| | | Partially due to the aforementioned rising costs, the year 2021 witnessed some of the highest levels of inflation in recent history. U.S. Consumer Price Index readings reached 7.0% on a year-over-year basis through the month of December, the highest level in more than 30 years. Similar levels were reached across the globe, creating a massive problem for asset managers seeking to maintain purchasing power. As a tangible stake in the materials driving the real economy, the commodity asset class has historically alleviated that problem and ultimately benefited from the prevailing inflation narrative. At the end of the year, we expected inflation to remain above average, especially should the rise in goods and services translate to a rise in wages and other more resilient corners of the economy. |
| | | One more minor headwind faced by commodities during the year was a strengthening U.S. dollar. Given most commodity futures are denominated in U.S. dollars, a strengthening currency has typically worked against commodity prices. However, despite the nearly 7% appreciation in 2021, the U.S. dollar move was inconsequential in comparison to the fundamental supply/demand picture that drove most markets. Many individual commodities remained in steep backwardation throughout the year, indicating near-term supply was unable to satisfy near-term demand. (Backwardation is a situation when the futures price of a commodity is lower than the current spot price. The spot price of the commodity can be high due to the sudden rise in demand for the commodity or due to a disruption in the supply.) As such, most commodities sectors were in deficit and drew down global inventories to historically low levels. |
| Q | | Which commodity subsectors were strongest during the Reporting Period? |
| A | | The energy subsector of the Bloomberg Commodity Index was the best performer during the Reporting Period, with a return of 45.8%. Petroleum commodities, up 51.9%, benefited from a rapid return to pre-COVID-19 demand levels and a disciplined supply response by OPEC+. The U.S. shale industry continued to prioritize returning capital to shareholders instead of ramping up production. Natural gas prices rallied across the globe as robust demand and supply outages drove concerns about low storage levels heading into the winter season. |
| | | The industrial metals component of the Bloomberg Commodity Index was the second-strongest subsector during the Reporting Period, rising 27.0%. The subsector was supported by rapid global Gross Domestic Product (“GDP”) growth, strong housing construction and the global transition to low-carbon technologies, which requires an immense amount of base metals. The price action was further reinforced by dwindling inventories and a multi-year decline in capital expenditures within the mining community. Zinc, aluminum, nickel and copper each experienced double-digit price gains during the Reporting Period. |
| | | The agriculture component of the Bloomberg Commodity Index was also quite strong during the Reporting Period, returning 25.6%. Within agriculture, soft commodities, such as coffee, cotton and sugar, posted the strongest returns. A resurgence in global demand for luxury foods and goods consumption was met with extreme weather issues, including frosts and drought in Brazil; extreme heat in Canada and the Pacific Northwest; supply chain disruptions; political instability in top growing regions; and heightened shipping costs—all of which pressured prices higher. Ambitious biofuel mandates provided support to grains and oilseeds. |
2
PORTFOLIO RESULTS
| | | The livestock subsector rose, albeit more modestly, with a return of 6.9% during the Reporting Period, benefiting from Chinese imports and resurgent demand for meats on a global basis. Within the U.S., frozen meat inventories declined and rising feed costs resulted in lower forward supply projections. |
| Q | | Which commodity subsectors were weakest during the Reporting Period? |
| A | | Precious metals was the only subsector of the Bloomberg Commodity Index to post a negative return, down 3.8%, during the Reporting Period. Despite negative real rates in the U.S. and persistent inflationary pressures, which have historically made gold a more attractive investment, resilience in the U.S. dollar proved to be a formidable headwind. Economic re-engagement following the worst of COVID-19 also made gold’s safe haven status less desirable. The prices of gold, silver and platinum all fell during the Reporting Period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund outperformed the Bloomberg Commodity Index during the Reporting Period, outperforming across all subsectors. Within agriculture, the Fund outperformed primarily due to security selection and curve positioning. Overweights to soft commodities contributed to outperformance as did deferred positioning further out on the curve despite an underweight in a rising market. Within energy, the Fund benefited from an overweight to the subsector overall and from tactical positioning in natural gas throughout the Reporting Period. Front-month placement of Brent crude oil futures and deferred placement of West Texas Intermediate (“WTI”) crude oil futures added value. An overweight to RBOB (reformulated blendstock for oxygenate blending) gasoline further enhanced relative results. Within industrial metals, the Fund benefited from an overweight to the subsector as a whole in a rising market. In livestock, the Fund benefited from deferred placement of the subsector constituents. While individual commodity over- and underweights detracted, effective roll timing, deferred positioning and an overall underweight to the livestock subsector drove modest outperformance. In precious metals, the Fund benefited from an underweight to the subsector in a declining market. |
| Q | | How did the Fund’s roll-timing strategies impact performance during the Reporting Period? |
| A | | As indicated above, the Fund’s roll-timing strategies, implemented via exposure to commodity index-linked swaps and commodity futures, had a positive effect on the Fund’s returns for the Reporting Period overall. Our team implements a roll-timing strategy by deviating from the Bloomberg Commodity Index roll convention, which occurs during the fifth through ninth business days of each month. During the Reporting Period, the Fund obtained the majority of its exposure to commodities through the CRB 3-Month Forward Index, which rolls during the first through fourth business day. Additionally, the CRB 3-Month Forward Index rolls certain commodities, such as commodities in the energy subsector, on a more frequent basis than the Bloomberg Commodity Index. Furthermore, the CRB 3-Month Forward Index rebalances on the sixth business day of every month, unlike the Bloomberg Commodity Index, which rebalances annually. Our team continually monitors fundamental and technical developments across all commodity markets and incorporates those views in the Fund’s portfolio by electing to roll positions opportunistically. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | As mentioned earlier in some detail, the Fund used commodity index-linked total return swaps and commodity futures in implementing our roll-timing strategies in order to gain exposure to the commodities markets. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized positive absolute returns during the Reporting Period. |
| Q | | Did you make any changes in the Fund’s strategy or allocations during the Reporting Period? |
| A | | As CoreCommodity became the investment sub-advisor to the Fund effective after the close of business on January 22, 2021, Robert Hyman, managing director of CoreCommodity, assumed the role of portfolio manager for the Fund. Additionally, as mentioned earlier, the Fund’s benchmark changed to the Bloomberg Commodity Index effective the same date. During the transition, the composition of the Fund’s portfolio changed substantially. Further, the Fund’s strategic allocation differed from the Bloomberg Commodity Index during the Reporting Period. At the subsector level, the Fund was overweight industrial metals, underweight agriculture and precious metals and in line with the Bloomberg Commodity Index in energy and livestock on average during the Reporting Period. |
| | | Within industrial metals, the Fund was overweight aluminum, nickel and copper and underweight zinc. We partially substituted COMEX copper for LME copper exposure as we sought to benefit from the curve structure in place. (COMEX is the primary futures and options market |
3
PORTFOLIO RESULTS
| | for trading metals such as gold, silver, copper and aluminum. COMEX is an abbreviation of the exchange’s full name: The Commodity Exchange Inc. The London Metal Exchange (LME) is a commodities exchange that deals in metals futures and options.) |
| | | Within energy, we generally favored deferred positioning in WTI crude oil, RBOB gasoline and heating oil and front month positioning in Brent crude oil and gasoil. Natural gas positioning was spread across the curve to benefit from seasonality. |
| | | Within agriculture, the Fund was notably overweight soft commodities, including coffee, cotton, sugar, cocoa and orange juice, at the expense of staple crops, such as corn, wheat and soybeans. The Fund included cocoa and orange juice in its allocation, though these are not constituents of the Bloomberg Commodity Index. |
| | | Within precious metals, the Fund included exposure to platinum, which is not a constituent of the Bloomberg Commodity Index. It also held a material overweight to silver relative to the Bloomberg Commodity Index. |
| | | Within livestock, the Fund was overweight live cattle and underweight lean hogs versus the Bloomberg Commodity Index, while maintaining the majority of its allocation in deferred contracts. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was, via commodity index-linked securities, such as swaps and futures, overweight the industrial metals subsector, underweight the agriculture subsector and in line with the energy, livestock and precious metals subsectors, each as relative to the Bloomberg Commodity Index. |
| | | At the end of the Reporting Period, approximately 100% of the Fund’s net assets were invested in commodity-linked derivatives. The commodity exposure was collateralized with approximately 80% in U.S. Treasury securities and the remaining approximately 20% in cash. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Sam Finkelstein and Peter Stone of the Goldman Sachs Commodities Team managed the Fund through January 22, 2021. As mentioned earlier, after the close of business on January 22, 2021, Robert Hyman of CoreCommodity assumed the role of portfolio manager of the Fund. There were no changes to the Fund’s portfolio management team at CoreCommodity during the Reporting Period. |
| Q | | What is the Fund’s view and strategy going forward? |
| A | | Calendar year 2021 returned the investment spotlight to the rise of many commodity prices, coinciding with the highest levels of inflation experienced in many decades. At the end of the Reporting Period, we believed the constructive price action registered across most commodity subsectors will likely continue to be supported by a variety of fundamental and macro-economic factors. We maintained conviction that serious and systemic underinvestment may well negatively impact future supplies of many key commodities. The demand surge fueled by negative real interest rates, a significant influx of government stimulus, pent-up pressure to re-engage in travel and entertainment, and a global transition toward low-carbon technologies should further enhance the constructive fundamental narrative for natural resources. |
| | | At the end of the Reporting Period, we were particularly drawn toward industrial metals and conventional energy as the leaders within the asset class. The global appetite for these particular subsectors was growing dramatically, partly due to ever-increasing utilization from various political aspirations and directives. Structurally, the futures curves of many individual commodity markets had moved into steep backwardation, indicating that near-term supplies were being consumed at a rapid rate. Stored commodities were being drawn at an alarming pace, thereby reducing inventory levels and adding to the virtuous price cycle. Having lived through the consequences of material shortages throughout the COVID-19 pandemic, we expected significant buying interest from governments via restocking campaigns. It was our intention to capitalize on the fundamental forces at play and overweight said subsectors relative to the Bloomberg Commodity Index. |
| | | We will also continue to monitor for material changes in monetary policy in the upcoming year that may present challenges to economic growth and other factors affecting commodity prices. The value of the U.S. dollar is one such factor given that most commodities are priced in U.S. dollars. However, commodity fundamentals remained strong at the end of the Reporting Period, in our opinion, and should overcome modest U.S. dollar moves to the upside should that occur. On the other hand, a reversal of fortunes for the U.S. dollar may provide more tailwinds for commodity price appreciation in 2022. |
4
FUND BASICS
| 1 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the 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 Consolidated 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
Commodity Strategy Fund
as of December 31, 2021
GOLDMAN SACHS COMMODITY STRATEGY FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Bloomberg Commodity Total Return Index (Gross, USD, Unhedged) (“Bloomberg Commodity Index”), and the Fund’s former benchmark, the S&P GSCI® Total Return Index (Gross, USD, Unhedged) (“S&P GSCI Index”) are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| | |
| Commodity Strategy Fund’s 10 Year Performance | | |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 33.03% | | | | 0.94% | | | -6.19% | | — |
Including sales charges | | | 27.00% | | | | 0.01% | | | -6.62% | | — |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 32.04% | | | | 0.17% | | | -6.89% | | — |
Including contingent deferred sales charges | | | 30.87% | | | | 0.17% | | | -6.89% | | — |
|
Institutional | | | 33.52% | | | | 1.27% | | | -5.89% | | — |
|
Investor | | | 33.33% | | | | 1.17% | | | -5.96% | | — |
|
Class R6 (Commenced July 31, 2015) | | | 33.44% | | | | 1.28% | | | N/A | | -0.92% |
|
Class R | | | 32.73% | | | | 0.68% | | | -6.45% | | — |
|
Class P (Commenced April 17, 2018) | | | 33.46% | | | | N/A | | | N/A | | -0.51% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 4.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
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.
6
PORTFOLIO RESULTS
Goldman Sachs Defensive Equity Fund
Investment Objective
The Fund seeks long-term growth of capital with lower volatility than equity markets.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Defensive Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 13.88%, 12.97%, 14.24%, 14.12%, 14.25%, 13.54% and 14.24%, respectively. These returns compare to the 28.71% average annual total return of the Fund’s benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the same period. |
| Q | | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | | The performance of the U.S. equity market and the Fund were influenced most during the Reporting Period by the distribution of COVID-19 vaccines, improving economic and employment conditions, rising inflation, higher interest rates, and continued fiscal stimulus and accommodative monetary policies from the U.S. government and the U.S. Federal Reserve (“Fed”). |
| | | In the first quarter of 2021, when the Reporting Period began, rising bond yields and a value-led equity market dominated. The two key drivers of this performance were the Democrat victory in Georgia in January, paving the way for massive additional U.S. fiscal stimulus and progress in the COVID-19 vaccine rollout. An increase in the 10-year U.S. Treasury yield benefited financials and value stocks. The accelerating rollout of COVID-19 vaccines boosted investors’ hopes of a sustainable reopening of the economy. Small-cap stocks, which tend to be more cyclical and domestically focused, performed particularly well. The passage of President Biden’s stimulus package led to upgrades in consensus forecasts for U.S. Gross Domestic Product growth for the year. Some investors worried the size of the U.S. stimulus could provoke a pickup in inflation. However, despite upgrading its growth forecasts for the year and expecting unemployment to decline, the Fed did not believe inflation would be meaningfully above target and did not expect to raise interest rates before 2024. |
| | | Discussions throughout the second quarter of 2021 centered on the central bank liquidity tailwind, fiscal stimulus, COVID-19 vaccine progress, reopening momentum, strong corporate profits and robust equity inflows. While inflation concerns were fairly pervasive, the Fed remained consistent in its messaging around expectations that price pressures would be transitory. The peak inflation theme gained traction as the quarter progressed, even as economists suggested the transitory period may be longer than expected. Corporate earnings season brought a round of outsized beats over consensus estimates, along with corporate commentary highlighting some input pressure offset for companies with above-average pricing power or productivity initiatives. Despite a late-quarter agreement between the White House and a bipartisan group of Senators on the framework of a physical infrastructure package, the path to additional fiscal stimulus remained complicated. |
| | | The U.S. equity market increased only marginally in the third quarter of 2021, as measured by the S&P 500® Index. Other major U.S. equity indices posted negative returns for the quarter. In July and August, the second quarter’s rally continued, as the focus remained on easy financial conditions, accommodative monetary policy, pent-up consumer demand, positive earnings sentiment, resilient operating margins, corporate buybacks and retail inflows. Some economic indicators, including higher inflation and lower than consensus expected retail sales and manufacturing activity, were causes of concern among investors, though the market and the Fed remained largely optimistic. Sentiment deteriorated in September as the spread of the COVID-19 Delta variant dampened reopening momentum and the Fed |
7
PORTFOLIO RESULTS
| | signaled for a slowdown of asset purchases. A still complicated path to fiscal stimulus in the House of Representatives, the then-looming debt ceiling discussion, and global risk events, including supply-chain disruptions and input price pressures, all put a strain on the U.S. equity market. September also saw a global risk asset sell-off on the heels of Chinese real estate developers’ leverage concerns and a spike in energy prices. U.S. Treasury yields climbed, as the global bond market posted its weakest month since March 2020. |
| | | The U.S. equity market, as measured by the S&P 500® Index, then rose strongly, logging its best performing quarter in the fourth quarter of 2021 since the fourth quarter of 2020 on the heels of robust consumer spending, strong corporate earnings results and passage of the U.S. government’s infrastructure plan. There remained a few areas of concern still intact, including the Omicron variant of COVID-19, which emerged in late November, persistent inflation and supply-chain pressures, acceleration in the Fed’s asset purchase tapering, and the fate of the social spending bill in Congress. Strong corporate earnings in October propelled U.S. equities higher despite the overhanging supply-chain issues and persistently high inflation. More than 80% of the S&P 500® Index constituent companies reported upside earnings surprises. The positive momentum continued into November, and the passage of the infrastructure bill boosted market sentiment until the World Health Organization announced Omicron as a variant of concern given its potentially heightened transmissibility. Increased case counts around the world and travel restrictions added pressure to the equities markets globally. Moreover, the fate of the social spending bill was punted into 2022. However, in December, studies showed the Omicron variant tends to cause less severe symptoms. The Fed also announced an accelerated timeline for tapering its asset purchases, doubling its pace from a decrease of $15 billion a month in corporate debt purchases to a decrease of $30 billion a month. The U.S. equity market rallied in December on positive seasonality and improved sentiment, closing the year on a high note. On the economic data front, inflation remained high in the fourth quarter, though the “peak inflation” narrative gained traction with cooler consumer confidence and manufacturing readings. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund seeks to maintain risk, style and capitalization characteristics similar to those of the S&P 500® Index, while seeking to provide lower volatility and enhanced downside protection. The QIS Team uses a quantitative style of management, in combination with a qualitative overlay, when selecting investments for the Fund. In addition, the QIS Team employs an options-based overlay strategy in an effort to provide lower volatility and enhanced downside protection for the Fund. |
| | | During the Reporting Period, the Fund underperformed the S&P 500® Index, with our options-based overlay strategy detracting most from relative returns. The Fund’s equity strategy, which aims to pick defensive stocks, also held back performance. |
| Q | | How did the Fund’s options-based overlay strategy affect its performance? |
| A | | Consistent with our investment approach, we employed an options-based overlay strategy whereby the Fund simultaneously purchases near-the-money put options while selling out-of-the-money call and put options on the S&P 500® Index. The Fund constructs the options-based overlay by buying S&P 500® Index put options at a higher strike price and writing S&P 500® Index put options at a relatively lower strike price, resulting in what is known as a put option spread, and at the same time selling S&P 500® Index call options. The put option spread is designed to provide the Fund with some downside protection, but this protection is limited to the extent of the difference between the strike price of a put option purchased and the strike price of a put option sold. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date. A put option is an option contract that gives the holder the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time. “Near-the-money” is a term used to describe an options contract with a strike price that is close to the market price of the underlying asset. “Out-of-the-money” is a term used to describe a put option with a strike price that is lower than the market price of the underlying asset.) |
| | | As the seller of S&P 500® Index call and put options, the Fund will receive cash (the “premium”) from the purchaser. If the purchaser exercises the call option, the Fund pays the purchaser the difference between the price of the index and the exercise price of the option. If the purchaser exercises the put option, the Fund pays the purchaser the difference between the exercise price of the option and the price of the index. The premium, the exercise price and the market price of the index determine the gain or loss realized by the Fund as the seller of call and put options. |
8
PORTFOLIO RESULTS
| | | During periods in which the U.S. equity markets are falling, a diversified portfolio of equity investments, with an options-based overlay strategy designed to seek to provide downside protection, may outperform the same portfolio without such an option-based overlay strategy. However, in strong rising markets, a portfolio with an options-based overlay strategy could significantly underperform the same portfolio without an options-based overlay strategy. This is what happened during the Reporting Period when the S&P 500® Index appreciated, and thus the Fund’s options-based overlay strategy detracted from performance. |
| | | Our options-based overlay strategy has the potential to reduce the Fund’s volatility. Since its inception, the realized daily volatility of the Fund has been 9.17% compared to the realized annualized volatility of the S&P 500® Index of 18.41%. During the Reporting Period, the realized daily volatility of the Fund was 7.34% compared to the realized volatility of the S&P 500® Index of 11.00%.1 |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used equity index call options and equity index put options as part of the Fund’s options-based overlay. The use of these derivatives had a negative impact on the Fund’s performance. In addition, as part of its equity strategy, the Fund employed equity index futures, which had a positive impact on performance during the Reporting Period. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight in the health care and consumer staples sectors relative to the S&P 500® Index. Compared to the S&P 500® Index, the Fund was underweight the financials, energy, materials and real estate sectors. The Fund was rather neutral compared to the S&P 500® Index in the information technology, consumer discretionary, communication services, industrials and utilities sectors at the end of the Reporting Period. |
| Q | | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
| A | | We made no significant changes to our quantitative model during the Reporting Period, though we optimized some of our existing techniques. |
| Q | | What is the Fund’s tactical view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we planned to continue employing our options-based overlay strategy, which may provide lower volatility and enhanced downside protection for the Fund, as we seek to provide investors with favorable risk-adjusted returns. |
| | 1 | | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations. |
9
FUND BASICS
Defensive Equity Fund
as of December 31, 2021
| | | | | | | | |
| | TOP TEN EQUITY HOLDINGS AS OF 12/31/211 |
| | | |
| | | Holding | | % of Net Assets | | | Line of Business |
| | | |
| | Apple, Inc. | | | 6.7 | % | | Technology Hardware, Storage & Peripherals |
| | Microsoft Corp. | | | 6.3 | | | Software |
| | Alphabet, Inc. Class A | | | 4.3 | | | Interactive Media & Services |
| | Amazon.com, Inc. | | | 3.6 | | | Internet & Direct Marketing Retail |
| | Tesla, Inc. | | | 2.2 | | | Automobiles |
| | Meta Platforms, Inc. Class A | | | 2.1 | | | Interactive Media & Services |
| | NVIDIA Corp. | | | 1.9 | | | Semiconductors & Semiconductor Equipment |
| | UnitedHealth Group, Inc. | | | 1.5 | | | Health Care Providers & Services |
| | Johnson & Johnson | | | 1.4 | | | Pharmaceuticals |
| | | JPMorgan Chase & Co. | | | 1.4 | | | Banks |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
10
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on September 30, 2020 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the S&P 500 (TR, Unhedged, USD) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Defensive Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from September 30, 2020 through December 31, 2021.
| | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Since Inception | |
Class A (Commenced September 30, 2020) | | | | | | | | |
Excluding sales charges | | | 13.88% | | | | 12.74% | |
Including sales charges | | | 7.65% | | | | 7.76% | |
| |
Class C (Commenced September 30, 2020) | | | | | | | | |
Excluding contingent deferred sales charges | | | 12.97% | | | | 11.82% | |
Including contingent deferred sales charges | | | 11.88% | | | | 11.79% | |
| |
Institutional (Commenced September 30, 2020) | | | 14.24% | | | | 13.09% | |
| |
Investor (Commenced September 30, 2020) | | | 14.12% | | | | 12.96% | |
| |
Class R6 (Commenced September 30, 2020) | | | 14.25% | | | | 13.09% | |
| |
Class R (Commenced September 30, 2020) | | | 13.54% | | | | 12.40% | |
| |
Class P (Commenced September 30, 2020) | | | 14.24% | | | | 13.09% | |
| |
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
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.
11
FUND BASICS
Index Definitions
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
It is not possible to invest directly in an unmanaged index.
The S&P GSCI® is an unmanaged composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. Individual components qualify for inclusion in the S&P GSCI® on the basis of liquidity and are weighted by their respective world production quantities. The figures for the S&P GSCI® do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
The Bloomberg Commodity Total Return index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM. This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills. It is not possible to invest in an unmanaged index.
12
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
December 31, 2021
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| |
| U.S. Treasury Obligations – 16.6% | | | | |
| | U.S.Treasury Notes | | | | | |
| | 39,250,000 | | | | 1.750 | %(a) | | | 02/28/22 | | | $ | 39,349,658 | |
| | 47,000,000 | | | | 1.875 | | | | 05/31/22 | | | | 47,326,797 | |
| | |
| | TOTAL U.S. TREASURY OBLIGATIONS | | | | | |
| | (Cost $86,706,326) | | | | | | | $ | 86,676,455 | |
| | |
| | | | | | | | | | | | | | |
| Shares | | | Dividend
Rate | | | Value | |
| |
| Investment Company(b) – 14.1% | | | | |
| Goldman Sachs Financial Square Government Fund – Institutional
Shares |
|
| | 73,228,627 | | | | 0.026% | | | $ | 73,228,627 | |
| | (Cost $73,228,627) | | | | | |
| | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| |
| Short-term Investments(c) – 63.4% | | | | |
| U.S. Treasury Obligations – 63.4% | | | | |
| | U.S.Treasury Bills | | | | | |
| | 71,000,000 | | | | 0.000 | %(a) | | | 01/27/22 | | | $ | 70,999,072 | |
| | 53,800,000 | | | | 0.000 | | | | 02/24/22 | | | | 53,797,863 | |
| | 53,800,000 | | | | 0.000 | | | | 03/17/22 | | | | 53,794,567 | |
| | 22,000,000 | | | | 0.000 | (a) | | | 03/31/22 | | | | 21,997,200 | |
| | 130,000,000 | | | | 0.000 | | | | 06/30/22 | | | | 129,881,087 | |
| | |
| | TOTAL SHORT-TERM INVESTMENTS | | | | | |
| | (Cost $330,463,217) | | | | | | | $ | 330,469,789 | |
| | |
| | TOTAL INVESTMENTS – 94.1% | | | | | |
| | (Cost $490,398,170) | | | $ | 490,374,871 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 5.9% |
| | | 31,017,314 | |
| | |
| | NET ASSETS – 100.0% | | | $ | 521,392,185 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
(a) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
| |
(b) | | Represents an Affiliated issuer. |
| |
(c) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| | |
|
Currency Abbreviation: |
USD | | —U.S. Dollar |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
Brent Crude | | | 535 | | | | 01/31/22 | | | $ | 41,612,300 | | | $ | 1,222,076 | |
Copper | | | 171 | | | | 01/17/22 | | | | 41,670,563 | | | | 850,428 | |
Corn | | | 72 | | | | 03/14/22 | | | | 2,135,700 | | | | (6,750 | ) |
Crude Oil | | | 626 | | | | 02/22/22 | | | | 46,874,880 | | | | (955,884 | ) |
Crude Oil | | | 46 | | | | 01/20/22 | | | | 3,459,660 | | | | 368,534 | |
Crude Oil | | | 9 | | | | 03/22/22 | | | | 670,050 | | | | 50,752 | |
Gold 100 Oz | | | 129 | | | | 02/24/22 | | | | 23,588,940 | | | | (83,754 | ) |
Lean Hogs | | | 32 | | | | 02/14/22 | | | | 1,042,880 | | | | (24,101 | ) |
Low Sulphur Gas Oil | | | 185 | | | | 02/10/22 | | | | 12,325,625 | | | | 213,927 | |
Natural Gas | | | 206 | | | | 03/29/22 | | | | 7,224,420 | | | | (2,476 | ) |
Natural Gas | | | 696 | | | | 02/24/22 | | | | 24,756,720 | | | | (10,404,333 | ) |
Natural Gas | | | 368 | | | | 01/27/22 | | | | 13,726,400 | | | | (314,857 | ) |
Nikhel | | | 81 | | | | 01/17/22 | | | | 10,144,521 | | | | 469,259 | |
Platinum | | | 137 | | | | 04/27/22 | | | | 6,618,470 | | | | 21,794 | |
Primary Aluminum | | | 94 | | | | 01/17/22 | | | | 6,587,050 | | | | 482,015 | |
Silver | | | 125 | | | | 03/29/22 | | | | 14,595,000 | | | | (807,321 | ) |
Soyabean | | | 191 | | | | 03/14/22 | | | | 8,569,647 | | | | 603,457 | |
Wheat | | | 61 | | | | 03/14/22 | | | | 2,407,675 | | | | (128,013 | ) |
Zinc | | | 142 | | | | 01/17/22 | | | | 12,709,000 | | | | 1,413,714 | |
| | | | |
| Total | | | | | | | | | | | | | | $ | (7,031,533 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Short position contracts: | | | | | | | | | | | | | | | | |
Cattle | | | (118 | ) | | | 02/28/22 | | | $ | (6,593,840 | ) | | $ | (86,657 | ) |
Cocoa | | | (196 | ) | | | 03/16/22 | | | | (4,939,200 | ) | | | (256,344 | ) |
Coffee | | | (38 | ) | | | 03/21/22 | | | | (3,221,925 | ) | | | 16,892 | |
Copper | | | (135 | ) | | | 05/26/22 | | | | (15,030,563 | ) | | | (498,642 | ) |
Copper | | | (183 | ) | | | 03/29/22 | | | | (20,420,512 | ) | | | (792,658 | ) |
Cotton No. 2 | | | (103 | ) | | | 03/09/22 | | | | (5,798,900 | ) | | | 111,315 | |
Crude Oil | | | (1,335 | ) | | | 04/20/22 | | | | (98,709,900 | ) | | | (10,466,895 | ) |
FCOJ-A | | | (18 | ) | | | 03/11/22 | | | | (377,865 | ) | | | (5,283 | ) |
Gasoline RBOB | | | (24 | ) | | | 01/31/22 | | | | (2,242,397 | ) | | | (103,902 | ) |
Natural Gas | | | (828 | ) | | | 04/27/22 | | | | (29,187,000 | ) | | | 1,126,824 | |
NY Harbor ULSD | | | (51 | ) | | | 01/31/22 | | | | (4,980,793 | ) | | | (302,791 | ) |
Sugar No. 11 | | | (169 | ) | | | 02/28/22 | | | | (3,573,606 | ) | | | 260,621 | |
| | | | |
| Total | | | | | | | | | | | | | | $ | (10,997,520 | ) |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | (18,029,053 | ) |
SWAP CONTRACTS — At December 31, 2021, 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)* | |
CRB 1M Forward Index | | | 3M USD LIBOR+0.024% | | | Citibank NA | | | 01/31/22 | | | $ | 121,299 | | | $ | (758 | ) |
CRB 1M Forward Index | | | 3M USD LIBOR+0.025 | | | Merrill Lynch & Co., Inc. | | | 01/31/22 | | | | 183,732 | | | | (1,201 | ) |
CRB 1M Forward Index | | | 3M USD LIBOR+0.025 | | | UBS AG (London) | | | 01/31/22 | | | | 129,715 | | | | (849 | ) |
| | | | | |
| TOTAL | | | | | | | | | | | | | | | | $ | (2,808 | ) |
| | # | | 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. |
| | |
|
Abbreviation: |
CRB 1M Forward Index | | —Commodity Research Bureau 1 Month Forward Index |
|
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – 93.9% | |
| Aerospace & Defense – 0.6% | |
| | 488 | | | Raytheon Technologies Corp. | | $ | 41,997 | |
| | |
| Air Freight & Logistics – 0.6% | |
| | 205 | | | United Parcel Service, Inc. Class B | | | 43,940 | |
| | |
| Automobiles* – 2.2% | |
| | 147 | | | Tesla, Inc. | | | 155,347 | |
| | |
| Banks – 3.0% | |
| | 1,515 | | | Bank of America Corp. | | | 67,402 | |
| | 612 | | | JPMorgan Chase & Co. | | | 96,910 | |
| | 906 | | | Wells Fargo & Co. | | | 43,470 | |
| | | | | | | | |
| | | | | | | 207,782 | |
| | |
| Beverages – 1.8% | |
| | 370 | | | PepsiCo, Inc. | | | 64,273 | |
| | 1,034 | | | The Coca-Cola Co. | | | 61,223 | |
| | | | | | | | |
| | | | | | | 125,496 | |
| | |
| Biotechnology – 1.1% | |
| | 390 | | | AbbVie, Inc. | | | 52,806 | |
| | 98 | | | Vertex Pharmaceuticals, Inc.* | | | 21,521 | |
| | | | | | | | |
| | | | | | | 74,327 | |
| | |
| Building Products – 1.0% | |
| | 464 | | | Carrier Global Corp. | | | 25,168 | |
| | 256 | | | Johnson Controls International PLC | | | 20,815 | |
| | 112 | | | Trane Technologies PLC | | | 22,627 | |
| | | | | | | | |
| | | | | | | 68,610 | |
| | |
| Capital Markets – 2.2% | |
| | 33 | | | BlackRock, Inc. | | | 30,213 | |
| | 209 | | | Intercontinental Exchange, Inc. | | | 28,585 | |
| | 58 | | | Moody’s Corp. | | | 22,654 | |
| | 86 | | | S&P Global, Inc. | | | 40,586 | |
| | 352 | | | The Charles Schwab Corp. | | | 29,603 | |
| | | | | | | | |
| | | | | | | 151,641 | |
| | |
| Chemicals – 1.5% | |
| | 85 | | | Air Products & Chemicals, Inc. | | | 25,862 | |
| | 119 | | | Linde PLC | | | 41,225 | |
| | 100 | | | The Sherwin-Williams Co. | | | 35,216 | |
| | | | | | | | |
| | | | | | | 102,303 | |
| | |
| Commercial Services & Supplies – 1.0% | |
| | 46 | | | Cintas Corp. | | | 20,386 | |
| | 121 | | | Republic Services, Inc. | | | 16,874 | |
| | 187 | | | Waste Management, Inc. | | | 31,210 | |
| | | | | | | | |
| | | | | | | 68,470 | |
| | |
| Communications Equipment – 0.8% | |
| | 898 | | | Cisco Systems, Inc. | | | 56,906 | |
| | |
| Consumer Finance – 0.4% | |
| | 165 | | | American Express Co. | | | 26,994 | |
| | |
| Diversified Telecommunication Services – 0.8% | |
| | 1,117 | | | Verizon Communications, Inc. | | | 58,039 | |
| | |
|
| Common Stocks – (continued) | |
| Electric Utilities – 1.7% | |
| | 198 | | | American Electric Power Co., Inc. | | | 17,616 | |
| | 263 | | | Duke Energy Corp. | | | 27,589 | |
| | 467 | | | NextEra Energy, Inc. | | | 43,599 | |
| | 382 | | | The Southern Co. | | | 26,197 | |
| | | | | | | | |
| | | | | | | 115,001 | |
| | |
| Electrical Equipment – 0.9% | |
| | 164 | | | Eaton Corp. PLC | | | 28,343 | |
| | 192 | | | Emerson Electric Co. | | | 17,850 | |
| | 47 | | | Rockwell Automation, Inc. | | | 16,396 | |
| | | | | | | | |
| | | | | | | 62,589 | |
| | |
| Electronic Equipment, Instruments & Components – 1.1% | |
| | 386 | | | Corning, Inc. | | | 14,371 | |
| | 72 | | | Keysight Technologies, Inc.* | | | 14,869 | |
| | 159 | | | TE Connectivity Ltd. | | | 25,653 | |
| | 33 | | | Zebra Technologies Corp. Class A* | | | 19,641 | |
| | | | | | | | |
| | | | | | | 74,534 | |
| | |
| Entertainment* – 1.9% | |
| | 108 | | | Netflix, Inc. | | | 65,063 | |
| | 413 | | | The Walt Disney Co. | | | 63,970 | |
| | | | | | | | |
| | | | | | | 129,033 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 1.5% | |
| | 116 | | | American Tower Corp. | | | 33,930 | |
| | 242 | | | Prologis, Inc. | | | 40,743 | |
| | 73 | | | Public Storage | | | 27,343 | |
| | | | | | | | |
| | | | | | | 102,016 | |
| | |
| Food & Staples Retailing – 1.9% | |
| | 119 | | | Costco Wholesale Corp. | | | 67,556 | |
| | 444 | | | Walmart, Inc. | | | 64,243 | |
| | | | | | | | |
| | | | | | | 131,799 | |
| | |
| Food Products – 1.3% | |
| | 250 | | | General Mills, Inc. | | | 16,845 | |
| | 481 | | | Mondelez International, Inc. Class A | | | 31,895 | |
| | 104 | | | The Hershey Co. | | | 20,121 | |
| | 553 | | | The Kraft Heinz Co. | | | 19,853 | |
| | | | | | | | |
| | | | | | | 88,714 | |
| | |
| Health Care Equipment & Supplies – 4.5% | |
| | 379 | | | Abbott Laboratories | | | 53,340 | |
| | 38 | | | Align Technology, Inc.* | | | 24,973 | |
| | 115 | | | Becton Dickinson & Co. | | | 28,920 | |
| | 568 | | | Boston Scientific Corp.* | | | 24,129 | |
| | 36 | | | DexCom, Inc.* | | | 19,330 | |
| | 269 | | | Edwards Lifesciences Corp.* | | | 34,849 | |
| | 44 | | | IDEXX Laboratories, Inc.* | | | 28,972 | |
| | 90 | | | Intuitive Surgical, Inc.* | | | 32,337 | |
| | 299 | | | Medtronic PLC | | | 30,932 | |
| | 128 | | | Stryker Corp. | | | 34,230 | |
| | | | | | | | |
| | | | | | | 312,012 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Health Care Providers & Services – 2.3% | |
| | 305 | | | CVS Health Corp. | | $ | 31,464 | |
| | 90 | | | HCA Healthcare, Inc. | | | 23,123 | |
| | 203 | | | UnitedHealth Group, Inc. | | | 101,934 | |
| | | | | | | | |
| | | | | | | 156,521 | |
| | |
| Hotels, Restaurants & Leisure – 2.1% | |
| | 15 | | | Booking Holdings, Inc.* | | | 35,988 | |
| | 14 | | | Chipotle Mexican Grill, Inc.* | | | 24,476 | |
| | 177 | | | McDonald’s Corp. | | | 47,448 | |
| | 349 | | | Starbucks Corp. | | | 40,823 | |
| | | | | | | | |
| | | | | | | 148,735 | |
| | |
| Household Products – 1.5% | |
| | 246 | | | Colgate-Palmolive Co. | | | 20,994 | |
| | 502 | | | The Procter & Gamble Co. | | | 82,117 | |
| | | | | | | | |
| | | | | | | 103,111 | |
| | |
| Industrial Conglomerates – 1.2% | |
| | 208 | | | 3M Co. | | | 36,947 | |
| | 226 | | | Honeywell International, Inc. | | | 47,123 | |
| | | | | | | | |
| | | | | | | 84,070 | |
| | |
| Insurance – 1.6% | |
| | 87 | | | Aon PLC Class A | | | 26,149 | |
| | 140 | | | Chubb Ltd. | | | 27,063 | |
| | 219 | | | Marsh & McLennan Cos., Inc. | | | 38,067 | |
| | 217 | | | The Progressive Corp. | | | 22,275 | |
| | | | | | | | |
| | | | | | | 113,554 | |
| | |
| Interactive Media & Services* – 6.4% | |
| | 104 | | | Alphabet, Inc. Class A | | | 301,292 | |
| | 427 | | | Meta Platforms, Inc. Class A | | | 143,622 | |
| | | | | | | | |
| | | | | | | 444,914 | |
| | |
| Internet & Direct Marketing Retail* – 3.6% | |
| | 75 | | | Amazon.com, Inc. | | | 250,075 | |
| | |
| IT Services – 5.1% | |
| | 165 | | | Accenture PLC Class A | | | 68,401 | |
| | 136 | | | Automatic Data Processing, Inc. | | | 33,535 | |
| | 225 | | | Fidelity National Information Services, Inc. | | | 24,559 | |
| | 50 | | | Gartner, Inc.* | | | 16,716 | |
| | 200 | | | Mastercard, Inc. Class A | | | 71,864 | |
| | 294 | | | PayPal Holdings, Inc.* | | | 55,442 | |
| | 370 | | | Visa, Inc. Class A | | | 80,183 | |
| | | | | | | | |
| | | | | | | 350,700 | |
| | |
| Life Sciences Tools & Services – 2.4% | |
| | 161 | | | Agilent Technologies, Inc. | | | 25,704 | |
| | 177 | | | Danaher Corp. | | | 58,235 | |
| | 75 | | | IQVIA Holdings, Inc.* | | | 21,160 | |
| | 97 | | | Thermo Fisher Scientific, Inc. | | | 64,722 | |
| | | | | | | | |
| | | | | | | 169,821 | |
| | |
| Machinery – 1.2% | |
| | 186 | | | Caterpillar, Inc. | | | 38,454 | |
| | 71 | | | Deere & Co. | | | 24,345 | |
| | |
|
| Common Stocks – (continued) | |
| Machinery – (continued) | |
| | 251 | | | Otis Worldwide Corp. | | | 21,854 | |
| | | | | | | | |
| | | | | | | 84,653 | |
| | |
| Media – 0.7% | |
| | 929 | | | Comcast Corp. Class A | | | 46,757 | |
| | |
| Multi-Utilities – 0.4% | |
| | 351 | | | Dominion Energy, Inc. | | | 27,575 | |
| | |
| Multiline Retail – 0.4% | |
| | 135 | | | Target Corp. | | | 31,244 | |
| | |
| Oil, Gas & Consumable Fuels – 0.8% | |
| | 954 | | | Exxon Mobil Corp. | | | 58,375 | |
| | |
| Personal Products – 0.4% | |
| | 82 | | | The Estee Lauder Cos., Inc. Class A | | | 30,356 | |
| | |
| Pharmaceuticals – 4.8% | |
| | 539 | | | Bristol-Myers Squibb Co. | | | 33,607 | |
| | 181 | | | Eli Lilly & Co. | | | 49,996 | |
| | 575 | | | Johnson & Johnson | | | 98,365 | |
| | 585 | | | Merck & Co., Inc. | | | 44,834 | |
| | 1,111 | | | Pfizer, Inc. | | | 65,604 | |
| | 160 | | | Zoetis, Inc. | | | 39,045 | |
| | | | | | | | |
| | | | | | | 331,451 | |
| | |
| Professional Services – 0.6% | |
| | 66 | | | Equifax, Inc. | | | 19,324 | |
| | 84 | | | Verisk Analytics, Inc. | | | 19,213 | |
| | | | | | | | |
| | | | | | | 38,537 | |
| | |
| Road & Rail – 1.2% | |
| | 70 | | | Norfolk Southern Corp. | | | 20,840 | |
| | 47 | | | Old Dominion Freight Line, Inc. | | | 16,844 | |
| | 186 | | | Union Pacific Corp. | | | 46,859 | |
| | | | | | | | |
| | | | | | | 84,543 | |
| | |
| Semiconductors & Semiconductor Equipment – 4.6% | |
| | 336 | | | Advanced Micro Devices, Inc.* | | | 48,350 | |
| | 874 | | | Intel Corp. | | | 45,011 | |
| | 456 | | | NVIDIA Corp. | | | 134,114 | |
| | 232 | | | QUALCOMM, Inc. | | | 42,426 | |
| | 269 | | | Texas Instruments, Inc. | | | 50,699 | |
| | | | | | | | |
| | | | | | | 320,600 | |
| | |
| Software – 10.2% | |
| | 122 | | | Adobe, Inc.* | | | 69,181 | |
| | 73 | | | Fortinet, Inc.* | | | 26,236 | |
| | 64 | | | Intuit, Inc. | | | 41,166 | |
| | 1,293 | | | Microsoft Corp. | | | 434,862 | |
| | 396 | | | Oracle Corp. | | | 34,535 | |
| | 251 | | | salesforce.com, Inc.* | | | 63,787 | |
| | 54 | | | ServiceNow, Inc.* | | | 35,052 | |
| | | | | | | | |
| | | | | | | 704,819 | |
| | |
| Specialty Retail – 2.7% | |
| | 196 | | | Lowe’s Cos., Inc. | | | 50,662 | |
| | 36 | | | O’Reilly Automotive, Inc.* | | | 25,425 | |
| | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Specialty Retail – (continued) | |
| | 227 | | | The Home Depot, Inc. | | $ | 94,207 | |
| | 62 | | | Tractor Supply Co. | | | 14,793 | |
| | | | | | | | |
| | | | | | | 185,087 | |
| | |
| Technology Hardware, Storage & Peripherals – 6.7% | |
| | 2,609 | | | Apple, Inc. | | | 463,280 | |
| | |
| Textiles, Apparel & Luxury Goods – 0.9% | |
| | 367 | | | NIKE, Inc. Class B | | | 61,168 | |
| | |
| Trading Companies & Distributors – 0.3% | |
| | 310 | | | Fastenal Co. | | | 19,859 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $6,098,942) | | $ | 6,507,355 | |
| | |
| | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company(a) – 6.1% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 420,723 | | | 0.026% | | $ | 420,723 | |
| | (Cost $420,723) | |
| | |
| | TOTAL INVESTMENTS – 100.0% | |
| | (Cost $6,519,665) | | $ | 6,928,078 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.0% | | | 3,091 | |
| | |
| | NET ASSETS – 100.0% | | $ | 6,931,169 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
* | | Non-income producing security. |
| |
(a) | | Represents an Affiliated issuer. |
| | |
|
Investment Abbreviation: |
PLC | | —Public Limited Company |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2021, 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 | | | 2 | | | | 03/18/22 | | | $ | 475,850 | | | $ | 9,884 | |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid (Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $4,385.00 | | | 01/31/2022 | | | | 5 | | | $ | 2,192,500 | | | $ | 6,425 | | | $ | 44,584 | | | $ | (38,159 | ) |
S&P 500 Index | | 4,415.00 | | | 02/28/2022 | | | | 5 | | | | 2,207,500 | | | | 19,175 | | | | 69,880 | | | | (50,705 | ) |
S&P 500 Index | | 4,555.00 | | | 03/31/2022 | | | | 5 | | | | 2,277,500 | | | | 46,500 | | | | 47,954 | | | | (1,454 | ) |
| | | | | | | |
| Total purchased option contracts | | | | | | | | | 15 | | | $ | 6,677,500 | | | $ | 72,100 | | | $ | 162,418 | | | $ | (90,318 | ) |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | 4,840.00 | | | 02/28/2022 | | | | (5 | ) | | | (2,420,000 | ) | | | (32,450 | ) | | | (24,432 | ) | | | (8,018 | ) |
S&P 500 Index | | 4,760.00 | | | 01/31/2022 | | | | (5 | ) | | | (2,380,000 | ) | | | (38,100 | ) | | | (26,902 | ) | | | (11,198 | ) |
S&P 500 Index | | 4,945.00 | | | 03/31/2022 | | | | (5 | ) | | | (2,472,500 | ) | | | (26,775 | ) | | | (28,296 | ) | | | 1,521 | |
| | | | | | | |
| | | | | | | | | | (15 | ) | | $ | (7,272,500 | ) | | $ | (97,325 | ) | | $ | (79,630 | ) | | $ | (17,695 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON FUTURES (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid (Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $3,860.00 | | | 02/28/2022 | | | | (5 | ) | | $ | (1,930,000 | ) | | $ | (5,275 | ) | | $ | (26,607 | ) | | $ | 21,332 | |
S&P 500 Index | | 3,890.00 | | | 01/31/2022 | | | | (5 | ) | | | (1,945,000 | ) | | | (1,900 | ) | | | (16,122 | ) | | | 14,222 | |
S&P 500 Index | | 4,030.00 | | | 03/31/2022 | | | | (5 | ) | | | (2,015,000 | ) | | | (16,050 | ) | | | (16,246 | ) | | | 196 | |
| | | | | | | | | | (15 | ) | | $ | (5,890,000 | ) | | $ | (23,225 | ) | | $ | (58,975 | ) | | $ | 35,750 | |
| | | | | | | |
| Total written option contracts | | | | | | | | | (30 | ) | | $ | (13,162,500 | ) | | $ | (120,550 | ) | | $ | (138,605 | ) | | $ | 18,055 | |
| | | | | | | |
| TOTAL | | | | | | | | | (15 | ) | | $ | (6,485,000 | ) | | $ | (48,450 | ) | | $ | 23,813 | | | $ | (72,263 | ) |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Assets and Liabilities
December 31, 2021
| | | | | | | | | | |
| | | | | Commodity
Strategy Fund(a) | | | Defensive Equity Fund | |
| | Assets: | | | | | | | | |
| | Investments of unaffiliated issuers, at value (cost $417,169,543 and $6,098,942, respectively) | | $ | 417,146,244 | | | $ | 6,507,355 | |
| | Investments of affiliated issuers, at value (cost $73,228,627 and $420,723, respectively) | | | 73,228,627 | | | | 420,723 | |
| | Purchased options, at value (premium paid $0 and $162,418, respectively) | | | — | | | | 72,100 | |
| | Cash | | | — | | | | 107,838 | |
| | Variation margin on futures contracts | | | 4,097,655 | | | | — | |
| | Receivables: | | | | | | | | |
| | Due from broker — upfront payment | | | 25,780,393 | | | | — | |
| | Investments sold | | | 20,528,338 | | | | 1,135,288 | |
| | Collateral on certain derivative contracts(b) | | | — | | | | 25,300 | |
| | Fund shares sold | | | 281,378 | | | | — | |
| | Dividends and interest | | | 180,419 | | | | 3,222 | |
| | Reimbursement from investment adviser | | | 48,912 | | | | — | |
| | Other assets | | | 75,211 | | | | 49,922 | |
| | Total assets | | | 541,367,177 | | | | 8,321,748 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Due to custodian (overdraft) | | | 19,033,905 | | | | — | |
| | Written option contracts, at value (premium received $0 and $138,605, respectively) | | | — | | | | 120,550 | |
| | Unrealized loss on swap contracts | | | 2,808 | | | | — | |
| | Variation margin on futures contracts | | | — | | | | 1,375 | |
| | Payables: | | | | | | | | |
| | Management fees | | | 215,495 | | | | 2,981 | |
| | Fund shares redeemed | | | 183,556 | | | | — | |
| | Distribution and Service fees and Transfer Agency fees | | | 33,653 | | | | 435 | |
| | Investments purchased | | | 1,371 | | | | 1,133,983 | |
| | Accrued expenses | | | 504,204 | | | | 131,255 | |
| | Total liabilities | | | 19,974,992 | | | | 1,390,579 | |
| | | | | | | | | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 536,111,139 | | | | 6,555,574 | |
| | Total distributable earnings (loss) | | | (14,718,954 | ) | | | 375,595 | |
| | | NET ASSETS | | | $521,392,185 | | | | $6,931,169 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 40,183,452 | | | $ | 315,031 | |
| | | Class C | | | 3,125,038 | | | | 100,430 | |
| | | Institutional | | | 206,781,979 | | | | 6,282,740 | |
| | | Investor | | | 33,336,983 | | | | 58,285 | |
| | | Class R6 | | | 94,835,518 | | | | 58,379 | |
| | | Class R | | | 3,271,486 | | | | 57,924 | |
| | | Class P | | | 139,857,729 | | | | 58,380 | |
| | | Total Net Assets | | $ | 521,392,185 | | | $ | 6,931,169 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 4,515,052 | | | | 29,444 | |
| | | Class C | | | 378,740 | | | | 9,448 | |
| | | Institutional | | | 22,870,930 | | | | 586,204 | |
| | | Investor | | | 3,685,957 | | | | 5,438 | |
| | | Class R6 | | | 10,463,689 | | | | 5,446 | |
| | | Class R | | | 375,643 | | | | 5,414 | |
| | | Class P | | | 15,437,384 | | | | 5,446 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | |
| | | Class A | | | $8.90 | | | | $10.70 | |
| | | Class C | | | 8.25 | | | | 10.63 | |
| | | Institutional | | | 9.04 | | | | 10.72 | |
| | | Investor | | | 9.04 | | | | 10.72 | |
| | | Class R6 | | | 9.06 | | | | 10.72 | |
| | | Class R | | | 8.71 | | | | 10.70 | |
| | | Class P | | | 9.06 | | | | 10.72 | |
| | (a) | | Statement of Assets and Liabilities for the Commodity Strategy Fund is consolidated and include the balance of a wholly-owned subsidiary, Cayman Commodity-CSF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Segregated for initial margin and/or collateral as follows: |
| | | | |
| Fund | | Futures | |
Defensive Equity | | $ | 25,300 | |
| | (c) | | Maximum public offering price per share for Class A Shares of the Commodity Strategy Fund and Defensive Equity Fund is $9.42 and $11.32, respectively. 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. | | 19 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Operations
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | |
| | | | | Commodity
Strategy Fund(a) | | | Defensive Equity Fund | |
| | Investment income: | | | | |
| | | |
| | Interest | | $ | 66,400 | | | $ | — | |
| | | |
| | Dividends — affiliated issuers | | | 18,980 | | | | 57 | |
| | | |
| | Dividends — unaffiliated issuers | | | — | | | | 67,334 | |
| | | |
| | Total investment income | | | 85,380 | | | | 67,391 | |
| | | | | | | | | | |
| | Expenses: | | | | |
| | | |
| | Management fees | | | 2,242,669 | | | | 32,714 | |
| | | |
| | Professional fees | | | 286,544 | | | | 96,782 | |
| | | |
| | Printing and mailing costs | | | 202,942 | | | | 56,108 | |
| | | |
| | Transfer Agency fees(b) | | | 172,672 | | | | 2,836 | |
| | | |
| | Custody, accounting and administrative services | | | 152,745 | | | | 30,650 | |
| | | |
| | Registration fees | | | 95,156 | | | | 51,453 | |
| | | |
| | Distribution and Service (12b-1) fees(b) | | | 89,238 | | | | 1,100 | |
| | | |
| | Trustee fees | | | 19,625 | | | | 19,075 | |
| | | |
| | Service fees — Class C | | | 5,123 | | | | 155 | |
| | | |
| | Amortization of offering costs | | | — | | | | 259,263 | |
| | | |
| | Other | | | 46,443 | | | | 32,536 | |
| | | |
| | Total expenses | | | 3,313,157 | | | | 582,672 | |
| | | |
| | Less — expense reductions | | | (935,549 | ) | | | (545,890 | ) |
| | | |
| | Net expenses | | | 2,377,608 | | | | 36,782 | |
| | | |
| | NET INVESTMENT INCOME (LOSS) | | | (2,292,228 | ) | | | 30,609 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 2,798,220 | | | | 1,170,652 | |
| | | |
| | Purchased options | | | — | | | | (590,643 | ) |
| | | |
| | Futures contracts | | | 20,368,205 | | | | 105,960 | |
| | | |
| | Written options | | | — | | | | 97,955 | |
| | | |
| | Swap contracts | | | 88,959,068 | | | | — | |
| | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | (3,470,928 | ) | | | 71,241 | |
| | | |
| | Purchased options | | | — | | | | (88,117 | ) |
| | | |
| | Futures contracts | | | (18,153,353 | ) | | | (1,090 | ) |
| | | |
| | Written options | | | — | | | | 21,513 | |
| | | |
| | Swap contracts | | | (2,848 | ) | | | — | |
| | | |
| | Net realized and unrealized gain | | | 90,498,364 | | | | 787,471 | |
| | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 88,206,136 | | | $ | 818,080 | |
| | (a) | | Statement of Operations for Commodity Strategy Fund is consolidated and include the balance of a wholly-owned subsidiary, Cayman Commodity-CSF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Class specific Distribution and/or Service (12b-1) and Transfer Agent fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or
Service (12b-1) Fees | | | Transfer Agent Fees | |
Fund | | Class A | | | Class C | | | Class R | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Commodity Strategy | | $ | 59,505 | | | $ | 15,368 | | | $ | 14,365 | | | $ | 28,562 | | | $ | 2,459 | | | $ | 68,918 | | | $ | 19,555 | | | $ | 27,842 | | | $ | 3,448 | | | $ | 21,888 | |
Defensive Equity | | | 364 | | | | 464 | | | | 272 | | | | 232 | | | | 99 | | | | 2,299 | | | | 87 | | | | 16 | | | | 87 | | | | 16 | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund(a) | | | | | | Defensive Equity Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the
Period Ended
December 31, 2020(b) | |
| | From operations: | | | | | | | | | | | | | |
| | Net investment income (loss) | | $ | (2,292,228 | ) | | $ | (264,652 | ) | | | | | | $ | 30,609 | | | $ | 10,363 | |
| | Net realized gain (loss) | | | 112,125,493 | | | | (52,273,359 | ) | | | | | | | 783,924 | | | | (245,088 | ) |
| | Net change in unrealized gain (loss) | | | (21,627,129 | ) | | | 1,808,856 | | | | | | | | 3,547 | | | | 342,487 | |
| | Net increase (decrease) in net assets resulting from operations | | | 88,206,136 | | | | (50,729,155 | ) | | | | | | | 818,080 | | | | 107,762 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (5,752,510 | ) | | | (35,886 | ) | | | | | | | (17,059 | ) | | | (108 | ) |
| | Class C Shares | | | (463,509 | ) | | | — | | | | | | | | (7,588 | ) | | | (4 | ) |
| | Institutional Shares | | | (31,246,856 | ) | | | (485,058 | ) | | | | | | | (497,162 | ) | | | (10,372 | ) |
| | Investor Shares | | | (5,021,769 | ) | | | (10,293 | ) | | | | | | | (4,551 | ) | | | (89 | ) |
| | Class R6 Shares | | | (13,507,757 | ) | | | (249,795 | ) | | | | | | | (4,623 | ) | | | (105 | ) |
| | Class R Shares | | | (463,777 | ) | | | (2,158 | ) | | | | | | | (4,340 | ) | | | (26 | ) |
| | Class P Shares | | | (20,048,961 | ) | | | (2,720 | ) | | | | | | | (4,623 | ) | | | (105 | ) |
| | Total distributions to shareholders | | | (76,505,139 | ) | | | (785,910 | ) | | | | | | | (539,946 | ) | | | (10,809 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | |
| | Proceeds from sales of shares | | | 336,827,798 | | | | 138,603,930 | | | | | | | | 1,097,648 | | | | 5,427,072 | |
| | Reinvestment of distributions | | | 65,973,579 | | | | 614,812 | | | | | | | | 539,946 | | | | 10,809 | |
| | Cost of shares redeemed | | | (125,874,133 | ) | | | (131,532,145 | ) | | | | | | | (519,323 | ) | | | (70 | ) |
| | Net increase in net assets resulting from share transactions | | | 276,927,244 | | | | 7,686,597 | | | | | | | | 1,118,271 | | | | 5,437,811 | |
| | TOTAL INCREASE (DECREASE) | | | 288,628,241 | | | | (43,828,468 | ) | | | | | | | 1,396,405 | | | | 5,534,764 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net assets: | | | | | | | | | | | | | |
| | Beginning of year | | | 232,763,944 | | | | 276,592,412 | | | | | | | | 5,534,764 | | | | — | |
| | End of year | | $ | 521,392,185 | | | $ | 232,763,944 | | | | | | | $ | 6,931,169 | | | $ | 5,534,764 | |
| | (a) | | Statements of Changes in Net Assets for the Commodity Strategy Fund is consolidated and include the balance of a wholly-owned subsidiary, Cayman Commodity-CSF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Commenced operations on September 30, 2020. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.79 | | | $ | 10.17 | | | $ | 9.66 | | | $ | 11.49 | | | $ | 11.68 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.09 | ) | | | (0.03 | ) | | | 0.14 | | | | 0.10 | | | | 0.02 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.67 | | | | (2.33 | ) | | | 1.44 | | | | (1.84 | ) | | | 0.43 | |
| | | | | | |
| | Total from investment operations | | | 2.58 | | | | (2.36 | ) | | | 1.58 | | | | (1.74 | ) | | | 0.45 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.47 | ) | | | (0.02 | ) | | | (0.18 | ) | | | (0.09 | ) | | | (0.52 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.89 | ) | | | — | | | | (0.12 | ) |
| | | | | | |
| | Total distributions | | | (1.47 | ) | | | (0.02 | ) | | | (1.07 | ) | | | (0.09 | ) | | | (0.64 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.90 | | | $ | 7.79 | | | $ | 10.17 | | | $ | 9.66 | | | $ | 11.49 | |
| | | | | | |
| | Total return(b) | | | 33.03 | % | | | (23.16 | )% | | | 16.31 | % | | | (15.17 | )% | | | 3.95 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 40,183 | | | $ | 15,324 | | | $ | 22,569 | | | $ | 25,351 | | | $ | 46,809 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.92 | % | | | 0.80 | % | | | 0.84 | % | | | 0.84 | % | | | 0.86 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.08 | % | | | 1.28 | % | | | 1.09 | % | | | 1.01 | % | | | 1.01 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.90 | )% | | | (0.39 | )% | | | 1.34 | % | | | 0.88 | % | | | 0.16 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % | | | 89 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.32 | | | $ | 9.61 | | | $ | 9.17 | | | $ | 10.92 | | | $ | 11.15 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.15 | ) | | | (0.08 | ) | | | 0.08 | | | | 0.02 | | | | (0.07 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.50 | | | | (2.21 | ) | | | 1.35 | | | | (1.75 | ) | | | 0.42 | |
| | | | | | |
| | Total from investment operations | | | 2.35 | | | | (2.29 | ) | | | 1.43 | | | | (1.73 | ) | | | 0.35 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.42 | ) | | | — | | | | (0.17 | ) | | | (0.02 | ) | | | (0.46 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.82 | ) | | | — | | | | (0.12 | ) |
| | | | | | |
| | Total distributions | | | (1.42 | ) | | | — | | | | (0.99 | ) | | | (0.02 | ) | | | (0.58 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.25 | | | $ | 7.32 | | | $ | 9.61 | | | $ | 9.17 | | | $ | 10.92 | |
| | | | | | |
| | Total return(b) | | | 32.04 | % | | | (23.77 | )% | | | 15.54 | % | | | (15.84 | )% | | | 3.16 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 3,125 | | | $ | 1,340 | | | $ | 2,271 | | | $ | 2,472 | | | $ | 2,949 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.67 | % | | | 1.55 | % | | | 1.59 | % | | | 1.59 | % | | | 1.61 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.83 | % | | | 2.03 | % | | | 1.84 | % | | | 1.76 | % | | | 1.76 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.65 | )% | | | (1.12 | )% | | | 0.81 | % | | | 0.14 | % | | | (0.68 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % | | | 89 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.88 | | | $ | 10.28 | | | $ | 9.74 | | | $ | 11.61 | | | $ | 11.80 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.06 | ) | | | (0.01 | ) | | | 0.09 | | | | 0.15 | | | | 0.09 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.71 | | | | (2.36 | ) | | | 1.56 | | | | (1.88 | ) | | | 0.40 | |
| | | | | | |
| | Total from investment operations | | | 2.65 | | | | (2.37 | ) | | | 1.65 | | | | (1.73 | ) | | | 0.49 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.49 | ) | | | (0.03 | ) | | | (0.19 | ) | | | (0.14 | ) | | | (0.56 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.92 | ) | | | — | | | | (0.12 | ) |
| | | | | | |
| | Total distributions | | | (1.49 | ) | | | (0.03 | ) | | | (1.11 | ) | | | (0.14 | ) | | | (0.68 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.04 | | | $ | 7.88 | | | $ | 10.28 | | | $ | 9.74 | | | $ | 11.61 | |
| | | | | | |
| | Total return(b) | | | 33.52 | % | | | (22.96 | )% | | | 16.77 | % | | | (14.89 | )% | | | 4.28 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 206,782 | | | $ | 127,172 | | | $ | 156,673 | | | $ | 259,239 | | | $ | 314,888 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.59 | % | | | 0.47 | % | | | 0.50 | % | | | 0.50 | % | | | 0.52 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.75 | % | | | 0.96 | % | | | 0.74 | % | | | 0.66 | % | | | 0.66 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.57 | )% | | | (0.10 | )% | | | 0.81 | % | | | 1.23 | % | | | 0.78 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % | | | 89 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.89 | | | $ | 10.29 | | | $ | 9.75 | | | $ | 11.61 | | | $ | 11.81 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.07 | ) | | | (0.01 | ) | | | (0.04 | ) | | | 0.14 | | | | (0.02 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.71 | | | | (2.37 | ) | | | 1.68 | | | | (1.87 | ) | | | 0.49 | |
| | | | | | |
| | Total from investment operations | | | 2.64 | | | | (2.38 | ) | | | 1.64 | | | | (1.73 | ) | | | 0.47 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.49 | ) | | | (0.02 | ) | | | (0.18 | ) | | | (0.13 | ) | | | (0.55 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.92 | ) | | | — | | | | (0.12 | ) |
| | | | | | |
| | Total distributions | | | (1.49 | ) | | | (0.02 | ) | | | (1.10 | ) | | | (0.13 | ) | | | (0.67 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.04 | | | $ | 7.89 | | | $ | 10.29 | | | $ | 9.75 | | | $ | 11.61 | |
| | | | | | |
| | Total return(b) | | | 33.33 | % | | | (22.99 | )% | | | 16.73 | % | | | (14.97 | )% | | | 4.08 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 33,337 | | | $ | 3,115 | | | $ | 6,651 | | | $ | 8,272 | | | $ | 8,586 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.67 | % | | | 0.55 | % | | | 0.59 | % | | | 0.59 | % | | | 0.61 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.81 | % | | | 1.02 | % | | | 0.83 | % | | | 0.75 | % | | | 0.75 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.66 | )% | | | (0.09 | )% | | | (0.36 | )% | | | 1.15 | % | | | (0.18 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % | | | 89 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.90 | | | $ | 10.30 | | | $ | 9.76 | | | $ | 11.62 | | | $ | 11.80 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.05 | ) | | | (0.01 | ) | | | 0.38 | | | | 0.14 | | | | (0.45 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.70 | | | | (2.36 | ) | | | 1.27 | | | | (1.87 | ) | | | 0.95 | |
| | | | | | |
| | Total from investment operations | | | 2.65 | | | | (2.37 | ) | | | 1.65 | | | | (1.73 | ) | | | 0.50 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.49 | ) | | | (0.03 | ) | | | (0.19 | ) | | | (0.13 | ) | | | (0.56 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.92 | ) | | | — | | | | (0.12 | ) |
| | | | | | |
| | Total distributions | | | (1.49 | ) | | | (0.03 | ) | | | (1.11 | ) | | | (0.13 | ) | | | (0.68 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.06 | | | $ | 7.90 | | | $ | 10.30 | | | $ | 9.76 | | | $ | 11.62 | |
| | | | | | |
| | Total return(b) | | | 33.44 | % | | | (22.92 | )% | | | 16.87 | % | | | (14.96 | )% | | | 4.29 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 94,836 | | | $ | 83,227 | | | $ | 85,170 | | | $ | 182 | | | $ | 90 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.58 | % | | | 0.46 | % | | | 0.49 | % | | | 0.49 | % | | | 0.50 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.75 | % | | | 0.96 | % | | | 0.75 | % | | | 0.68 | % | | | 0.66 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.55 | )% | | | (0.09 | )% | | | 3.52 | % | | | 1.15 | % | | | (4.04 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % | | | 89 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.64 | | | $ | 9.99 | | | $ | 9.50 | | | $ | 11.31 | | | $ | 11.51 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.11 | ) | | | (0.05 | ) | | | 0.16 | | | | 0.07 | | | | (0.04 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.62 | | | | (2.29 | ) | | | 1.38 | | | | (1.81 | ) | | | 0.45 | |
| | | | | | |
| | Total from investment operations | | | 2.51 | | | | (2.34 | ) | | | 1.54 | | | | (1.74 | ) | | | 0.41 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.44 | ) | | | (0.01 | ) | | | (0.18 | ) | | | (0.07 | ) | | | (0.49 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.87 | ) | | | — | | | | (0.12 | ) |
| | | | | | |
| | Total distributions | | | (1.44 | ) | | | (0.01 | ) | | | (1.05 | ) | | | (0.07 | ) | | | (0.61 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.71 | | | $ | 7.64 | | | $ | 9.99 | | | $ | 9.50 | | | $ | 11.31 | |
| | | | | | |
| | Total return(b) | | | 32.73 | % | | | (23.36 | )% | | | 16.11 | % | | | (15.40 | )% | | | 3.60 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 3,271 | | | $ | 1,903 | | | $ | 2,280 | | | $ | 2,233 | | | $ | 2,892 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.17 | % | | | 1.05 | % | | | 1.09 | % | | | 1.09 | % | | | 1.11 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.33 | % | | | 1.54 | % | | | 1.34 | % | | | 1.25 | % | | | 1.26 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.15 | )% | | | (0.68 | )% | | | 1.53 | % | | | 0.64 | % | | | (0.40 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % | | | 89 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Commodity Strategy Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31, 2018* | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | |
| | | | | |
| | Net asset value, beginning of period | | $ | 7.90 | | | $ | 10.29 | | | $ | 9.76 | | | $ | 12.11 | |
| | | | | |
| | Net investment income (loss)(a) | | | (0.06 | ) | | | — | (b) | | | (0.25 | ) | | | 0.12 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 2.71 | | | | (2.36 | ) | | | 1.89 | | | | (2.33 | ) |
| | | | | |
| | Total from investment operations | | | 2.65 | | | | (2.36 | ) | | | 1.64 | | | | (2.21 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (1.49 | ) | | | (0.03 | ) | | | (0.19 | ) | | | (0.14 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | (0.92 | ) | | | — | |
| | | | | |
| | Total distributions | | | (1.49 | ) | | | (0.03 | ) | | | (1.11 | ) | | | (0.14 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 9.06 | | | $ | 7.90 | | | $ | 10.29 | | | $ | 9.76 | |
| | | | | |
| | Total return(c) | | | 33.46 | % | | | (22.84 | )% | | | 16.73 | % | | | (18.31 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 139,858 | | | $ | 684 | | | $ | 977 | | | $ | 3,167 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.58 | % | | | 0.45 | % | | | 0.48 | % | | | 0.45 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.72 | % | | | 0.94 | % | | | 0.72 | % | | | 0.65 | %(d) |
| | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.57 | )% | | | (0.04 | )% | | | (2.28 | )% | | | 1.43 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 83 | % | | | 70 | % | | | 52 | % | | | 46 | % |
| | * | | Commenced operations on April 17, 2018. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.19 | | | $ | 10.00 | |
| | | |
| | Net investment income(b) | | | 0.02 | | | | 0.01 | |
| | | |
| | Net realized and unrealized gain (loss) | | | 1.39 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.41 | | | | 0.20 | |
| | | |
| | Distributions to shareholders from net investment income | | | (0.03 | ) | | | (0.01 | ) |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Total distributions | | | (0.90 | ) | | | (0.01 | ) |
| | | |
| | Net asset value, end of period | | $ | 10.70 | | | $ | 10.19 | |
| | | |
| | Total return(d) | | | 13.88 | % | | | 2.04 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 315 | | | $ | 79 | |
| | | |
| | Ratio of net expenses to average net assets | | | 0.94 | % | | | 0.94 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 8.09 | % | | | 10.42 | %(e) |
| | | |
| | Ratio of net investment income to average net assets | | | 0.14 | % | | | 0.42 | %(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to 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. |
| | (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. | | 29 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.18 | | | $ | 10.00 | |
| | | |
| | Net investment loss(b) | | | (0.06 | ) | | | (0.01 | ) |
| | | |
| | Net realized and unrealized gain | | | 1.38 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.32 | | | | 0.18 | |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Net asset value, end of period | | $ | 10.63 | | | $ | 10.18 | |
| | | |
| | Total return(d) | | | 12.97 | % | | | 1.81 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 100 | | | $ | 51 | |
| | | |
| | Ratio of net expenses to average net assets | | | 1.69 | % | | | 1.69 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 9.66 | % | | | 11.70 | %(e) |
| | | |
| | Ratio of net investment loss to average net assets | | | (0.59 | )% | | | (0.28 | )%(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to 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. |
| | (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. |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.19 | | | $ | 10.00 | |
| | | |
| | Net investment income(b) | | | 0.06 | | | | 0.02 | |
| | | |
| | Net realized and unrealized gain | | | 1.39 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.45 | | | | 0.21 | |
| | | |
| | Distributions to shareholders from net investment income | | | (0.05 | ) | | | (0.02 | ) |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Total distributions | | | (0.92 | ) | | | (0.02 | ) |
| | | |
| | Net asset value, end of period | | $ | 10.72 | | | $ | 10.19 | |
| | | |
| | Total return(d) | | | 14.24 | % | | | 2.11 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 6,283 | | | $ | 5,201 | |
| | | |
| | Ratio of net expenses to average net assets | | | 0.57 | % | | | 0.57 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 9.46 | % | | | 10.45 | %(e) |
| | | |
| | Ratio of net investment income to average net assets | | | 0.52 | % | | | 0.84 | %(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to 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. |
| | (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. | | 31 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.19 | | | $ | 10.00 | |
| | | |
| | Net investment income(b) | | | 0.04 | | | | 0.02 | |
| | | |
| | Net realized and unrealized gain | | | 1.40 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.44 | | | | 0.21 | |
| | | |
| | Distributions to shareholders from net investment income | | | (0.04 | ) | | | (0.02 | ) |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Total distributions | | | (0.91 | ) | | | (0.02 | ) |
| | | |
| | Net asset value, end of period | | $ | 10.72 | | | $ | 10.19 | |
| | | |
| | Total return(d) | | | 14.12 | % | | | 2.08 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 58 | | | $ | 51 | |
| | | |
| | Ratio of net expenses to average net assets | | | 0.69 | % | | | 0.69 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 9.60 | % | | | 10.70 | %(e) |
| | | |
| | Ratio of net investment income to average net assets | | | 0.40 | % | | | 0.72 | %(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to 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. |
| | (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. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.19 | | | $ | 10.00 | |
| | | |
| | Net investment income(b) | | | 0.06 | | | | 0.02 | |
| | | |
| | Net realized and unrealized gain | | | 1.39 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.45 | | | | 0.21 | |
| | | |
| | Distributions to shareholders from net investment income | | | (0.05 | ) | | | (0.02 | ) |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Total distributions | | | (0.92 | ) | | | (0.02 | ) |
| | | |
| | Net asset value, end of period | | $ | 10.72 | | | $ | 10.19 | |
| | | |
| | Total return(d) | | | 14.25 | % | | | 2.11 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 58 | | | $ | 51 | |
| | | |
| | Ratio of net expenses to average net assets | | | 0.56 | % | | | 0.57 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 9.47 | % | | | 10.58 | %(e) |
| | | |
| | Ratio of net investment income to average net assets | | | 0.53 | % | | | 0.84 | %(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to 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. |
| | (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. | | 33 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.19 | | | $ | 10.00 | |
| | | |
| | Net investment income (loss)(b) | | | (0.01 | ) | | | 0.01 | |
| | | |
| | Net realized and unrealized gain | | | 1.39 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.38 | | | | 0.20 | |
| | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Total distributions | | | (0.87 | ) | | | (0.01 | ) |
| | | |
| | Net asset value, end of period | | $ | 10.70 | | | $ | 10.19 | |
| | | |
| | Total return(d) | | | 13.54 | % | | | 1.95 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 58 | | | $ | 51 | |
| | | |
| | Ratio of net expenses to average net assets | | | 1.19 | % | | | 1.19 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 10.10 | % | | | 11.20 | %(e) |
| | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.09 | )% | | | 0.22 | %(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to 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. |
| | (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. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | |
| | | | | Goldman Sachs Defensive Equity Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended
December 31, 2021 | | | Period Ended
December 31, 2020(a) | |
| | Per Share Data | | | | | | | | |
| | | |
| | Net asset value, beginning of period | | $ | 10.19 | | | $ | 10.00 | |
| | | |
| | Net investment income(b) | | | 0.06 | | | | 0.02 | |
| | | |
| | Net realized and unrealized gain | | | 1.39 | | | | 0.19 | |
| | | |
| | Total from investment operations | | | 1.45 | | | | 0.21 | |
| | | |
| | Distributions to shareholders from net investment income | | | (0.05 | ) | | | (0.02 | ) |
| | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | — | (c) |
| | | |
| | Total distributions | | | (0.92 | ) | | | (0.02 | ) |
| | | |
| | Net asset value, end of period | | $ | 10.72 | | | $ | 10.19 | |
| | | |
| | Total return(d) | | | 14.24 | % | | | 2.11 | % |
| | | |
| | Net assets, end of period (in 000s) | | $ | 58 | | | $ | 51 | |
| | | |
| | Ratio of net expenses to average net assets | | | 0.56 | % | | | 0.56 | %(e) |
| | | |
| | Ratio of total expenses to average net assets | | | 9.47 | % | | | 10.57 | %(e) |
| | | |
| | Ratio of net investment income to average net assets | | | 0.53 | % | | | 0.85 | %(e) |
| | | |
| | Portfolio turnover rate(f) | | | 305 | % | | | 26 | % |
| | (a) | | Commenced operations on September 30, 2020. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Rounds to less than $0.005 per share. |
| | (d) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (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. | | 35 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 | | Shares Classes Offered | | Diversified/
Non-diversified |
Commodity Strategy | | A, C, Institutional, Investor, R6, R and P | | Diversified |
Defensive Equity | | A, C, Institutional, Investor, R6, R and P | | Diversified |
Class A Shares of the Commodity Strategy Fund are sold with a front-end sales charge of up to 4.50%. Class A Shares of the Defensive Equity Fund 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 Funds pursuant to management agreements with the Trust. Core Commodity Management, LLC (“Core Commodity” or the “Sub-Adviser”) serves as a sub-adviser to the Commodity Strategy Fund. GSAM compensates the Sub- Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Commodity Strategy 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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Basis of Consolidation for Commodity Strategy Fund — Cayman Commodity-CSF, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, is currently a wholly-owned subsidiary of the Commodity Strategy 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 its Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of December 31, 2021, the Fund’s net assets were $521,392,185, of which $117,796,434, or 22.6%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Funds’ 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 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 United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
36
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 2 SIGNIFICANT ACCOUNTING POLICIES (continued) |
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statement and 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.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
E. Offering Costs — Offering costs paid in connection with the initial offering of shares of the Defensive Equity Fund were amortized on a straight-line basis over 12 months from the date of commencement of operations.
F. 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 |
Commodity Strategy | | | | Semi-Annually | | Annually |
Defensive Equity | | | | Annually | | Annually |
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Commodity Strategy 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 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 Statement and Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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
37
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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.
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.
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.
38
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 and Consolidated Statement 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 Schedule and Consolidated Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, 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.
ii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
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.
39
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A total return swap is an agreement that gives a 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, a 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 a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
| | | |
| COMMODITY STRATEGY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Fixed Income | | | | | | | | | | | | |
| | | |
U.S. Treasury Obligations | | $ | 86,676,455 | | | $ | — | | | $ | — | |
| | | |
Investment Company | | | 73,228,627 | | | | — | | | | — | |
| | | |
Short-term Investments | | | 330,469,789 | | | | — | | | | — | |
| | | |
| Total | | $ | 490,374,871 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets(a) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 7,211,608 | | | $ | — | | | $ | — | |
|
| Liabilities(a) | |
| | | |
Futures Contracts | | $ | (25,240,661 | ) | | $ | — | | | $ | — | |
| | | |
Total Return Swap Contracts | | | — | | | | (2,808 | ) | | | — | |
| | | |
| Total | | $ | (25,240,661 | ) | | $ | (2,808 | ) | | $ | — | |
| | | |
| DEFENSIVE EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(b) | | | | | | | | | | | | |
| | | |
Europe | | $ | 242,050 | | | $ | — | | | $ | — | |
| | | |
North America | | | 6,265,305 | | | | — | | | | — | |
| | | |
Investment Company | | | 420,723 | | | | — | | | | — | |
| | | |
| Total | | $ | 6,928,078 | | | $ | — | | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
| (b) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of 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. |
40
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| DEFENSIVE EQUITY (continued) | | | | | | | | | | | | |
| | | |
| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Futures Contracts(a) | | $ | 9,884 | | | $ | — | | | $ | — | |
| | | |
Purchased Option Contracts | | | 72,100 | | | | — | | | | — | |
| | | |
| Total | | $ | 81,984 | | | $ | — | | | $ | — | |
| | | |
| Liabilities | | | | | | | | | | | | |
| | | |
Written Option Contracts | | $ | (120,550 | ) | | $ | — | | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule and Consolidated Schedule of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| | | | | | | | | | | | |
| | | |
| COMMODITY STRATEGY | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statement of Assets and Liabilities | | Assets | | | Consolidated Statement of Assets and Liabilities | | Liabilities | |
| Commodity | | Variation margin on futures contracts | | $ | 7,211,608 | (a) | | Payable for unrealized loss on swap contracts/Variation margin on futures contracts | | $ | (25,243,469) | (a) |
| | | | | | | | | | | | |
| | | |
| DEFENSIVE EQUITY | | | | | | | | | | |
| | | | |
| Risk | | Statement of Assets and Liabilities | | Assets | | | Statement of Assets and Liabilities | | Liabilities | |
| Equity | | Variation margin on futures contracts; Purchased options, at value | | $ | 81,984 | (a) | | Written options, at value | | $ | (120,550) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedule and Consolidated Schedule of Investments. Only the variation margin as of December 31, 2021 is reported within the Statement and Consolidated Statement of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These
41
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement and Consolidated Statement of Operations:
| | | | | | | | | | |
|
| COMMODITY STRATEGY | |
| Risk | | Consolidated Statement of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| Interest rate | | Net realized gain from futures contracts/ Net change in unrealized loss on futures contracts | | $ | 613,264 | | | $ | (124,300 | ) |
| Commodity | | Net realized gain from swap contracts and futures contracts/ Net change in unrealized gain on swap contracts and futures contracts | | | 108,714,009 | | | | (18,031,901 | ) |
| Total | | | | $ | 109,327,273 | | | | $(18,156,201) | |
| | | | | | | | |
|
| DEFENSIVE EQUITY |
| Risk | | Statement of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized Gain (Loss) |
| Equity | | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain on futures contracts, purchased options and written options | | $ | (386,728 | ) | | $(67,694) |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type was as follows:
| | | | | | | | | | | | | | | | |
| | | Average Number of Contracts, Notional Amounts, or Shares/Units(a) | |
| Fund | | Futures
contracts | | | Swap
Agreements | | | Purchased
Options | | | Written
Options | |
Commodity Strategy | | | 4,000 | | | | 300,960,262 | | | | — | | | | — | |
Defensive Equity | | | 2 | | | | — | | | | 2,283 | | | | 4,042 | |
| (a) | | Amounts disclosed represent the average number of contracts for futures contracts, purchased options and written options, notional amounts for swap contracts, based on absolute values, which is indicative of the volume for this derivative type, for the months that each Fund held such derivatives during the during the fiscal year ended December 31, 2021. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
42
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2021, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Contractual Management Rate | | | Effective
Rate | | | Effective Net
Management
Rate^ | |
| Fund | | First $1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | |
Commodity Strategy | | | 0.50 | % | | | 0.50 | % | | | 0.45 | % | | | 0.43 | % | | | 0.42 | % | | | 0.50 | % | | | 0.40 | %(a) |
Defensive Equity | | | 0.53 | | | | 0.48 | | | | 0.45 | | | | 0.44 | | | | 0.43 | | | | 0.53 | | | | 0.53 | |
| ^ | | Effective Net Management Rate includes impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
| (a) | | Reflects combined management fees paid to GSAM under the Agreement and the Commodity Strategy Fund’s Subsidiary Agreement (as defined below) after the waivers. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest. For the fiscal year ended December 31, 2021, the management fee waived by GSAM was for each Fund as follows:
| | | | | | |
| Fund | | | | Management Fee Waived | |
Commodity Strategy | | | | $ | 85,880 | |
Defensive Equity | | | | | 271 | |
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Commodity Strategy Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the fiscal year ended December 31, 2021, GSAM waived $326,089 of the Commodity Strategy Fund’s management fee.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable 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 Funds, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of each applicable 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 Funds, 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/or Service 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. |
43
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained the following amounts:
| | | | | | |
| | | | | Front End
Sales Charge | |
| Fund | | | | Class A | |
Commodity Strategy | | | | $ | 8,087 | |
Defensive Equity | | | | | 1,206 | |
D. Service Plan — The Trust, on behalf of each applicable 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 Funds.
E. 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: 0.12% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Commodity Strategy Fund; 0.16% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Defensive Equity Fund; 0.03% of the average daily net assets of Class R6 and P Shares; and 0.04% of the average daily net assets of Institutional Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Funds. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Commodity Strategy and Defensive Equity Funds are 0.074% and 0.004%, respectively. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above. The Subsidiary also pays certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit the Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Commodity Strategy Fund.
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Other Expense
Reimbursements | | | Total
Expense
Reductions | |
Commodity Strategy | | | | $ | 411,969 | | | $ | 523,580 | | | $ | 935,549 | |
Defensive Equity | | | | | 271 | | | | 545,619 | | | | 545,890 | |
G. Line of Credit Facility — As of December 31, 2021, the Fund participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal
44
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 fiscal year ended December 31, 2021, the Fund did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2021, Goldman Sachs did not earn any brokerage commissions from portfolio transactions on behalf of the Funds.
As of December 31, 2021, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or greater of the following:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Defensive Equity | | | | | 18 | % | | | 57 | % | | | 87 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % |
The table below shows the transactions in and earnings from investments in the Underlying Fund for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Beginning
Value as of
December 31,
2020 | | | Purchases at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31,
2021 | | | Shares as of
December 31,
2021 | | | Dividend Income | |
Commodity Strategy | | | | $ | 168,485,696 | | | $ | 1,174,603,677 | | | $ | (1,269,860,746 | ) | | $ | 73,228,627 | | | | 73,228,627 | | | $ | 18,980 | |
Defensive Equity | | | | | 307,935 | | | | 2,957,013 | | | | (2,844,225 | ) | | | 420,723 | | | | 420,723 | | | | 57 | |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2021, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Purchases of U.S. Government and Agency Obligations | | | Purchases (Excluding U.S. Government and Agency Obligations) | | | Sales and Maturities of U.S. Government and Agency Obligations | | | Sales and Maturities (Excluding U.S. Government and Agency Obligations) | |
Commodity Strategy | | | | $ | 48,586,223 | | | $ | — | | | $ | 26,136,252 | | | $ | 45,768 | |
Defensive Equity | | | | | — | | | | 17,658,633 | | | | — | | | | 17,544,465 | |
The tax character of distributions paid during the fiscal year ended December 31, 2021 were as follows:
| | | | | | | | | | |
| | | | | Commodity Strategy | | | Defensive Equity | |
Distributions paid from | | | | | | | | | | |
Ordinary income | | | | $ | 76,505,139 | | | $ | 539,946 | |
Net long-term capital gains | | | | | — | | | | — | |
Total taxable distributions | | | | $ | 76,505,139 | | | $ | 539,946 | |
45
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 7. TAX INFORMATION (continued) |
The tax character of distributions paid during the fiscal year ended December 31, 2020 were as follows:
| | | | | | | | | | |
| | | | | Commodity Strategy | | | Defensive Equity | |
Distributions paid from | | | | | | | | | | |
Ordinary income | | | | $ | 785,910 | | | $ | 10,412 | |
Net long-term capital gains | | | | | — | | | | 397 | |
Total taxable distributions | | | | $ | 785,910 | | | $ | 10,809 | |
As of the Funds’ most recent fiscal year end, December 31, 2021, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | |
| | | Commodity Strategy | | | Defensive Equity | |
Undistributed ordinary income — net | | $ | 2,169,387 | | | $ | — | |
| Capital loss carryforwards:(1) | | | | | | | | |
Perpetual Short-Term | | | (3,047,531 | ) | | | — | |
Perpetual Long-Term | | | (18,256,290 | ) | | | — | |
Total capital loss carryforwards | | | (21,303,821 | ) | | | — | |
Timing differences (Post October Capital Loss Deferral) | | | — | | | | (23,067 | ) |
Unrealized gains (losses) — net | | | 4,415,480 | | | | 398,662 | |
Total accumulated earnings (losses) — net | | $ | (14,718,954 | ) | | $ | 375,595 | |
| (1) | | Commodity Strategy Fund utilized $282,945 of capital losses. |
As of December 31, 2021, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Commodity Strategy | | | Defensive Equity | |
Tax cost | | $ | 434,590,648 | | | $ | 6,629,455 | |
Gross unrealized gain | | | 4,444,213 | | | | 565,175 | |
Gross unrealized loss | | | (28,733 | ) | | | (166,513 | ) |
Net unrealized security gain (loss) | | $ | 4,415,480 | | | $ | 398,662 | |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts and differences in the tax treatment of underlying fund investments, and swap transactions.
The Commodity Strategy Fund reclassed $5,130,119 from distributable earnings to paid in capital for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund’s and result primarily from market discount accretion and premium amortization and differences in the tax treatment of underlying fund investments.
The Defensive Equity Fund reclassed $286 from paid in capital to distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund’s and result primarily from taxable overdistributions and certain non-deductible expenses.
46
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 7. TAX INFORMATION (continued) |
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 Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
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.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Commodity Strategy 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, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the
extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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
47
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 8. OTHER RISKS (continued) |
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.
Tax Risk — The Commodity Strategy 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. The IRS has issued such PLRs to the Commodity Strategy Fund. In reliance of such PLRs, this Fund have in the past sought to gain exposure to the commodity markets primary through investments in commodity-linked notes and/or subsidiaries. The IRS recently issued final regulations that, would generally treat the Commodity Strategy 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 Commodity Strategy Fund’s business of investing in stock, securities, or currencies.
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.
Subsequent events after the Statement and 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.
48
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Goldman Sachs Commodity Strategy Fund | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,885,222 | | | $ | 29,642,642 | | | | 948,695 | | | $ | 6,254,977 | |
Reinvestment of distributions | | | 611,149 | | | | 5,463,666 | | | | 4,976 | | | | 32,397 | |
Shares redeemed | | | (948,220 | ) | | | (9,040,648 | ) | | | (1,205,352 | ) | | | (8,518,281 | ) |
| | | | 2,548,151 | | | | 26,065,660 | | | | (251,681 | ) | | | (2,230,907 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 206,745 | | | | 1,932,020 | | | | 47,065 | | | | 265,484 | |
Reinvestment of distributions | | | 55,912 | | | | 463,509 | | | | — | | | | — | |
Shares redeemed | | | (66,930 | ) | | | (591,703 | ) | | | (100,448 | ) | | | (638,692 | ) |
| | | | 195,727 | | | | 1,803,826 | | | | (53,383 | ) | | | (373,208 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 11,641,321 | | | | 116,554,564 | | | | 13,805,822 | | | | 89,817,355 | |
Reinvestment of distributions | | | 2,313,892 | | | | 21,010,141 | | | | 48,268 | | | | 317,600 | |
Shares redeemed | | | (7,213,422 | ) | | | (69,105,607 | ) | | | (12,968,538 | ) | | | (93,328,388 | ) |
| | | | 6,741,791 | | | | 68,459,098 | | | | 885,552 | | | | (3,193,433 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,293,626 | | | | 33,042,868 | | | | 135,357 | | | | 937,796 | |
Reinvestment of distributions | | | 552,532 | | | | 5,016,990 | | | | 1,550 | | | | 10,217 | |
Shares redeemed | | | (554,840 | ) | | | (5,338,796 | ) | | | (388,664 | ) | | | (3,009,974 | ) |
| | | | 3,291,318 | | | | 32,721,062 | | | | (251,757 | ) | | | (2,061,961 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,056,839 | | | | 19,628,167 | | | | 5,768,180 | | | | 40,531,756 | |
Reinvestment of distributions | | | 1,484,302 | | | | 13,507,148 | | | | 37,905 | | | | 249,794 | |
Shares redeemed | | | (3,610,623 | ) | | | (34,129,063 | ) | | | (3,542,010 | ) | | | (25,266,581 | ) |
| | | | (69,482 | ) | | | (993,748 | ) | | | 2,264,075 | | | | 15,514,969 | |
| Class R Shares | |
Shares sold | | | 219,373 | | | | 2,062,705 | | | | 107,409 | | | | 707,673 | |
Reinvestment of distributions | | | 52,933 | | | | 463,164 | | | | 326 | | | | 2,084 | |
Shares redeemed | | | (145,751 | ) | | | (1,380,065 | ) | | | (86,869 | ) | | | (619,599 | ) |
| | | | 126,555 | | | | 1,145,804 | | | | 20,866 | | | | 90,158 | |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 13,792,676 | | | | 133,964,832 | | | | 11,482 | | | | 88,889 | |
Reinvestment of distributions | | | 2,203,182 | | | | 20,048,961 | | | | 413 | | | | 2,720 | |
Shares redeemed | | | (645,054 | ) | | | (6,288,251 | ) | | | (20,254 | ) | | | (150,630 | ) |
| | | | 15,350,804 | | | | 147,725,542 | | | | (8,359 | ) | | | (59,021 | ) |
| | | | |
NET INCREASE | | | 28,184,864 | | | $ | 276,927,244 | | | | 2,605,313 | | | $ | 7,686,597 | |
49
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Goldman Sachs Defensive Equity Fund | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Period Ended
December 31, 2020(a) | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | |
Shares sold | | | 66,277 | | | $ | 733,989 | | | | 7,701 | | | $ | 77,020 | |
Reinvestment of distributions | | | 1,613 | | | | 17,059 | | | | 11 | | | | 108 | |
Shares redeemed | | | (46,157 | ) | | | (519,069 | ) | | | (1 | ) | | | (10 | ) |
| | | | 21,733 | | | | 231,979 | | | | 7,711 | | | | 77,118 | |
| Class C Shares | |
Shares sold | | | 3,747 | | | | 42,642 | | | | 5,001 | | | | 50,010 | |
Reinvestment of distributions | | | 725 | | | | 7,588 | | | | — | | | | 4 | |
Shares redeemed | | | (24 | ) | | | (254 | ) | | | (1 | ) | | | (10 | ) |
| | | | 4,448 | | | | 49,976 | | | | 5,000 | | | | 50,004 | |
| Institutional Shares | |
Shares sold | | | 28,941 | | | | 321,017 | | | | 509,373 | | | | 5,100,002 | |
Reinvestment of distributions | | | 46,871 | | | | 497,162 | | | | 1,020 | | | | 10,372 | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (10 | ) |
| | | | 75,812 | | | | 818,179 | | | | 510,392 | | | | 5,110,364 | |
| Investor Shares | |
Shares sold | | | — | | | | — | | | | 5,001 | | | | 50,010 | |
Reinvestment of distributions | | | 429 | | | | 4,551 | | | | 9 | | | | 89 | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (10 | ) |
| | | | 429 | | | | 4,551 | | | | 5,009 | | | | 50,089 | |
| Class R6 Shares | |
Shares sold | | | — | | | | — | | | | 5,001 | | | | 50,010 | |
Reinvestment of distributions | | | 436 | | | | 4,623 | | | | 10 | | | | 105 | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (10 | ) |
| | | | 436 | | | | 4,623 | | | | 5,010 | | | | 50,105 | |
| Class R Shares | |
Shares sold | | | — | | | | — | | | | 5,001 | | | | 50,010 | |
Reinvestment of distributions | | | 411 | | | | 4,340 | | | | 3 | | | | 26 | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (10 | ) |
| | | | 411 | | | | 4,340 | | | | 5,003 | | | | 50,026 | |
| Class P Shares | |
Shares sold | | | — | | | | — | | | | 5,001 | | | | 50,010 | |
Reinvestment of distributions | | | 436 | | | | 4,623 | | | | 10 | | | | 105 | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (10 | ) |
| | | | 436 | | | | 4,623 | | | | 5,010 | | | | 50,105 | |
| | | | |
NET INCREASE | | | 103,705 | | | $ | 1,118,271 | | | | 543,135 | | | $ | 5,437,811 | |
| (a) | | Commenced operations on September 30, 2020. |
50
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Defensive Equity Fund and Goldman Sachs Commodity Strategy Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds indicated in the table below (two of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2021, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations, the changes in each of their net assets for each of the periods listed in the table below and each of the financial highlights for each of the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America.
| | | | | | |
| Fund | | Statements of
operations | | Statements of
changes in net assets | | Financial
highlights |
| Goldman Sachs Defensive Equity Fund | | For the year ended December 31, 2021 | | For the year ended December 31, 2021 and for the period September 30, 2020 (commencement of operations) through December 31, 2020 | | For each of the periods indicated therein |
| Goldman Sachs Commodity Strategy Fund | | For the year ended December 31, 2021 | | For the two years ended December 31, 2021 | | For each of the five years in the period ended December 31, 2021 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
51
GOLDMAN SACHS ALTERNATIVE FUNDS II
Fund Expenses — Six Months Period Ended December 31, 2021 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P Shares of a 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/or service (12b-1) fees (with respect to Class A, Class C, and Class R Shares); and other Fund expenses.
The 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 a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense 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 and do not include expenses of Underlying Funds in which the Funds invest. 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity Strategy Fund | | | Defensive Equity Fund | |
| Share Class | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 months
ended
12/31/21* | | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 months
ended
12/31/21* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 1,067.20 | | | $ | 4.79 | | | $ | 1,000.00 | | | $ | 1,059.80 | | | $ | 4.88 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.57 | + | | | 4.69 | | | | 1,000.00 | | | | 1,020.47 | + | | | 4.79 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,063.30 | | | | 8.69 | | | | 1,000.00 | | | | 1,056.00 | | | | 8.76 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.79 | + | | | 8.49 | | | | 1,000.00 | | | | 1,016.69 | + | | | 8.59 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.30 | | | | 3.08 | | | | 1,000.00 | | | | 1,062.10 | | | | 2.96 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.23 | + | | | 3.01 | | | | 1,000.00 | | | | 1,022.33 | + | | | 2.91 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,068.00 | | | | 3.49 | | | | 1,000.00 | | | | 1,061.00 | | | | 3.58 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.83 | + | | | 3.41 | | | | 1,000.00 | | | | 1,021.73 | + | | | 3.52 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.20 | | | | 3.03 | | | | 1,000.00 | | | | 1,062.20 | | | | 2.86 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.28 | + | | | 2.96 | | | | 1,000.00 | | | | 1,022.43 | + | | | 2.80 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,066.30 | | | | 6.09 | | | | 1,000.00 | | | | 1,058.50 | | | | 6.17 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.31 | + | | | 5.96 | | | | 1,000.00 | | | | 1,019.21 | + | | | 6.06 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.30 | | | | 3.03 | | | | 1,000.00 | | | | 1,062.10 | | | | 2.91 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.28 | + | | | 2.96 | | | | 1,000.00 | | | | 1,022.38 | + | | | 2.85 | |
| | * | | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Commodity Strategy | | | 0.92 | % | | | 1.67 | % | | | 0.59 | % | | | 0.67 | % | | | 0.58 | % | | | 1.17 | % | | | 0.58 | % |
Defensive Equity | | | 0.94 | | | | 1.69 | | | | 0.57 | | | | 0.69 | | | | 0.55 | | | | 1.19 | | | | 0.56 | |
| | + | | 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. | |
52
GOLDMAN SACHS ALTERNATIVE FUNDS II
Trustees and Officers (Unaudited) Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007- 2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017- present); Director of MoneyLion Inc. (an operator of a data-driven, digital financial platform) (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014- 2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019- January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019- present); and Director, Stepan Company (a specialty chemical manufacturer) (2011- present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021–September 2021); and Managing Director (2013–2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | | | | | | |
53
GOLDMAN SACHS ALTERNATIVE FUNDS II
Trustees and Officers (Unaudited) (continued)
Independent Trustees (continued)
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016- Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
| | | | | | | | | | |
| | | | | |
James A. McNamara Age: 59 | | President and Trustee | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018- Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 39 portfolios (26 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs ETF Trust II and Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
54
GOLDMAN SACHS ALTERNATIVE FUNDS II
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and Length of Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | | | | |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Alternative Funds II — Tax Information (Unaudited)
For the fiscal year ended December 31, 2021, 10.39% of the dividends paid from net investment company taxable income by the Defensive Equity Fund qualify for the dividends received deduction available to corporations.
For the fiscal year ended December 31, 2021, 10.59% of the dividends paid from net investment company taxable income by the Defensive Equity Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
For the year ended December 31, 2021, 0.40% of the dividend paid from net investment company taxable income by the Defensive Equity Fund, qualifies as section 199A dividends.
During the fiscal year ended December 31, 2021, the Defensive Equity Fund designates $508,893, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
For the year ended December 31, 2021, the Commodity Strategy Fund designates 0.30% of the dividends paid from net investment company taxable income as section 163(j) Interest Dividends.
55
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 $2.21 trillion in assets under supervision as of December 31, 2021, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solutions Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund4 |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Real Estate Securities Fund |
| ∎ | | International 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 |
| ∎ | | Clean Energy Income 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. |
| | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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
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.
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 a 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 Funds will file their 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 December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about 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. 268334-OTU-1561329 SELSAT2AR-22
Goldman Sachs Funds
| | | | |
| | |
| Annual Report | | | | December 31, 2021 |
| | |
| | | | Alternative Funds III |
| | | | Absolute Return Tracker |
| | | | Alternative Premia |
Goldman Sachs Alternative Funds III
| ∎ | | ABSOLUTE RETURN TRACKER |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Absolute Return Tracker Fund
Investment Objective
The Fund’s investment objective is to seek to deliver long-term total return consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Absolute Return Tracker Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (“the Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 6.09%, 5.31%, 6.48%, 6.35%, 6.38%, 5.73% and 6.48%, respectively. These returns compare to the 0.05% average annual total return of the Fund’s benchmark, the ICE Bank of America Merrill Lynch Three Month U.S. Treasury Bill Index (net of management, administrative and performance/incentive fees), during the same time period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | We believe hedge funds derive a large portion of their returns from exposure to sources of market risk (“Market Exposures”) and “Trading Strategies” involving long and/or short positions in Market Exposures and/or individual securities or baskets of securities. In seeking to meet its investment objective, the Fund uses a dynamic investment process to seek to identify the appropriate weights to Market Exposures and Trading Strategies that approximate the return and risk patterns of specific hedge fund sub-strategies. To establish the Market Exposures and Trading Strategies that drive the returns of the hedge fund sub-strategies, we use industry analysis of hedge funds, including hedge fund return databases, prime brokerage reports, industry participants and regulatory filings and other public sources. We then apply a quantitative methodology, in combination with a qualitative overlay, to assess the appropriate weight to each Market Exposure and Trading Strategy. On an absolute basis, all four of the Fund’s Sub-Strategies contributed positively to performance during the Reporting Period. |
| | Among the Fund’s four Sub-Strategies, the Equity Long/Short Hedge Fund Sub-Strategy contributed most positively to the Fund’s absolute return during the Reporting Period. The stock selection factor contributed the most. The factor’s U.S. equity exposure was derived from long exposure to single-name stocks to which hedge funds had large investments (based on 13F filings with the Securities & Exchange Commission (“SEC”)). The stock selection factor also had allocations to European, Japanese, U.K. and emerging markets equities, weighted by prime broker information on how hedge funds were positioning. Exposure to the Fund’s information technology strategy and long/short equity value strategy also contributed positively. Conversely, exposure to the Fund’s emerging markets equities hedged strategy detracted most from results. |
| | The Fund’s Macro Hedge Fund Sub-Strategy also contributed positively to the Fund’s return on an absolute basis during the Reporting Period, with its trend-following strategy and exposure to equities adding most. Conversely, the commodities curve strategy was the worst performer. |
| | The Fund’s Relative Value Hedge Fund Sub-Strategy contributed positively, albeit more modestly, to the Fund’s absolute return during the Reporting Period. Its short volatility and energy Master Limited Partnerships strategies added most. Exposure to its hedged convertible arbitrage strategy detracted most. |
| | The Fund’s Event Driven Hedge Fund Sub-Strategy also contributed positively, albeit modestly, to the Fund’s absolute return during the Reporting Period. Its equity volatility strategy contributed the most positively. Exposure to large-cap U.S. equities also bolstered performance. Exposure to small-cap U.S. equities detracted the most during the Reporting Period. |
1
PORTFOLIO RESULTS
| | In addition to the asset classes mentioned above, the Fund was invested in a variety of developed and emerging market equities, short-term interest rates, government bonds, currencies, credit, real estate and commodities during the Reporting Period. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund used commodity futures to gain exposure to commodities. The Fund used centrally-cleared index credit default swaps to gain exposure to high yield and investment grade credit markets across the U.S. and Europe. The Fund used total return swaps to gain exposure to U.K. and continental European large capitalization equity indices, developed market and developed market growth equity indices, global equity sector exposures, a basket of equity names that are acquisition targets, and Master Limited Partnerships. The Fund used an excess return swap to gain exposure to a broad universe of commodities. The Fund used currency forward contracts to gain exposure to select developed and emerging market currencies. The Fund used exchange-traded index futures contracts to gain exposure to U.S. large-cap and small-cap equities, non-U.S. developed market equities including those in Europe, the U.K. and Japan, emerging markets equities, commodities, government bonds and short-term interest rates. The Fund used exchange-traded put options on the S&P 500® Index, exchange-traded VIX call options, and exchange-traded VIX futures to gain exposure to volatility. While the use of these derivatives as a whole had a negative impact on Fund performance, the use of these instruments is integral to the Fund’s investment strategy, which, overall realized positive absolute returns during the Reporting Period. |
| Q | | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | | During the Reporting Period, we made several process enhancements that were a product of our ongoing research that seeks to position the Fund well to capture the risk and return profile of the dynamic and ever-changing hedge fund universe. The enhancements were focused on two areas: 1) further expanding and refining the database of hedge fund returns the Fund uses to understand the dynamic and ever- changing hedge fund industry; and 2) adding additional investment strategies within the Relative Value and Event Driven Hedge Fund Sub-Strategies in an effort to better capture the risk and return profile of hedge funds in those two categories. |
| | More specifically, as it relates to the first area, we added a third data source to the Fund’s proprietary hedge fund data base, which we believe will give us broader coverage of the universe. Importantly, we also made enhancements to our process of refining and filtering the hedge fund database to ensure only meaningful data is used in the Fund’s investment process. We now start with approximately 15,000 hedge fund return time series and process these resulting in about 3,000 hedge fund return time series used for the Fund’s investment process. |
| | Second, we added five new investment strategies between the Relative Value and Event Driven Hedge Fund Sub-Strategies. Among the new factors is a volatility strategy that uses futures on the VIX Index, which is a measure of future volatility priced into the market, in an effort to synthetically capture the volatility premium. This new factor complements our existing volatility factor, which uses exchange traded S&P 500® Index options, as our research shows that volatility hedge funds access the volatility premium both synthetically and through options. Another new factor is an in-house merger arbitrage strategy that was added to the Event Driven Sub-Strategy in an effort to better capture the risk and return profile of these hedge fund managers. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had a 47% allocation to the Equity Long/Short Hedge Fund Sub-Strategy, 24% to the Macro Hedge Fund Sub-Strategy, 23% to the Relative Value Hedge Fund Sub-Strategy and 7% to the Event Driven Hedge Fund Sub-Strategy, quite similar to the Sub-Strategy allocations at the start of the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
2
PORTFOLIO RESULTS
| Q | | What is the Fund’s strategy going forward? |
| A | | In the coming months, we intend to remain focused on the Fund’s investment objective of seeking to deliver long-term total return consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds. We understand that the hedge fund industry is dynamic, and to keep pace, we seek to understand trends in the hedge fund industry by digesting information from a number of sources, including hedge fund return databases, prime brokerage reports, hedge fund consultants, regulatory filings and other public sources. Additionally, we emphasize ongoing research and continued process and model enhancement, which we can implement through our scalable, robust technological platform. |
As of the close of business on January 12, 2022, after the end of the Reporting Period, the Fund’s benchmark index will be changed from the HFRX Global Hedge Fund Index to the ICE Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index. The Adviser believes the ICE Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index is an appropriate index against which to measure performance in light of the Fund’s investment strategy.
3
FUND BASICS
Absolute Return Tracker Fund
as of December 31, 2021
| 1 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com.There, you can learn more about the
Fund’s investment strategies, holdings, and performance.
4
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index, and the Fund’s former benchmark, the HFRX Global Hedge Fund Index (net of management, administrative and performance/incentive fees), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Absolute Return Tracker Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 6.09% | | | | 4.68% | | | 3.79% | | — |
Including sales charges | | | 0.29% | | | | 3.51% | | | 3.21% | | —
|
| | | | | | | | | | | | |
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 5.31% | | | | 3.89% | | | 3.01% | | — |
Including contingent deferred sales charges | | | 4.25% | | | | 3.89% | | | 3.01% | | — |
| | | | | | | | | | | | |
Institutional | | | 6.48% | | | | 5.10% | | | 4.19% | | — |
| | | | | | | | | | | | |
Investor | | | 6.35% | | | | 4.95% | | | 4.05% | | — |
| | | | | | | | | | | | |
Class R6 (Commenced July 31, 2015) | | | 6.38% | | | | 5.07% | | | N/A | | 4.20% |
| | | | | | | | | | | | |
Class R | | | 5.73% | | | | 4.40% | | | 3.51% | | — |
| | | | | | | | | | | | |
Class P (Commenced April 17, 2018) | | | 6.48% | | | | N/A | | | N/A | | 4.68% |
| | | | | | | | | | | | |
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
5
PORTFOLIO RESULTS
Goldman Sachs Alternative Premia Fund
Investment Objective
The Fund seeks long-term absolute return.
Portfolio Management Discussion and Analysis
In July 2021, the Board of Trustees of Goldman Sachs Trust approved a change to the Goldman Sachs Alternative Premia Fund’s (the “Fund”) benchmark index from the ICE Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index to the ICE Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index. This change became effective on July 29, 2021. Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Fund’s performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -3.12%, -3.79%, -2.74%, -2.90%, -2.61%, -3.29% and -2.60%, respectively. These returns compare to the 0.05% average annual total return of the Fund’s benchmark, the ICE Bank of America Three-Month U.S. Treasury Bill Index (the “Index”). The Fund’s former benchmark, the ICE Bank of America USD LIBOR 3-Month Constant Maturity Index, returned 0.17% during the Reporting Period. |
| | | We note that the Fund’s benchmark being the Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant. |
| Q | | What were the primary contributors to and detractors from the Fund’s performance based on your team’s asset allocation decisions during the Reporting Period? |
| A | | Overall, the Fund realized negative absolute returns during the Reporting Period. From an asset class perspective, alternative risk premia in volatility, commodities and currencies contributed positively, while alternative risk premia in equities, fixed income and credit detracted. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund allocated to alternative risk premia across a range of asset classes, which included equities, fixed income, credit, currencies and commodities. The Fund used derivative instruments to gain exposure to these asset classes. Instruments traded included commodity futures, credit default swaps, total return swaps, written and purchased options, equity futures, volatility index futures, forward foreign currency exchange contracts, Treasury futures and Eurodollar futures. The use of futures overall had a positive impact on Fund performance, while the use of the other instruments had a negative impact during the Reporting Period. |
| Q | | Did you make any changes in the Fund’s strategy or allocations during the Reporting Period? |
| A | | During the Reporting Period, we modestly decreased the Fund’s allocation to currency premia, and we modestly increased the Fund’s allocations to equities, volatility and trend premia. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund’s risk premia budget was approximately 32% to equities, 12% to commodities, 15% to currencies, 12% to fixed income, 13% to volatility and 15% to trend. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| | | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | | What is the Fund’s asset allocation view and strategy for the months ahead? |
| A | | The Fund is a multi-alternative solution that seeks to deliver long-term absolute returns differentiated from those returns of core equities and fixed income markets. The Fund maintains a diversified set of exposures across equities, fixed income, currencies, commodities and credit. At the end of the |
6
PORTFOLIO RESULTS
| | Reporting Period, we intended to continue to manage the Fund consistent with stated objectives. There is no guarantee that the Fund’s diversified alternative investment strategies will cause it to achieve its investment objective. |
|
| |
| At a meeting held on December 14-15, 2021, upon the recommendation of Goldman Sachs Asset Management, L.P., the Board of Trustees (the “Board”) of the Goldman Sachs Trust (the “Trust”) approved a proposal to liquidate the Fund. After careful consideration of a number of factors, the Board concluded it is advisable and in the best interest of the Fund and its shareholders to liquidate the Fund. The Fund liquidated on February 11, 2022 (the “Liquidation Date”), pursuant to a Plan of Liquidation approved by the Board. Shares of the Fund is no longer be available for purchase as of the close of business on January 17, 2022, except that existing shareholders of the Fund may continue to purchase shares of the Fund until February 7, 2022. For more details, please see the Supplement dated December 17, 2021 to the Prospectus, Summary Prospectus and Statement of Additional Information each dated April 30, 2021. |
7
FUND BASICS
Alternative Premia Fund
as of December 31, 2021
| 1 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The above graph 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.
8
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $10,000 investment made on January 1, 2012 in Class A Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index, and the Fund’s former benchmark, the ICE Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “LIBOR Three-Month Index”), are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| | |
| Alternative Premia Fund’s 10 Year Performance | | |
Performance of a $10,000 Investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | -3.12% | | | | -1.07% | | | 0.76% | | — |
Including sales charges | | | -8.43% | | | | -2.18% | | | 0.19% | | — |
| | | | | | | | | | | | |
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | -3.79% | | | | -1.78% | | | 0.02% | | — |
Including contingent deferred sales charges | | | -4.75% | | | | -1.78% | | | 0.02% | | — |
| | | | | | | | | | | | |
Institutional | | | -2.74% | | | | -0.66% | | | 1.17% | | — |
| | | | | | | | | | | | |
Investor | | | -2.90% | | | | -0.80% | | | 1.02% | | — |
| | | | | | | | | | | | |
Class R6 (Commenced July 31, 2015) | | | -2.61% | | | | -0.67% | | | N/A | | -0.44% |
| | | | | | | | | | | | |
Class R | | | -3.29% | | | | -1.31% | | | 0.52% | | — |
| | | | | | | | | | | | |
Class P (Commenced April 17, 2018) | | | -2.60% | | | | N/A | | | N/A | | -3.83% |
| | | | | | | | | | | | |
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
9
FUND BASICS
Index Definitions
The ICE BofAML USD LIBOR Three-Month Constant Maturity Index (the “Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. The Index figure does not reflect any deductions for fees, expenses or taxes. It is not possible to invest directly in an index.
The S&P GSCI® Index is an unmanaged composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. Individual components qualify for inclusion in the S&P GSCI® on the basis of liquidity and are weighted by their respective world production quantities. The figures for the S&P GSCI® do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
S&P 500 Index is an unmanaged composite index of 500 common stock prices. The Index figures do not include any deduction for fees, expenses or taxes.
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.
10
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – 40.1% | |
| Automobiles & Components – 0.6% | |
| | 1,100 | | | Aisin Corp. | | $ | 42,204 | |
| | 1,275 | | | Aptiv plc* | | | 210,311 | |
| | 5,223 | | | Bayerische Motoren Werke AG | | | 522,521 | |
| | 8,311 | | | BorgWarner, Inc. | | | 374,577 | |
| | 7,800 | | | Bridgestone Corp. | | | 334,875 | |
| | 10,680 | | | Cie Generale des Etablissements Michelin SCA | | | 1,749,216 | |
| | 2,027 | | | Continental AG* | | | 212,968 | |
| | 7,118 | | | Daimler AG (Registered) | | | 543,845 | |
| | 20,426 | | | Faurecia SE | | | 971,788 | |
| | 198,844 | | | Ford Motor Co. | | | 4,129,990 | |
| | 150,830 | | | General Motors Co.* | | | 8,843,163 | |
| | 3,441 | | | Honda Motor Co. Ltd. | | | 97,899 | |
| | 13,500 | | | Isuzu Motors Ltd. | | | 168,028 | |
| | 9,600 | | | JTEKT Corp. | | | 83,958 | |
| | 2,000 | | | Koito Manufacturing Co. Ltd. | | | 105,928 | |
| | 5,100 | | | Mazda Motor Corp.* | | | 39,132 | |
| | 200 | | | Mitsubishi Motors Corp.* | | | 557 | |
| | 1,502 | | | NGK Spark Plug Co. Ltd. | | | 26,153 | |
| | 4,900 | | | NHK Spring Co. Ltd. | | | 41,681 | |
| | 400 | | | Nifco, Inc. | | | 12,578 | |
| | 58,700 | | | Nissan Motor Co. Ltd.* | | | 282,731 | |
| | 2,922 | | | NOK Corp. | | | 31,828 | |
| | 12,524 | | | Renault SA* | | | 434,462 | |
| | 28,234 | | | Stellantis NV | | | 533,018 | |
| | 2,100 | | | Subaru Corp. | | | 37,522 | |
| | 1,200 | | | Sumitomo Electric Industries Ltd. | | | 15,661 | |
| | 3,587 | | | Sumitomo Rubber Industries Ltd. | | | 36,588 | |
| | 6,900 | | | Suzuki Motor Corp. | | | 266,084 | |
| | 41 | | | Tesla, Inc.* | | | 43,328 | |
| | 9,242 | | | TI Fluid Systems plc | | | 32,316 | |
| | 4,200 | | | Toyo Tire Corp. | | | 65,568 | |
| | 1,100 | | | Toyoda Gosei Co. Ltd. | | | 23,926 | |
| | 3,500 | | | Toyota Boshoku Corp. | | | 68,671 | |
| | 200 | | | Toyota Motor Corp. | | | 3,697 | |
| | 2,808 | | | TS Tech Co. Ltd. | | | 34,565 | |
| | 28,829 | | | Valeo | | | 869,379 | |
| | 1,200 | | | Yamaha Motor Co. Ltd. | | | 28,833 | |
| | 2,026 | | | Yokohama Rubber Co. Ltd. (The) | | | 32,494 | |
| | | | | | | | |
| | | | | | | 21,352,043 | |
| | |
| Banks – 1.8% | |
| | 2,600 | | | Aozora Bank Ltd. | | | 56,862 | |
| | 778 | | | Banco Bilbao Vizcaya Argentaria SA | | | 4,614 | |
| | 510 | | | Banco de Sabadell SA* | | | 340 | |
| | 124,610 | | | Banco Santander SA | | | 413,839 | |
| | 240,678 | | | Bank of America Corp. | | | 10,707,764 | |
| | 679 | | | Bank of Ireland Group plc* | | | 3,845 | |
| | 84,370 | | | Bankinter SA | | | 429,877 | |
| | 147,770 | | | Barclays plc | | | 376,409 | |
| | 72 | | | BAWAG Group AG | | | 4,416 | |
| | 5,511 | | | BNP Paribas SA | | | 381,036 | |
| | 400,753 | | | CaixaBank SA | | | 1,094,714 | |
| | 16,961 | | | Citigroup, Inc. | | | 1,024,275 | |
| | 7,687 | | | Citizens Financial Group, Inc. | | | 363,211 | |
| | 6,008 | | | Close Brothers Group plc | | | 114,175 | |
| | |
|
| Common Stocks – (continued) | |
| Banks – (continued) | |
| | 13,586 | | | Comerica, Inc. | | | 1,181,982 | |
| | 21,707 | | | Credit Agricole SA | | | 309,484 | |
| | 138 | | | Erste Group Bank AG | | | 6,469 | |
| | 3,670 | | | Fifth Third Bancorp | | | 159,829 | |
| | 38,075 | | | FinecoBank Banca Fineco SpA | | | 666,790 | |
| | 23,197 | | | First Republic Bank | | | 4,790,412 | |
| | 600 | | | Fukuoka Financial Group, Inc. | | | 10,275 | |
| | 4,056 | | | Gunma Bank Ltd. (The) | | | 12,403 | |
| | 8,733 | | | Hachijuni Bank Ltd. (The) | | | 29,835 | |
| | 5,738 | | | Hokuhoku Financial Group, Inc. | | | 45,593 | |
| | 74,116 | | | HSBC Holdings plc | | | 447,606 | |
| | 509 | | | ING Groep NV | | | 7,077 | |
| | 1,847 | | | Intesa Sanpaolo SpA | | | 4,771 | |
| | 131,987 | | | JPMorgan Chase & Co. | | | 20,900,141 | |
| | 12,470 | | | KBC Group NV | | | 1,071,439 | |
| | 74,831 | | | KeyCorp | | | 1,730,841 | |
| | 1,400 | | | Kyushu Financial Group, Inc. | | | 5,086 | |
| | 756,930 | | | Lloyds Banking Group plc | | | 491,545 | |
| | 1,448 | | | M&T Bank Corp. | | | 222,384 | |
| | 17,143 | | | Mebuki Financial Group, Inc. | | | 35,286 | |
| | 69 | | | Mediobanca Banca di Credito Finanziario SpA | | | 792 | |
| | 174,100 | | | Mitsubishi UFJ Financial Group, Inc. | | | 947,501 | |
| | 41,343 | | | Mizuho Financial Group, Inc. | | | 525,108 | |
| | 638 | | | Natwest Group plc | | | 1,954 | |
| | 721 | | | Nordea Bank Abp | | | 8,834 | |
| | 100 | | | OSB Group plc | | | 752 | |
| | 44 | | | Paragon Banking Group plc | | | 337 | |
| | 87 | | | PNC Financial Services Group, Inc. (The) | | | 17,445 | |
| | 3,260 | | | Raiffeisen Bank International AG | | | 95,748 | |
| | 70,954 | | | Regions Financial Corp. | | | 1,546,797 | |
| | 7,161 | | | Resona Holdings, Inc. | | | 27,829 | |
| | 22,300 | | | Seven Bank Ltd. | | | 46,100 | |
| | 14,407 | | | Societe Generale SA | | | 495,150 | |
| | 36,388 | | | Standard Chartered plc | | | 221,268 | |
| | 2,400 | | | Sumitomo Mitsui Financial Group, Inc. | | | 81,954 | |
| | 1,258 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 42,065 | |
| | 20 | | | SVB Financial Group* | | | 13,565 | |
| | 31 | | | TBC Bank Group plc | | | 692 | |
| | 43,858 | | | US Bancorp | | | 2,463,504 | |
| | 221,064 | | | Wells Fargo & Co. | | | 10,606,651 | |
| | 6,196 | | | Yamaguchi Financial Group, Inc. | | | 36,218 | |
| | 19,891 | | | Zions Bancorp NA | | | 1,256,316 | |
| | | | | | | | |
| | | | | | | 65,541,205 | |
| | |
| Capital Goods – 2.3% | |
| | 2,365 | | | 3M Co. | | | 420,095 | |
| | 14,803 | | | A O Smith Corp. | | | 1,270,838 | |
| | 3,143 | | | Aalberts NV | | | 208,412 | |
| | 1,142 | | | Ackermans & van Haaren NV | | | 219,110 | |
| | 7,561 | | | ACS Actividades de Construccion y Servicios SA | | | 201,584 | |
| | 500 | | | AGC, Inc. | | | 23,887 | |
| | 2,715 | | | Airbus SE* | | | 347,368 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Capital Goods – (continued) | |
| | 8,901 | | | Allegion plc | | $ | 1,178,848 | |
| | 10,000 | | | Amada Co. Ltd. | | | 99,019 | |
| | 10,581 | | | AMETEK, Inc. | | | 1,555,830 | |
| | 3,508 | | | ANDRITZ AG | | | 180,427 | |
| | 4,045 | | | Arcadis NV | | | 194,872 | |
| | 1,447 | | | Ashtead Group plc | | | 116,649 | |
| | 13,834 | | | BAE Systems plc | | | 103,163 | |
| | 1,034 | | | Bodycote plc | | | 12,119 | |
| | 1,783 | | | Bunzl plc | | | 69,653 | |
| | 63,833 | | | Carrier Global Corp. | | | 3,462,302 | |
| | 19,094 | | | Caterpillar, Inc. | | | 3,947,494 | |
| | 1,333 | | | Chemring Group plc | | | 5,422 | |
| | 29,060 | | | Cie de Saint-Gobain | | | 2,044,273 | |
| | 85,201 | | | CNH Industrial NV | | | 1,647,294 | |
| | 9,964 | | | Cummins, Inc. | | | 2,173,547 | |
| | 1,700 | | | Daifuku Co. Ltd. | | | 139,017 | |
| | 3,691 | | | Daimler Truck Holding AG* | | | 135,689 | |
| | 7,773 | | | DCC plc | | | 636,323 | |
| | 10,511 | | | Deere & Co. | | | 3,604,117 | |
| | 23 | | | Diploma plc | | | 1,054 | |
| | 5,030 | | | DiscoverIE Group plc | | | 70,016 | |
| | 4,800 | | | DMG Mori Co. Ltd. | | | 82,583 | |
| | 723 | | | Dover Corp. | | | 131,297 | |
| | 13,515 | | | Eaton Corp. plc | | | 2,335,662 | |
| | 8,182 | | | Eiffage SA | | | 843,595 | |
| | 86 | | | Electrocomponents plc | | | 1,410 | |
| | 27,626 | | | Emerson Electric Co. | | | 2,568,389 | |
| | 24,489 | | | Fastenal Co. | | | 1,568,765 | |
| | 19 | | | Ferguson plc | | | 3,375 | |
| | 10,308 | | | Fluidra SA | | | 411,106 | |
| | 2,072 | | | Fortive Corp. | | | 158,073 | |
| | 2,956 | | | Fortune Brands Home & Security, Inc. | | | 315,996 | |
| | 2,000 | | | Fuji Electric Co. Ltd. | | | 109,256 | |
| | 6,063 | | | GEA Group AG | | | 331,157 | |
| | 33 | | | Generac Holdings, Inc.* | | | 11,613 | |
| | 12,515 | | | General Dynamics Corp. | | | 2,609,002 | |
| | 77,099 | | | General Electric Co. | | | 7,283,543 | |
| | 2,399 | | | Genuit Group plc | | | 19,171 | |
| | 2,497 | | | Glory Ltd. | | | 47,563 | |
| | 12,800 | | | Hino Motors Ltd. | | | 105,548 | |
| | 2,921 | | | Hitachi Construction Machinery Co. Ltd. | | | 84,402 | |
| | 1,562 | | | Hitachi Ltd. | | | 84,619 | |
| | 17,283 | | | Honeywell International, Inc. | | | 3,603,678 | |
| | 500 | | | Hoshizaki Corp. | | | 37,619 | |
| | 43,865 | | | Howden Joinery Group plc | | | 537,295 | |
| | 8,264 | | | Huntington Ingalls Industries, Inc. | | | 1,543,219 | |
| | 1,900 | | | IHI Corp. | | | 38,260 | |
| | 3,440 | | | IMCD NV | | | 760,251 | |
| | 17,558 | | | IMI plc | | | 414,088 | |
| | 4,222 | | | INFRONEER Holdings, Inc. | | | 38,435 | |
| | 5,357 | | | Ingersoll Rand, Inc. | | | 331,438 | |
| | 70 | | | Interpump Group SpA | | | 5,128 | |
| | 3,547 | | | ITOCHU Corp. | | | 108,517 | |
| | 1,300 | | | Japan Steel Works Ltd. (The) | | | 43,632 | |
| | 9,400 | | | JGC Holdings Corp. | | | 78,525 | |
| | |
|
| Common Stocks – (continued) | |
| Capital Goods – (continued) | |
| | 83,090 | | | Johnson Controls International plc | | | 6,756,048 | |
| | 2,827 | | | Kinden Corp. | | | 42,507 | |
| | 3,947 | | | Knorr-Bremse AG | | | 389,824 | |
| | 14,800 | | | Komatsu Ltd. | | | 346,113 | |
| | 36 | | | Legrand SA | | | 4,216 | |
| | 40,568 | | | Leonardo SpA* | | | 289,980 | |
| | 5,692 | | | Lixil Corp. | | | 151,845 | |
| | 8,932 | | | Marubeni Corp. | | | 87,024 | |
| | 3,665 | | | Masco Corp. | | | 257,356 | |
| | 33,302 | | | Melrose Industries plc | | | 72,425 | |
| | 5,000 | | | MINEBEA MITSUMI, Inc. | | | 142,068 | |
| | 1,800 | | | Mirait Holdings Corp. | | | 29,694 | |
| | 2,700 | | | MISUMI Group, Inc. | | | 110,921 | |
| | 2,935 | | | Mitsubishi Corp. | | | 93,195 | |
| | 26,175 | | | Mitsubishi Electric Corp. | | | 332,240 | |
| | 4,081 | | | Mitsui & Co. Ltd. | | | 96,711 | |
| | 1,021 | | | Miura Co. Ltd. | | | 35,148 | |
| | 5,706 | | | MonotaRO Co. Ltd. | | | 102,628 | |
| | 14,942 | | | Morgan Advanced Materials plc | | | 72,506 | |
| | 3,100 | | | Morgan Sindall Group plc | | | 106,402 | |
| | 4,262 | | | Nabtesco Corp. | | | 126,283 | |
| | 1,800 | | | NGK Insulators Ltd. | | | 30,465 | |
| | 2,900 | | | Nishimatsu Construction Co. Ltd. | | | 91,896 | |
| | 6,654 | | | Nisshinbo Holdings, Inc. | | | 50,656 | |
| | 800 | | | NSK Ltd. | | | 5,140 | |
| | 52,900 | | | NTN Corp.* | | | 110,492 | |
| | 453 | | | OKUMA Corp. | | | 20,161 | |
| | 400 | | | OSG Corp. | | | 6,217 | |
| | 21,433 | | | Otis Worldwide Corp. | | | 1,866,171 | |
| | 1,534 | | | Parker-Hannifin Corp. | | | 487,996 | |
| | 3,241 | | | Pentair plc | | | 236,690 | |
| | 170,123 | | | Plug Power, Inc.* | | | 4,802,572 | |
| | 14,958 | | | Prysmian SpA | | | 562,663 | |
| | 6,896 | | | QinetiQ Group plc | | | 24,822 | |
| | 13 | | | Quanta Services, Inc. | | | 1,491 | |
| | 199 | | | Rational AG | | | 203,530 | |
| | 13,340 | | | Rexel SA* | | | 270,168 | |
| | 5,453 | | | Rheinmetall AG | | | 513,183 | |
| | 4,962 | | | Rockwell Automation, Inc. | | | 1,730,994 | |
| | 42,546 | | | Rotork plc | | | 207,063 | |
| | 1,336 | | | Sanwa Holdings Corp. | | | 14,266 | |
| | 6,284 | | | Siemens Energy AG* | | | 160,332 | |
| | 25,461 | | | Siemens Gamesa Renewable Energy SA* | | | 604,645 | |
| | 12,713 | | | Signify NV | | | 590,287 | |
| | 22,187 | | | Smiths Group plc | | | 474,919 | |
| | 2,252 | | | Snap-on, Inc. | | | 485,036 | |
| | 54 | | | Sojitz Corp. | | | 811 | |
| | 11,280 | | | Stanley Black & Decker, Inc. | | | 2,127,119 | |
| | 18,840 | | | Sumitomo Corp. | | | 278,821 | |
| | 4,500 | | | Sumitomo Heavy Industries Ltd. | | | 109,228 | |
| | 4,200 | | | Tadano Ltd. | | | 40,496 | |
| | 5,361 | | | Taisei Corp. | | | 163,028 | |
| | 1,616 | | | Thales SA | | | 137,468 | |
| | 2,800 | | | TOTO Ltd. | | | 129,185 | |
| | 10,036 | | | Trane Technologies plc | | | 2,027,573 | |
| | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Capital Goods – (continued) | |
| | 2,585 | | | Travis Perkins plc | | $ | 54,571 | |
| | 7,421 | | | Tyman plc | | | 40,129 | |
| | 708 | | | Ultra Electronics Holdings plc | | | 30,572 | |
| | 9,699 | | | United Rentals, Inc.* | | | 3,222,881 | |
| | 1,800 | | | Ushio, Inc. | | | 29,906 | |
| | 6,938 | | | Valmet OYJ | | | 297,471 | |
| | 6,046 | | | Vesuvius plc | | | 37,053 | |
| | 3,516 | | | Vinci SA | | | 371,342 | |
| | 2,337 | | | Volution Group plc | | | 17,510 | |
| | 1,315 | | | Weir Group plc (The) | | | 30,515 | |
| | 6,155 | | | Westinghouse Air Brake Technologies Corp. | | | 566,937 | |
| | 2,492 | | | WW Grainger, Inc. | | | 1,291,454 | |
| | 10,917 | | | Xylem, Inc. | | | 1,309,167 | |
| | | | | | | | |
| | | | | | | 86,224,858 | |
| | |
| Commercial & Professional Services – 0.7% | |
| | 7,450 | | | Biffa plc | | | 36,151 | |
| | 64 | | | Bureau Veritas SA | | | 2,125 | |
| | 3,929 | | | Cintas Corp. | | | 1,741,215 | |
| | 31,995 | | | Clean Harbors, Inc.* | | | 3,192,141 | |
| | 800 | | | Dai Nippon Printing Co. Ltd. | | | 20,133 | |
| | 1,400 | | | Duskin Co. Ltd. | | | 34,195 | |
| | 21,102 | | | Elis SA* | | | 365,600 | |
| | 25 | | | Equifax, Inc. | | | 7,320 | |
| | 6,689 | | | Hays plc | | | 13,281 | |
| | 2,475 | | | HomeServe plc | | | 29,296 | |
| | 7,129 | | | Intertek Group plc | | | 543,853 | |
| | 33,129 | | | Jacobs Engineering Group, Inc. | | | 4,612,551 | |
| | 1,969 | | | Kokuyo Co. Ltd. | | | 29,379 | |
| | 5,050 | | | Leidos Holdings, Inc. | | | 448,945 | |
| | 34,007 | | | Mitie Group plc | | | 29,689 | |
| | 28,505 | | | Nielsen Holdings plc | | | 584,638 | |
| | 1,700 | | | Outsourcing, Inc. | | | 22,938 | |
| | 2,786 | | | Pagegroup plc | | | 23,889 | |
| | 4,500 | | | Park24 Co. Ltd.* | | | 61,685 | |
| | 1,178 | | | Randstad NV | | | 80,360 | |
| | 62,343 | | | RELX plc | | | 2,035,308 | |
| | 65,386 | | | Rentokil Initial plc | | | 517,579 | |
| | 31,560 | | | Republic Services, Inc. | | | 4,401,042 | |
| | 135 | | | Robert Half International, Inc. | | | 15,055 | |
| | 33,888 | | | Rollins, Inc. | | | 1,159,308 | |
| | 89,544 | | | Serco Group plc | | | 162,612 | |
| | 200 | | | Sohgo Security Services Co. Ltd. | | | 7,947 | |
| | 6,122 | | | SPIE SA | | | 158,594 | |
| | 1,600 | | | TechnoPro Holdings, Inc. | | | 48,501 | |
| | 2,706 | | | Toppan, Inc. | | | 53,350 | |
| | 6,920 | | | Verisk Analytics, Inc. | | | 1,582,812 | |
| | 13,080 | | | Waste Management, Inc. | | | 2,183,052 | |
| | 9,780 | | | Wolters Kluwer NV | | | 1,151,116 | |
| | | | | | | | |
| | | | | | | 25,355,660 | |
| | |
| Consumer Durables & Apparel – 0.8% | |
| | 14,120 | | | adidas AG | | | 4,065,789 | |
| | 5,200 | | | Asics Corp. | | | 115,281 | |
| | 74,350 | | | Barratt Developments plc | | | 754,986 | |
| | |
|
| Common Stocks – (continued) | |
| Consumer Durables & Apparel – (continued) | |
| | 875 | | | Bellway plc | | | 39,769 | |
| | 312 | | | Berkeley Group Holdings plc | | | 20,204 | |
| | 29,480 | | | Burberry Group plc | | | 727,633 | |
| | 7,200 | | | Casio Computer Co. Ltd. | | | 92,711 | |
| | 18,027 | | | Coats Group plc | | | 16,885 | |
| | 9,327 | | | Crest Nicholson Holdings plc | | | 46,963 | |
| | 18,658 | | | DR Horton, Inc. | | | 2,023,460 | |
| | 19,598 | | | Dr. Martens plc* | | | 113,535 | |
| | 1,396 | | | EssilorLuxottica SA | | | 297,176 | |
| | 877 | | | Garmin Ltd. | | | 119,421 | |
| | 24,991 | | | Hanesbrands, Inc. | | | 417,849 | |
| | 15,030 | | | Hasbro, Inc. | | | 1,529,753 | |
| | 4,453 | | | Iida Group Holdings Co. Ltd. | | | 112,186 | |
| | 2,379 | | | Leggett & Platt, Inc. | | | 97,920 | |
| | 46,168 | | | Lennar Corp. Class A | | | 5,362,875 | |
| | 3,292 | | | Mohawk Industries, Inc.* | | | 599,737 | |
| | 23 | | | Moncler SpA | | | 1,662 | |
| | 20,410 | | | Newell Brands, Inc. | | | 445,754 | |
| | 11,700 | | | Nikon Corp. | | | 126,035 | |
| | 87 | | | NVR, Inc.* | | | 514,072 | |
| | 200 | | | Open House Group Co. Ltd. | | | 10,451 | |
| | 4,922 | | | Panasonic Corp. | | | 54,107 | |
| | 18,632 | | | Persimmon plc | | | 722,159 | |
| | 10,411 | | | PulteGroup, Inc. | | | 595,093 | |
| | 13,371 | | | PVH Corp. | | | 1,426,017 | |
| | 13,116 | | | Ralph Lauren Corp. | | | 1,558,968 | |
| | 4,312 | | | Redrow plc | | | 41,153 | |
| | 100 | | | Rinnai Corp. | | | 9,025 | |
| | 1,065 | | | SEB SA | | | 165,960 | |
| | 5,400 | | | Sekisui Chemical Co. Ltd. | | | 90,310 | |
| | 1,824 | | | Sekisui House Ltd. | | | 39,245 | |
| | 12,100 | | | Sharp Corp. | | | 138,963 | |
| | 40,394 | | | Tapestry, Inc. | | | 1,639,996 | |
| | 18,145 | | | Taylor Wimpey plc | | | 43,260 | |
| | 64,017 | | | Under Armour, Inc. Class A* | | | 1,356,520 | |
| | 13,710 | | | Under Armour, Inc. Class C* | | | 247,328 | |
| | 21,272 | | | VF Corp. | | | 1,557,536 | |
| | 3,052 | | | Vistry Group plc | | | 48,821 | |
| | 1,300 | | | Wacoal Holdings Corp. | | | 24,157 | |
| | 2,565 | | | Whirlpool Corp. | | | 601,903 | |
| | 2,400 | | | Yamaha Corp. | | | 118,405 | |
| | | | | | | | |
| | | | | | | 28,131,033 | |
| | |
| Consumer Services – 1.1% | |
| | 348 | | | 888 Holdings plc | | | 1,418 | |
| | 1,395 | | | Benesse Holdings, Inc. | | | 27,394 | |
| | 2,532 | | | Booking Holdings, Inc.* | | | 6,074,850 | |
| | 72,004 | | | Caesars Entertainment, Inc.* | | | 6,734,534 | |
| | 1,239 | | | Chipotle Mexican Grill, Inc.* | | | 2,166,082 | |
| | 10,322 | | | Darden Restaurants, Inc. | | | 1,554,906 | |
| | 24,681 | | | Domino’s Pizza Group plc | | | 153,721 | |
| | 2,866 | | | Domino’s Pizza, Inc. | | | 1,617,370 | |
| | 37,870 | | | Entain plc* | | | 865,583 | |
| | 1,945 | | | Expedia Group, Inc.* | | | 351,500 | |
| | 9,273 | | | Flutter Entertainment plc* | | | 1,481,320 | |
| | 6,756 | | | Greggs plc | | | 305,812 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Consumer Services – (continued) | |
| | 12,149 | | | Hilton Worldwide Holdings, Inc.* | | $ | 1,895,123 | |
| | 4,815 | | | La Francaise des Jeux SAEM | | | 213,390 | |
| | 17,141 | | | McDonald’s Corp. | | | 4,594,988 | |
| | 133,320 | | | MGM Resorts International | | | 5,983,402 | |
| | 4,140 | | | Mitchells & Butlers plc* | | | 14,345 | |
| | 9,107 | | | Penn National Gaming, Inc.* | | | 472,198 | |
| | 8,290 | | | Playtech plc* | | | 82,193 | |
| | 700 | | | Resorttrust, Inc. | | | 11,439 | |
| | 1,300 | | | Skylark Holdings Co. Ltd. | | | 17,080 | |
| | 1,612 | | | Sodexo SA | | | 141,321 | |
| | 32,479 | | | Starbucks Corp. | | | 3,799,069 | |
| | 30,116 | | | Trainline plc* | | | 113,730 | |
| | 800 | | | Yoshinoya Holdings Co. Ltd. | | | 16,144 | |
| | 14,307 | | | Yum! Brands, Inc. | | | 1,986,670 | |
| | 1,800 | | | Zensho Holdings Co. Ltd. | | | 42,309 | |
| | | | | | | | |
| | | | | | | 40,717,891 | |
| | |
| Diversified Financials – 1.8% | |
| | 31,256 | | | 3i Group plc | | | 612,720 | |
| | 168,464 | | | Abrdn plc | | | 548,858 | |
| | 12,200 | | | Acom Co. Ltd. | | | 35,122 | |
| | 1,500 | | | AEON Financial Service Co. Ltd. | | | 16,180 | |
| | 9,361 | | | AJ Bell plc | | | 48,072 | |
| | 20,065 | | | American Express Co. | | | 3,282,634 | |
| | 5,150 | | | Ameriprise Financial, Inc. | | | 1,553,549 | |
| | 56,643 | | | Apollo Global Management, Inc. | | | 4,102,652 | |
| | 49,174 | | | Ashmore Group plc | | | 194,272 | |
| | 4,784 | | | Bank of New York Mellon Corp. (The) | | | 277,855 | |
| | 57,708 | | | Berkshire Hathaway, Inc. Class B* | | | 17,254,692 | |
| | 111 | | | Brewin Dolphin Holdings plc | | | 556 | |
| | 5,593 | | | Capital One Financial Corp. | | | 811,488 | |
| | 86 | | | Cboe Global Markets, Inc. | | | 11,214 | |
| | 205 | | | Charles Schwab Corp. (The) | | | 17,240 | |
| | 28,414 | | | Chrysalis Investments Ltd.* | | | 93,988 | |
| | 22,473 | | | CMC Markets plc | | | 80,152 | |
| | 3,629 | | | Credit Saison Co. Ltd. | | | 38,164 | |
| | 100 | | | Daiwa Securities Group, Inc. | | | 564 | |
| | 7,555 | | | Deutsche Boerse AG | | | 1,261,492 | |
| | 17,697 | | | Discover Financial Services | | | 2,045,065 | |
| | 2,175 | | | Eurazeo SE | | | 189,759 | |
| | 9,123 | | | EXOR NV | | | 816,670 | |
| | 8,839 | | | Franklin Resources, Inc. | | | 296,018 | |
| | 28,271 | | | Hargreaves Lansdown plc | | | 519,513 | |
| | 22,337 | | | IG Group Holdings plc | | | 246,898 | |
| | 8,340 | | | IntegraFin Holdings plc | | | 63,423 | |
| | 45 | | | Intercontinental Exchange, Inc. | | | 6,155 | |
| | 13,717 | | | Intermediate Capital Group plc | | | 408,502 | |
| | 23,633 | | | Invesco Ltd. | | | 544,032 | |
| | 396 | | | Investec plc | | | 2,183 | |
| | 37,931 | | | IP Group plc | | | 64,180 | |
| | 500 | | | JAFCO Group Co. Ltd. | | | 28,766 | |
| | 6,143 | | | Japan Exchange Group, Inc. | | | 134,589 | |
| | 76 | | | JTC plc | | | 948 | |
| | 63,760 | | | KKR & Co., Inc. | | | 4,750,120 | |
| | 55 | | | Liontrust Asset Management plc | | | 1,638 | |
| | |
|
| Common Stocks – (continued) | |
| Diversified Financials – (continued) | |
| | 761 | | | Man Group plc | | | 2,342 | |
| | 2,929 | | | MarketAxess Holdings, Inc. | | | 1,204,610 | |
| | 4,900 | | | Mitsubishi HC Capital, Inc. | | | 24,243 | |
| | 14,143 | | | Molten Ventures plc* | | | 196,359 | |
| | 5,525 | | | Moody’s Corp. | | | 2,157,954 | |
| | 73,511 | | | Morgan Stanley | | | 7,215,840 | |
| | 26 | | | MSCI, Inc. | | | 15,930 | |
| | 91 | | | Nasdaq, Inc. | | | 19,111 | |
| | 10,935 | | | Ninety One plc | | | 41,029 | |
| | 7,801 | | | Plus500 Ltd. | | | 143,897 | |
| | 44 | | | Rathbones Group plc | | | 1,193 | |
| | 169 | | | Raymond James Financial, Inc. | | | 16,968 | |
| | 20,909 | | | S&P Global, Inc. | | | 9,867,584 | |
| | 4,800 | | | SBI Holdings, Inc. | | | 130,923 | |
| | 391 | | | Sofina SA | | | 188,076 | |
| | 90 | | | St James’s Place plc | | | 2,057 | |
| | 1,766 | | | State Street Corp. | | | 164,238 | |
| | 43,651 | | | Synchrony Financial | | | 2,024,970 | |
| | 8,895 | | | T. Rowe Price Group, Inc. | | | 1,749,113 | |
| | | | | | | | |
| | | | | | | 65,526,360 | |
| | |
| Energy – 1.5% | |
| | 53,690 | | | APA Corp. | | | 1,443,724 | |
| | 252,148 | | | Baker Hughes Co. | | | 6,066,681 | |
| | 1,103 | | | BP plc | | | 4,942 | |
| | 74,331 | | | Chevron Corp. | | | 8,722,743 | |
| | 80,181 | | | ConocoPhillips | | | 5,787,465 | |
| | 1,700 | | | Cosmo Energy Holdings Co. Ltd. | | | 33,214 | |
| | 39,799 | | | Devon Energy Corp. | | | 1,753,146 | |
| | 37,809 | | | Diamondback Energy, Inc. | | | 4,077,701 | |
| | 691 | | | Diversified Energy Co. plc | | | 977 | |
| | 200 | | | ENEOS Holdings, Inc. | | | 747 | |
| | 10 | | | Energean plc* | | | 116 | |
| | 603 | | | Eni SpA | | | 8,380 | |
| | 23,759 | | | EOG Resources, Inc. | | | 2,110,512 | |
| | 111,186 | | | Exxon Mobil Corp. | | | 6,803,471 | |
| | 67,145 | | | Halliburton Co. | | | 1,535,606 | |
| | 52,200 | | | Harbour Energy plc* | | | 251,920 | |
| | 166 | | | Hess Corp. | | | 12,289 | |
| | 1,900 | | | Inpex Corp. | | | 16,522 | |
| | 27,626 | | | Kinder Morgan, Inc. | | | 438,148 | |
| | 38,839 | | | Marathon Oil Corp. | | | 637,736 | |
| | 29,581 | | | Marathon Petroleum Corp. | | | 1,892,888 | |
| | 23,509 | | | Neste OYJ | | | 1,157,014 | |
| | 25,902 | | | Occidental Petroleum Corp. | | | 750,899 | |
| | 1,738 | | | OMV AG | | | 98,289 | |
| | 295 | | | ONEOK, Inc. | | | 17,334 | |
| | 7,886 | | | Phillips 66 | | | 571,420 | |
| | 94 | | | Pioneer Natural Resources Co. | | | 17,097 | |
| | 186,241 | | | Repsol SA | | | 2,205,677 | |
| | 49,033 | | | Royal Dutch Shell plc Class A | | | 1,074,529 | |
| | 231 | | | Royal Dutch Shell plc Class B | | | 5,072 | |
| | 275 | | | Schlumberger NV | | | 8,236 | |
| | 86,133 | | | TechnipFMC plc* | | | 517,107 | |
| | 109,009 | | | Tenaris SA | | | 1,137,728 | |
| | 12,311 | | | TotalEnergies SE | | | 626,633 | |
| | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Energy – (continued) | |
| | 23,783 | | | Valero Energy Corp. | | $ | 1,786,341 | |
| | 157,989 | | | Williams Cos., Inc. (The) | | | 4,114,034 | |
| | | | | | | | |
| | | | | | | 55,686,338 | |
| | |
| Food & Staples Retailing – 0.3% | |
| | 1,512 | | | Aeon Co. Ltd. | | | 35,632 | |
| | 100 | | | Ain Holdings, Inc. | | | 4,985 | |
| | 16,181 | | | Carrefour SA | | | 296,654 | |
| | 9,412 | | | Costco Wholesale Corp. | | | 5,343,192 | |
| | 793 | | | Etablissements Franz Colruyt NV | | | 33,649 | |
| | 13,626 | | | HelloFresh SE* | | | 1,044,271 | |
| | 44,411 | | | J Sainsbury plc | | | 166,007 | |
| | 18,348 | | | Jeronimo Martins SGPS SA | | | 419,873 | |
| | 3,051 | | | Kesko OYJ Class B | | | 101,692 | |
| | 11,222 | | | Koninklijke Ahold Delhaize NV | | | 385,098 | |
| | 10,974 | | | Kroger Co. (The) | | | 496,683 | |
| | 631 | | | Lawson, Inc. | | | 29,941 | |
| | 2,600 | | | MatsukiyoCocokara & Co. | | | 96,142 | |
| | 1,272 | | | Seven & i Holdings Co. Ltd. | | | 55,953 | |
| | 487 | | | Tesco plc | | | 1,917 | |
| | 800 | | | Tsuruha Holdings, Inc. | | | 76,815 | |
| | 10,869 | | | Walgreens Boots Alliance, Inc. | | | 566,927 | |
| | 7,395 | | | Walmart, Inc. | | | 1,069,983 | |
| | | | | | | | |
| | | | | | | 10,225,414 | |
| | |
| Food, Beverage & Tobacco – 1.4% | |
| | 8,300 | | | Ajinomoto Co., Inc. | | | 252,670 | |
| | 104 | | | Altria Group, Inc. | | | 4,929 | |
| | 5,782 | | | Anheuser-Busch InBev SA/NV | | | 348,597 | |
| | 8,724 | | | Archer-Daniels-Midland Co. | | | 589,655 | |
| | 1,398 | | | Asahi Group Holdings Ltd. | | | 54,422 | |
| | 5,419 | | | Associated British Foods plc | | | 148,339 | |
| | 10,520 | | | British American Tobacco plc | | | 390,626 | |
| | 18,583 | | | Britvic plc | | | 231,408 | |
| | 18,273 | | | Brown-Forman Corp. Class B | | | 1,331,371 | |
| | 160 | | | C&C Group plc* | | | 503 | |
| | 1,800 | | | Calbee, Inc. | | | 41,797 | |
| | 6,424 | | | Campbell Soup Co. | | | 279,187 | |
| | 221,924 | | | Coca-Cola Co. (The) | | | 13,140,120 | |
| | 20,827 | | | Coca-Cola HBC AG* | | | 721,142 | |
| | 10,145 | | | Conagra Brands, Inc. | | | 346,452 | |
| | 1,363 | | | Constellation Brands, Inc. Class A | | | 342,072 | |
| | 2,000 | | | Cranswick plc | | | 100,217 | |
| | 164 | | | Davide Campari-Milano NV | | | 2,393 | |
| | 46,013 | | | Diageo plc | | | 2,515,810 | |
| | 5,551 | | | General Mills, Inc. | | | 374,026 | |
| | 21,045 | | | Glanbia plc | | | 294,028 | |
| | 30,012 | | | Greencore Group plc* | | | 52,606 | |
| | 4,086 | | | Heineken Holding NV | | | 376,749 | |
| | 1,138 | | | Heineken NV | | | 128,070 | |
| | 953 | | | Hershey Co. (The) | | | 184,377 | |
| | 1,639 | | | Hormel Foods Corp. | | | 80,000 | |
| | 9,090 | | | Imperial Brands plc | | | 199,205 | |
| | 507 | | | Ito En Ltd. | | | 26,639 | |
| | 11,834 | | | J M Smucker Co. (The) | | | 1,607,294 | |
| | 6,998 | | | JDE Peet’s NV | | | 216,602 | |
| | |
|
| Common Stocks – (continued) | |
| Food, Beverage & Tobacco – (continued) | |
| | 1,779 | | | Kellogg Co. | | | 114,603 | |
| | 1,100 | | | Kewpie Corp. | | | 23,728 | |
| | 1,400 | | | Kirin Holdings Co. Ltd. | | | 22,550 | |
| | 10,529 | | | Kraft Heinz Co. (The) | | | 377,991 | |
| | 20,627 | | | Lamb Weston Holdings, Inc. | | | 1,307,339 | |
| | 1,874 | | | Maruha Nichiro Corp. | | | 39,261 | |
| | 1,900 | | | Megmilk Snow Brand Co. Ltd. | | | 32,941 | |
| | 10,744 | | | Molson Coors Beverage Co. Class B | | | 497,984 | |
| | 50,610 | | | Mondelez International, Inc. Class A | | | 3,355,949 | |
| | 21,475 | | | Monster Beverage Corp.* | | | 2,062,459 | |
| | 1,300 | | | Morinaga Milk Industry Co. Ltd. | | | 61,756 | |
| | 7,583 | | | Nippon Suisan Kaisha Ltd. | | | 35,841 | |
| | 1,532 | | | Nisshin Seifun Group, Inc. | | | 22,101 | |
| | 68,886 | | | PepsiCo, Inc. | | | 11,966,187 | |
| | 19 | | | Pernod Ricard SA | | | 4,571 | |
| | 69,761 | | | Philip Morris International, Inc. | | | 6,627,295 | |
| | 60,095 | | | Premier Foods plc | | | 90,940 | |
| | 1,200 | | | Sapporo Holdings Ltd. | | | 22,821 | |
| | 3,034 | | | Suntory Beverage & Food Ltd. | | | 109,870 | |
| | 1,500 | | | Takara Holdings, Inc. | | | 15,954 | |
| | 3,393 | | | Tate & Lyle plc | | | 30,526 | |
| | 6,174 | | | Tyson Foods, Inc. Class A | | | 538,126 | |
| | 5,087 | | | Yamazaki Baking Co. Ltd. | | | 67,617 | |
| | | | | | | | |
| | | | | | | 51,809,716 | |
| | |
| Health Care Equipment & Services – 3.2% | |
| | 51,170 | | | Abbott Laboratories | | | 7,201,666 | |
| | 3,246 | | | ABIOMED, Inc.* | | | 1,165,866 | |
| | 1,572 | | | Alfresa Holdings Corp. | | | 20,948 | |
| | 6,909 | | | Align Technology, Inc.* | | | 4,540,457 | |
| | 4,234 | | | AmerisourceBergen Corp. | | | 562,656 | |
| | 17,059 | | | Anthem, Inc. | | | 7,907,529 | |
| | 22,556 | | | Baxter International, Inc. | | | 1,936,207 | |
| | 21,668 | | | Becton Dickinson and Co. | | | 5,449,069 | |
| | 54,757 | | | Boston Scientific Corp.* | | | 2,326,077 | |
| | 5,674 | | | Cardinal Health, Inc. | | | 292,154 | |
| | 1,942 | | | Carl Zeiss Meditec AG | | | 407,386 | |
| | 40,233 | | | Centene Corp.* | | | 3,315,199 | |
| | 22,532 | | | Cerner Corp. | | | 2,092,547 | |
| | 8,892 | | | Chemed Corp. | | | 4,704,224 | |
| | 29,489 | | | Cigna Corp. | | | 6,771,559 | |
| | 126,959 | | | ConvaTec Group plc | | | 331,653 | |
| | 50,103 | | | CVS Health Corp. | | | 5,168,626 | |
| | 6,899 | | | DaVita, Inc.* | | | 784,830 | |
| | 7,544 | | | Dentsply Sirona, Inc. | | | 420,880 | |
| | 3,406 | | | DiaSorin SpA | | | 651,099 | |
| | 53,853 | | | Edwards Lifesciences Corp.* | | | 6,976,656 | |
| | 4,561 | | | Fresenius Medical Care AG & Co. KGaA | | | 295,682 | |
| | 6,802 | | | Fresenius SE & Co. KGaA | | | 273,396 | |
| | 1,631 | | | H.U. Group Holdings, Inc. | | | 41,379 | |
| | 18,254 | | | HCA Healthcare, Inc. | | | 4,689,818 | |
| | 9,800 | | | Henry Schein, Inc.* | | | 759,794 | |
| | 82,398 | | | Hologic, Inc.* | | | 6,308,391 | |
| | 3,219 | | | Hoya Corp. | | | 477,673 | |
| | 5,017 | | | Humana, Inc. | | | 2,327,186 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Health Care Equipment & Services – (continued) | |
| | 10,663 | | | Insulet Corp.* | | $ | 2,837,104 | |
| | 7,330 | | | Koninklijke Philips NV | | | 271,295 | |
| | 3,207 | | | Laboratory Corp. of America Holdings* | | | 1,007,671 | |
| | 13,110 | | | Masimo Corp.* | | | 3,838,346 | |
| | 2,974 | | | McKesson Corp. | | | 739,247 | |
| | 35,206 | | | Mediclinic International plc* | | | 152,397 | |
| | 1,870 | | | Medipal Holdings Corp. | | | 35,053 | |
| | 52,934 | | | Medtronic plc | | | 5,476,022 | |
| | 1,300 | | | Menicon Co. Ltd. | | | 38,454 | |
| | 10,489 | | | Molina Healthcare, Inc.* | | | 3,336,341 | |
| | 700 | | | Nihon Kohden Corp. | | | 19,190 | |
| | 800 | | | Nipro Corp. | | | 7,574 | |
| | 13,100 | | | Olympus Corp. | | | 301,657 | |
| | 13,742 | | | Quest Diagnostics, Inc. | | | 2,377,503 | |
| | 1,100 | | | Ship Healthcare Holdings, Inc. | | | 25,632 | |
| | 49 | | | Siemens Healthineers AG | | | 3,653 | |
| | 61,810 | | | Smith & Nephew plc | | | 1,078,732 | |
| | 25,706 | | | Spire Healthcare Group plc* | | | 86,986 | |
| | 1,398 | | | Suzuken Co. Ltd. | | | 40,343 | |
| | 3,687 | | | Teleflex, Inc. | | | 1,211,106 | |
| | 9,300 | | | Terumo Corp. | | | 392,838 | |
| | 2,595 | | | Toho Holdings Co. Ltd. | | | 39,607 | |
| | 30,106 | | | UnitedHealth Group, Inc. | | | 15,117,427 | |
| | 1,486 | | | Zimmer Biomet Holdings, Inc. | | | 188,781 | |
| | | | | | | | |
| | | | | | | 116,823,566 | |
| | |
| Household & Personal Products – 0.5% | |
| | 6,149 | | | Beiersdorf AG | | | 630,304 | |
| | 2,270 | | | Church & Dwight Co., Inc. | | | 232,675 | |
| | 1,400 | | | Fancl Corp. | | | 41,722 | |
| | 1,000 | | | Kose Corp. | | | 113,442 | |
| | 7,842 | | | L’Oreal SA | | | 3,739,166 | |
| | 2,200 | | | Pola Orbis Holdings, Inc. | | | 36,665 | |
| | 63,317 | | | Procter & Gamble Co. (The) | | | 10,357,395 | |
| | 11,472 | | | PZ Cussons plc | | | 32,185 | |
| | 6,100 | | | Shiseido Co. Ltd. | | | 340,298 | |
| | 24,517 | | | Spectrum Brands Holdings, Inc. | | | 2,493,869 | |
| | 9,811 | | | Unilever plc | | | 526,326 | |
| | | | | | | | |
| | | | | | | 18,544,047 | |
| | |
| Insurance – 1.5% | |
| | 15,104 | | | Admiral Group plc | | | 646,519 | |
| | 73,520 | | | Aegon NV | | | 365,509 | |
| | 10,925 | | | Aflac, Inc. | | | 637,911 | |
| | 1,237 | | | Ageas SA/NV | | | 64,061 | |
| | 21,983 | | | Allianz SE (Registered) | | | 5,184,885 | |
| | 23,525 | | | Allstate Corp. (The) | | | 2,767,716 | |
| | 15,998 | | | American International Group, Inc. | | | 909,646 | |
| | 8,285 | | | Aon plc Class A | | | 2,490,140 | |
| | 70 | | | Arthur J Gallagher & Co. | | | 11,877 | |
| | 16,390 | | | ASR Nederland NV | | | 754,814 | |
| | 14,446 | | | Assicurazioni Generali SpA | | | 305,312 | |
| | 2,245 | | | Assurant, Inc. | | | 349,906 | |
| | 251,884 | | | Aviva plc | | | 1,404,046 | |
| | 28 | | | Brown & Brown, Inc. | | | 1,968 | |
| | |
|
| Common Stocks – (continued) | |
| Insurance – (continued) | |
| | 3,744 | | | Chubb Ltd. | | | 723,753 | |
| | 14,649 | | | Cincinnati Financial Corp. | | | 1,668,961 | |
| | 18,400 | | | Dai-ichi Life Holdings, Inc. | | | 371,127 | |
| | 138,144 | | | Direct Line Insurance Group plc | | | 521,991 | |
| | 2,290 | | | Everest Re Group Ltd. | | | 627,277 | |
| | 83,588 | | | Fidelity National Financial, Inc. | | | 4,361,622 | |
| | 59,841 | | | First American Financial Corp. | | | 4,681,361 | |
| | 4,083 | | | Globe Life, Inc. | | | 382,659 | |
| | 7,896 | | | Hartford Financial Services Group, Inc. (The) | | | 545,140 | |
| | 9,392 | | | Japan Post Holdings Co. Ltd.* | | | 73,166 | |
| | 3,088 | | | Japan Post Insurance Co. Ltd. | | | 49,605 | |
| | 818 | | | Just Group plc* | | | 926 | |
| | 285,255 | | | Legal & General Group plc | | | 1,151,944 | |
| | 9,713 | | | Lincoln National Corp. | | | 663,009 | |
| | 12,376 | | | Loews Corp. | | | 714,838 | |
| | 4,239 | | | Markel Corp.* | | | 5,230,926 | |
| | 16,071 | | | Marsh & McLennan Cos., Inc. | | | 2,793,461 | |
| | 13,737 | | | MetLife, Inc. | | | 858,425 | |
| | 5,909 | | | Poste Italiane SpA | | | 77,410 | |
| | 7,023 | | | Principal Financial Group, Inc. | | | 507,974 | |
| | 26,048 | | | Progressive Corp. (The) | | | 2,673,827 | |
| | 8,468 | | | Prudential Financial, Inc. | | | 916,576 | |
| | 42 | | | Sampo OYJ Class A | | | 2,102 | |
| | 8,522 | | | SCOR SE | | | 266,043 | |
| | 3,791 | | | Sompo Holdings, Inc. | | | 159,880 | |
| | 6,900 | | | Tokio Marine Holdings, Inc. | | | 384,121 | |
| | 4,219 | | | Travelers Cos., Inc. (The) | | | 659,978 | |
| | 14,463 | | | W R Berkley Corp. | | | 1,191,607 | |
| | 35,354 | | | Willis Towers Watson plc | | | 8,396,221 | |
| | | | | | | | |
| | | | | | | 56,550,240 | |
| | |
| Materials – 1.6% | |
| | 504 | | | ADEKA Corp. | | | 11,257 | |
| | 7,738 | | | Air Products and Chemicals, Inc. | | | 2,354,364 | |
| | 500 | | | Air Water, Inc. | | | 7,728 | |
| | 12,983 | | | Akzo Nobel NV | | | 1,426,377 | |
| | 6,181 | | | Albemarle Corp. | | | 1,444,932 | |
| | 102,128 | | | Amcor plc | | | 1,226,557 | |
| | 10,700 | | | Anglo American plc | | | 440,115 | |
| | 119,675 | | | ArcelorMittal SA | | | 3,839,016 | |
| | 4,194 | | | Arkema SA | | | 591,961 | |
| | 5,577 | | | Avery Dennison Corp. | | | 1,207,811 | |
| | 59,293 | | | Ball Corp. | | | 5,708,137 | |
| | 4,135 | | | BASF SE | | | 290,217 | |
| | 595 | | | Celanese Corp. | | | 99,996 | |
| | 1,934 | | | CF Industries Holdings, Inc. | | | 136,888 | |
| | 38,956 | | | Corteva, Inc. | | | 1,841,840 | |
| | 4,082 | | | Covestro AG | | | 251,239 | |
| | 39,518 | | | CRH plc | | | 2,092,085 | |
| | 21 | | | Croda International plc | | | 2,876 | |
| | 34,422 | | | Crown Holdings, Inc. | | | 3,807,762 | |
| | 1,900 | | | Daicel Corp. | | | 13,149 | |
| | 611 | | | DIC Corp. | | | 15,402 | |
| | 6,484 | | | Dow, Inc. | | | 367,772 | |
| | 121,918 | | | DS Smith plc | | | 634,937 | |
| | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Materials – (continued) | |
| | 2,984 | | | DuPont de Nemours, Inc. | | $ | 241,047 | |
| | 2,105 | | | Eastman Chemical Co. | | | 254,516 | |
| | 9,713 | | | Ecolab, Inc. | | | 2,278,573 | |
| | 20,711 | | | Elementis plc* | | | 36,892 | |
| | 6,324 | | | Endeavour Mining plc | | | 143,252 | |
| | 6,604 | | | Evonik Industries AG | | | 213,345 | |
| | 51,050 | | | Evraz plc | | | 417,376 | |
| | 69,734 | | | Ferrexpo plc | | | 283,836 | |
| | 8,777 | | | Freeport-McMoRan, Inc. | | | 366,264 | |
| | 84,557 | | | Glencore plc* | | | 430,842 | |
| | 21,509 | | | HeidelbergCement AG | | | 1,455,666 | |
| | 27,997 | | | Hochschild Mining plc | | | 49,517 | |
| | 34,316 | | | International Paper Co. | | | 1,612,166 | |
| | 100 | | | JFE Holdings, Inc. | | | 1,276 | |
| | 725 | | | Johnson Matthey plc | | | 20,146 | |
| | 455 | | | Kaneka Corp. | | | 14,939 | |
| | 29,700 | | | Kobe Steel Ltd. | | | 148,930 | |
| | 24 | | | Koninklijke DSM NV | | | 5,405 | |
| | 7,600 | | | Kuraray Co. Ltd. | | | 66,094 | |
| | 33 | | | Linde plc | | | 11,451 | |
| | 414 | | | Lintec Corp. | | | 9,497 | |
| | 4,385 | | | LyondellBasell Industries NV Class A | | | 404,429 | |
| | 3,888 | | | Mitsubishi Chemical Holdings Corp. | | | 28,839 | |
| | 400 | | | Mitsui Mining & Smelting Co. Ltd. | | | 10,899 | |
| | 28,818 | | | Mondi plc | | | 714,799 | |
| | 138,787 | | | Mosaic Co. (The) | | | 5,452,941 | |
| | 2,997 | | | Newmont Corp. | | | 185,874 | |
| | 300 | | | Nippon Kayaku Co. Ltd. | | | 3,091 | |
| | 5,693 | | | Nippon Paper Industries Co. Ltd. | | | 53,764 | |
| | 3,400 | | | Nippon Sanso Holdings Corp. | | | 74,367 | |
| | 2,600 | | | Nippon Steel Corp. | | | 42,474 | |
| | 1,800 | | | Nissan Chemical Corp. | | | 104,688 | |
| | 900 | | | NOF Corp. | | | 45,508 | |
| | 3,593 | | | Nucor Corp. | | | 410,141 | |
| | 2,352 | | | Oji Holdings Corp. | | | 11,396 | |
| | 11,556 | | | PPG Industries, Inc. | | | 1,992,717 | |
| | 2,445 | | | Rengo Co. Ltd. | | | 18,495 | |
| | 17,839 | | | Sealed Air Corp. | | | 1,203,597 | |
| | 23,844 | | | Sherwin-Williams Co. (The) | | | 8,396,903 | |
| | 8,300 | | | Showa Denko KK | | | 174,526 | |
| | 18,485 | | | Smurfit Kappa Group plc | | | 1,018,504 | |
| | 1,205 | | | Solvay SA | | | 140,088 | |
| | 5,764 | | | Stora Enso OYJ Class R | | | 105,789 | |
| | 6,010 | | | Sumitomo Chemical Co. Ltd. | | | 28,342 | |
| | 3,919 | | | Taiheiyo Cement Corp. | | | 77,391 | |
| | 7,833 | | | Teijin Ltd. | | | 96,411 | |
| | 3,789 | | | thyssenkrupp AG* | | | 41,511 | |
| | 9,133 | | | Tokai Carbon Co. Ltd. | | | 96,001 | |
| | 495 | | | Tokuyama Corp. | | | 7,871 | |
| | 3,327 | | | Toray Industries, Inc. | | | 19,711 | |
| | 700 | | | Tosoh Corp. | | | 10,400 | |
| | 1,684 | | | Toyo Seikan Group Holdings Ltd. | | | 20,113 | |
| | 310 | | | Toyobo Co. Ltd. | | | 3,388 | |
| | 179 | | | Ube Industries Ltd. | | | 3,110 | |
| | 2,483 | | | Umicore SA | | | 101,293 | |
| | 2,579 | | | Victrex plc | | | 85,937 | |
| | |
|
| Common Stocks – (continued) | |
| Materials – (continued) | |
| | 8,006 | | | voestalpine AG | | | 290,483 | |
| | 8,782 | | | Westrock Co. | | | 389,570 | |
| | 3,909 | | | Wienerberger AG | | | 143,552 | |
| | 4,500 | | | Zeon Corp. | | | 52,014 | |
| | | | | | | | |
| | | | | | | 57,934,375 | |
| | |
| Media & Entertainment – 3.8% | |
| | 44,458 | | | Activision Blizzard, Inc. | | | 2,957,791 | |
| | 7,077 | | | Alphabet, Inc. Class A* | | | 20,502,352 | |
| | 5,888 | | | Alphabet, Inc. Class C* | | | 17,037,458 | |
| | 10,263 | | | Ascential plc* | | | 56,441 | |
| | 46,549 | | | Auto Trader Group plc | | | 466,182 | |
| | 528 | | | Bollore SA | | | 2,953 | |
| | 4,600 | | | Capcom Co. Ltd. | | | 108,336 | |
| | 776 | | | Charter Communications, Inc. Class A* | | | 505,929 | |
| | 186,313 | | | Comcast Corp. Class A | | | 9,377,133 | |
| | 11,300 | | | CyberAgent, Inc. | | | 188,369 | |
| | 5,800 | | | DeNA Co. Ltd. | | | 89,313 | |
| | 4,209 | | | Dentsu Group, Inc. | | | 149,812 | |
| | 51,226 | | | Discovery, Inc. Class C* | | | 1,173,075 | |
| | 4,978 | | | Euromoney Institutional Investor plc | | | 62,763 | |
| | 23,852 | | | Fox Corp. Class A | | | 880,139 | |
| | 24,679 | | | Fox Corp. Class B | | | 845,749 | |
| | 45 | | | Future plc | | | 2,330 | |
| | 1,300 | | | GungHo Online Entertainment, Inc. | | | 29,224 | |
| | 4,600 | | | Hakuhodo DY Holdings, Inc. | | | 76,544 | |
| | 54,479 | | | Interpublic Group of Cos., Inc. (The) | | | 2,040,239 | |
| | 2,700 | | | Kakaku.com, Inc. | | | 72,180 | |
| | 2,200 | | | Konami Holdings Corp. | | | 105,599 | |
| | 31,382 | | | Liberty Broadband Corp. Class C* | | | 5,055,640 | |
| | 30,787 | | | Live Nation Entertainment, Inc.* | | | 3,684,896 | |
| | 19,481 | | | Madison Square Garden Sports Corp. Class A* | | | 3,384,434 | |
| | 15,531 | | | Match Group, Inc.* | | | 2,053,975 | |
| | 109,187 | | | Meta Platforms, Inc. Class A* | | | 36,725,047 | |
| | 10,260 | | | Netflix, Inc.* | | | 6,181,034 | |
| | 75,441 | | | News Corp. Class A | | | 1,683,089 | |
| | 25,717 | | | News Corp. Class B | | | 578,632 | |
| | 26,911 | | | Nexstar Media Group, Inc. Class A | | | 4,063,023 | |
| | 10,124 | | | Nippon Television Holdings, Inc. | | | 102,725 | |
| | 31,662 | | | Omnicom Group, Inc. | | | 2,319,875 | |
| | 57,902 | | | Pearson plc | | | 480,340 | |
| | 23,621 | | | ProSiebenSat.1 Media SE | | | 375,242 | |
| | 13,704 | | | Publicis Groupe SA | | | 923,294 | |
| | 36,007 | | | Reach plc | | | 137,683 | |
| | 45,986 | | | Rightmove plc | | | 496,226 | |
| | 2,700 | | | Square Enix Holdings Co. Ltd. | | | 138,509 | |
| | 8,648 | | | Take-Two Interactive Software, Inc.* | | | 1,536,923 | |
| | 24,048 | | | Trustpilot Group plc* | | | 106,480 | |
| | 6,143 | | | TV Asahi Holdings Corp. | | | 76,468 | |
| | 11,109 | | | Ubisoft Entertainment SA* | | | 541,900 | |
| | 46,366 | | | Universal Music Group NV | | | 1,308,079 | |
| | 59,776 | | | Walt Disney Co. (The)* | | | 9,258,705 | |
| | | | | | | | |
| | | | | | | 137,942,130 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Pharmaceuticals, Biotechnology & Life Sciences – 2.7% | |
| | 38,890 | | | AbbVie, Inc. | | $ | 5,265,706 | |
| | 11,781 | | | Agilent Technologies, Inc. | | | 1,880,837 | |
| | 21,306 | | | Astellas Pharma, Inc. | | | 346,766 | |
| | 21,072 | | | AstraZeneca plc | | | 2,460,566 | |
| | 59,485 | | | Bayer AG (Registered) | | | 3,176,757 | |
| | 9,459 | | | Biogen, Inc.* | | | 2,269,403 | |
| | 2,859 | | | Bio-Techne Corp. | | | 1,479,075 | |
| | 81,362 | | | Bristol-Myers Squibb Co. | | | 5,072,921 | |
| | 8,576 | | | Charles River Laboratories International, Inc.* | | | 3,231,265 | |
| | 11,826 | | | Chugai Pharmaceutical Co. Ltd. | | | 385,481 | |
| | 40 | | | Danaher Corp. | | | 13,160 | |
| | 31 | | | Dechra Pharmaceuticals plc | | | 2,241 | |
| | 4,700 | | | Eisai Co. Ltd. | | | 266,809 | |
| | 118,728 | | | Elanco Animal Health, Inc.* | | | 3,369,501 | |
| | 96 | | | Eli Lilly & Co. | | | 26,517 | |
| | 1,132 | | | Eurofins Scientific SE | | | 140,245 | |
| | 125 | | | Evotec SE* | | | 6,034 | |
| | 15 | | | Genus plc | | | 1,006 | |
| | 52,220 | | | Gilead Sciences, Inc. | | | 3,791,694 | |
| | 132,649 | | | GlaxoSmithKline plc | | | 2,888,135 | |
| | 6,293 | | | Grifols SA | | | 121,094 | |
| | 200 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 6,909 | |
| | 17,935 | | | Illumina, Inc.* | | | 6,823,191 | |
| | 65,332 | | | Indivior plc* | | | 227,265 | |
| | 3,494 | | | Ipsen SA | | | 319,735 | |
| | 25,268 | | | IQVIA Holdings, Inc.* | | | 7,129,114 | |
| | 113,484 | | | Johnson & Johnson | | | 19,413,708 | |
| | 239 | | | Kaken Pharmaceutical Co. Ltd. | | | 8,751 | |
| | 400 | | | Kyowa Kirin Co. Ltd. | | | 10,906 | |
| | 6,164 | | | Merck KGaA | | | 1,585,734 | |
| | 3,141 | | | Mettler-Toledo International, Inc.* | | | 5,330,937 | |
| | 453 | | | Mochida Pharmaceutical Co. Ltd. | | | 13,708 | |
| | 1,100 | | | Ono Pharmaceutical Co. Ltd. | | | 27,341 | |
| | 6,993 | | | Orion OYJ Class B | | | 290,481 | |
| | 5,101 | | | Otsuka Holdings Co. Ltd. | | | 185,579 | |
| | 97 | | | Oxford Biomedica plc* | | | 1,615 | |
| | 1,118 | | | PerkinElmer, Inc. | | | 224,785 | |
| | 212,602 | | | Pfizer, Inc. | | | 12,554,148 | |
| | 165 | | | PureTech Health plc* | | | 647 | |
| | 4,488 | | | Recordati Industria Chimica e Farmaceutica SpA | | | 288,193 | |
| | 861 | | | Regeneron Pharmaceuticals, Inc.* | | | 543,739 | |
| | 5,277 | | | Sanofi | | | 529,515 | |
| | 5,579 | | | Santen Pharmaceutical Co. Ltd. | | | 68,113 | |
| | 818 | | | Sawai Group Holdings Co. Ltd. | | | 35,871 | |
| | 4,600 | | | Shionogi & Co. Ltd. | | | 323,593 | |
| | 2,674 | | | Sumitomo Dainippon Pharma Co. Ltd. | | | 30,851 | |
| | 476 | | | Taisho Pharmaceutical Holdings Co. Ltd. | | | 21,972 | |
| | 3,343 | | | Takeda Pharmaceutical Co. Ltd. | | | 91,292 | |
| | 200 | | | Tsumura & Co. | | | 5,697 | |
| | 868 | | | UCB SA | | | 99,061 | |
| | 82,328 | | | Viatris, Inc. | | | 1,113,898 | |
| | 28 | | | Waters Corp.* | | | 10,433 | |
| | 22 | | | West Pharmaceutical Services, Inc. | | | 10,318 | |
| | |
|
| Common Stocks – (continued) | |
| Pharmaceuticals, Biotechnology & Life Sciences – (continued) | |
| | 24,953 | | | Zoetis, Inc. | | | 6,089,281 | |
| | | | | | | | |
| | | | | | | 99,611,594 | |
| | |
| Real Estate – 0.8% | |
| | 52 | | | Alexandria Real Estate Equities, Inc. (REIT) | | | 11,594 | |
| | 26,599 | | | American Tower Corp. (REIT) | | | 7,780,207 | |
| | 49 | | | AvalonBay Communities, Inc. (REIT) | | | 12,377 | |
| | 63 | | | Big Yellow Group plc (REIT) | | | 1,456 | |
| | 162 | | | CBRE Group, Inc. Class A* | | | 17,579 | |
| | 1,100 | | | Daito Trust Construction Co. Ltd. | | | 126,193 | |
| | 221 | | | Duke Realty Corp. (REIT) | | | 14,506 | |
| | 10,122 | | | Equinix, Inc. (REIT) | | | 8,561,592 | |
| | 114 | | | Equity Residential (REIT) | | | 10,317 | |
| | 94 | | | Extra Space Storage, Inc. (REIT) | | | 21,313 | |
| | 7,066 | | | Federal Realty Investment Trust (REIT) | | | 963,237 | |
| | 30,538 | | | Grainger plc | | | 131,333 | |
| | 9,900 | | | Hulic Co. Ltd. | | | 94,144 | |
| | 391 | | | Iron Mountain, Inc. (REIT) | | | 20,461 | |
| | 352 | | | Kimco Realty Corp. (REIT) | | | 8,677 | |
| | 37,035 | | | LXI REIT plc (REIT) | | | 73,031 | |
| | 91 | | | Mid-America Apartment Communities, Inc. (REIT) | | | 20,879 | |
| | 11,200 | | | Mitsui Fudosan Co. Ltd. | | | 221,993 | |
| | 98 | | | Prologis, Inc. (REIT) | | | 16,499 | |
| | 58 | | | Public Storage (REIT) | | | 21,724 | |
| | 160 | | | Regency Centers Corp. (REIT) | | | 12,056 | |
| | 103 | | | Safestore Holdings plc (REIT) | | | 1,964 | |
| | 5,012 | | | Savills plc | | | 95,469 | |
| | 4,889 | | | SBA Communications Corp. (REIT) | | | 1,901,919 | |
| | 160 | | | Segro plc (REIT) | | | 3,114 | |
| | 38,956 | | | Simon Property Group, Inc. (REIT) | | | 6,224,000 | |
| | 993 | | | Sirius Real Estate Ltd. | | | 1,901 | |
| | 7,872 | | | TAG Immobilien AG | | | 219,883 | |
| | 100 | | | Tokyu Fudosan Holdings Corp. | | | 560 | |
| | 165,162 | | | Tritax Big Box REIT plc (REIT) | | | 557,192 | |
| | 181 | | | UDR, Inc. (REIT) | | | 10,858 | |
| | 20,771 | | | Vornado Realty Trust (REIT) | | | 869,474 | |
| | 101 | | | Warehouses De Pauw CVA (REIT) | | | 4,847 | |
| | 42,465 | | | Weyerhaeuser Co. (REIT) | | | 1,748,709 | |
| | | | | | | | |
| | | | | | | 29,781,058 | |
| | |
| Retailing – 2.9% | |
| | 1,200 | | | ABC-Mart, Inc. | | | 51,373 | |
| | 7,192 | | | Advance Auto Parts, Inc. | | | 1,725,217 | |
| | 12,980 | | | Amazon.com, Inc.* | | | 43,279,733 | |
| | 11,682 | | | AO World plc* | | | 17,472 | |
| | 6,897 | | | Auto1 Group SE* | | | 152,435 | |
| | 703 | | | Autobacs Seven Co. Ltd. | | | 8,577 | |
| | 1,188 | | | AutoZone, Inc.* | | | 2,490,511 | |
| | 181 | | | B&M European Value Retail SA | | | 1,559 | |
| | 22,772 | | | Bath & Body Works, Inc. | | | 1,589,258 | |
| | 2,059 | | | Best Buy Co., Inc. | | | 209,194 | |
| | 687 | | | CarMax, Inc.* | | | 89,468 | |
| | 20,194 | | | Carvana Co.* | | | 4,680,767 | |
| | |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Retailing – (continued) | |
| | 101,023 | | | Currys plc | | $ | 157,056 | |
| | 1,174 | | | Dollar General Corp. | | | 276,864 | |
| | 15,809 | | | Dollar Tree, Inc.* | | | 2,221,481 | |
| | 5,541 | | | eBay, Inc. | | | 368,477 | |
| | 31 | | | Etsy, Inc.* | | | 6,787 | |
| | 900 | | | Fast Retailing Co. Ltd. | | | 511,600 | |
| | 2,207 | | | Frasers Group plc* | | | 23,157 | |
| | 85,524 | | | Gap, Inc. (The) | | | 1,509,499 | |
| | 12,515 | | | Genuine Parts Co. | | | 1,754,603 | |
| | 29,622 | | | Home Depot, Inc. (The) | | | 12,293,426 | |
| | 3,013 | | | Inchcape plc | | | 37,092 | |
| | 86,605 | | | Industria de Diseno Textil SA | | | 2,793,015 | |
| | 13,000 | | | Isetan Mitsukoshi Holdings Ltd. | | | 96,073 | |
| | 1,000 | | | Izumi Co. Ltd. | | | 28,044 | |
| | 3,418 | | | J Front Retailing Co. Ltd. | | | 31,124 | |
| | 8,799 | | | JD Sports Fashion plc | | | 25,944 | |
| | 14,984 | | | Kingfisher plc | | | 68,923 | |
| | 29,564 | | | LKQ Corp. | | | 1,774,727 | |
| | 2,572 | | | Lowe’s Cos., Inc. | | | 664,811 | |
| | 15,787 | | | Marks & Spencer Group plc* | | | 49,663 | |
| | 10,170 | | | Moonpig Group plc* | | | 51,670 | |
| | 7,098 | | | Next plc | | | 785,060 | |
| | 3,439 | | | O’Reilly Automotive, Inc.* | | | 2,428,725 | |
| | 210 | | | PALTAC Corp. | | | 8,654 | |
| | 10,500 | | | Pan Pacific International Holdings Corp. | | | 144,730 | |
| | 29,235 | | | Pets at Home Group plc | | | 184,005 | |
| | 3,300 | | | Rakuten Group, Inc. | | | 33,110 | |
| | 18,257 | | | Ross Stores, Inc. | | | 2,086,410 | |
| | 10,200 | | | Ryohin Keikaku Co. Ltd. | | | 155,530 | |
| | 1,004 | | | Shimamura Co. Ltd. | | | 84,256 | |
| | 2,075 | | | Takashimaya Co. Ltd. | | | 19,332 | |
| | 16,758 | | | Target Corp. | | | 3,878,472 | |
| | 83,122 | | | TJX Cos., Inc. (The) | | | 6,310,622 | |
| | 21,764 | | | Tractor Supply Co. | | | 5,192,890 | |
| | 4,472 | | | Ulta Beauty, Inc.* | | | 1,843,985 | |
| | 19,221 | | | Vivo Energy plc | | | 34,290 | |
| | 120 | | | Watches of Switzerland Group plc* | | | 2,315 | |
| | 12,645 | | | WH Smith plc* | | | 254,161 | |
| | 18,519 | | | Williams-Sonoma, Inc. | | | 3,132,118 | |
| | 2,080 | | | Yamada Holdings Co. Ltd. | | | 7,111 | |
| | 4,200 | | | ZOZO, Inc. | | | 130,957 | |
| | | | | | | | |
| | | | | | | 105,756,333 | |
| | |
| Semiconductors & Semiconductor Equipment – 2.0% | |
| | 73,800 | | | Advanced Micro Devices, Inc.* | | | 10,619,820 | |
| | 3,600 | | | Advantest Corp. | | | 340,917 | |
| | 4,006 | | | Applied Materials, Inc. | | | 630,384 | |
| | 16 | | | ASM International NV | | | 7,063 | |
| | 33 | | | ASML Holding NV | | | 26,434 | |
| | 33 | | | BE Semiconductor Industries NV | | | 2,805 | |
| | 10,613 | | | Broadcom, Inc. | | | 7,061,996 | |
| | 700 | | | Disco Corp. | | | 213,957 | |
| | 88,859 | | | Infineon Technologies AG | | | 4,090,933 | |
| | 135,182 | | | Intel Corp. | | | 6,961,873 | |
| | 4,480 | | | Microchip Technology, Inc. | | | 390,029 | |
| | |
|
| Common Stocks – (continued) | |
| Semiconductors & Semiconductor Equipment – (continued) | |
| | 14,258 | | | Micron Technology, Inc. | | | 1,328,133 | |
| | 2,683 | | | Monolithic Power Systems, Inc. | | | 1,323,604 | |
| | 54,829 | | | NVIDIA Corp. | | | 16,125,757 | |
| | 9,630 | | | NXP Semiconductors NV | | | 2,193,521 | |
| | 15,507 | | | Qorvo, Inc.* | | | 2,425,140 | |
| | 25,983 | | | QUALCOMM, Inc. | | | 4,751,511 | |
| | 28,650 | | | Renesas Electronics Corp.* | | | 355,853 | |
| | 1,966 | | | SCREEN Holdings Co. Ltd. | | | 211,253 | |
| | 3,103 | | | Skyworks Solutions, Inc. | | | 481,399 | |
| | 20,500 | | | STMicroelectronics NV | | | 1,011,445 | |
| | 11,236 | | | SUMCO Corp. | | | 228,797 | |
| | 12,050 | | | Teradyne, Inc. | | | 1,970,537 | |
| | 57,109 | | | Texas Instruments, Inc. | | | 10,763,333 | |
| | 343 | | | Ulvac, Inc. | | | 21,456 | |
| | | | | | | | |
| | | | | | | 73,537,950 | |
| | |
| Software & Services – 4.5% | |
| | 36,732 | | | Accenture plc Class A | | | 15,227,251 | |
| | 24,509 | | | Adobe, Inc.* | | | 13,898,074 | |
| | 1,418 | | | Adyen NV* | | | 3,722,254 | |
| | 7,785 | | | Akamai Technologies, Inc.* | | | 911,156 | |
| | 1,481 | | | Alten SA | | | 267,208 | |
| | 28,704 | | | Atos SE | | | 1,215,945 | |
| | 8,823 | | | Autodesk, Inc.* | | | 2,480,939 | |
| | 9,204 | | | Bytes Technology Group plc | | | 70,700 | |
| | 10,600 | | | Cadence Design Systems, Inc.* | | | 1,975,310 | |
| | 1,962 | | | Capgemini SE | | | 480,848 | |
| | 167,873 | | | Capita plc* | | | 82,937 | |
| | 20,750 | | | Citrix Systems, Inc. | | | 1,962,742 | |
| | 12,879 | | | Cognizant Technology Solutions Corp. Class A | | | 1,142,625 | |
| | 712 | | | Computacenter plc | | | 28,282 | |
| | 131 | | | Dassault Systemes SE | | | 7,774 | |
| | 16,964 | | | DXC Technology Co.* | | | 546,071 | |
| | 10 | | | FDM Group Holdings plc | | | 173 | |
| | 12,063 | | | Fidelity National Information Services, Inc. | | | 1,316,676 | |
| | 16,600 | | | Finablr plc*(a) | | | — | |
| | 11,879 | | | Fiserv, Inc.* | | | 1,232,921 | |
| | 3,091 | | | FleetCor Technologies, Inc.* | | | 691,889 | |
| | 6,094 | | | Fortinet, Inc.* | | | 2,190,184 | |
| | 2,563 | | | Fujitsu Ltd. | | | 440,392 | |
| | 6,048 | | | Gartner, Inc.* | | | 2,021,967 | |
| | 10,085 | | | Global Payments, Inc. | | | 1,363,290 | |
| | 40,615 | | | International Business Machines Corp. | | | 5,428,601 | |
| | 16,473 | | | Intuit, Inc. | | | 10,595,763 | |
| | 54 | | | Kainos Group plc | | | 1,401 | |
| | 50,967 | | | Mastercard, Inc. Class A | | | 18,313,462 | |
| | 5,110 | | | Micro Focus International plc | | | 28,935 | |
| | 65,236 | | | Microsoft Corp. | | | 21,940,172 | |
| | 5,802 | | | NCC Group plc | | | 18,337 | |
| | 1,354 | | | NEC Corp. | | | 62,609 | |
| | 3,272 | | | Nemetschek SE | | | 418,371 | |
| | 906 | | | Nihon Unisys Ltd. | | | 25,426 | |
| | 58,595 | | | NortonLifeLock, Inc. | | | 1,522,298 | |
| | 1,285 | | | NTT Data Corp. | | | 27,565 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Software & Services – (continued) | |
| | 135,752 | | | Oracle Corp. | | $ | 11,838,932 | |
| | 700 | | | Oracle Corp. Japan | | | 53,181 | |
| | 1,800 | | | Otsuka Corp. | | | 85,829 | |
| | 25 | | | Paychex, Inc. | | | 3,413 | |
| | 40 | | | QT Group OYJ* | | | 6,058 | |
| | 1,210 | | | Reply SpA | | | 245,760 | |
| | 70,717 | | | Sage Group plc (The) | | | 818,263 | |
| | 3,200 | | | Sansan, Inc.* | | | 69,198 | |
| | 45,931 | | | SAP SE | | | 6,464,308 | |
| | 2,586 | | | SCSK Corp. | | | 51,467 | |
| | 5,174 | | | ServiceNow, Inc.* | | | 3,358,495 | |
| | 69 | | | Softcat plc | | | 1,685 | |
| | 1,212 | | | Sopra Steria Group SACA | | | 217,503 | |
| | 14,944 | | | Synopsys, Inc.* | | | 5,506,864 | |
| | 75,351 | | | TeamViewer AG* | | | 1,011,113 | |
| | 62,427 | | | Trade Desk, Inc. (The) Class A* | | | 5,720,810 | |
| | 2,400 | | | Trend Micro, Inc. | | | 133,239 | |
| | 6,105 | | | VeriSign, Inc.* | | | 1,549,571 | |
| | 62,366 | | | Visa, Inc. Class A | | | 13,515,336 | |
| | 63,412 | | | Western Union Co. (The) | | | 1,131,270 | |
| | 7,193 | | | Worldline SA* | | | 400,364 | |
| | | | | | | | |
| | | | | | | 163,843,207 | |
| | |
| Technology Hardware & Equipment – 2.5% | |
| | 2,218 | | | Alps Alpine Co. Ltd. | | | 20,920 | |
| | 1,232 | | | Amano Corp. | | | 28,367 | |
| | 21,925 | | | Amphenol Corp. Class A | | | 1,917,560 | |
| | 190,471 | | | Apple, Inc. | | | 33,821,935 | |
| | 1,400 | | | Azbil Corp. | | | 63,852 | |
| | 2,562 | | | Brother Industries Ltd. | | | 49,381 | |
| | 1,931 | | | Canon Marketing Japan, Inc. | | | 38,479 | |
| | 19,825 | | | Canon, Inc. | | | 483,604 | |
| | 11,195 | | | CDW Corp. | | | 2,292,512 | |
| | 266,815 | | | Cisco Systems, Inc. | | | 16,908,067 | |
| | 24,977 | | | Corning, Inc. | | | 929,894 | |
| | 2,800 | | | Daiwabo Holdings Co. Ltd. | | | 44,781 | |
| | 100,253 | | | Dell Technologies, Inc. Class C* | | | 5,631,211 | |
| | 8,050 | | | F5, Inc.* | | | 1,969,916 | |
| | 5,432 | | | FUJIFILM Holdings Corp. | | | 402,698 | |
| | 20 | | | Halma plc | | | 867 | |
| | 90,554 | | | Hewlett Packard Enterprise Co. | | | 1,428,037 | |
| | 1,036 | | | Horiba Ltd. | | | 60,921 | |
| | 39,376 | | | HP, Inc. | | | 1,483,294 | |
| | 3,787 | | | IPG Photonics Corp.* | | | 651,894 | |
| | 60,581 | | | Juniper Networks, Inc. | | | 2,163,348 | |
| | 9,054 | | | Keysight Technologies, Inc.* | | | 1,869,742 | |
| | 42,990 | | | Konica Minolta, Inc. | | | 196,163 | |
| | 700 | | | Kyocera Corp. | | | 43,768 | |
| | 6,505 | | | Motorola Solutions, Inc. | | | 1,767,409 | |
| | 1,000 | | | Murata Manufacturing Co. Ltd. | | | 79,762 | |
| | 22,751 | | | NetApp, Inc. | | | 2,092,864 | |
| | 1,997 | | | Nippon Electric Glass Co. Ltd. | | | 51,203 | |
| | 359,874 | | | Nokia OYJ* | | | 2,279,330 | |
| | 2,600 | | | Omron Corp. | | | 259,083 | |
| | 230 | | | Oxford Instruments plc | | | 8,260 | |
| | 177 | | | Renishaw plc | | | 11,470 | |
| | |
|
| Common Stocks – (continued) | |
| Technology Hardware & Equipment – (continued) | |
| | 22,004 | | | Ricoh Co. Ltd. | | | 205,102 | |
| | 6,071 | | | Seagate Technology Holdings plc | | | 685,902 | |
| | 9,619 | | | Seiko Epson Corp. | | | 173,242 | |
| | 2,600 | | | Shimadzu Corp. | | | 109,819 | |
| | 9,579 | | | Spectris plc | | | 476,800 | |
| | 3,021 | | | TE Connectivity Ltd. | | | 487,408 | |
| | 1,894 | | | Teledyne Technologies, Inc.* | | | 827,470 | |
| | 1,800 | | | Topcon Corp. | | | 25,989 | |
| | 19,570 | | | Trimble, Inc.* | | | 1,706,308 | |
| | 23,714 | | | Western Digital Corp.* | | | 1,546,390 | |
| | 4,544 | | | Yokogawa Electric Corp. | | | 82,017 | |
| | 10,765 | | | Zebra Technologies Corp. Class A* | | | 6,407,328 | |
| | | | | | | | |
| | | | | | | 91,784,367 | |
| | |
| Telecommunication Services – 0.3% | |
| | 691 | | | Airtel Africa plc | | | 1,245 | |
| | 73,791 | | | AT&T, Inc. | | | 1,815,259 | |
| | 210,639 | | | Deutsche Telekom AG (Registered) | | | 3,892,083 | |
| | 5,687 | | | Elisa OYJ | | | 350,183 | |
| | 9,957 | | | Freenet AG | | | 263,144 | |
| | 104,038 | | | Lumen Technologies, Inc. | | | 1,305,677 | |
| | 27,877 | | | Nippon Telegraph & Telephone Corp. | | | 762,388 | |
| | 14,415 | | | Proximus SADP | | | 281,521 | |
| | 41,100 | | | SoftBank Corp. | | | 519,117 | |
| | 1,800 | | | SoftBank Group Corp. | | | 86,292 | |
| | 186,498 | | | Telefonica SA | | | 808,694 | |
| | 23,795 | | | Verizon Communications, Inc. | | | 1,236,388 | |
| | 302,671 | | | Vodafone Group plc | | | 455,894 | |
| | | | | | | | |
| | | | | | | 11,777,885 | |
| | |
| Transportation – 0.6% | |
| | 2,100 | | | Abertis Infraestructuras SA(a) | | | — | |
| | 11,734 | | | Alaska Air Group, Inc.* | | | 611,341 | |
| | 59 | | | American Airlines Group, Inc.* | | | 1,060 | |
| | 12,172 | | | Atlantia SpA* | | | 241,514 | |
| | 35 | | | Clarkson plc | | | 1,838 | |
| | 71,152 | | | CSX Corp. | | | 2,675,315 | |
| | 43,140 | | | Delta Air Lines, Inc.* | | | 1,685,911 | |
| | 62,494 | | | Deutsche Post AG (Registered) | | | 4,019,664 | |
| | 11 | | | Expeditors International of Washington, Inc. | | | 1,477 | |
| | 13,905 | | | FedEx Corp. | | | 3,596,389 | |
| | 38,587 | | | Firstgroup plc* | | | 53,378 | |
| | 600 | | | Hitachi Transport System Ltd. | | | 28,208 | |
| | 1,500 | | | Japan Airport Terminal Co. Ltd.* | | | 62,561 | |
| | 817 | | | Kamigumi Co. Ltd. | | | 15,471 | |
| | 4,500 | | | Kyushu Railway Co. | | | 93,575 | |
| | 300 | | | Mitsui OSK Lines Ltd. | | | 22,297 | |
| | 4,507 | | | National Express Group plc* | | | 15,754 | |
| | 300 | | | Nippon Express Co. Ltd. | | | 17,706 | |
| | 600 | | | Nippon Yusen KK | | | 45,752 | |
| | 3,900 | | | Odakyu Electric Railway Co. Ltd. | | | 72,507 | |
| | 4,995 | | | Old Dominion Freight Line, Inc. | | | 1,790,108 | |
| | 9,514 | | | Redde Northgate plc | | | 56,211 | |
| | 90,538 | | | Royal Mail plc | | | 620,749 | |
| | 3,400 | | | Seino Holdings Co. Ltd. | | | 34,458 | |
| | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Transportation – (continued) | |
| | 10,645 | | | Southwest Airlines Co.* | | $ | 456,032 | |
| | 5,600 | | | Tokyu Corp. | | | 74,445 | |
| | 19,330 | | | United Parcel Service, Inc. Class B | | | 4,143,192 | |
| | 5,502 | | | Yamato Holdings Co. Ltd. | | | 129,250 | |
| | | | | | | | |
| | | | | | | 20,566,163 | |
| | |
| Utilities – 0.9% | |
| | 64,714 | | | A2A SpA | | | 126,103 | |
| | 2,001 | | | Acciona SA | | | 380,868 | |
| | 188,076 | | | AES Corp. (The) | | | 4,570,247 | |
| | 20,059 | | | American Electric Power Co., Inc. | | | 1,784,649 | |
| | 16,929 | | | American Water Works Co., Inc. | | | 3,197,211 | |
| | 110,162 | | | Centrica plc* | | | 106,828 | |
| | 10,820 | | | Chubu Electric Power Co., Inc. | | | 114,286 | |
| | 6,600 | | | Chugoku Electric Power Co., Inc. (The) | | | 53,520 | |
| | 5,168 | | | Consolidated Edison, Inc. | | | 440,934 | |
| | 7,904 | | | ContourGlobal plc | | | 20,615 | |
| | 39,605 | | | Drax Group plc | | | 324,324 | |
| | 2,538 | | | DTE Energy Co. | | | 303,392 | |
| | 27,021 | | | Duke Energy Corp. | | | 2,834,503 | |
| | 26,921 | | | Edison International | | | 1,837,358 | |
| | 4,300 | | | Electric Power Development Co. Ltd. | | | 57,145 | |
| | 1,537 | | | Elia Group SA/NV | | | 202,586 | |
| | 17,957 | | | Engie SA | | | 265,860 | |
| | 14,305 | | | Entergy Corp. | | | 1,611,458 | |
| | 3,401 | | | Evergy, Inc. | | | 233,343 | |
| | 9,932 | | | Exelon Corp. | | | 573,672 | |
| | 30,834 | | | FirstEnergy Corp. | | | 1,282,386 | |
| | 7,930 | | | Fortum OYJ | | | 243,217 | |
| | 97,655 | | | Hera SpA | | | 405,890 | |
| | 3,910 | | | Hokkaido Electric Power Co., Inc. | | | 17,487 | |
| | 1,500 | | | Hokuriku Electric Power Co. | | | 7,639 | |
| | 27,162 | | | Iberdrola SA | | | 321,598 | |
| | 47,275 | | | Italgas SpA | | | 324,962 | |
| | 73,363 | | | NextEra Energy, Inc. | | | 6,849,170 | |
| | 2,794 | | | NiSource, Inc. | | | 77,142 | |
| | 11,059 | | | NRG Energy, Inc. | | | 476,422 | |
| | 4,411 | | | Pinnacle West Capital Corp. | | | 311,372 | |
| | 5,258 | | | PPL Corp. | | | 158,055 | |
| | 5,567 | | | RWE AG | | | 225,556 | |
| | 1,224 | | | Sempra Energy | | | 161,911 | |
| | 58,862 | | | Southern Co. (The) | | | 4,036,756 | |
| | 4,600 | | | SSE plc | | | 102,834 | |
| | 2,595 | | | Telecom Plus plc | | | 55,708 | |
| | 2,200 | | | Toho Gas Co. Ltd. | | | 56,039 | |
| | 1,200 | | | Tohoku Electric Power Co., Inc. | | | 8,530 | |
| | 5,700 | | | Tokyo Electric Power Co. Holdings, Inc.* | | | 14,736 | |
| | 2,295 | | | United Utilities Group plc | | | 33,864 | |
| | 3,902 | | | Veolia Environnement SA | | | 143,297 | |
| | 52 | | | Verbund AG | | | 5,844 | |
| | | | | | | | |
| | | | | | | 34,359,317 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $1,254,429,231) | | $ | 1,469,382,750 | |
| | |
|
| Exchange Traded Funds – 20.3% | |
| | 54,744 | | | First Trust US Equity Opportunities ETF | | $ | 6,706,688 | |
| | 2,413,104 | | | Invesco Senior Loan ETF | | | 53,329,598 | |
| | 2,675,707 | | | iShares 5-10 Year Investment Grade Corporate Bond ETF | | | 158,589,154 | |
| | 6,016,827 | | | iShares Core MSCI Emerging Markets ETF | | | 360,167,264 | |
| | 80,000 | | | iShares J.P. Morgan USD Emerging Markets Bond ETF | | | 8,724,800 | |
| | 1,121,257 | | | SPDR Blackstone Senior Loan ETF | | | 51,162,957 | |
| | 803,234 | | | SPDR Bloomberg Convertible Securities ETF | | | 66,636,293 | |
| | 784,293 | | | VanEck Fallen Angel High Yield Bond ETF | | | 25,858,140 | |
| | 92,700 | | | Vanguard Real Estate ETF | | | 10,754,127 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | |
| | (Cost $696,722,549) | | $ | 741,929,021 | |
| | |
| | |
| | | | | | | | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company(b) – 32.0% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 1,174,228,909 | | | 0.026% | | $ | 1,174,228,909 | |
| | (Cost $1,174,228,909) | |
| | |
| | TOTAL INVESTMENTS – 92.4% | |
| | (Cost $3,125,380,689) | | $ | 3,385,540,680 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 7.6% | | | 280,375,339 | |
| | |
| | NET ASSETS – 100.0% | | $ | 3,665,916,019 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
* | | Security is currently in default and/or non-income producing. |
| |
(a) | | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
| |
(b) | | Represents an Affiliated Issuer. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
| | |
|
Investment Abbreviations: |
CVA | | —Dutch Certification |
EURIBOR | | —Euro Interbank Offered Rate |
REIT | | —Real Estate Investment Trust |
SPDR | | —Standard and Poor’s Depositary Receipts |
U.S. | | —United States |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
BRL | | —Brazilian Real |
CAD | | —Canadian Dollar |
CHF | | —Swiss Franc |
CLP | | —Chilean Peso |
CZK | | —Czech Koruna |
EUR | | —Euro |
GBP | | —British Pound |
HUF | | —Hungarian Forint |
IDR | | —Indonesian Rupiah |
ILS | | —Israel New Shekel |
INR | | —Indian Rupee |
JPY | | —Japanese Yen |
KRW | | —South Korean Won |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
PHP | | —Philippines Peso |
PLN | | —Polish Zloty |
SEK | | —Swedish Krona |
TWD | | —Taiwan Dollar |
USD | | —United States Dollar |
ZAR | | —South African Rand |
|
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
| | |
| ADDITIONAL INVESTMENT INFORMATION | | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
JPMorgan Chase Bank NA | | IDR | | | 115,591,860,000 | | | USD | | | 8,066,987 | | | | 02/02/2022 | | | $ | 56,693 | |
| | ILS | | | 25,160,000 | | | USD | | | 7,953,320 | | | | 01/26/2022 | | | | 140,111 | |
| | USD | | | 48,973,216 | | | JPY | | | 5,576,180,000 | | | | 01/26/2022 | | | | 488,850 | |
| | | USD | | | 4,555,979 | | | ZAR | | | 72,700,000 | | | | 01/26/2022 | | | | 8,328 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 693,982 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
JPMorgan Chase Bank NA | | PHP | | | 203,030,000 | | | USD | | | 4,063,770 | | | | 02/02/2022 | | | $ | (119,379 | ) |
| | USD | | | 17,045,118 | | | AUD | | | 23,890,000 | | | | 01/27/2022 | | | | (337,333 | ) |
| | USD | | | 4,668,360 | | | BRL | | | 27,020,000 | | | | 02/01/2022 | | | | (149,752 | ) |
| | USD | | | 13,039,312 | | | CAD | | | 16,860,000 | | | | 01/26/2022 | | | | (288,985 | ) |
| | USD | | | 11,895,862 | | | CHF | | | 10,980,000 | | | | 01/26/2022 | | | | (161,141 | ) |
| | USD | | | 7,516,425 | | | CLP | | | 6,564,180,000 | | | | 02/01/2022 | | | | (157,764 | ) |
| | USD | | | 6,592,095 | | | CZK | | | 147,580,000 | | | | 01/26/2022 | | | | (148,285 | ) |
| | USD | | | 138,560,624 | | | EUR | | | 122,760,000 | | | | 01/26/2022 | | | | (1,264,859 | ) |
| | USD | | | 65,514,345 | | | GBP | | | 49,480,000 | | | | 01/26/2022 | | | | (1,455,770 | ) |
| | USD | | | 8,239,295 | | | HUF | | | 2,697,110,000 | | | | 01/26/2022 | | | | (55,700 | ) |
| | USD | | | 4,627,837 | | | INR | | | 351,350,000 | | | | 02/02/2022 | | | | (73,419 | ) |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
| | USD | | | 9,675,474 | | | KRW | | | 11,542,090,000 | | | | 02/04/2022 | | | $ | (21,925 | ) |
| | USD | | | 4,974,399 | | | NOK | | | 44,670,000 | | | | 01/26/2022 | | | | (95,911 | ) |
| | USD | | | 17,526,063 | | | NZD | | | 25,970,000 | | | | 01/26/2022 | | | | (255,731 | ) |
| | USD | | | 9,836,438 | | | PLN | | | 40,380,000 | | | | 01/26/2022 | | | | (170,609 | ) |
| | USD | | | 7,780,526 | | | SEK | | | 71,230,000 | | | | 01/26/2022 | | | | (103,609 | ) |
| | | USD | | | 4,814,910 | | | TWD | | | 133,620,000 | | | | 02/08/2022 | | | | (16,450 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (4,876,622 | ) |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
100 oz Gold | | | 10 | | | | 02/24/2022 | | | $ | 1,830,200 | | | $ | 1,460 | |
3 Month Canadian Bankers Acceptance | | | 16 | | | | 03/14/2022 | | | | 3,135,934 | | | | 711 | |
Amsterdam Exchange Index | | | 30 | | | | 01/21/2022 | | | | 5,449,020 | | | | 146,173 | |
ASX 90 Day Bank Accepted Bill | | | 16 | | | | 06/09/2022 | | | | 11,629,330 | | | | (170 | ) |
ASX 90 Day Bank Accepted Bill | | | 13 | | | | 09/08/2022 | | | | 9,441,621 | | | | (254 | ) |
Australia 10 Year Bond | | | 82 | | | | 03/15/2022 | | | | 8,302,598 | | | | (59,080 | ) |
Brent Crude Oil | | | 51 | | | | 01/31/2022 | | | | 3,966,780 | | | | 44,311 | |
Brent Crude Oil | | | 18 | | | | 04/29/2022 | | | | 1,375,020 | | | | 58,004 | |
CAC 40 10 Euro Index | | | 91 | | | | 01/21/2022 | | | | 7,400,398 | | | | 231,511 | |
Canada 10 Year Bond | | | 113 | | | | 03/22/2022 | | | | 12,732,432 | | | | 32,797 | |
Cocoa | | | 61 | | | | 05/13/2022 | | | | 1,557,330 | | | | 52,228 | |
Coffee ‘‘C’’ | | | 11 | | | | 03/21/2022 | | | | 932,662 | | | | 81,647 | |
Coffee ‘‘C’’ | | | 20 | | | | 05/18/2022 | | | | 1,695,000 | | | | 133,231 | |
Copper | | | 39 | | | | 03/29/2022 | | | | 4,344,600 | | | | 75,517 | |
Copper | | | 14 | | | | 05/26/2022 | | | | 1,556,450 | | | | 38,936 | |
Corn | | | 142 | | | | 03/14/2022 | | | | 4,206,750 | | | | 119,940 | |
Corn | | | 54 | | | | 05/13/2022 | | | | 1,605,150 | | | | 71,117 | |
Cotton No. 2 | | | 11 | | | | 03/09/2022 | | | | 619,300 | | | | 12,297 | |
Cotton No. 2 | | | 27 | | | | 05/06/2022 | | | | 1,491,480 | | | | (26,460 | ) |
DAX Index | | | 27 | | | | 03/18/2022 | | | | 12,185,138 | | | | 293,716 | |
EURO STOXX 50 Index | | | 3,408 | | | | 03/18/2022 | | | | 166,355,344 | | | | 5,388,985 | |
Euro-Bobl | | | 90 | | | | 03/08/2022 | | | | 13,655,511 | | | | (81,317 | ) |
Euro-BTP | | | 29 | | | | 03/08/2022 | | | | 4,853,756 | | | | (81,321 | ) |
Euro-Bund | | | 315 | | | | 03/08/2022 | | | | 61,490,271 | | | | (1,020,993 | ) |
Euro-Buxl | | | 41 | | | | 03/08/2022 | | | | 9,654,048 | | | | (488,857 | ) |
Euro-OAT | | | 84 | | | | 03/08/2022 | | | | 15,608,425 | | | | (273,380 | ) |
Euro-Schatz | | | 405 | | | | 03/08/2022 | | | | 51,656,193 | | | | (75,912 | ) |
FTSE 100 Index | | | 667 | | | | 03/18/2022 | | | | 66,122,380 | | | | 1,438,799 | |
FTSE/JSE Top 40 Index | | | 148 | | | | 03/17/2022 | | | | 6,222,037 | | | | 127,731 | |
FTSE/MIB Index | | | 40 | | | | 03/18/2022 | | | | 6,204,370 | | | | 151,580 | |
IBEX 35 Index | | | 17 | | | | 01/21/2022 | | | | 1,680,822 | | | | 54,375 | |
Japan 10 Year Bond | | | 14 | | | | 03/14/2022 | | | | 18,454,490 | | | | (43,233 | ) |
KC HRW Wheat | | | 39 | | | | 05/13/2022 | | | | 1,562,438 | | | | 21,100 | |
KOSPI 200 Index | | | 42 | | | | 03/10/2022 | | | | 3,482,334 | | | | 11,860 | |
Lean Hogs | | | 35 | | | | 06/14/2022 | | | | 1,364,300 | | | | 50,390 | |
Live Cattle | | | 24 | | | | 06/30/2022 | | | | 1,335,360 | | | | 14,494 | |
LME Aluminum Base Metal | | | 114 | | | | 01/19/2022 | | | | 7,988,550 | | | | 655,405 | |
LME Aluminum Base Metal | | | 95 | | | | 02/16/2022 | | | | 6,661,875 | | | | 71,748 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: (continued) | | | | | | | | | | | | | | | | |
LME Aluminum Base Metal | | | 20 | | | | 03/16/2022 | | | $ | 1,404,000 | | | $ | (85,150 | ) |
LME Aluminum Base Metal | | | 23 | | | | 04/20/2022 | | | | 1,613,738 | | | | 143,110 | |
LME Aluminum Base Metal | | | 20 | | | | 05/18/2022 | | | | 1,402,750 | | | | 95,185 | |
LME Lead Base Metal | | | 187 | | | | 01/19/2022 | | | | 10,882,231 | | | | (131,476 | ) |
LME Lead Base Metal | | | 103 | | | | 02/16/2022 | | | | 5,972,712 | | | | 203,015 | |
LME Nickel Base Metal | | | 65 | | | | 01/19/2022 | | | | 8,140,665 | | | | 514,939 | |
LME Nickel Base Metal | | | 55 | | | | 02/16/2022 | | | | 6,875,055 | | | | 186,506 | |
LME Zinc Base Metal | | | 122 | | | | 01/19/2022 | | | | 10,919,000 | | | | 1,179,685 | |
LME Zinc Base Metal | | | 93 | | | | 02/16/2022 | | | | 8,282,812 | | | | 663,122 | |
LME Zinc Base Metal | | | 12 | | | | 03/16/2022 | | | | 1,064,400 | | | | 150,038 | |
LME Zinc Base Metal | | | 19 | | | | 04/20/2022 | | | | 1,675,325 | | | | 139,654 | |
LME Zinc Base Metal | | | 17 | | | | 05/18/2022 | | | | 1,491,750 | | | | 122,101 | |
Long Gilt | | | 69 | | | | 03/29/2022 | | | | 11,665,029 | | | | (137,308 | ) |
Low Sulphur Gasoil | | | 19 | | | | 02/10/2022 | | | | 1,265,875 | | | | 9,288 | |
Low Sulphur Gasoil | | | 22 | | | | 05/12/2022 | | | | 1,441,000 | | | | 70,181 | |
NASDAQ 100 E-Mini Index | | | 47 | | | | 03/18/2022 | | | | 15,341,505 | | | | 180,135 | |
Natural Gas | | | 38 | | | | 04/27/2022 | | | | 1,350,900 | | | | 11,136 | |
NY Harbor ULSD | | | 19 | | | | 01/31/2022 | | | | 1,857,983 | | | | (9,532 | ) |
NY Harbor ULSD | | | 15 | | | | 04/29/2022 | | | | 1,430,604 | | | | 70,136 | |
OMXS30 Index | | | 214 | | | | 01/21/2022 | | | | 5,729,394 | | | | 279,011 | |
RBOB Gasoline | | | 30 | | | | 01/31/2022 | | | | 2,799,594 | | | | 57,298 | |
RBOB Gasoline | | | 15 | | | | 04/29/2022 | | | | 1,466,892 | | | | 82,972 | |
Russell 2000 E-Mini Index | | | 132 | | | | 03/18/2022 | | | | 14,802,480 | | | | 213,516 | |
S&P Midcap 400 E-Mini Index | | | 16 | | | | 03/18/2022 | | | | 4,540,320 | | | | 91,294 | |
S&P/TSX 60 Index | | | 43 | | | | 03/17/2022 | | | | 8,708,439 | | | | 206,000 | |
SET50 Index | | | 756 | | | | 03/30/2022 | | | | 4,466,522 | | | | 69,050 | |
Soybean | | | 65 | | | | 03/14/2022 | | | | 4,354,188 | | | | (36,305 | ) |
Soybean | | | 25 | | | | 05/13/2022 | | | | 1,686,875 | | | | 148,571 | |
Soybean Oil | | | 45 | | | | 05/13/2022 | | | | 1,528,200 | | | | (32,836 | ) |
Sugar No. 11 | | | 2 | | | | 02/28/2022 | | | | 42,291 | | | | (1,730 | ) |
Sugar No. 11 | | | 70 | | | | 04/29/2022 | | | | 1,458,240 | | | | (80,256 | ) |
TOPIX Index | | | 105 | | | | 03/10/2022 | | | | 18,183,083 | | | | 92,031 | |
U.S. Treasury 10 Year Note | | | 73 | | | | 03/22/2022 | | | | 9,513,953 | | | | (7,940 | ) |
U.S. Treasury Long Bond | | | 142 | | | | 03/22/2022 | | | | 22,711,125 | | | | (123,195 | ) |
Wheat | | | 57 | | | | 03/14/2022 | | | | 2,195,212 | | | | (34,855 | ) |
Wheat | | | 39 | | | | 05/13/2022 | | | | 1,508,812 | | | | (28,360 | ) |
WTI Crude Oil | | | 65 | | | | 01/20/2022 | | | | 4,904,250 | | | | 88,309 | |
WTI Crude Oil | | | 19 | | | | 04/20/2022 | | | | 1,411,890 | | | | 81,488 | |
| | | | |
| Total | | | | | | | | | | | | | | $ | 11,667,914 | |
Short position contracts: | | | | | | | | | | | | | | | | |
3 Month Canadian Bankers Acceptance | | | (57 | ) | | | 06/13/2022 | | | | (11,125,578 | ) | | | 47,749 | |
3 Month Canadian Bankers Acceptance | | | (134 | ) | | | 09/19/2022 | | | | (26,068,797 | ) | | | (18,299 | ) |
3 Month Euro Euribor | | | (2 | ) | | | 09/19/2022 | | | | (571,584 | ) | | | 11 | |
3 Month Euro Euribor | | | (46 | ) | | | 12/19/2022 | | | | (13,133,992 | ) | | | 3,369 | |
3 Month Euro Euribor | | | (113 | ) | | | 03/13/2023 | | | | (32,218,910 | ) | | | 46,555 | |
3 Month Euro Euribor | | | (160 | ) | | | 06/19/2023 | | | | (45,571,878 | ) | | | 91,006 | |
3 Month Euro Euribor | | | (165 | ) | | | 09/18/2023 | | | | (46,963,125 | ) | | | 107,946 | |
3 Month Euro Euribor | | | (159 | ) | | | 12/18/2023 | | | | (45,228,222 | ) | | | 38,423 | |
3 Month Eurodollar | | | (201 | ) | | | 03/14/2022 | | | | (50,074,125 | ) | | | 11,434 | |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Short position contracts: (continued) | | | | | | | | | | | | | | | | |
3 Month Eurodollar | | | (321 | ) | | | 06/13/2022 | | | $ | (79,768,500 | ) | | $ | 67,210 | |
3 Month Eurodollar | | | (402 | ) | | | 09/19/2022 | | | | (99,680,925 | ) | | | 210,369 | |
3 Month Eurodollar | | | (442 | ) | | | 12/19/2022 | | | | (109,328,700 | ) | | | 344,629 | |
3 Month Eurodollar | | | (441 | ) | | | 03/13/2023 | | | | (108,893,925 | ) | | | 459,077 | |
3 Month Eurodollar | | | (381 | ) | | | 06/19/2023 | | | | (93,921,262 | ) | | | 467,139 | |
3 Month Eurodollar | | | (317 | ) | | | 09/18/2023 | | | | (78,033,512 | ) | | | 374,661 | |
3 Month Eurodollar | | | (291 | ) | | | 12/18/2023 | | | | (71,575,088 | ) | | | 94,485 | |
CBOE Volatility Index | | | (70 | ) | | | 01/19/2022 | | | | (1,377,215 | ) | | | 195,256 | |
CBOE Volatility Index | | | (70 | ) | | | 02/16/2022 | | | | (1,537,935 | ) | | | 94,186 | |
CBOE Volatility Index | | | (67 | ) | | | 03/15/2022 | | | | (1,572,390 | ) | | | 104,989 | |
Cocoa | | | (62 | ) | | | 03/16/2022 | | | | (1,562,400 | ) | | | (32,795 | ) |
Feeder Cattle | | | (12 | ) | | | 03/31/2022 | | | | (1,020,000 | ) | | | (39,643 | ) |
Hang Seng Index | | | (57 | ) | | | 01/28/2022 | | | | (8,571,327 | ) | | | (103,470 | ) |
HSCEI | | | (91 | ) | | | 01/28/2022 | | | | (4,823,932 | ) | | | (24,577 | ) |
KC HRW Wheat | | | (39 | ) | | | 03/14/2022 | | | | (1,560,975 | ) | | | (11,239 | ) |
Lean Hogs | | | (22 | ) | | | 02/14/2022 | | | | (715,440 | ) | | | (41,869 | ) |
Live Cattle | | | (10 | ) | | | 02/28/2022 | | | | (558,600 | ) | | | (9,101 | ) |
LME Aluminum Base Metal | | | (114 | ) | | | 01/19/2022 | | | | (7,988,550 | ) | | | (391,491 | ) |
LME Aluminum Base Metal | | | (38 | ) | | | 02/16/2022 | | | | (2,664,750 | ) | | | (46,312 | ) |
LME Aluminum Base Metal | | | (20 | ) | | | 03/16/2022 | | | | (1,404,000 | ) | | | (125,543 | ) |
LME Aluminum Base Metal | | | (23 | ) | | | 04/20/2022 | | | | (1,613,738 | ) | | | (109,936 | ) |
LME Lead Base Metal | | | (187 | ) | | | 01/19/2022 | | | | (10,882,231 | ) | | | (438,733 | ) |
LME Lead Base Metal | | | (25 | ) | | | 02/16/2022 | | | | (1,449,688 | ) | | | (11,484 | ) |
LME Nickel Base Metal | | | (65 | ) | | | 01/19/2022 | | | | (8,140,665 | ) | | | (239,675 | ) |
LME Nickel Base Metal | | | (15 | ) | | | 02/16/2022 | | | | (1,875,015 | ) | | | (103,411 | ) |
LME Zinc Base Metal | | | (122 | ) | | | 01/19/2022 | | | | (10,919,000 | ) | | | (1,111,178 | ) |
LME Zinc Base Metal | | | (31 | ) | | | 02/16/2022 | | | | (2,760,938 | ) | | | (266,259 | ) |
LME Zinc Base Metal | | | (12 | ) | | | 03/16/2022 | | | | (1,064,400 | ) | | | (85,082 | ) |
LME Zinc Base Metal | | | (19 | ) | | | 04/20/2022 | | | | (1,675,325 | ) | | | (137,074 | ) |
Natural Gas | | | (101 | ) | | | 01/27/2022 | | | | (3,802,650 | ) | | | (20,799 | ) |
S&P 500 E-Mini Index | | | (1,638 | ) | | | 03/18/2022 | | | | (389,721,150 | ) | | | (8,068,361 | ) |
Silver | | | (68 | ) | | | 03/29/2022 | | | | (7,927,100 | ) | | | (339,373 | ) |
Soybean Oil | | | (38 | ) | | | 03/14/2022 | | | | (1,289,796 | ) | | | (744 | ) |
U.S. Treasury 2 Year Note | | | (293 | ) | | | 03/31/2022 | | | | (63,912,914 | ) | | | 29,359 | |
U.S. Treasury 5 Year Note | | | (257 | ) | | | 03/31/2022 | | | | (31,066,883 | ) | | | 19,063 | |
| | | | |
| Total | | | | | | | | | | | | | | $ | (8,969,532 | ) |
| | | | |
| Total Futures Contracts | | | | | | | | | | | | | | $ | 2,698,382 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At December 31, 2021, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index(a) | | Financing Rate
Received (Paid)
by the Fund | | | Credit
Spread at
December 31,
2021(b) | | | Termination
Date | | | Notional
Amount
(000’s) | | | Value | | | Upfront
Premium (Received)
Paid | | | Unrealized
Appreciation/
(Depreciation) | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
iTraxx Europe Crossover Index | | | 5.000% | | | | 2.415% | | | | 12/20/2026 | | | EUR | 49,500 | | | $ | 6,786,915 | | | $ | 6,699,822 | | | $ | 87,093 | |
iTraxx Europe Index | | | 1.000 | | | | 0.475 | | | | 12/20/2026 | | | | 294,150 | | | | 8,861,161 | | | | 8,407,524 | | | | 453,637 | |
Markit CDX North America High Yield Index | | | 5.000 | | | | 2.944 | | | | 12/20/2026 | | | USD | 75,900 | | | | 7,052,375 | | | | 6,740,819 | | | | 311,556 | |
Markit CDX North America Investment Grade Index | | | 1.000 | | | | 0.494 | | | | 12/20/2026 | | | | 326,400 | | | | 8,078,966 | | | | 7,420,822 | | | | 658,144 | |
| | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 30,779,417 | | | $ | 29,268,987 | | | $ | 1,510,430 | |
| | (a) | | Payments received quarterly. |
| | (b) | | Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| Referenced Obligation/Index | | Financing Rate
Received (Paid)
by the Fund | | | Counterparty | | Termination
Date | | | Notional
Amount
(000’s) | | | Unrealized
Appreciation/
(Depreciation)(a) | |
Alerian MLP Index Total Return(b) | | | (0.740)% | | | Bank of America NA | | | 06/10/2022 | | | | USD | | | | 5,673 | | | $ | 286,668 | |
MSCI The World Net Return Index(c) | | | 0.108 | | | | | | 01/11/2022 | | | | | | | | 25,341 | | | | (461,634 | ) |
MSCI The World Net Return Index(c) | | | 0.280 | | | | | | 02/11/2022 | | | | | | | | 11,535 | | | | (208,969 | ) |
Bloomberg Roll Select Commodity Index Total Return(d) | | | (0.000) | | | JPMorgan Chase Bank NA | | | 02/28/2022 | | | | | | | | 10,834 | | | | (124,968 | ) |
Bloomberg Roll Select Commodity Index Total Return(d) | | | (0.000) | | | | | | 12/08/2022 | | | | | | | | 5,352 | | | | (52,581 | ) |
A basket (JPGSMARB) of common stocks(b)* | | | (0.108) | | | | | | 08/10/2022 | | | | | | | | 43,304 | | | | 775,185 | |
Euro Stoxx Gross Total Return Index(c) | | | 0.625 | | | | | | 09/16/2022 | | | | EUR | | | | 99,096 | | | | (3,681,996 | ) |
FTSE 100 Total Return Index(c) | | | 0.255 | | | | | | 12/15/2022 | | | | GBP | | | | 31,365 | | | | (1,003,078 | ) |
J.P. Morgan Bespoke Global Healthcare Sector Index(b) | | | (0.108) | | | | | | 08/24/2022 | | | | USD | | | | 46,170 | | | | 1,255,311 | |
J.P. Morgan Bespoke Global Materials Sector Index(b) | | | (0.380) | | | | | | 08/24/2022 | | | | | | | | 24,320 | | | | 943,792 | |
J.P. Morgan Bespoke Global Technology Sector Index(b) | | | (0.380) | | | | | | 08/24/2022 | | | | | | | | 34,958 | | | | 200,966 | |
MSCI The World Growth Net Return Index(b) | | | (0.350) | | | | | | 08/25/2022 | | | | | | | | 45,940 | | | | 542,636 | |
MSCI The World Net Return Index(c) | | | 0.108 | | | | | | 02/25/2022 | | | | | | | | 189,738 | | | | (3,452,452 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | | $ | (4,981,120 | ) |
| | (a) | | There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value. |
| | (b) | | Payments made monthly. |
| | (c) | | Payments received monthly. |
| | (d) | | Payments made weekly. |
| | * | | The components of the basket shown below. |
A basket (JPGSMARB) of common stocks
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Bottomline Technologies DE Inc | | Information Technology | | | 35,884 | | | $ | 2,026,370 | | | | 4.68 | % |
AusNet Services Ltd | | Utilities | | | 774,971 | | | | 1,991,674 | | | | 4.60 | |
Aerojet Rocketdyne Holdings Inc | | Industrials | | | 42,526 | | | | 1,988,533 | | | | 4.59 | |
Sanderson Farms Inc | | Consumer Staples | | | 10,406 | | | | 1,988,364 | | | | 4.59 | |
Arena Pharmaceuticals Inc | | Health Care | | | 21,387 | | | | 1,987,682 | | | | 4.59 | |
Shaw Communications Inc | | Communication Services | | | 51,564 | | | | 1,979,525 | | | | 4.57 | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Cerner Corp | | Health Care | | | 21,245 | | | $ | 1,972,993 | | | | 4.56 | % |
Ortho Clinical Diagnostics Holdings PLC | | Health Care | | | 92,207 | | | | 1,972,318 | | | | 4.55 | |
CMC Materials Inc | | Information Technology | | | 10,270 | | | | 1,968,672 | | | | 4.55 | |
Suez SA | | Utilities | | | 99,216 | | | | 1,965,475 | | | | 4.54 | |
Coherent Inc | | Information Technology | | | 7,349 | | | | 1,958,753 | | | | 4.52 | |
Sydney Airport | | Industrials | | | 225,624 | | | | 1,958,419 | | | | 4.52 | |
Kraton Corp | | Materials | | | 42,241 | | | | 1,956,602 | | | | 4.52 | |
Magellan Health Inc | | Health Care | | | 20,586 | | | | 1,955,434 | | | | 4.52 | |
Change Healthcare Inc | | Health Care | | | 91,387 | | | | 1,953,852 | | | | 4.51 | |
Mimecast Ltd | | Information Technology | | | 24,552 | | | | 1,953,565 | | | | 4.51 | |
Rogers Corp | | Information Technology | | | 7,155 | | | | 1,953,257 | | | | 4.51 | |
Veoneer Inc | | Consumer Discretionary | | | 55,023 | | | | 1,952,210 | | | | 4.51 | |
Nuance Communications Inc | | Information Technology | | | 35,282 | | | | 1,951,816 | | | | 4.51 | |
CyrusOne Inc | | Real Estate | | | 21,744 | | | | 1,950,893 | | | | 4.51 | |
Meggitt PLC | | Industrials | | | 2,210 | | | | 1,631,182 | | | | 3.77 | |
Falck Renewables SpA | | Utilities | | | 183,740 | | | | 1,591,187 | | | | 3.67 | |
Forterra Inc | | Materials | | | 29,247 | | | | 695,500 | | | | 1.61 | |
PURCHASED OPTIONS CONTRACTS and WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased & written options contracts:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Value | | | Premiums
Paid (Received)
by the Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased options contracts: | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | |
CBOE Volatility Index | | 25 USD | | | 01/19/2022 | | | | 790 | | | $ | 1,360,380 | | | $ | 79,000 | | | $ | 256,191 | | | $ | (177,191 | ) |
| | 26 USD | | | 02/16/2022 | | | | 800 | | | | 1,377,600 | | | | 186,000 | | | | 285,975 | | | | (99,975 | ) |
| | | 28 USD | | | 03/15/2022 | | | | 670 | | | | 1,153,740 | | | | 194,300 | | | | 272,563 | | | | (78,263 | ) |
| | | | | |
| Total calls | | | | 2,260 | | | | | | | $ | 459,300 | | | $ | 814,729 | | | $ | (355,429 | ) |
Puts | | | | | | | | | | | | | |
S&P 500 Index | | 3,460 USD | | | 01/31/2022 | | | | 1 | | | $ | 476,618 | | | $ | 173 | | | $ | 1,121 | | | $ | (948 | ) |
| | 3,750 USD | | | 01/31/2022 | | | | 4 | | | | 1,906,472 | | | | 1,200 | | | | 4,995 | | | | (3,795 | ) |
| | 3,800 USD | | | 01/31/2022 | | | | 8 | | | | 3,812,944 | | | | 2,640 | | | | 7,606 | | | | (4,966 | ) |
| | 3,895 USD | | | 01/31/2022 | | | | 11 | | | | 5,242,798 | | | | 4,235 | | | | 9,248 | | | | (5,013 | ) |
| | | 4,175 USD | | | 01/31/2022 | | | | 15 | | | | 7,149,270 | | | | 9,975 | | | | 10,811 | | | | (836 | ) |
| | | | | |
| Total puts | | | | 39 | | | | | | | $ | 18,223 | | | $ | 33,781 | | | $ | (15,558 | ) |
| | | | | |
| Total purchased options contracts | | | | 2,299 | | | | | | | $ | 477,523 | | | $ | 848,510 | | | $ | (370,987 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED INDEX OPTIONS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Value | | | Premiums
Paid (Received)
by the Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Written options contracts: | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | |
S&P 500 Index | | 4,490 USD | | | 01/31/2022 | | | | 1 | | | $ | (476,618 | ) | | $ | (1,925 | ) | | $ | (8,939 | ) | | $ | 7,014 | |
| | 4,580 USD | | | 01/31/2022 | | | | 8 | | | | (3,812,944 | ) | | | (22,400 | ) | | | (62,154 | ) | | | 39,754 | |
| | 4,595 USD | | | 01/31/2022 | | | | 11 | | | | (5,242,798 | ) | | | (32,890 | ) | | | (80,600 | ) | | | 47,710 | |
| | 4,630 USD | | | 01/31/2022 | | | | 4 | | | | (1,906,472 | ) | | | (13,940 | ) | | | (40,117 | ) | | | 26,177 | |
| | | 4,755 USD | | | 01/31/2022 | | | | 15 | | | | (7,149,270 | ) | | | (94,875 | ) | | | (90,191 | ) | | | (4,684 | ) |
| | | | | |
| Total written options contracts | | | | 39 | | | | | | | $ | (166,030 | ) | | $ | (282,001 | ) | | $ | 115,971 | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments
December 31, 2021
| | | | | | |
| Shares | | Dividend
Rate | | Value | |
|
| Investment Company(a) – 65.5% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 25,374,069 | | 0.026% | | $ | 25,374,069 | |
| |
| TOTAL INVESTMENTS – 65.5% | |
| (Cost $25,374,069) | | $ | 25,374,069 | |
| |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 34.5% | | | 13,387,088 | |
| |
| NET ASSETS – 100.0% | | $ | 38,761,157 | |
| |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
(a) | | Represents an Affiliated Issuer. |
| | |
|
Investment Abbreviation: |
EURIBOR | | —Euro Interbank Offered Rate |
U.S. | | —United States |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
BRL | | —Brazilian Real |
CAD | | —Canadian Dollar |
CHF | | —Swiss Franc |
CLP | | —Chilean Peso |
COP | | —Colombian Peso |
CZK | | —Czech Koruna |
EUR | | —Euro |
GBP | | —British Pound |
HUF | | —Hungarian Forint |
IDR | | —Indonesian Rupiah |
ILS | | —Israel New Shekel |
INR | | —Indian Rupee |
JPY | | —Japanese Yen |
KRW | | —South Korean Won |
MXN | | —Mexican Peso |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
PEN | | —Peru Nuevo Sol |
PHP | | —Philippines Peso |
PLN | | —Polish Zloty |
RUB | | —Russian Ruble |
SEK | | —Swedish Krona |
THB | | —Thailand Baht |
TWD | | —Taiwan Dollar |
USD | | —United States Dollar |
ZAR | | —South African Rand |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
| | |
| ADDITIONAL INVESTMENT INFORMATION | | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
Morgan Stanley Co., Inc. | | BRL | | | 5,980,000 | | | USD | | | 1,041,074 | | | | 02/01/2022 | | | $ | 25,259 | |
| | CZK | | | 4,080,000 | | | USD | | | 186,156 | | | | 01/26/2022 | | | | 189 | |
| | HUF | | | 25,290,000 | | | USD | | | 77,751 | | | | 01/26/2022 | | | | 29 | |
| | IDR | | | 14,221,260,000 | | | USD | | | 995,437 | | | | 02/02/2022 | | | | 4,019 | |
| | INR | | | 80,930,000 | | | USD | | | 1,073,555 | | | | 02/02/2022 | | | | 9,332 | |
| | KRW | | | 806,360,000 | | | USD | | | 676,889 | | | | 02/04/2022 | | | | 596 | |
| | MXN | | | 53,880,000 | | | USD | | | 2,591,371 | | | | 01/26/2022 | | | | 30,117 | |
| | NOK | | | 32,120,000 | | | USD | | | 3,599,028 | | | | 01/26/2022 | | | | 46,780 | |
| | PLN | | | 220,000 | | | USD | | | 54,447 | | | | 01/26/2022 | | | | 74 | |
| | USD | | | 610,640 | | | COP | | | 2,453,030,000 | | | | 02/01/2022 | | | | 9,437 | |
| | USD | | | 245,071 | | | ILS | | | 760,000 | | | | 01/26/2022 | | | | 596 | |
| | USD | | | 300,284 | | | INR | | | 22,430,000 | | | | 02/02/2022 | | | | 158 | |
| | USD | | | 971,131 | | | KRW | | | 1,153,690,000 | | | | 02/04/2022 | | | | 1,827 | |
| | USD | | | 793,749 | | | MXN | | | 16,290,000 | | | | 01/26/2022 | | | | 1,172 | |
| | USD | | | 306,259 | | | PEN | | | 1,210,000 | | | | 02/01/2022 | | | | 3,502 | |
| | USD | | | 1,695,170 | | | PHP | | | 85,480,000 | | | | 02/02/2022 | | | | 34,499 | |
| | | USD | | | 333,123 | | | TWD | | | 9,170,000 | | | | 02/08/2022 | | | | 1,560 | |
| | | | |
| TOTAL | | | | | | | | | | | | | $ | 169,146 | |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Currency
Purchased | | | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley Co., Inc. | | ILS | | | 1,460,000 | | | USD | | | 471,063 | | | | 01/26/2022 | | | $ | (1,412 | ) |
| | NOK | | | 8,040,000 | | | USD | | | 914,646 | | | | 01/26/2022 | | | | (2,058 | ) |
| | PHP | | | 18,500,000 | | | USD | | | 359,705 | | | | 02/02/2022 | | | | (294 | ) |
| | RUB | | | 212,200,000 | | | USD | | | 2,846,633 | | | | 02/01/2022 | | | | (27,693 | ) |
| | THB | | | 20,550,000 | | | USD | | | 620,552 | | | | 01/26/2022 | | | | (5,473 | ) |
| | TWD | | | 13,820,000 | | | USD | | | 500,145 | | | | 02/08/2022 | | | | (449 | ) |
| | USD | | | 607,778 | | | CLP | | | 527,760,000 | | | | 02/01/2022 | | | | (9,227 | ) |
| | USD | | | 513,287 | | | CZK | | | 11,460,000 | | | | 01/26/2022 | | | | (10,122 | ) |
| | USD | | | 1,032,817 | | | HUF | | | 337,950,000 | | | | 01/26/2022 | | | | (6,552 | ) |
| | USD | | | 278,092 | | | ILS | | | 880,000 | | | | 01/26/2022 | | | | (4,985 | ) |
| | USD | | | 1,402,801 | | | KRW | | | 1,673,030,000 | | | | 02/04/2022 | | | | (2,842 | ) |
| | USD | | | 734,224 | | | NOK | | | 6,480,000 | | | | 01/26/2022 | | | | (1,294 | ) |
| | USD | | | 440,667 | | | PEN | | | 1,790,000 | | | | 02/01/2022 | | | | (7,213 | ) |
| | USD | | | 676,532 | | | PLN | | | 2,770,000 | | | | 01/26/2022 | | | | (9,935 | ) |
| | USD | | | 225,856 | | | SEK | | | 2,060,000 | | | | 01/26/2022 | | | | (2,157 | ) |
| | USD | | | 2,677,351 | | | THB | | | 89,990,000 | | | | 01/26/2022 | | | | (16,123 | ) |
| | USD | | | 519,054 | | | TWD | | | 14,400,000 | | | | 02/08/2022 | | | | (1,614 | ) |
| | USD | | | 452,646 | | | ZAR | | | 7,260,000 | | | | 01/26/2022 | | | | (1,494 | ) |
| | | ZAR | | | 28,590,000 | | | USD | | | 1,794,273 | | | | 01/26/2022 | | | | (5,864 | ) |
| | | | |
| TOTAL | | | | | | | | | | | | | $ | (116,801 | ) |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
Amsterdam Exchange Index | | | 1 | | | | 01/21/2022 | | | $ | 181,634 | | | $ | (517 | ) |
Australia 10 Year Bond | | | 95 | | | | 03/15/2022 | | | | 9,618,863 | | | | (47,944 | ) |
Brent Crude Oil | | | 29 | | | | 04/29/2022 | | | | 2,215,310 | | | | 29,452 | |
CAC 40 10 Euro Index | | | 2 | | | | 01/21/2022 | | | | 162,646 | | | | 2,212 | |
Canada 10 Year Bond | | | 134 | | | | 03/22/2022 | | | | 15,098,637 | | | | 134,498 | |
Cocoa | | | 88 | | | | 05/13/2022 | | | | 2,246,640 | | | | 28,553 | |
Coffee ‘‘C’’ | | | 26 | | | | 05/18/2022 | | | | 2,203,500 | | | | (59,013 | ) |
Copper | | | 20 | | | | 05/26/2022 | | | | 2,223,500 | | | | 42,282 | |
Corn | | | 74 | | | | 05/13/2022 | | | | 2,199,650 | | | | (26,533 | ) |
Cotton No. 2 | | | 54 | | | | 05/06/2022 | | | | 2,982,960 | | | | 67,090 | |
EURO STOXX 50 Index | | | 7 | | | | 03/18/2022 | | | | 341,692 | | | | 5,168 | |
Euro-Buxl | | | 1 | | | | 03/08/2022 | | | | 235,465 | | | | (10,071 | ) |
Euro-Schatz | | | 4 | | | | 03/08/2022 | | | | 510,185 | | | | (307 | ) |
Foreign Exchange AUD/USD | | | 8 | | | | 03/14/2022 | | | | 581,400 | | | | 6,928 | |
Foreign Exchange CAD/USD | | | 23 | | | | 03/15/2022 | | | | 1,818,380 | | | | 21,911 | |
Foreign Exchange GBP/USD | | | 8 | | | | 03/14/2022 | | | | 676,000 | | | | 8,108 | |
FTSE 100 Index | | | 2 | | | | 03/18/2022 | | | | 198,268 | | | | 1,606 | |
FTSE/JSE Top 40 Index | | | 3 | | | | 03/17/2022 | | | | 126,122 | | | | 2,704 | |
FTSE/MIB Index | | | 1 | | | | 03/18/2022 | | | | 155,109 | | | | 719 | |
KC HRW Wheat | | | 54 | | | | 05/13/2022 | | | | 2,163,375 | | | | (60,311 | ) |
Lean Hogs | | | 56 | | | | 06/14/2022 | | | | 2,182,880 | | | | (3,132 | ) |
Live Cattle | | | 40 | | | | 06/30/2022 | | | | 2,225,600 | | | | 20,409 | |
LME Aluminum Base Metal | | | 68 | | | | 01/19/2022 | | | | 4,765,100 | | | | 334,353 | |
LME Aluminum Base Metal | | | 41 | | | | 02/16/2022 | | | | 2,875,125 | | | | (46,464 | ) |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: (continued) | | | | | | | | | | | | | | | | |
LME Aluminum Base Metal | | | 43 | | | | 03/16/2022 | | | $ | 3,018,600 | | | $ | (166,592 | ) |
LME Aluminum Base Metal | | | 34 | | | | 04/20/2022 | | | | 2,385,525 | | | | 177,199 | |
LME Aluminum Base Metal | | | 44 | | | | 05/18/2022 | | | | 3,086,050 | | | | 94,683 | |
LME Lead Base Metal | | | 4 | | | | 01/19/2022 | | | | 232,775 | | | | (1,697 | ) |
LME Lead Base Metal | | | 4 | | | | 02/16/2022 | | | | 231,950 | | | | 3,470 | |
LME Nickel Base Metal | | | 1 | | | | 01/19/2022 | | | | 125,241 | | | | 8,568 | |
LME Nickel Base Metal | | | 2 | | | | 02/16/2022 | | | | 250,002 | | | | 4,449 | |
LME Zinc Base Metal | | | 57 | | | | 01/19/2022 | | | | 5,101,500 | | | | 687,794 | |
LME Zinc Base Metal | | | 37 | | | | 02/16/2022 | | | | 3,295,312 | | | | 446,607 | |
LME Zinc Base Metal | | | 41 | | | | 03/16/2022 | | | | 3,636,700 | | | | 365,941 | |
LME Zinc Base Metal | | | 28 | | | | 04/20/2022 | | | | 2,468,900 | | | | 203,790 | |
LME Zinc Base Metal | | | 35 | | | | 05/18/2022 | | | | 3,071,250 | | | | 113,763 | |
Low Sulphur Gasoil | | | 34 | | | | 05/12/2022 | | | | 2,227,000 | | | | 23,932 | |
NASDAQ 100 E-Mini Index | | | 1 | | | | 03/18/2022 | | | | 326,415 | | | | (3,512 | ) |
Natural Gas | | | 61 | | | | 04/27/2022 | | | | 2,168,550 | | | | (57,428 | ) |
NY Harbor ULSD | | | 23 | | | | 04/29/2022 | | | | 2,193,593 | | | | 24,674 | |
OMXS30 Index | | | 4 | | | | 01/21/2022 | | | | 107,091 | | | | 2,592 | |
RBOB Gasoline | | | 22 | | | | 04/29/2022 | | | | 2,151,442 | | | | 28,688 | |
S&P 500 E-Mini Index | | | 6 | | | | 03/18/2022 | | | | 1,427,550 | | | | 15,095 | |
S&P/TSX 60 Index | | | 1 | | | | 03/17/2022 | | | | 202,522 | | | | (1,405 | ) |
SET50 Index | | | 8 | | | | 03/30/2022 | | | | 47,265 | | | | 174 | |
Silver | | | 1 | | | | 03/29/2022 | | | | 116,575 | | | | (221 | ) |
Soybean | | | 32 | | | | 05/13/2022 | | | | 2,159,200 | | | | 12,074 | |
Soybean Oil | | | 65 | | | | 05/13/2022 | | | | 2,207,400 | | | | 40,085 | |
Sugar No. 11 | | | 106 | | | | 04/29/2022 | | | | 2,208,192 | | | | (30,238 | ) |
U.S. Treasury 10 Year Note | | | 61 | | | | 03/22/2022 | | | | 7,950,016 | | | | (253 | ) |
U.S. Treasury Long Bond | | | 1 | | | | 03/22/2022 | | | | 159,938 | | | | 561 | |
Wheat | | | 56 | | | | 05/13/2022 | | | | 2,166,500 | | | | (50,825 | ) |
WTI Crude Oil | | | 30 | | | | 04/20/2022 | | | | 2,229,300 | | | | 53,137 | |
| | | | |
| Total | | | | | | | | | | | | | | $ | 2,446,806 | |
Short position contracts: | | | | | | | | | | | | | | | | |
100 oz Gold | | | (3 | ) | | | 02/24/2022 | | | | (549,060 | ) | | | (7,438 | ) |
3 Month Canadian Bankers Acceptance | | | (2 | ) | | | 06/13/2022 | | | | (390,371 | ) | | | 721 | |
3 Month Canadian Bankers Acceptance | | | (4 | ) | | | 09/19/2022 | | | | (778,173 | ) | | | (414 | ) |
3 Month Euro Euribor | | | (2 | ) | | | 12/19/2022 | | | | (571,043 | ) | | | 11 | |
3 Month Euro Euribor | | | (4 | ) | | | 03/13/2023 | | | | (1,140,492 | ) | | | 848 | |
3 Month Euro Euribor | | | (6 | ) | | | 06/19/2023 | | | | (1,708,945 | ) | | | 1,626 | |
3 Month Euro Euribor | | | (6 | ) | | | 09/18/2023 | | | | (1,707,750 | ) | | | 1,782 | |
3 Month Euro Euribor | | | (6 | ) | | | 12/18/2023 | | | | (1,706,725 | ) | | | 1,223 | |
3 Month Eurodollar | | | (6 | ) | | | 03/14/2022 | | | | (1,494,750 | ) | | | 24 | |
3 Month Eurodollar | | | (10 | ) | | | 06/13/2022 | | | | (2,485,000 | ) | | | 746 | |
3 Month Eurodollar | | | (13 | ) | | | 09/19/2022 | | | | (3,223,512 | ) | | | 2,595 | |
3 Month Eurodollar | | | (14 | ) | | | 12/19/2022 | | | | (3,462,900 | ) | | | 4,527 | |
3 Month Eurodollar | | | (14 | ) | | | 03/13/2023 | | | | (3,456,950 | ) | | | 4,886 | |
3 Month Eurodollar | | | (12 | ) | | | 06/19/2023 | | | | (2,958,150 | ) | | | 4,835 | |
3 Month Eurodollar | | | (10 | ) | | | 09/18/2023 | | | | (2,461,625 | ) | | | 3,264 | |
3 Month Eurodollar | | | (9 | ) | | | 12/18/2023 | | | | (2,213,662 | ) | | | 1,073 | |
Brent Crude Oil | | | (26 | ) | | | 01/31/2022 | | | | (2,022,280 | ) | | | (30,802 | ) |
CBOE Volatility Index | | | (44 | ) | | | 01/19/2022 | | | | (865,678 | ) | | | 87,568 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Short position contracts: (continued) | | | | | | | | | | | | | | | | |
CBOE Volatility Index | | | (44 | ) | | | 02/16/2022 | | | $ | (966,702 | ) | | $ | 52,610 | |
CBOE Volatility Index | | | (39 | ) | | | 03/15/2022 | | | | (915,272 | ) | | | 36,175 | |
Cocoa | | | (63 | ) | | | 03/16/2022 | | | | (1,587,600 | ) | | | (16,168 | ) |
Coffee ‘‘C’’ | | | (30 | ) | | | 03/21/2022 | | | | (2,543,625 | ) | | | 59,549 | |
Copper | | | (13 | ) | | | 03/29/2022 | | | | (1,448,200 | ) | | | (22,461 | ) |
Corn | | | (94 | ) | | | 03/14/2022 | | | | (2,784,750 | ) | | | 36,179 | |
Cotton No. 2 | | | (60 | ) | | | 03/09/2022 | | | | (3,378,000 | ) | | | (92,559 | ) |
Euro-Bobl | | | (2 | ) | | | 03/08/2022 | | | | (303,456 | ) | | | (83 | ) |
Euro-BTP | | | (1 | ) | | | 03/08/2022 | | | | (167,371 | ) | | | 21 | |
Euro-Bund | | | (141 | ) | | | 03/08/2022 | | | | (27,524,217 | ) | | | 304,892 | |
Feeder Cattle | | | (3 | ) | | | 03/31/2022 | | | | (255,000 | ) | | | (7,172 | ) |
Foreign Exchange CHF/USD | | | (35 | ) | | | 03/14/2022 | | | | (4,804,188 | ) | | | (38,549 | ) |
Foreign Exchange EUR/USD | | | (31 | ) | | | 03/14/2022 | | | | (4,414,400 | ) | | | (24,721 | ) |
Foreign Exchange JPY/USD | | | (38 | ) | | | 03/14/2022 | | | | (4,128,938 | ) | | | 35,819 | |
Foreign Exchange NZD/USD | | | (7 | ) | | | 03/14/2022 | | | | (478,415 | ) | | | (2,845 | ) |
Hang Seng Index | | | (2 | ) | | | 01/28/2022 | | | | (300,748 | ) | | | (2,560 | ) |
HSCEI | | | (3 | ) | | | 01/28/2022 | | | | (159,031 | ) | | | (700 | ) |
Japan 10 Year Bond | | | (19 | ) | | | 03/14/2022 | | | | (25,045,379 | ) | | | 13,803 | |
KC HRW Wheat | | | (73 | ) | | | 03/14/2022 | | | | (2,921,825 | ) | | | 78,903 | |
Lean Hogs | | | (60 | ) | | | 02/14/2022 | | | | (1,951,200 | ) | | | 15,136 | |
Live Cattle | | | (48 | ) | | | 02/28/2022 | | | | (2,681,280 | ) | | | (27,198 | ) |
LME Aluminum Base Metal | | | (68 | ) | | | 01/19/2022 | | | | (4,765,100 | ) | | | (133,812 | ) |
LME Aluminum Base Metal | | | (80 | ) | | | 02/16/2022 | | | | (5,610,000 | ) | | | 43,641 | |
LME Aluminum Base Metal | | | (43 | ) | | | 03/16/2022 | | | | (3,018,600 | ) | | | (118,317 | ) |
LME Aluminum Base Metal | | | (34 | ) | | | 04/20/2022 | | | | (2,385,525 | ) | | | (148,643 | ) |
LME Aluminum Base Metal | | | (2 | ) | | | 05/18/2022 | | | | (140,275 | ) | | | (2,431 | ) |
LME Lead Base Metal | | | (4 | ) | | | 01/19/2022 | | | | (232,775 | ) | | | (6,771 | ) |
LME Lead Base Metal | | | (1 | ) | | | 02/16/2022 | | | | (57,988 | ) | | | (707 | ) |
LME Nickel Base Metal | | | (1 | ) | | | 01/19/2022 | | | | (125,241 | ) | | | (5,772 | ) |
LME Zinc Base Metal | | | (57 | ) | | | 01/19/2022 | | | | (5,101,500 | ) | | | (599,821 | ) |
LME Zinc Base Metal | | | (67 | ) | | | 02/16/2022 | | | | (5,967,188 | ) | | | (521,665 | ) |
LME Zinc Base Metal | | | (41 | ) | | | 03/16/2022 | | | | (3,636,700 | ) | | | (220,181 | ) |
LME Zinc Base Metal | | | (28 | ) | | | 04/20/2022 | | | | (2,468,900 | ) | | | (215,645 | ) |
LME Zinc Base Metal | | | (1 | ) | | | 05/18/2022 | | | | (87,750 | ) | | | (2,916 | ) |
Long Gilt | | | (27 | ) | | | 03/29/2022 | | | | (4,564,577 | ) | | | 31,874 | |
Low Sulphur Gasoil | | | (32 | ) | | | 02/10/2022 | | | | (2,132,000 | ) | | | (21,589 | ) |
Natural Gas | | | (58 | ) | | | 01/27/2022 | | | | (2,183,700 | ) | | | 34,420 | |
NY Harbor ULSD | | | (18 | ) | | | 01/31/2022 | | | | (1,760,195 | ) | | | (11,700 | ) |
RBOB Gasoline | | | (25 | ) | | | 01/31/2022 | | | | (2,332,995 | ) | | | (30,057 | ) |
Soybean | | | (31 | ) | | | 03/14/2022 | | | | (2,076,612 | ) | | | (7,823 | ) |
Soybean Oil | | | (65 | ) | | | 03/14/2022 | | | | (2,206,230 | ) | | | (41,593 | ) |
Sugar No. 11 | | | (60 | ) | | | 02/28/2022 | | | | (1,268,736 | ) | | | 8,813 | |
U.S. Treasury 2 Year Note | | | (9 | ) | | | 03/31/2022 | | | | (1,963,195 | ) | | | 364 | |
U.S. Treasury 5 Year Note | | | (8 | ) | | | 03/31/2022 | | | | (967,062 | ) | | | 494 | |
Wheat | | | (52 | ) | | | 03/14/2022 | | | | (2,002,650 | ) | | | 45,699 | |
WTI Crude Oil | | | (20 | ) | | | 01/20/2022 | | | | (1,509,000 | ) | | | (25,366 | ) |
| | | | |
| Total | | | | | | | | | | | | | | $ | (1,474,358 | ) |
| |
| Total Futures Contracts | | | $ | 972,448 | |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At December 31, 2021, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index(a) | | Financing Rate
Received (Paid)
by the Fund | | | Credit
Spread at
December 31,
2021(b) | | Termination
Date | | | Notional
Amount
(000’s) | | | Value | | | Upfront
Premium (Received)
Paid | | | Unrealized
Appreciation/
(Depreciation) | |
Protection Sold: | | | | |
iTraxx Europe Crossover Index | | | 5.000% | | | 2.415% | | | 12/20/2026 | | | | EUR 350 | | | $ | 47,988 | | | $ | 46,543 | | | $ | 1,445 | |
iTraxx Europe Index | | | 1.000 | | | 0.475 | | | 12/20/2026 | | | | 850 | | | | 25,606 | | | | 24,333 | | | | 1,273 | |
Markit CDX North America High Yield Index | | | 5.000 | | | 2.944 | | | 12/20/2026 | | | | USD 350 | | | | 32,521 | | | | 31,627 | | | | 894 | |
Markit CDX North America Investment Grade Index | | | 1.000 | | | 0.494 | | | 12/20/2026 | | | | 900 | | | | 22,276 | | | | 21,271 | | | | 1,005 | |
| | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | $ | 128,391 | | | $ | 123,774 | | | $ | 4,617 | |
| | (a) | | Payments received quarterly. |
| | (b) | | Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| Referenced Obligation/Index | | Financing Rate
Received (Paid)
by the Fund | | | Counterparty | | Termination
Date | | | Notional
Amount
(000’s) | | | Unrealized
Appreciation/
(Depreciation)(a) | |
A basket (MLGSFDUS) of common stock(b)* | | | (0.320)% | | | Bank of America NA | | | 12/01/2022 | | | | USD | | | | 20,094 | | | $ | (10,232 | ) |
Russell 1000 Index Total Return(c) | | | 0.480 | | | | | | 12/01/2022 | | | | | | | | 17,257 | | | | 64,035 | |
A basket (JPGSFDEU) of common stocks(b)* | | | (0.598) | | | JPMorgan Chase Bank NA | | | 09/16/2022 | | | | EUR | | | | 3,279 | | | | 1,402 | |
A basket (JPGSFDUK) of common stocks(b)* | | | (0.310) | | | | | | 11/07/2022 | | | | GBP | | | | 1,494 | | | | (5,670 | ) |
Euro Stoxx Gross Total Return Index(c) | | | 0.598 | | | | | | 09/16/2022 | | | | EUR | | | | 3,112 | | | | (5,409 | ) |
FTSE 100 Total Return Index(c) | | | 0.190 | | | | | | 11/07/2022 | | | | GBP | | | | 1,217 | | | | 4,109 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | | $ | 48,235 | |
| | (a) | | There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value. |
| | (b) | | Payments made weekly. |
| | (c) | | Payments received weekly. |
| | * | | The components of the basket shown below. |
A basket (MLGSFDUS) of common stocks
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Alphabet Inc | | Communication Services | | | 362 | | | $ | 1,050,136 | | | | 5.23 | % |
Amazon.com Inc | | Consumer Discretionary | | | 269 | | | | 898,412 | | | | 4.47 | |
Microsoft Corp | | Information Technology | | | 2,308 | | | | 776,200 | | | | 3.86 | |
Meta Platforms Inc | | Communication Services | | | 1,674 | | | | 562,905 | | | | 2.80 | |
JPMorgan Chase & Co | | Financials | | | 3,325 | | | | 526,536 | | | | 2.62 | |
Apple Inc | | Information Technology | | | 2,208 | | | | 392,005 | | | | 1.95 | |
Costco Wholesale Corp | | Consumer Staples | | | 683 | | | | 387,963 | | | | 1.93 | |
Walmart Inc | | Consumer Staples | | | 2,545 | | | | 368,275 | | | | 1.83 | |
Accenture PLC | | Information Technology | | | 853 | | | | 353,583 | | | | 1.76 | |
UnitedHealth Group Inc | | Health Care | | | 671 | | | | 336,978 | | | | 1.68 | |
Advanced Micro Devices Inc | | Information Technology | | | 2,214 | | | | 318,546 | | | | 1.59 | |
Adobe Inc | | Information Technology | | | 555 | | | | 314,965 | | | | 1.57 | |
Johnson & Johnson | | Health Care | | | 1,797 | | | | 307,463 | | | | 1.53 | |
Coca-Cola Co/The | | Consumer Staples | | | 5,010 | | | | 296,631 | | | | 1.48 | |
PepsiCo Inc | | Consumer Staples | | | 1,638 | | | | 284,580 | | | | 1.42 | |
NIKE Inc | | Consumer Discretionary | | | 1,601 | | | | 266,790 | | | | 1.33 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Home Depot Inc/The | | Consumer Discretionary | | | 622 | | | $ | 258,068 | | | | 1.28 | % |
Texas Instruments Inc | | Information Technology | | | 1,260 | | | | 237,552 | | | | 1.18 | |
Danaher Corp | | Health Care | | | 664 | | | | 218,336 | | | | 1.09 | |
Honeywell International Inc | | Industrials | | | 1,034 | | | | 215,594 | | | | 1.07 | |
Marsh & McLennan Cos Inc | | Financials | | | 1,067 | | | | 185,408 | | | | 0.92 | |
Caterpillar Inc | | Industrials | | | 896 | | | | 185,181 | | | | 0.92 | |
S&P Global Inc | | Financials | | | 376 | | | | 177,545 | | | | 0.88 | |
Waste Management Inc | | Industrials | | | 1,060 | | | | 176,848 | | | | 0.88 | |
Netflix Inc | | Communication Services | | | 290 | | | | 174,725 | | | | 0.87 | |
Prologis Inc | | Real Estate | | | 1,014 | | | | 170,749 | | | | 0.85 | |
Union Pacific Corp | | Industrials | | | 673 | | | | 169,524 | | | | 0.84 | |
Sherwin-Williams Co/The | | Materials | | | 469 | | | | 165,039 | | | | 0.82 | |
Fortinet Inc | | Information Technology | | | 447 | | | | 160,816 | | | | 0.80 | |
AbbVie Inc | | Health Care | | | 1,176 | | | | 159,239 | | | | 0.79 | |
Zoetis Inc | | Health Care | | | 647 | | | | 157,805 | | | | 0.79 | |
Chipotle Mexican Grill Inc | | Consumer Discretionary | | | 89 | | | | 155,959 | | | | 0.78 | |
Raytheon Technologies Corp | | Industrials | | | 1,794 | | | | 154,432 | | | | 0.77 | |
Agilent Technologies Inc | | Health Care | | | 949 | | | | 151,540 | | | | 0.75 | |
Eaton Corp PLC | | Industrials | | | 841 | | | | 145,346 | | | | 0.72 | |
Edwards Lifesciences Corp | | Health Care | | | 1,098 | | | | 142,292 | | | | 0.71 | |
3M Co | | Industrials | | | 766 | | | | 136,019 | | | | 0.68 | |
Otis Worldwide Corp | | Industrials | | | 1,545 | | | | 134,541 | | | | 0.67 | |
Air Products and Chemicals Inc | | Materials | | | 441 | | | | 134,239 | | | | 0.67 | |
Booking Holdings Inc | | Consumer Discretionary | | | 56 | | | | 133,165 | | | | 0.66 | |
Stryker Corp | | Health Care | | | 491 | | | | 131,317 | | | | 0.65 | |
Aon PLC | | Financials | | | 432 | | | | 129,938 | | | | 0.65 | |
Fastenal Co | | Industrials | | | 1,957 | | | | 125,374 | | | | 0.62 | |
IDEXX Laboratories Inc | | Health Care | | | 190 | | | | 125,056 | | | | 0.62 | |
Tesla Inc | | Consumer Discretionary | | | 116 | | | | 122,215 | | | | 0.61 | |
Gartner Inc | | Information Technology | | | 357 | | | | 119,229 | | | | 0.59 | |
O’Reilly Automotive Inc | | Consumer Discretionary | | | 168 | | | | 118,592 | | | | 0.59 | |
Domino’s Pizza Inc | | Consumer Discretionary | | | 209 | | | | 117,999 | | | | 0.59 | |
Zebra Technologies Corp | | Information Technology | | | 196 | | | | 116,405 | | | | 0.58 | |
Oracle Corp | | Information Technology | | | 1,327 | | | | 115,712 | | | | 0.58 | |
Tractor Supply Co | | Consumer Discretionary | | | 484 | | | | 115,383 | | | | 0.57 | |
Bristol-Myers Squibb Co | | Health Care | | | 1,836 | | | | 114,452 | | | | 0.57 | |
Exxon Mobil Corp | | Energy | | | 1,860 | | | | 113,792 | | | | 0.57 | |
Marvell Technology Inc | | Information Technology | | | 1,291 | | | | 112,959 | | | | 0.56 | |
Trane Technologies PLC | | Industrials | | | 550 | | | | 111,154 | | | | 0.55 | |
CVS Health Corp | | Health Care | | | 1,066 | | | | 110,017 | | | | 0.55 | |
Starbucks Corp | | Consumer Discretionary | | | 936 | | | | 109,447 | | | | 0.54 | |
Dominion Energy Inc | | Utilities | | | 1,381 | | | | 108,485 | | | | 0.54 | |
Equifax Inc | | Industrials | | | 360 | | | | 105,482 | | | | 0.52 | |
Cintas Corp | | Industrials | | | 232 | | | | 102,951 | | | | 0.51 | |
Veeva Systems Inc | | Health Care | | | 395 | | | | 100,910 | | | | 0.50 | |
Old Dominion Freight Line Inc | | Industrials | | | 281 | | | | 100,758 | | | | 0.50 | |
Verisk Analytics Inc | | Industrials | | | 440 | | | | 100,592 | | | | 0.50 | |
Carrier Global Corp | | Industrials | | | 1,822 | | | | 98,832 | | | | 0.49 | |
KKR & Co Inc | | Financials | | | 1,324 | | | | 98,653 | | | | 0.49 | |
Rockwell Automation Inc | | Industrials | | | 282 | | | | 98,219 | | | | 0.49 | |
Target Corp | | Consumer Discretionary | | | 423 | | | | 97,907 | | | | 0.49 | |
Teleflex Inc | | Health Care | | | 295 | | | | 96,992 | | | | 0.48 | |
Align Technology Inc | | Health Care | | | 147 | | | | 96,693 | | | | 0.48 | |
Mastercard Inc | | Information Technology | | | 267 | | | | 96,091 | | | | 0.48 | |
Keurig Dr Pepper Inc | | Consumer Staples | | | 2,570 | | | | 94,741 | | | | 0.47 | |
Kraft Heinz Co/The | | Consumer Staples | | | 2,580 | | | | 92,607 | | | | 0.46 | |
Baker Hughes Co | | Energy | | | 3,795 | | | | 91,317 | | | | 0.45 | |
TE Connectivity Ltd | | Information Technology | | | 563 | | | | 90,819 | | | | 0.45 | |
CDW Corp/DE | | Information Technology | | | 442 | | | | 90,473 | | | | 0.45 | |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Bio-Techne Corp | | Health Care | | | 165 | | | $ | 85,515 | | | | 0.43 | % |
Mondelez International Inc | | Consumer Staples | | | 1,254 | | | | 83,177 | | | | 0.41 | |
Broadcom Inc | | Information Technology | | | 124 | | | | 82,728 | | | | 0.41 | |
State Street Corp | | Financials | | | 888 | | | | 82,626 | | | | 0.41 | |
Activision Blizzard Inc | | Communication Services | | | 1,229 | | | | 81,748 | | | | 0.41 | |
Expedia Group Inc | | Consumer Discretionary | | | 451 | | | | 81,484 | | | | 0.41 | |
Cisco Systems Inc/Delaware | | Information Technology | | | 1,274 | | | | 80,730 | | | | 0.40 | |
Monolithic Power Systems Inc | | Information Technology | | | 163 | | | | 80,451 | | | | 0.40 | |
Under Armour Inc | | Consumer Discretionary | | | 3,738 | | | | 79,201 | | | | 0.39 | |
Berkshire Hathaway Inc | | Financials | | | 262 | | | | 78,391 | | | | 0.39 | |
CSX Corp | | Industrials | | | 2,071 | | | | 77,876 | | | | 0.39 | |
United Parcel Service Inc | | Industrials | | | 359 | | | | 77,003 | | | | 0.38 | |
Corning Inc | | Information Technology | | | 2,065 | | | | 76,869 | | | | 0.38 | |
Hershey Co/The | | Consumer Staples | | | 391 | | | | 75,714 | | | | 0.38 | |
Lamb Weston Holdings Inc | | Consumer Staples | | | 1,148 | | | | 72,748 | | | | 0.36 | |
FactSet Research Systems Inc | | Financials | | | 149 | | | | 72,195 | | | | 0.36 | |
Clorox Co/The | | Consumer Staples | | | 413 | | | | 72,071 | | | | 0.36 | |
AT&T Inc | | Communication Services | | | 2,917 | | | | 71,759 | | | | 0.36 | |
Ball Corp | | Materials | | | 742 | | | | 71,445 | | | | 0.36 | |
Broadridge Financial Solutions Inc | | Information Technology | | | 390 | | | | 71,214 | | | | 0.35 | |
Lowe’s Cos Inc | | Consumer Discretionary | | | 274 | | | | 70,950 | | | | 0.35 | |
PPL Corp | | Utilities | | | 2,293 | | | | 68,927 | | | | 0.34 | |
Intel Corp | | Information Technology | | | 1,331 | | | | 68,539 | | | | 0.34 | |
Charles River Laboratories International | | Health Care | | | 179 | | | | 67,376 | | | | 0.34 | |
QUALCOMM Inc | | Information Technology | | | 366 | | | | 66,841 | | | | 0.33 | |
M&T Bank Corp | | Financials | | | 435 | | | | 66,798 | | | | 0.33 | |
Fortive Corp | | Industrials | | | 872 | | | | 66,533 | | | | 0.33 | |
MarketAxess Holdings Inc | | Financials | | | 162 | | | | 66,488 | | | | 0.33 | |
Kellogg Co | | Consumer Staples | | | 1,023 | | | | 65,893 | | | | 0.33 | |
Entegris Inc | | Information Technology | | | 474 | | | | 65,672 | | | | 0.33 | |
Tyler Technologies Inc | | Information Technology | | | 122 | | | | 65,362 | | | | 0.33 | |
Brown & Brown Inc | | Financials | | | 917 | | | | 64,426 | | | | 0.32 | |
AutoZone Inc | | Consumer Discretionary | | | 30 | | | | 63,890 | | | | 0.32 | |
American Water Works Co Inc | | Utilities | | | 334 | | | | 63,008 | | | | 0.31 | |
LKQ Corp | | Consumer Discretionary | | | 1,046 | | | | 62,821 | | | | 0.31 | |
Comerica Inc | | Financials | | | 720 | | | | 62,598 | | | | 0.31 | |
McDonald’s Corp | | Consumer Discretionary | | | 231 | | | | 61,895 | | | | 0.31 | |
Avery Dennison Corp | | Materials | | | 286 | | | | 61,850 | | | | 0.31 | |
Trimble Inc | | Information Technology | | | 709 | | | | 61,803 | | | | 0.31 | |
Lennox International Inc | | Industrials | | | 187 | | | | 60,686 | | | | 0.30 | |
Monster Beverage Corp | | Consumer Staples | | | 610 | | | | 58,558 | | | | 0.29 | |
Hasbro Inc | | Consumer Discretionary | | | 562 | | | | 57,231 | | | | 0.28 | |
Intuit Inc | | Information Technology | | | 89 | | | | 57,121 | | | | 0.28 | |
Amgen Inc | | Health Care | | | 251 | | | | 56,439 | | | | 0.28 | |
DTE Energy Co | | Utilities | | | 471 | | | | 56,288 | | | | 0.28 | |
Booz Allen Hamilton Holding Corp | | Industrials | | | 656 | | | | 55,635 | | | | 0.28 | |
Life Storage Inc | | Real Estate | | | 363 | | | | 55,618 | | | | 0.28 | |
Allegion plc | | Industrials | | | 417 | | | | 55,198 | | | | 0.27 | |
Amcor PLC | | Materials | | | 4,582 | | | | 55,031 | | | | 0.27 | |
General Dynamics Corp | | Industrials | | | 258 | | | | 53,772 | | | | 0.27 | |
Sirius XM Holdings Inc | | Communication Services | | | 8,443 | | | | 53,613 | | | | 0.27 | |
Motorola Solutions Inc | | Information Technology | | | 190 | | | | 51,656 | | | | 0.26 | |
Molina Healthcare Inc | | Health Care | | | 161 | | | | 51,358 | | | | 0.26 | |
Keysight Technologies Inc | | Information Technology | | | 246 | | | | 50,808 | | | | 0.25 | |
Vertiv Holdings Co | | Industrials | | | 2,015 | | | | 50,316 | | | | 0.25 | |
International Business Machines Corp | | Information Technology | | | 371 | | | | 49,610 | | | | 0.25 | |
T-Mobile US Inc | | Communication Services | | | 427 | | | | 49,555 | | | | 0.25 | |
Charter Communications Inc | | Communication Services | | | 75 | | | | 49,082 | | | | 0.24 | |
Allstate Corp/The | | Financials | | | 409 | | | | 48,108 | | | | 0.24 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Take-Two Interactive Software Inc | | Communication Services | | | 270 | | | $ | 48,065 | | | | 0.24 | % |
Black Knight Inc | | Information Technology | | | 577 | | | | 47,864 | | | | 0.24 | |
Vail Resorts Inc | | Consumer Discretionary | | | 144 | | | | 47,120 | | | | 0.23 | |
Skechers USA Inc | | Consumer Discretionary | | | 1,060 | | | | 46,022 | | | | 0.23 | |
ServiceNow Inc | | Information Technology | | | 71 | | | | 45,853 | | | | 0.23 | |
VeriSign Inc | | Information Technology | | | 178 | | | | 45,286 | | | | 0.23 | |
Ulta Beauty Inc | | Consumer Discretionary | | | 110 | | | | 45,190 | | | | 0.22 | |
Boston Properties Inc | | Real Estate | | | 384 | | | | 44,238 | | | | 0.22 | |
IPG Photonics Corp | | Information Technology | | | 256 | | | | 44,054 | | | | 0.22 | |
American Express Co | | Financials | | | 266 | | | | 43,519 | | | | 0.22 | |
Quest Diagnostics Inc | | Health Care | | | 247 | | | | 42,810 | | | | 0.21 | |
Ford Motor Co | | Consumer Discretionary | | | 2,057 | | | | 42,725 | | | | 0.21 | |
Brown-Forman Corp | | Consumer Staples | | | 556 | | | | 40,528 | | | | 0.20 | |
Atlassian Corp PLC | | Information Technology | | | 106 | | | | 40,248 | | | | 0.20 | |
Gilead Sciences Inc | | Health Care | | | 551 | | | | 39,978 | | | | 0.20 | |
ABIOMED Inc | | Health Care | | | 111 | | | | 39,725 | | | | 0.20 | |
Dollar General Corp | | Consumer Discretionary | | | 165 | | | | 38,982 | | | | 0.19 | |
W R Berkley Corp | | Financials | | | 470 | | | | 38,695 | | | | 0.19 | |
Deere & Co | | Industrials | | | 111 | | | | 38,063 | | | | 0.19 | |
Chevron Corp | | Energy | | | 277 | | | | 32,448 | | | | 0.16 | |
NextEra Energy Inc | | Utilities | | | 280 | | | | 26,173 | | | | 0.13 | |
American Tower Corp | | Real Estate | | | 64 | | | | 18,832 | | | | 0.09 | |
Duke Energy Corp | | Utilities | | | 110 | | | | 11,539 | | | | 0.06 | |
A basket (JPGSFDEU) of common stocks
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
adidas AG | | Consumer Discretionary | | | 668 | | | $ | 169,146 | | | | 4.53 | % |
ASML Holding NV | | Information Technology | | | 217 | | | | 153,376 | | | | 4.11 | |
L’Oreal SA | | Consumer Staples | | | 331 | | | | 137,833 | | | | 3.69 | |
SAP SE | | Information Technology | | | 1,030 | | | | 128,588 | | | | 3.45 | |
Linde PLC | | Materials | | | 380 | | | | 116,240 | | | | 3.12 | |
Infineon Technologies AG | | Information Technology | | | 2,698 | | | | 109,987 | | | | 2.95 | |
Deutsche Post AG | | Industrials | | | 1,833 | | | | 103,651 | | | | 2.78 | |
Siemens AG | | Industrials | | | 665 | | | | 101,486 | | | | 2.72 | |
Ferrari NV | | Consumer Discretionary | | | 347 | | | | 79,002 | | | | 2.12 | |
Merck KGaA | | Health Care | | | 321 | | | | 72,806 | | | | 1.95 | |
Allianz SE | | Financials | | | 348 | | | | 72,240 | | | | 1.94 | |
HelloFresh SE | | Consumer Staples | | | 1,027 | | | | 69,366 | | | | 1.86 | |
Koninklijke Philips NV | | Health Care | | | 1,794 | | | | 58,778 | | | | 1.58 | |
STMicroelectronics NV | | Information Technology | | | 1,271 | | | | 55,627 | | | | 1.49 | |
LVMH Moet Hennessy Louis Vuitton SE | | Consumer Discretionary | | | 75 | | | | 54,324 | | | | 1.46 | |
Deutsche Telekom AG | | Communication Services | | | 3,229 | | | | 52,636 | | | | 1.41 | |
Wolters Kluwer NV | | Industrials | | | 502 | | | | 52,006 | | | | 1.39 | |
ASM International NV | | Information Technology | | | 133 | | | | 51,834 | | | | 1.39 | |
Neste Oyj | | Energy | | | 1,141 | | | | 49,465 | | | | 1.33 | |
Safran SA | | Industrials | | | 445 | | | | 47,896 | | | | 1.28 | |
Vinci SA | | Industrials | | | 505 | | | | 46,903 | | | | 1.26 | |
Vonovia SE | | Real Estate | | | 956 | | | | 46,363 | | | | 1.24 | |
Akzo Nobel NV | | Materials | | | 457 | | | | 44,068 | | | | 1.18 | |
Deutsche Boerse AG | | Financials | | | 298 | | | | 43,880 | | | | 1.18 | |
Danone SA | | Consumer Staples | | | 780 | | | | 42,604 | | | | 1.14 | |
Henkel AG & Co KGaA | | Consumer Staples | | | 561 | | | | 39,876 | | | | 1.07 | |
Adyen NV | | Information Technology | | | 17 | | | | 39,349 | | | | 1.05 | |
Eurofins Scientific SE | | Health Care | | | 358 | | | | 38,981 | | | | 1.04 | |
E.ON SE | | Utilities | | | 3,118 | | | | 38,021 | | | | 1.02 | |
Koninklijke Ahold Delhaize NV | | Consumer Staples | | | 1,255 | | | | 37,822 | | | | 1.01 | |
Koninklijke DSM NV | | Materials | | | 181 | | | | 35,847 | | | | 0.96 | |
Amadeus IT Group SA | | Information Technology | | | 601 | | | | 35,818 | | | | 0.96 | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
ArcelorMittal SA | | Materials | | | 1,260 | | | $ | 35,455 | | | | 0.95 | % |
Pernod Ricard SA | | Consumer Staples | | | 167 | | | | 35,325 | | | | 0.95 | |
KBC Group NV | | Financials | | | 467 | | | | 35,206 | | | | 0.94 | |
TotalEnergies SE | | Energy | | | 749 | | | | 33,428 | | | | 0.90 | |
Bayer AG | | Health Care | | | 691 | | | | 32,462 | | | | 0.87 | |
Beiersdorf AG | | Consumer Staples | | | 341 | | | | 30,816 | | | | 0.83 | |
UPM-Kymmene Oyj | | Materials | | | 915 | | | | 30,619 | | | | 0.82 | |
Sanofi | | Health Care | | | 325 | | | | 28,777 | | | | 0.77 | |
Veolia Environnement SA | | Utilities | | | 885 | | | | 28,556 | | | | 0.77 | |
Publicis Groupe SA | | Communication Services | | | 476 | | | | 28,170 | | | | 0.76 | |
Industria de Diseno Textil SA | | Consumer Discretionary | | | 984 | | | | 28,066 | | | | 0.75 | |
IMCD NV | | Industrials | | | 142 | | | | 27,707 | | | | 0.74 | |
Kone Oyj | | Industrials | | | 439 | | | | 27,691 | | | | 0.74 | |
Amplifon SpA | | Health Care | | | 553 | | | | 26,259 | | | | 0.70 | |
Moncler SpA | | Consumer Discretionary | | | 406 | | | | 25,969 | | | | 0.70 | |
Nordea Bank Abp | | Financials | | | 2,369 | | | | 25,553 | | | | 0.68 | |
Zalando SE | | Consumer Discretionary | | | 355 | | | | 25,260 | | | | 0.68 | |
Teleperformance | | Industrials | | | 62 | | | | 24,374 | | | | 0.65 | |
DiaSorin SpA | | Health Care | | | 143 | | | | 23,985 | | | | 0.64 | |
FinecoBank Banca Fineco SpA | | Financials | | | 1,439 | | | | 22,212 | | | | 0.60 | |
Sodexo SA | | Consumer Discretionary | | | 286 | | | | 22,063 | | | | 0.59 | |
Umicore SA | | Materials | | | 615 | | | | 21,995 | | | | 0.59 | |
Poste Italiane SpA | | Financials | | | 1,859 | | | | 21,457 | | | | 0.58 | |
Repsol SA | | Energy | | | 2,052 | | | | 21,419 | | | | 0.57 | |
Sartorius Stedim Biotech | | Health Care | | | 42 | | | | 20,295 | | | | 0.54 | |
LEG Immobilien SE | | Real Estate | | | 150 | | | | 18,389 | | | | 0.49 | |
CRH PLC | | Materials | | | 383 | | | | 17,801 | | | | 0.48 | |
Nokia Oyj | | Information Technology | | | 3,192 | | | | 17,792 | | | | 0.48 | |
Iberdrola SA | | Utilities | | | 1,649 | | | | 17,166 | | | | 0.46 | |
Cie de Saint-Gobain | | Industrials | | | 274 | | | | 16,932 | | | | 0.45 | |
Symrise AG | | Materials | | | 129 | | | | 16,831 | | | | 0.45 | |
Koninklijke KPN NV | | Communication Services | | | 6,034 | | | | 16,473 | | | | 0.44 | |
Arkema SA | | Materials | | | 133 | | | | 16,464 | | | | 0.44 | |
Snam SpA | | Utilities | | | 3,071 | | | | 16,278 | | | | 0.44 | |
Smurfit Kappa Group PLC | | Materials | | | 328 | | | | 15,888 | | | | 0.43 | |
Signify NV | | Industrials | | | 375 | | | | 15,288 | | | | 0.41 | |
Nemetschek SE | | Information Technology | | | 134 | | | | 15,114 | | | | 0.41 | |
Michelin | | Consumer Discretionary | | | 103 | | | | 14,881 | | | | 0.40 | |
Knorr-Bremse AG | | Industrials | | | 171 | | | | 14,859 | | | | 0.40 | |
Remy Cointreau SA | | Consumer Staples | | | 69 | | | | 14,789 | | | | 0.40 | |
Erste Group Bank AG | | Financials | | | 355 | | | | 14,698 | | | | 0.39 | |
QIAGEN NV | | Health Care | | | 299 | | | | 14,639 | | | | 0.39 | |
CNH Industrial NV | | Industrials | | | 857 | | | | 14,631 | | | | 0.39 | |
Kingspan Group PLC | | Industrials | | | 137 | | | | 14,401 | | | | 0.39 | |
Carl Zeiss Meditec AG | | Health Care | | | 77 | | | | 14,219 | | | | 0.38 | |
EDP – Energias de Portugal SA | | Utilities | | | 2,871 | | | | 13,871 | | | | 0.37 | |
Universal Music Group NV | | Communication Services | | | 549 | | | | 13,595 | | | | 0.36 | |
Kerry Group PLC | | Consumer Staples | | | 119 | | | | 13,476 | | | | 0.36 | |
Fluidra SA | | Industrials | | | 374 | | | | 13,181 | | | | 0.35 | |
Orion Oyj | | Health Care | | | 342 | | | | 12,495 | | | | 0.33 | |
HeidelbergCement AG | | Materials | | | 204 | | | | 12,138 | | | | 0.33 | |
Randstad NV | | Industrials | | | 197 | | | | 11,854 | | | | 0.32 | |
Elisa Oyj | | Communication Services | | | 219 | | | | 11,830 | | | | 0.32 | |
Tenaris SA | | Energy | | | 1,272 | | | | 11,717 | | | | 0.31 | |
ProSiebenSat.1 Media SE | | Communication Services | | | 836 | | | | 11,708 | | | | 0.31 | |
Davide Campari-Milano NV | | Consumer Staples | | | 887 | | | | 11,399 | | | | 0.31 | |
Freenet AG | | Communication Services | | | 485 | | | | 11,282 | | | | 0.30 | |
Red Electrica Corp SA | | Utilities | | | 555 | | | | 10,560 | | | | 0.28 | |
La Francaise des Jeux SAEM | | Consumer Discretionary | | | 269 | | | | 10,481 | | | | 0.28 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Bureau Veritas SA | | Industrials | | | 357 | | | $ | 10,408 | | | | 0.28 | % |
Edenred | | Information Technology | | | 253 | | | | 10,265 | | | | 0.28 | |
Aroundtown SA | | Real Estate | | | 1,867 | | | | 9,930 | | | | 0.27 | |
Argenx SE | | Health Care | | | 31 | | | | 9,802 | | | | 0.26 | |
Evonik Industries AG | | Materials | | | 332 | | | | 9,446 | | | | 0.25 | |
Valmet Oyj | | Industrials | | | 249 | | | | 9,386 | | | | 0.25 | |
Enagas SA | | Utilities | | | 452 | | | | 9,223 | | | | 0.25 | |
Recordati Industria Chimica e Farmaceuti | | Health Care | | | 162 | | | | 9,133 | | | | 0.24 | |
Reply SpA | | Information Technology | | | 50 | | | | 8,952 | | | | 0.24 | |
Sofina SA | | Financials | | | 20 | | | | 8,649 | | | | 0.23 | |
Hannover Rueck SE | | Financials | | | 49 | | | | 8,134 | | | | 0.22 | |
Gerresheimer AG | | Health Care | | | 96 | | | | 8,132 | | | | 0.22 | |
CaixaBank SA | | Financials | | | 3,349 | | | | 8,085 | | | | 0.22 | |
Groupe Bruxelles Lambert SA | | Financials | | | 81 | | | | 7,928 | | | | 0.21 | |
Italgas SpA | | Utilities | | | 1,247 | | | | 7,549 | | | | 0.20 | |
Atos SE | | Information Technology | | | 200 | | | | 7,470 | | | | 0.20 | |
Kesko Oyj | | Consumer Staples | | | 250 | | | | 7,347 | | | | 0.20 | |
Faurecia SE | | Consumer Discretionary | | | 168 | | | | 7,018 | | | | 0.19 | |
A2A SpA | | Utilities | | | 4,070 | | | | 7,001 | | | | 0.19 | |
TAG Immobilien AG | | Real Estate | | | 274 | | | | 6,753 | | | | 0.18 | |
Eurazeo SE | | Financials | | | 88 | | | | 6,738 | | | | 0.18 | |
Siemens Gamesa Renewable Energy SA | | Industrials | | | 305 | | | | 6,437 | | | | 0.17 | |
BioMerieux | | Health Care | | | 51 | | | | 6,336 | | | | 0.17 | |
Huhtamaki Oyj | | Materials | | | 163 | | | | 6,336 | | | | 0.17 | |
Gecina SA | | Real Estate | | | 51 | | | | 6,209 | | | | 0.17 | |
Rational AG | | Industrials | | | 7 | | | | 6,199 | | | | 0.17 | |
EXOR NV | | Financials | | | 78 | | | | 6,177 | | | | 0.17 | |
Infrastrutture Wireless Italiane SpA | | Communication Services | | | 575 | | | | 6,146 | | | | 0.16 | |
Aalberts NV | | Industrials | | | 105 | | | | 6,128 | | | | 0.16 | |
Valeo | | Consumer Discretionary | | | 225 | | | | 5,981 | | | | 0.16 | |
Aeroports de Paris | | Industrials | | | 52 | | | | 5,915 | | | | 0.16 | |
Prysmian SpA | | Industrials | | | 177 | | | | 5,873 | | | | 0.16 | |
Koninklijke Vopak NV | | Energy | | | 190 | | | | 5,838 | | | | 0.16 | |
Ubisoft Entertainment SA | | Communication Services | | | 133 | | | | 5,749 | | | | 0.15 | |
Elia Group SA/NV | | Utilities | | | 49 | | | | 5,718 | | | | 0.15 | |
Scout24 SE | | Communication Services | | | 93 | | | | 5,682 | | | | 0.15 | |
Eiffage SA | | Industrials | | | 60 | | | | 5,468 | | | | 0.15 | |
Uniper SE | | Utilities | | | 125 | | | | 5,239 | | | | 0.14 | |
Amundi SA | | Financials | | | 71 | | | | 5,142 | | | | 0.14 | |
Arcadis NV | | Industrials | | | 120 | | | | 5,069 | | | | 0.14 | |
Heineken Holding NV | | Consumer Staples | | | 61 | | | | 4,960 | | | | 0.13 | |
CTS Eventim AG & Co KGaA | | Communication Services | | | 72 | | | | 4,665 | | | | 0.13 | |
Warehouses De Pauw CVA | | Real Estate | | | 109 | | | | 4,600 | | | | 0.12 | |
ASR Nederland NV | | Financials | | | 111 | | | | 4,515 | | | | 0.12 | |
United Internet AG | | Communication Services | | | 123 | | | | 4,298 | | | | 0.12 | |
Acciona SA | | Utilities | | | 23 | | | | 3,941 | | | | 0.11 | |
SEB SA | | Consumer Discretionary | | | 29 | | | | 3,932 | | | | 0.11 | |
Kojamo Oyj | | Real Estate | | | 179 | | | | 3,806 | | | | 0.10 | |
Rubis SCA | | Utilities | | | 141 | | | | 3,715 | | | | 0.10 | |
TechnipFMC PLC | | Energy | | | 688 | | | | 3,603 | | | | 0.10 | |
GEA Group AG | | Industrials | | | 74 | | | | 3,559 | | | | 0.10 | |
A basket (JPGSFDUK) of common stocks
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
AstraZeneca PLC | | Health Care | | | 17 | | | $ | 151,002 | | | | 7.47 | % |
Unilever PLC | | Consumer Staples | | | 36 | | | | 142,300 | | | | 7.04 | |
Diageo PLC | | Consumer Staples | | | 27 | | | | 107,928 | | | | 5.34 | |
GlaxoSmithKline PLC | | Health Care | | | 66 | | | | 105,363 | | | | 5.21 | |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
RELX PLC | | Industrials | | | 32 | | | $ | 77,204 | | | | 3.82 | % |
Vodafone Group PLC | | Communication Services | | | 553 | | | | 62,062 | | | | 3.07 | |
BHP Group PLC | | Materials | | | 28 | | | | 60,798 | | | | 3.01 | |
Reckitt Benckiser Group PLC | | Consumer Staples | | | 8 | | | | 52,937 | | | | 2.62 | |
London Stock Exchange Group PLC | | Financials | | | 7 | | | | 47,934 | | | | 2.37 | |
Ferguson PLC | | Industrials | | | 4 | | | | 47,069 | | | | 2.33 | |
Tesco PLC | | Consumer Staples | | | 148 | | | | 42,987 | | | | 2.13 | |
Ashtead Group PLC | | Industrials | | | 7 | | | | 41,452 | | | | 2.05 | |
Royal Dutch Shell PLC | | Energy | | | 23 | | | | 37,470 | | | | 1.85 | |
Segro PLC | | Real Estate | | | 23 | | | | 32,414 | | | | 1.60 | |
Experian PLC | | Industrials | | | 9 | | | | 31,350 | | | | 1.55 | |
Entain PLC | | Consumer Discretionary | | | 18 | | | | 30,807 | | | | 1.52 | |
HSBC Holdings PLC | | Financials | | | 61 | | | | 27,401 | | | | 1.35 | |
Flutter Entertainment PLC | | Consumer Discretionary | | | 2 | | | | 26,366 | | | | 1.30 | |
Smith & Nephew PLC | | Health Care | | | 20 | | | | 25,590 | | | | 1.27 | |
Legal & General Group PLC | | Financials | | | 81 | | | | 24,060 | | | | 1.19 | |
Aviva PLC | | Financials | | | 55 | | | | 22,470 | | | | 1.11 | |
Sage Group PLC/The | | Information Technology | | | 25 | | | | 21,236 | | | | 1.05 | |
Burberry Group PLC | | Consumer Discretionary | | | 11 | | | | 20,759 | | | | 1.03 | |
Antofagasta PLC | | Materials | | | 15 | | | | 19,668 | | | | 0.97 | |
Halma PLC | | Information Technology | | | 6 | | | | 19,487 | | | | 0.96 | |
Associated British Foods PLC | | Consumer Staples | | | 9 | | | | 17,955 | | | | 0.89 | |
Persimmon PLC | | Consumer Discretionary | | | 6 | | | | 17,549 | | | | 0.87 | |
Admiral Group PLC | | Financials | | | 5 | | | | 16,909 | | | | 0.84 | |
Next PLC | | Consumer Discretionary | | | 2 | | | | 16,476 | | | | 0.81 | |
Informa PLC | | Communication Services | | | 32 | | | | 16,309 | | | | 0.81 | |
Intertek Group PLC | | Industrials | | | 3 | | | | 15,926 | | | | 0.79 | |
Rio Tinto PLC | | Materials | | | 3 | | | | 15,887 | | | | 0.79 | |
Rentokil Initial PLC | | Industrials | | | 26 | | | | 14,989 | | | | 0.74 | |
Tritax Big Box REIT PLC | | Real Estate | | | 60 | | | | 14,928 | | | | 0.74 | |
Barratt Developments PLC | | Consumer Discretionary | | | 20 | | | | 14,739 | | | | 0.73 | |
Mondi PLC | | Materials | | | 8 | | | | 14,730 | | | | 0.73 | |
Coca-Cola HBC AG | | Consumer Staples | | | 6 | | | | 14,469 | | | | 0.72 | |
Spirax-Sarco Engineering PLC | | Industrials | | | 1 | | | | 14,243 | | | | 0.70 | |
3i Group PLC | | Financials | | | 9 | | | | 13,288 | | | | 0.66 | |
Auto Trader Group PLC | | Communication Services | | | 18 | | | | 13,003 | | | | 0.64 | |
J Sainsbury PLC | | Consumer Staples | | | 45 | | | | 12,540 | | | | 0.62 | |
Hargreaves Lansdown PLC | | Financials | | | 9 | | | | 12,461 | | | | 0.62 | |
Rightmove PLC | | Communication Services | | | 16 | | | | 12,426 | | | | 0.61 | |
Berkeley Group Holdings PLC | | Consumer Discretionary | | | 3 | | | | 12,379 | | | | 0.61 | |
Dechra Pharmaceuticals PLC | | Health Care | | | 2 | | | | 12,120 | | | | 0.60 | |
Royal Mail PLC | | Industrials | | | 24 | | | | 12,107 | | | | 0.60 | |
Melrose Industries PLC | | Industrials | | | 75 | | | | 11,940 | | | | 0.59 | |
DCC PLC | | Industrials | | | 2 | | | | 11,860 | | | | 0.59 | |
National Grid PLC | | Utilities | | | 11 | | | | 11,449 | | | | 0.57 | |
Land Securities Group PLC | | Real Estate | | | 15 | | | | 11,284 | | | | 0.56 | |
Direct Line Insurance Group PLC | | Financials | | | 40 | | | | 11,228 | | | | 0.56 | |
Pennon Group PLC | | Utilities | | | 9 | | | | 10,521 | | | | 0.52 | |
IMI PLC | | Industrials | | | 6 | | | | 10,126 | | | | 0.50 | |
Intermediate Capital Group PLC | | Financials | | | 5 | | | | 10,111 | | | | 0.50 | |
Howden Joinery Group PLC | | Industrials | | | 11 | | | | 10,069 | | | | 0.50 | |
DS Smith PLC | | Materials | | | 26 | | | | 10,006 | | | | 0.49 | |
Pearson PLC | | Communication Services | | | 16 | | | | 9,814 | | | | 0.49 | |
abrdn plc | | Financials | | | 40 | | | | 9,717 | | | | 0.48 | |
Smurfit Kappa Group PLC | | Materials | | | 2 | | | | 9,604 | | | | 0.47 | |
Future PLC | | Communication Services | | | 2 | | | | 9,564 | | | | 0.47 | |
Spectris PLC | | Information Technology | | | 3 | | | | 9,456 | | | | 0.47 | |
Evraz PLC | | Materials | | | 15 | | | | 9,080 | | | | 0.45 | |
Smiths Group PLC | | Industrials | | | 6 | | | | 8,809 | | | | 0.44 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Compass Group PLC | | Consumer Discretionary | | | 5 | | | $ | 8,792 | | | | 0.43 | % |
Electrocomponents PLC | | Industrials | | | 7 | | | | 8,431 | | | | 0.42 | |
Tate & Lyle PLC | | Consumer Staples | | | 12 | | | | 7,908 | | | | 0.39 | |
Fresnillo PLC | | Materials | | | 9 | | | | 7,741 | | | | 0.38 | |
Man Group PLC/Jersey | | Financials | | | 34 | | | | 7,730 | | | | 0.38 | |
Games Workshop Group PLC | | Consumer Discretionary | | | 1 | | | | 7,103 | | | | 0.35 | |
Derwent London PLC | | Real Estate | | | 2 | | | | 6,923 | | | | 0.34 | |
ConvaTec Group PLC | | Health Care | | | 35 | | | | 6,827 | | | | 0.34 | |
LondonMetric Property PLC | | Real Estate | | | 24 | | | | 6,773 | | | | 0.33 | |
Hikma Pharmaceuticals PLC | | Health Care | | | 3 | | | | 6,747 | | | | 0.33 | |
Schroders PLC | | Financials | | | 2 | | | | 6,482 | | | | 0.32 | |
Greggs PLC | | Consumer Discretionary | | | 2 | | | | 6,348 | | | | 0.31 | |
UNITE Group PLC/The | | Real Estate | | | 6 | | | | 6,341 | | | | 0.31 | |
Centamin PLC | | Materials | | | 71 | | | | 6,308 | | | | 0.31 | |
Quilter PLC | | Financials | | | 40 | | | | 5,962 | | | | 0.29 | |
Hays PLC | | Industrials | | | 41 | | | | 5,923 | | | | 0.29 | |
IG Group Holdings PLC | | Financials | | | 7 | | | | 5,823 | | | | 0.29 | |
Primary Health Properties PLC | | Real Estate | | | 38 | | | | 5,723 | | | | 0.28 | |
Drax Group PLC | | Utilities | | | 9 | | | | 5,477 | | | | 0.27 | |
WH Smith PLC | | Consumer Discretionary | | | 4 | | | | 5,382 | | | | 0.27 | |
Softcat PLC | | Information Technology | | | 3 | | | | 5,189 | | | | 0.26 | |
HomeServe PLC | | Industrials | | | 6 | | | | 4,961 | | | | 0.25 | |
Assura PLC | | Real Estate | | | 66 | | | | 4,579 | | | | 0.23 | |
Pets at Home Group Plc | | Consumer Discretionary | | | 10 | | | | 4,578 | | | | 0.23 | |
Britvic PLC | | Consumer Staples | | | 5 | | | | 4,505 | | | | 0.22 | |
Genus PLC | | Health Care | | | 1 | | | | 4,394 | | | | 0.22 | |
Rotork PLC | | Industrials | | | 12 | | | | 4,298 | | | | 0.21 | |
Molten Ventures PLC | | Financials | | | 4 | | | | 4,063 | | | | 0.20 | |
Ashmore Group PLC | | Financials | | | 14 | | | | 4,041 | | | | 0.20 | |
Safestore Holdings PLC | | Real Estate | | | 3 | | | | 4,022 | | | | 0.20 | |
888 Holdings PLC | | Consumer Discretionary | | | 12 | | | | 3,710 | | | | 0.18 | |
Indivior PLC | | Health Care | | | 14 | | | | 3,530 | | | | 0.17 | |
Frasers Group PLC | | Consumer Discretionary | | | 4 | | | | 3,420 | | | | 0.17 | |
Pagegroup PLC | | Industrials | | | 5 | | | | 3,380 | | | | 0.17 | |
Domino’s Pizza Group PLC | | Consumer Discretionary | | | 7 | | | | 3,313 | | | | 0.16 | |
J D Wetherspoon PLC | | Consumer Discretionary | | | 3 | | | | 3,220 | | | | 0.16 | |
Plus500 Ltd | | Financials | | | 2 | | | | 3,217 | | | | 0.16 | |
Dunelm Group PLC | | Consumer Discretionary | | | 2 | | | | 3,137 | | | | 0.16 | |
Sirius Real Estate Ltd | | Real Estate | | | 21 | | | | 2,916 | | | | 0.14 | |
Endeavour Mining PLC | | Materials | | | 2 | | | | 2,845 | | | | 0.14 | |
Liontrust Asset Management PLC | | Financials | | | 1 | | | | 2,799 | | | | 0.14 | |
Reach PLC | | Communication Services | | | 10 | | | | 2,771 | | | | 0.14 | |
Network International Holdings PLC | | Information Technology | | | 9 | | | | 2,674 | | | | 0.13 | |
QinetiQ Group PLC | | Industrials | | | 10 | | | | 2,644 | | | | 0.13 | |
Grainger PLC | | Real Estate | | | 8 | | | | 2,629 | | | | 0.13 | |
Kainos Group PLC | | Information Technology | | | 1 | | | | 2,603 | | | | 0.13 | |
Computacenter PLC | | Information Technology | | | 1 | | | | 2,601 | | | | 0.13 | |
C&C Group PLC | | Consumer Staples | | | 11 | | | | 2,555 | | | | 0.13 | |
Cranswick PLC | | Consumer Staples | | | 1 | | | | 2,540 | | | | 0.13 | |
Close Brothers Group PLC | | Financials | | | 2 | | | | 2,395 | | | | 0.12 | |
Currys PLC | | Consumer Discretionary | | | 21 | | | | 2,358 | | | | 0.12 | |
Serco Group PLC | | Industrials | | | 17 | | | | 2,355 | | | | 0.12 | |
Dr. Martens Plc | | Consumer Discretionary | | | 5 | | | | 2,347 | | | | 0.12 | |
Trainline PLC | | Consumer Discretionary | | | 8 | | | | 2,334 | | | | 0.12 | |
Moneysupermarket.com Group PLC | | Consumer Discretionary | | | 11 | | | | 2,329 | | | | 0.12 | |
Trustpilot Group PLC | | Communication Services | | | 7 | | | | 2,234 | | | | 0.11 | |
Genuit Group PLC | | Industrials | | | 4 | | | | 2,139 | | | | 0.11 | |
Chrysalis Investments Ltd | | Financials | | | 9 | | | | 2,085 | | | | 0.10 | |
Helios Towers PLC | | Communication Services | | | 12 | | | | 1,997 | | | | 0.10 | |
Savills PLC | | Real Estate | | | 1 | | | | 1,992 | | | | 0.10 | |
Spirent Communications PLC | | Information Technology | | | 7 | | | | 1,901 | | | | 0.09 | |
TP ICAP Group PLC | | Financials | | | 12 | | | | 1,871 | | | | 0.09 | |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased options contracts:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration Date | | | Number of
Contracts | | | Notional
Amount | | | Value | | | Premiums
Paid (Received)
by the Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased options contracts: | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | |
CBOE Volatility Index | | 25 USD | | | 01/19/2022 | | | | 440 | | | $ | 757,680 | | | $ | 44,000 | | | $ | 95,319 | | | $ | (51,319 | ) |
| | 26 USD | | | 02/16/2022 | | | | 440 | | | | 757,680 | | | | 102,300 | | | | 141,975 | | | | (39,675 | ) |
| | | 28 USD | | | 03/15/2022 | | | | 390 | | | | 671,580 | | | | 113,100 | | | | 144,301 | | | | (31,201 | ) |
| | | | | |
| Total purchased options contracts | | | | 1,270 | | | | | | | $ | 259,400 | | | $ | 381,595 | | | $ | (122,195 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS ALTERNATIVE FUNDS III
Consolidated Statements of Assets and Liabilities(a)
December 31, 2021
| | | | | | | | | | |
| | | | | Absolute Return
Tracker Fund | | | Alternative
Premia Fund | |
| | Assets: | | | | | | | | |
| | Investments in unaffiliated issuers, at value (cost $1,951,151,780 and $0) | | $ | 2,211,311,771 | | | $ | — | |
| | Investments in affiliated issuers, at value (cost $1,174,228,909 and $25,374,069) | | | 1,174,228,909 | | | | 25,374,069 | |
| | Purchased Options, at value (premiums paid $848,510 and $381,595) | | | 477,523 | | | | 259,400 | |
| | Cash | | | 65,968,876 | | | | 690,542 | |
| | Foreign currencies, at value (cost $115,746,260 and $1,916,141) | | | 117,214,196 | | | | 2,011,478 | |
| | Receivables: | | | | | | | | |
| | Collateral on certain derivative contracts(b) | | | 104,604,255 | | | | 10,637,400 | |
| | Fund shares sold | | | 7,721,158 | | | | — | |
| | Dividends | | | 845,066 | | | | 513 | |
| | Foreign tax reclaims | | | 169,124 | | | | 31,274 | |
| | Investments sold | | | 4,721 | | | | 53,725 | |
| | Unrealized gain on swap contracts | | | 4,004,558 | | | | 69,546 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 693,982 | | | | 169,146 | |
| | Variation margin on swaps | | | 413,089 | | | | 1,380 | |
| | Variation margin on futures | | | — | | | | 33,963 | |
| | Other assets | | | 89,584 | | | | 49,790 | |
| | | |
| | Total assets | | | 3,687,746,812 | | | | 39,382,226 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Unrealized loss on swap contracts | | | 8,985,678 | | | | 21,311 | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 4,876,622 | | | | 116,801 | |
| | Written options, at value (premiums received $282,001 and $0) | | | 166,030 | | | | — | |
| | Variation margin on futures | | | 127,330 | | | | — | |
| | Payables: | | | | | | | | |
| | Fund shares redeemed | | | 4,782,246 | | | | — | |
| | Management fees | | | 2,013,751 | | | | 156,008 | |
| | Distribution and Service fees and Transfer Agency fees | | | 174,324 | | | | 3,042 | |
| | Accrued expenses and other liabilities | | | 704,812 | | | | 323,907 | |
| | | |
| | Total liabilities | | | 21,830,793 | | | | 621,069 | |
| | | | | | | | | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 3,580,948,577 | | | | 42,124,700 | |
| | Total distributable earnings (loss) | | | 84,967,442 | | | | (3,363,543 | ) |
| | | NET ASSETS | | $ | 3,665,916,019 | | | $ | 38,761,157 | |
| | | | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 57,882,064 | | | $ | 5,262,514 | |
| | | Class C | | | 7,972,774 | | | | 268,146 | |
| | | Institutional | | | 2,955,942,522 | | | | 3,073,691 | |
| | | Investor | | | 243,761,445 | | | | 1,638,626 | |
| | | Class R6 | | | 153,588,168 | | | | 28,496,135 | |
| | | Class R | | | 1,535,788 | | | | 11,037 | |
| | | Class P | | | 245,233,258 | | | | 11,008 | |
| | | Total Net Assets | | $ | 3,665,916,019 | | | $ | 38,761,157 | |
| | | | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | |
| | | Class A | | | 6,159,115 | | | | 806,929 | |
| | | Class C | | | 945,740 | | | | 44,080 | |
| | | Institutional | | | 301,697,681 | | | | 456,210 | |
| | | Investor | | | 25,211,376 | | | | 244,996 | |
| | | Class R6 | | | 15,698,603 | | | | 4,245,090 | |
| | | Class R | | | 169,423 | | | | 1,710 | |
| | | Class P | | | 25,038,316 | | | | 1,637 | |
| | | | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | |
| | | Class A | | | $9.40 | | | | $6.52 | |
| | | Class C | | | 8.43 | | | | 6.08 | |
| | | Institutional | | | 9.80 | | | | 6.74 | |
| | | Investor | | | 9.67 | | | | 6.69 | |
| | | Class R6 | | | 9.78 | | | | 6.71 | |
| | | Class R | | | 9.06 | | | | 6.46 | (d) |
| | | Class P | | | 9.79 | | | | 6.72 | |
| | (a) | | Statements of Assets and Liabilities for the Absolute Return Tracker and Alternative Premia Funds are consolidated and include the balances of Cayman Commodity-ART LLC and Cayman Commodity-AP LLC (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Segregated for initial margin and/or collateral on transactions as follows: |
| | | | | | | | | | | | | | | | |
| Fund | | Forwards | | | Futures | | | Options | | | Swaps | |
Absolute Return Tracker | | $ | — | | | $ | 53,797,622 | | | $ | 5,642,698 | | | $ | 45,163,935 | |
| | | | |
Alternative Premia | | | 1,060,000 | | | | 4,012,306 | | | | 5,216,865 | | | | 348,229 | |
| | (c) | | Maximum public offering price per share for Class A Shares of the Absolute Return Tracker and Alternative Premia Funds is $9.95 and $6.90, respectively. 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 NAV or the original purchase price of the shares. |
| | (d) | | Net asset value may not recalculate due to rounding of fractional shares. |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS III
Consolidated Statements of Operations(a)
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | |
| | | | | Absolute Return
Tracker Fund | | | Alternative
Premia Fund | |
| | Investment income: | | | | | | | | |
| | | |
| | Dividends — unaffiliated issuers (net of foreign taxes withheld of $275,481 and $0) | | $ | 34,880,018 | | | $ | — | |
| | | |
| | Dividends — affiliated issuers | | | 437,627 | | | | 14,023 | |
| | | |
| | Securities lending income — affiliated issuer | | | 137,941 | | | | — | |
| | | |
| | Total investment income | | | 35,455,586 | | | | 14,023 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | | |
| | Management fees | | | 23,267,444 | | | | 293,914 | |
| | | |
| | Transfer Agency fees(b) | | | 1,798,286 | | | | 21,411 | |
| | | |
| | Custody, accounting and administrative services | | | 581,233 | | | | 110,381 | |
| | | |
| | Printing and mailing costs | | | 411,651 | | | | 48,509 | |
| | | |
| | Professional fees | | | 239,727 | | | | 161,307 | |
| | | |
| | Distribution and Service (12b-1) fees(b) | | | 225,149 | | | | 19,947 | |
| | | |
| | Registration fees | | | 148,978 | | | | 85,872 | |
| | | |
| | Trustee fees | | | 24,010 | | | | 19,094 | |
| | | |
| | Service fees — Class C | | | 21,286 | | | | 1,628 | |
| | | |
| | Other | | | 38,873 | | | | 10,519 | |
| | | |
| | Total expenses | | | 26,756,637 | | | | 772,582 | |
| | | |
| | Less — expense reductions | | | (1,690,464 | ) | | | (409,341 | ) |
| | | |
| | Net expenses | | | 25,066,173 | | | | 363,241 | |
| | | |
| | NET INVESTMENT INCOME (LOSS) | | | 10,389,413 | | | | (349,218 | ) |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 182,005,155 | | | | 22,391 | |
| | | |
| | Investments — affiliated issuers | | | 24 | | | | — | |
| | | |
| | Futures contracts | | | (11,104,566 | ) | | | 2,388,353 | |
| | | |
| | Purchased options | | | (5,044,957 | ) | | | (1,567,913 | ) |
| | | |
| | Swap contracts | | | 8,788,891 | | | | (2,002,200 | ) |
| | | |
| | Forward foreign currency exchange contracts | | | 2,114,752 | | | | 150,185 | |
| | | |
| | Foreign currency transactions | | | (3,423,686 | ) | | | (194,265 | ) |
| | | |
| | Written options | | | 26,138,256 | | | | — | |
| | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 39,683,885 | | | | — | |
| | | |
| | Futures contracts | | | (2,731,230 | ) | | | 747,542 | |
| | | |
| | Purchased options | | | (175,576 | ) | | | (59,478 | ) |
| | | |
| | Swap contracts | | | (19,760,690 | ) | | | 36,292 | |
| | | |
| | Forward foreign currency exchange contracts | | | (5,581,554 | ) | | | 45,959 | |
| | | |
| | Foreign currency translation | | | (1,323,101 | ) | | | (49,449 | ) |
| | | |
| | Written options | | | (1,323,070 | ) | | | — | |
| | | |
| | Net realized and unrealized gain (loss) | | | 208,262,533 | | | | (482,583 | ) |
| | | |
| | NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 218,651,946 | | | $ | (831,801 | ) |
| | (a) | | Statements of Operations for the Absolute Return Tracker and Alternative Premia Funds are consolidated and include the balances of Cayman Commodity-ART, LLC and Cayman Commodity-AP, LLC (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or (12b-1) Service Fees | | | Transfer Agency Fees | |
Fund | | Class A | | | Class C | | | Class R | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Absolute Return Tracker | | $ | 153,498 | | | $ | 63,857 | | | $ | 7,794 | | | $ | 98,240 | | | $ | 13,623 | | | $ | 1,200,567 | | | $ | 390,878 | | | $ | 25,175 | | | $ | 2,494 | | | $ | 67,309 | |
Alternative Premia | | | 15,006 | | | | 4,884 | | | | 57 | | | | 9,604 | | | | 1,042 | | | | 1,523 | | | | 2,871 | | | | 6,349 | | | | 18 | | | | 4 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS ALTERNATIVE FUNDS III
Consolidated Statements of Changes in Net Assets(a)
| | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | | Alternative Premia Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | | | | |
| | Net investment income (loss) | | $ | 10,389,413 | | | $ | 8,780,977 | | | $ | (349,218 | ) | | $ | (261,382 | ) |
| | Net realized gain (loss) | | | 199,473,869 | | | | 9,509,639 | | | | (1,203,449 | ) | | | (3,658,163 | ) |
| | Net change in unrealized gain (loss) | | | 8,788,664 | | | | 65,857,178 | | | | 720,866 | | | | (216,610 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | 218,651,946 | | | | 84,147,794 | | | | (831,801 | ) | | | (4,136,155 | ) |
| | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (4,908,995 | ) | | | (386,990 | ) | | | — | | | | (401,977 | ) |
| | Class C Shares | | | (780,933 | ) | | | (67,157 | ) | | | — | | | | (82,517 | ) |
| | Institutional Shares | | | (251,781,263 | ) | | | (17,700,159 | ) | | | — | | | | (342,456 | ) |
| | Investor Shares | | | (20,262,094 | ) | | | (1,515,395 | ) | | | — | | | | (145,793 | ) |
| | Class R6 Shares | | | (12,919,930 | ) | | | (56,391 | ) | | | — | | | | (1,451,948 | ) |
| | Class R Shares | | | (134,664 | ) | | | (10,040 | ) | | | — | | | | (1,195 | ) |
| | Class P Shares | | | (20,270,234 | ) | | | (1,277,883 | ) | | | — | | | | (891 | ) |
| | Total distributions to shareholders | | | (311,058,113 | ) | | | (21,014,015 | ) | | | — | | | | (2,426,777 | ) |
| | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | |
| | Proceeds from sales of shares | | | 1,612,413,440 | | | | 1,411,743,043 | | | | 11,257,874 | | | | 6,525,219 | |
| | Reinvestment of distributions | | | 228,421,762 | | | | 15,612,050 | | | | — | | | | 2,401,923 | |
| | Cost of shares redeemed | | | (1,552,144,654 | ) | | | (1,572,014,523 | ) | | | (5,909,869 | ) | | | (20,153,881 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 288,690,548 | | | | (144,659,430 | ) | | | 5,348,005 | | | | (11,226,739 | ) |
| | TOTAL INCREASE (DECREASE) | | | 196,284,381 | | | | (81,525,651 | ) | | | 4,516,204 | | | | (17,789,671 | ) |
| | | | | | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | | | | | |
| | Beginning of year | | | 3,469,631,638 | | | | 3,551,157,289 | | | | 34,244,953 | | | | 52,034,624 | |
| | End of year | | $ | 3,665,916,019 | | | $ | 3,469,631,638 | | | $ | 38,761,157 | | | $ | 34,244,953 | |
| | (a) | | Statements of Changes in Net Assets for the Absolute Return Tracker and Alternative Premia Funds are consolidated and include the balances of Cayman Commodity-ART, LLC and Cayman Commodity-AP, LLC (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | |
| 44 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.69 | | | $ | 9.44 | | | $ | 8.84 | | | $ | 9.31 | | | $ | 9.02 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.01 | ) | | | (0.01 | ) | | | 0.10 | | | | 0.07 | | | | — | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.59 | | | | 0.32 | | | | 0.81 | | | | (0.33 | ) | | | 0.62 | |
| | | | | | |
| | Total from investment operations | | | 0.58 | | | | 0.31 | | | | 0.91 | | | | (0.26 | ) | | | 0.62 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.09 | ) | | | (0.07 | ) | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.33 | ) |
| | | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.31 | ) | | | (0.21 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.40 | | | $ | 9.69 | | | $ | 9.44 | | | $ | 8.84 | | | $ | 9.31 | |
| | | | | | |
| | Total return(c) | | | 6.09 | % | | | 3.29 | % | | | 10.36 | % | | | (2.80 | )% | | | 6.93 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 57,882 | | | $ | 61,642 | | | $ | 80,596 | | | $ | 65,635 | | | $ | 52,427 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.04 | % | | | 0.96 | % | | | 0.97 | % | | | 1.00 | % | | | 1.03 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.09 | % | | | 1.11 | % | | | 1.11 | % | | | 1.26 | % | | | 1.61 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.10 | )% | | | (0.10 | )% | | | 1.08 | % | | | 0.73 | % | | | (0.04 | )% |
| | | | | | |
| | Portfolio turnover rate(d) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % | | | 76 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.84 | | | $ | 8.69 | | | $ | 8.14 | | | $ | 8.61 | | | $ | 8.43 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.08 | ) | | | (0.07 | ) | | | 0.03 | | | | — | (b) | | | (0.07 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.54 | | | | 0.28 | | | | 0.75 | | | | (0.31 | ) | | | 0.58 | |
| | | | | | |
| | Total from investment operations | | | 0.46 | | | | 0.21 | | | | 0.78 | | | | (0.31 | ) | | | 0.51 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.01 | ) | | | (0.02 | ) | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.33 | ) |
| | | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.23 | ) | | | (0.16 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 8.43 | | | $ | 8.84 | | | $ | 8.69 | | | $ | 8.14 | | | $ | 8.61 | |
| | | | | | |
| | Total return(c) | | | 5.31 | % | | | 2.43 | % | | | 9.69 | % | | | (3.60 | )% | | | 6.10 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 7,973 | | | $ | 9,638 | | | $ | 15,761 | | | $ | 18,985 | | | $ | 13,718 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.79 | % | | | 1.71 | % | | | 1.72 | % | | | 1.75 | % | | | 1.78 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.84 | % | | | 1.86 | % | | | 1.86 | % | | | 2.00 | % | | | 2.36 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.84 | )% | | | (0.84 | )% | | | 0.34 | % | | | — | %(d) | | | (0.81 | )% |
| | | | | | |
| | Portfolio turnover rate(e) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % | | | 76 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Amount is less than 0.005%. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.03 | | | $ | 9.74 | | | $ | 9.10 | | | $ | 9.58 | | | $ | 9.23 | |
| | | | | | |
| | Net investment income(a) | | | 0.03 | | | | 0.03 | | | | 0.14 | | | | 0.11 | | | | 0.03 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.61 | | | | 0.32 | | | | 0.85 | | | | (0.35 | ) | | | 0.65 | |
| | | | | | |
| | Total from investment operations | | | 0.64 | | | | 0.35 | | | | 0.99 | | | | (0.24 | ) | | | 0.68 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.13 | ) | | | (0.10 | ) | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.33 | ) |
| | | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.35 | ) | | | (0.24 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.80 | | | $ | 10.03 | | | $ | 9.74 | | | $ | 9.10 | | | $ | 9.58 | |
| | | | | | |
| | Total return(c) | | | 6.48 | % | | | 3.60 | % | | | 10.91 | % | | | (2.47 | )% | | | 7.46 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,955,943 | | | $ | 2,928,949 | | | $ | 2,852,690 | | | $ | 2,129,116 | | | $ | 1,510,457 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.68 | % | | | 0.58 | % | | | 0.59 | % | | | 0.61 | % | | | 0.64 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.72 | % | | | 0.73 | % | | | 0.73 | % | | | 0.88 | % | | | 1.21 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.30 | % | | | 0.28 | % | | | 1.46 | % | | | 1.13 | % | | | 0.36 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % | | | 76 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Investor Shares(a) | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.92 | | | $ | 9.64 | | | $ | 9.02 | | | $ | 9.50 | | | $ | 9.17 | |
| | | | | | |
| | Net investment income(b) | | | 0.02 | | | | 0.02 | | | | 0.13 | | | | 0.10 | | | | 0.03 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.60 | | | | 0.32 | | | | 0.83 | | | | (0.35 | ) | | | 0.63 | |
| | | | | | |
| | Total from investment operations | | | 0.62 | | | | 0.34 | | | | 0.96 | | | | (0.25 | ) | | | 0.66 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.12 | ) | | | (0.09 | ) | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.33 | ) |
| | | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.34 | ) | | | (0.23 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.67 | | | $ | 9.92 | | | $ | 9.64 | | | $ | 9.02 | | | $ | 9.50 | |
| | | | | | |
| | Total return(c) | | | 6.35 | % | | | 3.54 | % | | | 10.66 | % | | | (2.58 | )% | | | 7.25 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 243,761 | | | $ | 246,694 | | | $ | 370,779 | | | $ | 254,436 | | | $ | 93,650 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.79 | % | | | 0.71 | % | | | 0.72 | % | | | 0.75 | % | | | 0.78 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.84 | % | | | 0.86 | % | | | 0.87 | % | | | 0.98 | % | | | 1.35 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.16 | % | | | 0.16 | % | | | 1.33 | % | | | 1.08 | % | | | 0.28 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % | | | 76 | % |
| | (a) | | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.02 | | | $ | 9.72 | | | $ | 9.09 | | | $ | 9.57 | | | $ | 9.23 | |
| | | | | | |
| | Net investment income(a) | | | 0.05 | | | | 0.03 | | | | 0.14 | | | | 0.12 | | | | 0.04 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.58 | | | | 0.33 | | | | 0.84 | | | | (0.36 | ) | | | 0.63 | |
| | | | | | |
| | Total from investment operations | | | 0.63 | | | | 0.36 | | | | 0.98 | | | | (0.24 | ) | | | 0.67 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.13 | ) | | | (0.10 | ) | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.33 | ) |
| | | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.35 | ) | | | (0.24 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.78 | | | $ | 10.02 | | | $ | 9.72 | | | $ | 9.09 | | | $ | 9.57 | |
| | | | | | |
| | Total return(c) | | | 6.38 | % | | | 3.71 | % | | | 10.82 | % | | | (2.46 | )% | | | 7.36 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 153,588 | | | $ | 9,353 | | | $ | 9,284 | | | $ | 6,030 | | | $ | 2,226 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.66 | % | | | 0.57 | % | | | 0.58 | % | | | 0.60 | % | | | 0.62 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.70 | % | | | 0.72 | % | | | 0.72 | % | | | 0.84 | % | | | 1.19 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.51 | % | | | 0.29 | % | | | 1.47 | % | | | 1.20 | % | | | 0.39 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % | | | 76 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 49 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.40 | | | $ | 9.18 | | | $ | 8.61 | | | $ | 9.08 | | | $ | 8.82 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.03 | ) | | | (0.03 | ) | | | 0.08 | | | | 0.04 | | | | (0.03 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.56 | | | | 0.31 | | | | 0.78 | | | | (0.33 | ) | | | 0.62 | |
| | | | | | |
| | Total from investment operations | | | 0.53 | | | | 0.28 | | | | 0.86 | | | | (0.29 | ) | | | 0.59 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.07 | ) | | | (0.04 | ) | | | — | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) | | | (0.33 | ) |
| | | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.29 | ) | | | (0.18 | ) | | | (0.33 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 9.06 | | | $ | 9.40 | | | $ | 9.18 | | | $ | 8.61 | | | $ | 9.08 | |
| | | | | | |
| | Total return(b) | | | 5.73 | % | | | 3.06 | % | | | 10.06 | % | | | (3.13 | )% | | | 6.74 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 1,536 | | | $ | 1,562 | | | $ | 2,347 | | | $ | 1,954 | | | $ | 2,150 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.29 | % | | | 1.21 | % | | | 1.22 | % | | | 1.25 | % | | | 1.28 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.34 | % | | | 1.36 | % | | | 1.37 | % | | | 1.53 | % | | | 1.86 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.33 | )% | | | (0.35 | )% | | | 0.83 | % | | | 0.45 | % | | | (0.31 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % | | | 76 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 50 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | April 17, 2018*
to
December 31, 2018 | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | |
| | | | | |
| | Net asset value, beginning of period | | $ | 10.02 | | | $ | 9.73 | | | $ | 9.09 | | | $ | 9.64 | |
| | | | | |
| | Net investment income(a) | | | 0.03 | | | | 0.03 | | | | 0.14 | | | | 0.10 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.61 | | | | 0.32 | | | | 0.85 | | | | (0.41 | ) |
| | | | | |
| | Total from investment operations | | | 0.64 | | | | 0.35 | | | | 0.99 | | | | (0.31 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.01 | ) | | | (0.13 | ) | | | (0.10 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.87 | ) | | | (0.05 | ) | | | (0.22 | ) | | | (0.14 | ) |
| | | | | |
| | Total distributions | | | (0.87 | ) | | | (0.06 | ) | | | (0.35 | ) | | | (0.24 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 9.79 | | | $ | 10.02 | | | $ | 9.73 | | | $ | 9.09 | |
| | | | | |
| | Total return(b) | | | 6.48 | % | | | 3.61 | % | | | 10.93 | % | | | (3.17 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 245,233 | | | $ | 211,794 | | | $ | 219,701 | | | $ | 152,975 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.66 | % | | | 0.57 | % | | | 0.58 | % | | | 0.59 | %(c) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.71 | % | | | 0.72 | % | | | 0.72 | % | | | 0.74 | %(c) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 0.33 | % | | | 0.29 | % | | | 1.48 | % | | | 1.41 | %(c) |
| | | | | |
| | Portfolio turnover rate(d) | | | 133 | % | | | 193 | % | | | 127 | % | | | 137 | % |
| | * | | Commencement of operations. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (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. | | 51 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.73 | | | $ | 7.97 | | | $ | 7.92 | | | $ | 8.91 | | | $ | 10.01 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.09 | ) | | | (0.06 | ) | | | 0.05 | | | | 0.03 | | | | (0.01 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (0.12 | ) | | | (0.68 | ) | | | — | (b) | | | (0.58 | ) | | | 1.40 | |
| | | | | | |
| | Total from investment operations | | | (0.21 | ) | | | (0.74 | ) | | | 0.05 | | | | (0.55 | ) | | | 1.39 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.50 | ) | | | — | | | | — | | | | (0.17 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) | | | (2.32 | ) |
| | | | | | |
| | Total distributions | | | — | | | | (0.50 | ) | | | — | | | | (0.44 | ) | | | (2.49 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.52 | | | $ | 6.73 | | | $ | 7.97 | | | $ | 7.92 | | | $ | 8.91 | |
| | | | | | |
| | Total return(c) | | | (3.12 | )% | | | (9.23 | )% | | | 0.63 | % | | | (6.18 | )% | | | 14.17 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 5,263 | | | $ | 5,642 | | | $ | 8,047 | | | $ | 9,166 | | | $ | 13,886 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.29 | % | | | 1.19 | % | | | 1.13 | % | | | 1.13 | % | | | 1.12 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.44 | % | | | 2.46 | % | | | 1.95 | % | | | 1.64 | % | | | 1.51 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.33 | )% | | | (0.83 | )% | | | 0.60 | % | | | 0.34 | % | | | (0.10 | )% |
| | | | | | |
| | Portfolio turnover rate(d) | | | — | % | | | — | % | | | — | % | | | — | % | | | 349 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.33 | | | $ | 7.34 | | | $ | 7.35 | | | $ | 8.36 | | | $ | 9.55 | |
| | | | | | |
| | Net investment loss(a) | | | (0.13 | ) | | | (0.11 | ) | | | (0.01 | ) | | | (0.03 | ) | | | (0.08 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (0.12 | ) | | | (0.61 | ) | | | — | (b) | | | (0.54 | ) | | | 1.32 | |
| | | | | | |
| | Total from investment operations | | | (0.25 | ) | | | (0.72 | ) | | | (0.01 | ) | | | (0.57 | ) | | | 1.24 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.29 | ) | | | — | | | | — | | | | (0.11 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) | | | (2.32 | ) |
| | | | | | |
| | Total distributions | | | — | | | | (0.29 | ) | | | — | | | | (0.44 | ) | | | (2.43 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.08 | | | $ | 6.33 | | | $ | 7.34 | | | $ | 7.35 | | | $ | 8.36 | |
| | | | | | |
| | Total return(c) | | | (3.79 | )% | | | (9.82 | )% | | | (0.14 | )% | | | (6.93 | )% | | | 13.37 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 268 | | | $ | 1,888 | | | $ | 4,335 | | | $ | 8,547 | | | $ | 15,239 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.03 | % | | | 1.94 | % | | | 1.89 | % | | | 1.88 | % | | | 1.87 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 3.29 | % | | | 3.19 | % | | | 2.67 | % | | | 2.39 | % | | | 2.27 | % |
| | | | | | |
| | Ratio of net investment loss to average net assets | | | (2.07 | )% | | | (1.54 | )% | | | (0.11 | )% | | | (0.41 | )% | | | (0.84 | )% |
| | | | | | |
| | Portfolio turnover rate(d) | | | — | % | | | — | % | | | — | % | | | — | % | | | 349 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.93 | | | $ | 8.20 | | | $ | 8.11 | | | $ | 9.07 | | | $ | 10.15 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.07 | ) | | | (0.03 | ) | | | 0.08 | | | | 0.05 | | | | 0.04 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (0.12 | ) | | | (0.70 | ) | | | 0.01 | | | | (0.57 | ) | | | 1.41 | |
| | | | | | |
| | Total from investment operations | | | (0.19 | ) | | | (0.73 | ) | | | 0.09 | | | | (0.52 | ) | | | 1.45 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.54 | ) | | | — | | | | — | | | | (0.21 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) | | | (2.32 | ) |
| | | | | | |
| | Total distributions | | | — | | | | (0.54 | ) | | | — | | | | (0.44 | ) | | | (2.53 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.74 | | | $ | 6.93 | | | $ | 8.20 | | | $ | 8.11 | | | $ | 9.07 | |
| | | | | | |
| | Total return(b) | | | (2.74 | )% | | | (8.89 | )% | | | 1.11 | % | | | (5.74 | )% | | | 14.59 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 3,074 | | | $ | 4,620 | | | $ | 13,006 | | | $ | 32,924 | | | $ | 114,953 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.92 | % | | | 0.81 | % | | | 0.77 | % | | | 0.73 | % | | | 0.73 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.08 | % | | | 2.06 | % | | | 1.51 | % | | | 1.27 | % | | | 1.09 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.96 | )% | | | (0.43 | )% | | | 1.02 | % | | | 0.52 | % | | | 0.36 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | 349 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 54 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Investor Shares(a) | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.89 | | | $ | 8.12 | | | $ | 8.04 | | | $ | 9.02 | | | $ | 10.11 | |
| | | | | | |
| | Net investment income (loss)(b) | | | (0.07 | ) | | | (0.04 | ) | | | 0.07 | | | | 0.05 | | | | 0.02 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (0.13 | ) | | | (0.69 | ) | | | 0.01 | | | | (0.59 | ) | | | 1.41 | |
| | | | | | |
| | Total from investment operations | | | (0.20 | ) | | | (0.73 | ) | | | 0.08 | | | | (0.54 | ) | | | 1.43 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.50 | ) | | | — | | | | — | | | | (0.20 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) | | | (2.32 | ) |
| | | | | | |
| | Total distributions | | | — | | | | (0.50 | ) | | | — | | | | (0.44 | ) | | | (2.52 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.69 | | | $ | 6.89 | | | $ | 8.12 | | | $ | 8.04 | | | $ | 9.02 | |
| | | | | | |
| | Total return(c) | | | (2.90 | )% | | | (8.97 | )% | | | 1.00 | % | | | (5.99 | )% | | | 14.47 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 1,639 | | | $ | 2,096 | | | $ | 3,911 | | | $ | 9,092 | | | $ | 8,910 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.04 | % | | | 0.93 | % | | | 0.88 | % | | | 0.88 | % | | | 0.86 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.19 | % | | | 2.19 | % | | | 1.66 | % | | | 1.39 | % | | | 1.28 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.08 | )% | | | (0.52 | )% | | | 0.91 | % | | | 0.61 | % | | | 0.20 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | — | % | | | — | % | | | — | % | | | — | % | | | 349 | % |
| | (a) | | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 55 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.90 | | | $ | 8.17 | | | $ | 8.09 | | | $ | 9.05 | | | $ | 10.15 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.06 | ) | | | (0.04 | ) | | | 0.09 | | | | 0.07 | | | | 0.02 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (0.13 | ) | | | (0.69 | ) | | | (0.01 | ) | | | (0.59 | ) | | | 1.42 | |
| | | | | | |
| | Total from investment operations | | | (0.19 | ) | | | (0.73 | ) | | | 0.08 | | | | (0.52 | ) | | | 1.44 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.54 | ) | | | — | | | | — | | | | (0.22 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) | | | (2.32 | ) |
| | | | | | |
| | Total distributions | | | — | | | | (0.54 | ) | | | — | | | | (0.44 | ) | | | (2.54 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.71 | | | $ | 6.90 | | | $ | 8.17 | | | $ | 8.09 | | | $ | 9.05 | |
| | | | | | |
| | Total return(b) | | | (2.61 | )% | | | (8.88 | )% | | | 0.99 | % | | | (5.75 | )% | | | 14.48 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 28,496 | | | $ | 19,963 | | | $ | 22,670 | | | $ | 50,199 | | | $ | 3,074 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.91 | % | | | 0.81 | % | | | 0.74 | % | | | 0.72 | % | | | 0.72 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.03 | % | | | 2.08 | % | | | 1.52 | % | | | 1.24 | % | | | 1.27 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.95 | )% | | | (0.46 | )% | | | 1.05 | % | | | 0.82 | % | | | 0.22 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | % | | | — | % | | | — | % | | | — | % | | | 349 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 56 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.68 | | | $ | 7.78 | | | $ | 7.75 | | | $ | 8.75 | | | $ | 9.89 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.10 | ) | | | (0.08 | ) | | | 0.03 | | | | 0.01 | | | | (0.03 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (0.12 | ) | | | (0.66 | ) | | | — | (b) | | | (0.57 | ) | | | 1.37 | |
| | | | | | |
| | Total from investment operations | | | (0.22 | ) | | | (0.74 | ) | | | 0.03 | | | | (0.56 | ) | | | 1.34 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.36 | ) | | | — | | | | — | | | | (0.16 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) | | | (2.32 | ) |
| | | | | | |
| | Total distributions | | | — | | | | (0.36 | ) | | | — | | | | (0.44 | ) | | | (2.48 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.46 | | | $ | 6.68 | | | $ | 7.78 | | | $ | 7.75 | | | $ | 8.75 | |
| | | | | | |
| | Total return(c) | | | (3.29 | )% | | | (9.53 | )% | | | 0.39 | % | | | (6.40 | )% | | | 13.89 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 11 | | | $ | 24 | | | $ | 53 | | | $ | 13 | | | $ | 13 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.54 | % | | | 1.46 | % | | | 1.36 | % | | | 1.38 | % | | | 1.36 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.69 | % | | | 2.71 | % | | | 2.16 | % | | | 1.88 | % | | | 1.77 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (1.58 | )% | | | (1.10 | )% | | | 0.42 | % | | | 0.11 | % | | | (0.33 | )% |
| | | | | | |
| | Portfolio turnover rate(d) | | | — | % | | | — | % | | | — | % | | | — | % | | | 349 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 57 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Alternative Premia Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | April 18, 2018*
to
December 31, 2018 | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | |
| | | | | |
| | Net asset value, beginning of period | | $ | 6.91 | | | $ | 8.19 | | | $ | 8.10 | | | $ | 8.85 | |
| | | | | |
| | Net investment income (loss)(a) | | | (0.07 | ) | | | (0.04 | ) | | | 0.08 | | | | 0.05 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | (0.12 | ) | | | (0.70 | ) | | | 0.01 | | | | (0.36 | ) |
| | | | | |
| | Total from investment operations | | | (0.19 | ) | | | (0.74 | ) | | | 0.09 | | | | (0.31 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | — | | | | (0.54 | ) | | | — | | | | — | |
| | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | — | | | | — | | | | (0.44 | ) |
| | | | | |
| | Total distributions | | | — | | | | (0.54 | ) | | | — | | | | (0.44 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 6.72 | | | $ | 6.91 | | | $ | 8.19 | | | $ | 8.10 | |
| | | | | |
| | Total return(b) | | | (2.60 | )% | | | (8.95 | )% | | | 1.11 | % | | | (3.51 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 11 | | | $ | 12 | | | $ | 13 | | | $ | 13 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.90 | % | | | 0.80 | % | | | 0.74 | % | | | 0.77 | %(c) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 2.06 | % | | | 2.08 | % | | | 1.56 | % | | | 1.36 | %(c) |
| | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.95 | )% | | | (0.46 | )% | | | 0.99 | % | | | 0.83 | %(c) |
| | | | | |
| | Portfolio turnover rate(d) | | | — | % | | | — | % | | | — | % | | | — | % |
| | * | | Commencement of operations. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 58 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 |
Absolute Return Tracker and Alternative Premia | | A, C, Institutional, Investor, R6, R and P | | Diversified |
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 Funds pursuant to management agreements (the “Agreements”) with the Trust.
|
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Basis of Consolidation for the Absolute Return Tracker and Alternative Premia Funds — Cayman Commodity-ART, LLC., and Cayman Commodity-AP, LLC., (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Absolute Return Tracker and Alternative Premia Funds, respectively. The Subsidiaries act as investment vehicles for the Funds to enable the Funds to gain exposure to certain types of commodity-linked derivative instruments. The Funds are the sole shareholders of the Subsidiaries, and it is intended that each Fund will remain the sole shareholder and will continue to control its respective Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.
As of December 31, 2021, the Fund and Subsidiary net assets were as follows:
| | | | | | | | | | | | | | |
| Fund | | | | Fund Net Assets | | | Subsidiary Net Assets | | | % Represented by
Subsidiary’s Net Assets | |
Absolute Return Tracker | | | | $ | 3,665,916,019 | | | $ | 98,487,783 | | | | 3 | % |
Alternative Premia | | | | | 38,761,157 | | | | 6,369,596 | | | | 16 | |
B. Investment Valuation — The Funds’ 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 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 United
59
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated 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.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
E. 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 |
Absolute Return Tracker and Alternative Premia | | | | Annually | | Annually |
The Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to increase their taxable income by their share of their Subsidiaries’ income. Net losses of a Subsidiary cannot be deducted by the Funds 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 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 Consolidated Statements 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 a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or
60
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 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 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.
61
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 Consolidated Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty
62
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
(“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.
A total return swap is an agreement that gives a 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, a 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 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.
63
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
| | | |
| ABSOLUTE RETURN TRACKER | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Africa | | $ | 34,406 | | | $ | 584,612 | | | $ | — | |
| | | |
Asia | | | 2,192,829 | | | | 28,954,542 | | | | — | |
| | | |
Australia and Oceania | | | — | | | | 430,842 | | | | — | |
| | | |
Europe | | | 4,650,579 | | | | 149,708,821 | | | | — | |
| | | |
North America | | | 1,281,100,857 | | | | 1,675,745 | | | | — | |
| | | |
South America | | | — | | | | 49,517 | | | | — | |
| | | |
Exchange Traded Funds | | | 741,929,021 | | | | — | | | | — | |
| | | |
Investment Company | | | 1,174,228,909 | | | | — | | | | — | |
| | | |
| Total | | $ | 3,204,136,601 | | | $ | 181,404,079 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | 693,982 | | | $ | — | |
| | | |
Futures Contracts(b) | | | 17,334,750 | | | | — | | | | — | |
| | | |
Credit Default Swap Contracts(b) | | | — | | | | 1,510,430 | | | | — | |
| | | |
Total Return Swap Contracts(b) | | | — | | | | 4,004,558 | | | | — | |
| | | |
Purchased Options Contracts | | | 477,523 | | | | — | | | | — | |
| | | |
| Total | | $ | 17,812,273 | | | $ | 6,208,970 | | | $ | — | |
| | | |
| Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (4,876,622 | ) | | $ | — | |
| | | |
Futures Contracts(b) | | | (14,636,368 | ) | | | — | | | | — | |
| | | |
Total Return Swap Contracts(b) | | | — | | | | (8,985,678 | ) | | | — | |
| | | |
Written Options Contracts | | | (166,030 | ) | | | — | | | | — | |
| | | |
| Total | | $ | (14,802,398 | ) | | $ | (13,862,300 | ) | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent third party (fair value) service for certain international equity securities, resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at fiscal year end. |
64
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| ALTERNATIVE PREMIA | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Investment Company | | $ | 25,374,069 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 169,146 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 3,927,390 | | | | — | | | | — | |
| | | |
Credit Default Swap Contracts(a) | | | — | | | | 4,617 | | | | — | |
| | | |
Total Return Swap Contracts(a) | | | — | | | | 69,546 | | | | — | |
| | | |
Purchased Options Contracts | | | 259,400 | | | | — | | | | — | |
| | | |
| Total | | $ | 4,186,790 | | | $ | 243,309 | | | $ | — | |
| | | |
| Liabilities(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (116,801 | ) | | $ | — | |
| | | |
Futures Contracts | | | (2,954,942 | ) | | | — | | | | — | |
| | | |
Total Return Swap Contracts | | | — | | | | (21,311 | ) | | | — | |
| | | |
| Total | | $ | (2,954,942 | ) | | $ | (138,112 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Consolidated Schedules of Investments.
65
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| | | | | | | | | | | | |
| | | |
| ABSOLUTE RETURN TRACKER | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets
and Liabilities | | Assets | | | Consolidated Statements of Assets
and Liabilities | | Liabilities | |
Commodity | | Variation margin on futures contracts | | $ | 5,518,559 | (a) | | Variation margin on futures contracts | | $ | (4,206,250) | (a) |
Credit | | Variation margin on swap contracts | | | 1,510,430 | (a) | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 693,982 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (4,876,622) | |
Equity | | Receivable for unrealized gain on swap contracts, Purchased options at value and variation margin on futures contracts | | | 13,852,279 | (a) | | Payable for unrealized loss on swap contracts, Written options at value and variation margin on futures contracts | | | (17,170,567) | (a)(b) |
Interest Rate | | Variation margin on futures contracts | | | 2,445,993 | (a) | | Variation margin on futures contracts | | | (2,411,259) | (a) |
| Total | | | | $ | 24,021,243 | | | | | $ | (28,664,698) | |
| | | |
| ALTERNATIVE PREMIA | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets
and Liabilities | | Assets(a) | | | Consolidated Statements of Assets
and Liabilities | | Liabilities(a) | |
Commodity | | Variation margin on futures contracts | | $ | 3,133,333 | | | Variation margin on futures contracts | | $ | (2,821,061) | |
Credit | | Variation margin on swap contracts | | | 4,617 | | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts and variation margin on futures contracts | | | 241,912 | | | Payable for unrealized loss on forward foreign currency exchange contracts and variation margin on futures contracts | | | (182,916) | |
Equity | | Receivable for unrealized gain on swap contracts, Purchased options at value and variation margin on futures contracts | | | 535,569 | | | Payable for unrealized loss on swap contracts and variation margin on futures contracts | | | (30,005) | (b) |
Interest Rate | | Variation margin on futures contracts | | | 514,668 | | | Variation margin on futures contracts | | | (59,072) | |
| Total | | | | $ | 4,430,099 | | | | | $ | (3,093,054) | |
| (a) | | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Consolidated Schedules of Investments. Only the variation margin as of December 31, 2021, is reported within the Consolidated Statements of Assets and Liabilities. |
| (b) | | Aggregate of amounts include $8,985,678 and $21,311 for the Absolute Return Tracker and Alternative Premia Funds, respectively, which represent 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 amounts do not include incremental charges directly associated with the close-out of the agreements. They also do 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. |
66
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statements of Operations:
| | | | | | | | | | |
| | |
| ABSOLUTE RETURN TRACKER | | | | | | | | |
| Risk | | Consolidated Statements of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| Commodity | | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | | $ | 3,248,952 | | | $ | (1,158,219 | ) |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 27,393,806 | | | | (14,942,632 | ) |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 2,114,752 | | | | (5,581,554 | ) |
| Equity | | Net realized gain (loss) from futures contracts, purchased options, swap contracts and written options/Net change in unrealized gain (loss) on futures contracts, purchased options, swap contracts and written options | | | 1,228,284 | | | | (6,743,234 | ) |
| Interest rate | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (13,093,418 | ) | | | (1,146,481 | ) |
| Total | | | | $ | 20,892,376 | | | $ | (29,572,120 | ) |
| | |
| ALTERNATIVE PREMIA | | | | | | | | |
| Risk | | Consolidated Statements of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| Commodity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | $ | 227,624 | | | $ | 261,604 | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 26,936 | | | | 1,705 | |
| Currency | | Net realized gain (loss) from futures contracts and forward foreign currency exchange contracts/Net change in unrealized gain (loss) on futures contracts and forward foreign currency exchange contracts | | | 218,301 | | | | 226 | |
| Equity | | Net realized gain (loss) from futures contracts, purchased options and swap contracts/Net change in unrealized gain (loss) on futures contracts, purchased options and swap contracts | | | (745,811 | ) | | | 74,211 | |
| Interest rate | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (758,625 | ) | | | 432,569 | |
| Total | | | | $ | (1,031,575 | ) | | $ | 770,315 | |
67
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Average number of Contracts or Notional Amounts(1) | |
| Fund | | | | Futures
Contracts | | | Forward
Contracts | | | Swap
Agreements | | | Purchased
Options | | | Written
Options | |
Absolute Return Tracker | | | | | 16,066 | | | | $320,955,338 | | | | $1,157,485,308 | | | | 1,532 | | | | 489 | |
Alternative Premia | | | | | 2,540 | | | | 20,323,443 | | | | 138,767,086 | | | | 1,005 | | | | — | |
| (1) | | Amounts disclosed represent average number of contracts for futures contracts, purchased options and written options, notional amounts for forward contracts and swap contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the fiscal year ended December 31, 2021. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2021, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | Effective
Rate | | | Effective Net
Management
Rate^(1) | |
| Fund | | | | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | |
Absolute Return Tracker | | | | | 0.70 | % | | | 0.63 | % | | | 0.60 | % | | | 0.59 | % | | | 0.53 | % | | | 0.64 | % | | | 0.62 | % |
Alternative Premia | | | | | 0.79 | | | | 0.71 | | | | 0.68 | | | | 0.66 | | | | 0.65 | | | | 0.79 | | | | 0.77 | |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
| (1) | | Reflects combined management fees paid to GSAM under the Agreement and the Funds’ Subsidiary Agreements (as defined below) after the waivers. |
GSAM also provides management services to the Subsidiaries 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 each Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of each Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the fiscal year ended December 31, 2021, GSAM waived $214,722 and $29,725 of each Fund’s management fee for the Absolute Return Tracker and Alternative Premia Funds, respectively.
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, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2021, GSAM waived $581,043 and $7,877 of the Absolute Return Tracker and Alternative Premia Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable 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 Funds, as set forth below.
68
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Class C Shares of each applicable 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 Funds, 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 Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
Absolute Return Tracker | | | | $ | 6,842 | | | $ | — | |
Alternative Premia | | | | | 59 | | | | — | |
D. Service Plan — The Trust, on behalf of each applicable 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 Funds.
E. 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: 0.16% 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.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Absolute Return Tracker and Alternative Premia Funds are 0.014% and 0.114%, respectively. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Subsidiaries also pay certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit each Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Absolute Return Tracker and Alternative Premia Funds. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
69
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Other
Expense
Reimbursement | | | Total
Expense
Reductions | |
Absolute Return Tracker | | | | $ | 795,765 | | | $ | 894,699 | | | $ | 1,690,464 | |
Alternative Premia | | | | | 37,602 | | | | 371,739 | | | | 409,341 | |
G. Line of Credit Facility — As of December 31, 2021, the Funds participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2021, the Funds did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | | Beginning
Value as of
December 31,
2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31,
2021 | | | Shares as of
December 31,
2021 | | | Dividend
Income | |
Absolute Return Tracker | | | | | | $ | 1,902,588,303 | | | $ | 1,975,579,182 | | | $ | (2,703,938,576 | ) | | $ | 1,174,228,909 | | | | 1,174,228,909 | | | $ | 437,627 | |
Alternative Premia | | | | | | | 24,297,724 | | | | 54,810,138 | | | | (53,733,793 | ) | | | 25,374,069 | | | | 25,374,069 | | | | 14,023 | |
As of December 31, 2021, the following Goldman Sachs Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | | | | | | | | | |
| Fund | | | | Goldman Sachs
Balanced Strategy
Portfolio | | | Goldman Sachs
Growth and Income
Strategy Portfolio | | | Goldman Sachs
Multi-Strategy
Alternative
Portfolio | |
Alternative Premia | | | | | 32 | % | | | 34 | % | | | 7 | % |
As of December 31, 2021, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
| | | | | | | | | | |
| Fund | | | | Class R | | | Class P | |
Alternative Premia | | | | | 100 | % | | | 79 | % |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2021, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Absolute Return Tracker | | | | $ | 3,070,198,687 | | | $ | 2,412,752,648 | |
70
GOLDMAN SACHS ALTERNATIVE FUNDS III
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Absolute Return Tracker 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 Consolidated Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Absolute Return Tracker 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 December 31, 2021, are disclosed as “Payable upon return of securities loaned” on the Consolidated Statements of Assets and Liabilities, where applicable. The Absolute Return Tracker Fund did not have securities on loan as of December 31, 2021.
Both the Absolute Return Tracker Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2021, are reported under Investment Income on the Consolidated Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | |
| | | | | For the fiscal year ended December 31, 2021 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amount Received
by the Fund
from Lending to
Goldman Sachs | |
Absolute Return Tracker | | | | $ | 15,418 | | | $ | 12,716 | |
71
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 7. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Beginning
Value as of
December 31, 2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31, 2021 | |
Absolute Return Tracker | | | | $ | 2,117,550 | | | $ | 1,126,725,930 | | | $ | (1,128,843,480 | ) | | $ | — | |
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | | | | | |
| | | Absolute
Return
Tracker | | | Alternative
Premia | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 265,586,901 | | | $ | — | |
Net long-term capital gains | | | 45,471,212 | | | | — | |
Total taxable distributions | | $ | 311,058,113 | | | $ | — | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | | | | | |
| | | Absolute
Return
Tracker | | | Alternative
Premia | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 19,121,267 | | | $ | 2,426,777 | |
Net long-term capital gains | | | 1,892,748 | | | | — | |
Total taxable distributions | | $ | 21,014,015 | | | $ | 2,426,777 | |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | | | | | |
| | | Absolute
Return Tracker | | | Alternative
Premia | |
Undistributed ordinary income— net | | $ | 42,599,530 | | | $ | — | |
Undistributed long-term capital gains | | | — | | | | — | |
Total undistributed earnings | | $ | 42,599,530 | | | $ | — | |
Capital loss carryforwards:(1) | | | | | | | | |
Perpetual Short-term | | $ | — | | | $ | (2,703,242 | ) |
Perpetual Long-term | | | — | | | | (78,691 | ) |
Total capital loss carryforwards | | $ | — | | | $ | (2,781,933 | ) |
Timing differences (Post October Loss Deferral, Qualified Late year Loss Deferral, Real Estate Investment Trusts and Straddle Loss Deferral) | | | (217,008,731 | ) | | | (786,229 | ) |
Unrealized gains — net | | | 259,376,643 | | | | 204,619 | |
Total accumulated gains (losses) — net | | $ | 84,967,442 | | | $ | (3,363,543 | ) |
| (1) | | The Alternative Premia Fund utilized $910,474 of capital losses in the current fiscal year. |
72
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 8. TAX INFORMATION (continued) |
As of December 31, 2021, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Absolute
Return Tracker | | | Alternative
Premia | |
Tax cost | | $ | 3,129,802,007 | | | $ | 26,244,691 | |
Gross unrealized gain | | | 293,795,810 | | | | 3,040,801 | |
Gross unrealized loss | | | (34,419,167 | ) | | | (2,836,182 | ) |
Net unrealized gain | | $ | 259,376,643 | | | $ | 204,619 | |
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, options and foreign currency contracts and differences related to the tax treatment of swap transactions, underlying fund investments and passive foreign investment company investments.
The Absolute Return Tracker Fund reclassified $13,610,176 from paid in capital to distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from elimination entries related to Cayman subsidiary.
The Alternative Premia Fund reclassified $2,361,238 from paid in capital to distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from net operating losses and elimination entries related to Cayman subsidiary.
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.
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 exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time.
73
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 9. OTHER RISKS (continued) |
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.
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. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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
74
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 9. OTHER RISKS (continued) |
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.
Tax Risk — 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. The IRS has issued such PLRs to the Absolute Return Tracker and Alternative Premia Funds. Based on such rulings, these Funds may seek to gain exposure to the commodity markets through investments in commodity-linked notes and/or subsidiaries. The IRS recently issued final regulations that would generally treat the Funds’ 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 Funds’ 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 Funds have limited their investments in commodity index-linked structured notes.
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.
At a meeting held on December 14-15, 2021, upon the recommendation of Goldman Sachs Asset Management, L.P., the Board of Trustees (the “Board”) of the Goldman Sachs Trust (the “Trust”) approved a proposal to liquidate the Goldman Sachs Alternative Premia Fund (the “Fund”), a series of the Trust. After careful consideration of a number of factors, the Board concluded that it is advisable and in the best interest of the Fund and its shareholders to liquidate the Fund. The Fund was liquidated on February 11, 2022 (the “Liquidation Date”), pursuant to a Plan of Liquidation approved by the Board.
Subsequent events after the Consolidated 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.
75
GOLDMAN SACHS ALTERNATIVE FUNDS III
Notes to Financial Statements (continued)
December 31, 2021
|
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Absolute Return Tracker Fund | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,927,446 | | | $ | 19,234,660 | | | | 2,774,357 | | | $ | 25,185,750 | |
Reinvestment of distributions | | | 494,245 | | | | 4,602,567 | | | | 35,723 | | | | 341,674 | |
Shares redeemed | | | (2,625,754 | ) | | | (26,244,707 | ) | | | (4,982,130 | ) | | | (45,622,852 | ) |
| | | | (204,063 | ) | | | (2,407,480 | ) | | | (2,172,050 | ) | | | (20,095,428 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 167,569 | | | | 1,524,989 | | | | 223,442 | | | | 1,841,170 | |
Reinvestment of distributions | | | 78,094 | | | | 653,004 | | | | 6,102 | | | | 53,316 | |
Shares redeemed | | | (390,072 | ) | | | (3,513,618 | ) | | | (953,536 | ) | | | (7,868,021 | ) |
| | | | (144,409 | ) | | | (1,335,625 | ) | | | (723,992 | ) | | | (5,973,535 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 114,858,930 | | | | 1,193,936,702 | | | | 127,122,072 | | | | 1,197,771,733 | |
Reinvestment of distributions | | | 18,372,000 | | | | 178,433,618 | | | | 1,247,946 | | | | 12,357,361 | |
Shares redeemed | | | (123,632,008 | ) | | | (1,276,203,676 | ) | | | (129,284,677 | ) | | | (1,193,182,095 | ) |
| | | | 9,598,922 | | | | 96,166,644 | | | | (914,659 | ) | | | 16,946,999 | |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 17,092,695 | | | | 177,228,853 | | | | 15,229,502 | | | | 142,879,584 | |
Reinvestment of distributions | | | 2,114,494 | | | | 20,261,703 | | | | 154,614 | | | | 1,515,394 | |
Shares redeemed | | | (18,872,158 | ) | | | (195,539,632 | ) | | | (28,969,064 | ) | | | (267,111,009 | ) |
| | | | 335,031 | | | | 1,950,924 | | | | (13,584,948 | ) | | | (122,716,031 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 15,739,920 | | | | 164,822,681 | | | | 292,940 | | | | 2,776,639 | |
Reinvestment of distributions | | | 419,507 | | | | 4,065,972 | | | | 5,700 | | | | 56,384 | |
Shares redeemed | | | (1,394,638 | ) | | | (14,463,977 | ) | | | (319,576 | ) | | | (2,960,447 | ) |
| | | | 14,764,789 | | | | 154,424,676 | | | | (20,936 | ) | | | (127,424 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 59,038 | | | | 577,394 | | | | 34,948 | | | | 307,594 | |
Reinvestment of distributions | | | 14,976 | | | | 134,664 | | | | 1,081 | | | | 10,038 | |
Shares redeemed | | | (70,799 | ) | | | (694,730 | ) | | | (125,366 | ) | | | (1,122,374 | ) |
| | | | 3,215 | | | | 17,328 | | | | (89,337 | ) | | | (804,742 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 5,305,691 | | | | 55,088,161 | | | | 4,299,285 | | | | 40,980,573 | |
Reinvestment of distributions | | | 2,089,220 | | | | 20,270,234 | | | | 129,063 | | | | 1,277,883 | |
Shares redeemed | | | (3,487,133 | ) | | | (35,484,314 | ) | | | (5,876,922 | ) | | | (54,147,725 | ) |
| | | | 3,907,778 | | | | 39,874,081 | | | | (1,448,574 | ) | | | (11,889,269 | ) |
| | | | |
NET INCREASE (DECREASE) | | | 28,261,263 | | | $ | 288,690,548 | | | | (18,954,496 | ) | | $ | (144,659,430 | ) |
76
GOLDMAN SACHS ALTERNATIVE FUNDS III
|
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Alternative Premia Fund | |
| | | | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 236,088 | | | $ | 1,567,998 | | | | 110,964 | | | $ | 827,956 | |
Reinvestment of distributions | | | — | | | | — | | | | 57,228 | | | | 384,570 | |
Shares redeemed | | | (267,386 | ) | | | (1,782,831 | ) | | | (339,135 | ) | | | (2,579,777 | ) |
| | | | (31,298 | ) | | | (214,833 | ) | | | (170,943 | ) | | | (1,367,251 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,221 | | | | 13,938 | | | | 2,828 | | | | 19,634 | |
Reinvestment of distributions | | | — | | | | — | | | | 12,992 | | | | 81,979 | |
Shares redeemed | | | (256,666 | ) | | | (1,600,354 | ) | | | (307,511 | ) | | | (2,163,535 | ) |
| | | | (254,445 | ) | | | (1,586,416 | ) | | | (291,691 | ) | | | (2,061,922 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 43,005 | | | | 297,096 | | | | 74,881 | | | | 601,607 | |
Reinvestment of distributions | | | — | | | | — | | | | 48,559 | | | | 335,547 | |
Shares redeemed | | | (253,746 | ) | | | (1,729,472 | ) | | | (1,043,082 | ) | | | (8,036,220 | ) |
| | | | (210,741 | ) | | | (1,432,376 | ) | | | (919,642 | ) | | | (7,099,066 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 55,463 | | | | 376,278 | | | | 14,245 | | | | 112,109 | |
Reinvestment of distributions | | | — | | | | — | | | | 21,222 | | | | 145,793 | |
Shares redeemed | | | (114,824 | ) | | | (783,748 | ) | | | (212,846 | ) | | | (1,659,229 | ) |
| | | | (59,361 | ) | | | (407,470 | ) | | | (177,379 | ) | | | (1,401,327 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,353,013 | | | | 9,002,564 | | | | 632,947 | | | | 4,920,000 | |
Reinvestment of distributions | | | — | | | | — | | | | 210,733 | | | | 1,451,948 | |
Shares redeemed | | | — | | | | (373 | ) | | | (724,767 | ) | | | (5,645,935 | ) |
| | | | 1,353,013 | | | | 9,002,191 | | | | 118,913 | | | | 726,013 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 5,840 | | | | 43,913 | |
Reinvestment of distributions | | | — | | | | — | | | | 179 | | | | 1,195 | |
Shares redeemed | | | (1,823 | ) | | | (12,160 | ) | | | (9,277 | ) | | | (69,185 | ) |
| | | | (1,823 | ) | | | (12,160 | ) | | | (3,258 | ) | | | (24,077 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | — | | | | — | | | | 130 | | | | 891 | |
Shares redeemed | | | (130 | ) | | | (931 | ) | | | — | | | | — | |
| | | | (130 | ) | | | (931 | ) | | | 130 | | | | 891 | |
| | | | |
NET INCREASE (DECREASE) | | | 795,215 | | | $ | 5,348,005 | | | | (1,443,870 | ) | | $ | (11,226,739 | ) |
77
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Absolute Return Tracker Fund and Goldman Sachs Alternative Premia Fund
Opinions on the Consolidated Financial Statements
We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of Goldman Sachs Absolute Return Tracker Fund and Goldman Sachs Alternative Premia Fund and each of their subsidiaries (two of the Funds constituting Goldman Sachs Trust, referred to hereafter as the “Funds”) as of December 31, 2021, the related consolidated statements of operations for the year ended December 31, 2021, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations for the year then ended, the changes in their net assets for each of the two years in the period ended December 31, 2021 and each of the consolidated financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs Fund complex since 2000.
78
GOLDMAN SACHS ALTERNATIVE FUNDS III
| | |
| | |
| Fund Expenses —Six Month Period Ended December 31, 2021 (Unaudited) | | |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P Shares of a 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 Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Absolute Return Tracker Fund | | | Alternative Premia Fund | |
| Share Class | | Beginning
Account Value
07/01/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 Months
Ended
12/31/21* | | | Beginning
Account Value
07/01/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 Months
Ended
12/31/21* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,010.80 | | | $ | 5.27 | | | $ | 1,000 | | | $ | 951.80 | | | $ | 6.35 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.96 | + | | | 5.30 | | | | 1,000 | | | | 1,018.70 | + | | | 6.56 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,006.40 | | | | 9.05 | | | | 1,000 | | | | 950.10 | | | | 10.03 | |
Hypothetical 5% return | | | 1,000 | | | | 1,016.18 | + | | | 9.10 | | | | 1,000 | | | | 1,014.92 | + | | | 10.36 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,012.30 | | | | 3.40 | | | | 1,000 | | | | 954.70 | | | | 4.53 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.83 | + | | | 3.41 | | | | 1,000 | | | | 1,020.57 | + | | | 4.69 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,011.50 | | | | 4.06 | | | | 1,000 | | | | 954.40 | | | | 5.12 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.17 | + | | | 4.08 | | | | 1,000 | | | | 1,019.96 | + | | | 5.30 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,011.40 | | | | 3.35 | | | | 1,000 | | | | 954.50 | | | | 4.48 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.88 | + | | | 3.36 | | | | 1,000 | | | | 1,020.62 | + | | | 4.63 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,009.00 | | | | 6.53 | | | | 1,000 | | | | 951.40 | | | | 7.62 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.70 | + | | | 6.56 | | | | 1,000 | | | | 1,017.39 | + | | | 7.88 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,011.30 | | | | 3.35 | | | | 1,000 | | | | 954.60 | | | | 4.53 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.88 | + | | | 3.36 | | | | 1,000 | | | | 1,020.57 | + | | | 4.69 | |
| | + | | 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. | |
| | * | | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Absolute Return Tracker | | | 1.04 | % | | | 1.79 | % | | | 0.67 | % | | | 0.80 | % | | | 0.66 | % | | | 1.29 | % | | | 0.66 | % |
| | | | | | | |
Alternative Premia | | | 1.29 | | | | 2.04 | | | | 0.92 | | | | 1.04 | | | | 0.91 | | | | 1.55 | | | | 0.92 | |
79
GOLDMAN SACHS ALTERNATIVE FUNDS III
Trustees and Officers (Unaudited)
Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); Director of MoneyLion Inc. (an operator of a data-driven, digital financial platform (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | | | | | | |
80
GOLDMAN SACHS ALTERNATIVE FUNDS III
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
81
GOLDMAN SACHS ALTERNATIVE FUNDS III
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 38 portfolios (21 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
82
GOLDMAN SACHS ALTERNATIVE FUNDS III
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Position(s) Held with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Alternative Funds — Tax Information (Unaudited)
For the fiscal year ended December 31, 2021, 9.51% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualified for the dividends received deduction available to corporations.
For the fiscal year ended December 31, 2021, 8.00% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualified for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Absolute Return Tracker Fund designates $45,471,212, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2021.
During the fiscal year ended December 31, 2021, the Absolute Return Tracker Fund designate $265,586,901 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
For the year ended December 31, 2021, 0.17% of the dividend paid from net investment company taxable income by the Absolute Return Tracker Fund qualified as section 199A dividends.
83
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 $2.21 trillion in assets under supervision as of December 31, 2021, 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
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund4 |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Real Estate Securities Fund |
| ∎ | | International 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 |
| ∎ | | Clean Energy Income 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. |
| * | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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
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.
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 a 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 Funds will file their 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 December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about 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. 268330-OTU-1559442 SELSAT3AR-22
Goldman Sachs Funds
| | | | |
| | |
| Annual Report | | | | December 31, 2021 |
| | |
| | | | Dynamic Global Equity Fund |
Goldman Sachs Dynamic Global Equity Fund
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Dynamic Global Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Team discusses the Goldman Sachs Dynamic Global Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns of 20.07%, 19.19%, 20.50%, 19.90%, 20.36%, 20.55%, 19.76% and 20.54%, respectively. This compares to the 18.54% annual total return of the Fund’s benchmark, the MSCI All Country World Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | | The capital markets and the Fund were most influenced during the Reporting Period by the distribution of COVID-19 vaccines, improving economic conditions, rising inflation, higher interest rates, and continued fiscal stimulus and accommodative monetary policies from central banks and governments. |
| | | When the Reporting Period began in the first quarter of 2021, global equities added to their 2020 calendar year gains, while spread, or non-government bond, sector performance was largely negative. Rising bond yields and value-led equity markets dominated these months. Two key drivers of performance were continued fiscal stimulus, notably the authorization of $1.9 trillion in additional COVID-19 relief spending in the U.S., and progress in the COVID-19 vaccine rollout. The accelerating rollout of COVID-19 vaccines boosted investors’ hopes of a sustainable reopening of the global economy. To varying degrees, central banks around the world leaned against market expectations for earlier than previously expected policy normalization, indicating their policies would remain accommodative despite improvements in economic growth given weak underlying inflation dynamics. |
| | | During the second calendar quarter, global equities and spread sectors recorded positive returns overall. Discussions during these months centered on the central bank liquidity tailwind, fiscal stimulus, COVID-19 vaccine rollout progress, economic reopening momentum and strong corporate profits. In May, remarkably strong U.S. inflation data, coupled with the release of a disappointing April U.S. jobs report, suggested that pandemic-related dynamics, such as temporary supply shortages, were likely to continue affecting economic data in the near term. This led to a recalibration in investors’ economic growth expectations, though the reassessment may also have reflected their concerns about the spreading Delta variant and the potential of a sooner than anticipated withdrawal of U.S. Federal Reserve (the “Fed”) monetary policy support. Indeed, during June, Fed officials indicated they were mindful of increases in inflation and inflation expectations. |
| | | The third quarter of 2021 was a mixed time for risk assets. Market sentiment was broadly supported by reassuring comments from central bank officials and strong corporate earnings. However, growing concerns about the spread of the more infectious Delta variant in numerous countries and a regulatory crackdown in China led to a large equity sell-off in September. While developed equity markets posted modest gains for the quarter, emerging markets equities were down significantly. In the fixed income markets, spread sectors were challenged by ongoing concerns about the spread of the Delta variant, especially in countries with low levels of vaccination, and by the potential impact of the variant on the global economic recovery. Emerging markets debt was hurt further by worries about potential contagion from a debt crisis at one of China’s largest property developers. |
| | | During the fourth quarter of 2021, global equities broadly advanced, led by double-digit gains in the U.S. equity |
1
PORTFOLIO RESULTS
| | market. Despite a sharp increase in infections from the new Omicron variant and persistent elevated inflation due to a multitude of COVID-19-related factors, U.S. economic growth continued to track well above trend. Meanwhile, corporate earnings consistently surprised to the upside, and U.S consumption of goods and services remained strong into the end of the Reporting Period. In the fixed income markets, spread sector returns were muted. Interest rates were volatile, as investors shifted forward their expectations about the withdrawal of the Fed’s accommodative policies amid a series of upside inflation surprises. Indeed, the Fed’s narrative on inflation shifted from “transitory” to “more persistent” during the fourth calendar quarter. In December, policymakers began to scale back the Fed’s $120 billion a month asset purchase program. They subsequently announced they would accelerate the pace of tapering starting in January 2022 and indicated they might hike interest rates three times in 2022. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund’s performance is generally driven by three sources of return: long-term strategic asset allocation, medium-term dynamic allocation and excess returns from investments in underlying funds, including exchange-traded funds, which invest in global equity asset classes (collectively, the “Underlying Funds”). Long-term strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors. The strategic asset allocation is implemented using a range of bottom-up security selection strategies across equity asset classes, using fundamental or quantitative investment techniques, as well as the use of derivative instruments. We then incorporate our medium-term dynamic views into the Fund in order to react to changes in the economic cycle and the markets. The Fund’s positioning may therefore change over time. |
| | | During the Reporting Period, the Fund generated strong positive absolute returns and outperformed the Index on a relative basis. Long-term strategic asset allocation and security selection within the Underlying Funds added to returns. The impact of our medium-term dynamic views on the Fund’s performance was neutral overall during the Reporting Period. |
| | | Within the long-term strategic allocation, the Fund was helped by its overall allocation to equities, as developed equity markets generated strong gains during the Reporting Period. However, a strategic allocation to emerging markets equities, which recorded negative returns during the Reporting Period, hurt performance, with these results partially offset by effective security selection. The Fund’s strategic allocation to a volatility selling strategy contributed positively to performance. (Our volatility selling strategy seeks to benefit from the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets.) A strategic allocation to a macroeconomic hedge strategy, which utilizes interest rate options to profit if interest rates fall, remain constant, or rise less than anticipated, detracted marginally from the Fund’s returns, as interest rates rose during the Reporting Period. |
| | | Our medium-term dynamic views overall had a rather neutral impact on the Fund’s performance during the Reporting Period. In February 2021, we added a pro-cyclical relative value view using a basket of high-beta stocks with a large-cap focus and diversified sector exposure that we believed would provide the Fund with attractive risk-return characteristics as the U.S. economy continued to recover from the COVID-19 shock. (High beta stocks are those that tend to be more volatile than the broad equity market.) Assets correlated to an economic recovery were likely to outperform, in our opinion. Furthermore, we thought that equities, especially cyclical stocks and small-cap stocks, were poised for a strong multi-year rally, driven by a significant reduction in political uncertainty and an increased probability of faster COVID-19 relief, along with fiscal policy support from the U.S. federal government (i.e., infrastructure spending). Although this pro-cyclical relative view contributed positively to the Fund’s performance during the Reporting Period overall, we paired it with a reduction in the Fund’s position in S&P 500® Index futures, which detracted from returns as U.S. large-cap equities posted gains. |
| | | Overall, security selection within the Underlying Funds added to the Fund’s returns during the Reporting Period, with outperformance concentrated in the Underlying Equity Funds. |
| Q | | How did the Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | | Among Underlying Equity Funds, those that outperformed their respective benchmark indices were the Goldman Sachs Large Cap Growth Insights Fund, the Goldman Sachs Small Cap Equity Insights Fund, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs Large Cap |
2
PORTFOLIO RESULTS
| | Growth Insights Fund and the Goldman Sachs International Small Cap Insights Fund. The performance of the Goldman Sachs ActiveBeta® Large Cap Equity ETF, the Goldman Sachs MarketBetaTM International Equity ETF, the Goldman Sachs ActiveBeta® International Equity ETF, the Goldman Sachs International Equity Insights Fund, the Goldman Sachs MarketBetaTM Emerging Markets Equity ETF and the Goldman Sachs ActiveBeta® Emerging Markets Equity ETF generated rather flat performance versus their respective benchmark indices during the Reporting Period. Among Underlying Funds that invest in real assets, the performance of the Goldman Sachs Global Real Estate Securities Fund relative to its benchmark index was rather flat, while the Goldman Sachs Infrastructure Fund underperformed its benchmark index. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund used derivatives for the passive replication of asset classes. Specifically, the Fund held strategic positions in U.S. large-cap equities through S&P 500® Index futures and in Canadian large-cap equities through S&P/TSX 60 Index futures (each had a positive impact on performance). The Fund also had a strategic position in international equities through MSCI EAFE Index futures (positive impact). |
| | | The Fund employed forward foreign currency exchange contracts within a foreign currency hedging strategy (positive impact), which seeks to manage the risk associated with investing in non-U.S. currencies. In addition, equity options were used within our volatility selling strategy (positive impact). Finally, the Fund utilized interest rate options in a macroeconomic hedge strategy (negative impact). |
| | | During the Reporting Period overall, some of the Underlying Funds used derivatives to apply their active investment views with greater versatility and potentially to afford greater risk management precision. As market conditions warranted during the Reporting Period, some of these Underlying Funds may have engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes. |
| Q | | What changes did you make within the Fund during the Reporting Period? |
| A | | No changes were made to the Fund’s long-term strategic asset allocation during the Reporting Period. |
| | | In terms of medium-term dynamic allocation, we adopted a pro-cyclical relative value view during February 2021 that led the Fund to hold a basket of high-beta stocks with a large-cap focus and diversified sector exposure, which we believed would provide the Fund with attractive risk-return characteristics as the U.S. economy continued to recover from the COVID-19 shock. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Effective May 24, 2021, Christopher Lvoff no longer served as a portfolio manager for the Fund, and Siwen Wu became a portfolio manager for the Fund. At the end of the Reporting Period, Neill Nuttall and Siwen Wu were portfolio managers for the Fund. By design, all investment decisions for the Fund are performed within a team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. |
| Q | | What is the Fund’s tactical view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we noted that market behavior across asset classes appeared to support the notion that the worldwide economy was in a mid-cycle phase. Decisive action and coordination from global policymakers had successfully put many economies back on track after the COVID-19 shock. However, unprecedented levels of liquidity and the “Great Inflation Debate” were likely, in our view, to remain key drivers of macro uncertainty in 2022. Given that price stability had become the Fed’s top policy priority amid labor market improvement in 2021, we expected any Fed action in the near term to be highly data dependent and for uncertainty about that policy to add to overall market volatility. Against this backdrop, we maintained a cautiously positive view of risk assets at the end of the Reporting Period, anticipated choppy markets and continued to believe a dynamic investment approach and careful risk management could help us navigate potentially treacherous market conditions ahead. |
3
FUND BASICS
Dynamic Global Equity Fund
as of December 31, 2021
| | 1 | | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. The percentage shown for each weighting reflects the value of that weighting as a percentage of net assets of the Fund. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
| | 2 | | Generally, dynamic fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of December 31, 2021. Actual underlying fund weighting in the Fund may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
4
FUND BASICS
|
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
|
| Percentage of Net Assets |
| 3 | | The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Fund. Figures in the above 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 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
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Performance Summary
December 31, 2021
The following graph shows the value, as of December 31, 2021, of a $10,000 investment made on January 1, 2012 in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark, the MSCI® All Country World Index (Net, USD, Unhedged) (“MSCI ACWI Index”) (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Dynamic Global Equity Fund’s 10 Year Performance |
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 20.07% | | | | 13.76% | | | 11.81% | | — |
Including sales charges | | | 13.48% | | | | 12.48% | | | 11.17% | | — |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 19.19% | | | | 12.93% | | | 10.98% | | — |
Including contingent deferred sales charges | | | 18.00% | | | | 12.93% | | | 10.98% | | — |
|
Institutional | | | 20.50% | | | | 14.20% | | | 12.24% | | — |
|
Service | | | 19.90% | | | | 13.62% | | | 11.68% | | — |
|
Investor | | | 20.36% | | | | 14.06% | | | 12.09% | | — |
|
Class R6 (Commenced July 31, 2015) | | | 20.55% | | | | 14.23% | | | N/A | | 11.41% |
|
Class R | | | 19.76% | | | | 13.49% | | | 11.52% | | — |
|
Class P (Commenced April 17, 2018) | | | 20.54% | | | | N/A | | | N/A | | 11.68% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
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.
6
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Index Definitions
The MSCI® ACWI Index is a free float-adjusted market Capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI® ACWI Index consists of 50 country indices comprising 23 developed and 25 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices are: 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 the United Arab Emirates. The index figures do not include any deduction for fees or expenses.
MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
S&P/TSX 60 Index is a stock market index of 60 large companies listed on the Toronto Stock Exchange.
It is not possible to invest directly in an unmanaged index.
7
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Underlying Funds(a) – 90.5% | |
| Equity – 32.5% | |
| | 5,180,555 | | | Goldman Sachs International Equity Insights Fund – Class R6 | | $ | 74,599,991 | |
| | 1,891,513 | | | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | | | 68,661,908 | |
| | 2,628,585 | | | Goldman Sachs Large Cap Value Insights Fund – Class R6 | | | 62,718,032 | |
| | 3,258,750 | | | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | | | 31,675,050 | |
| | 719,039 | | | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | | | 20,010,852 | |
| | 1,157,696 | | | Goldman Sachs International Small Cap Insights Fund – Class R6 | | | 16,010,936 | |
| | 1,134,392 | | | Goldman Sachs Global Infrastructure Fund – Class R6 | | | 15,246,231 | |
| | 1,141,403 | | | Goldman Sachs Global Real Estate Securities Fund – Class R6 | | | 14,415,919 | |
| | | | | | | | |
| | | | | | | 303,338,919 | |
| | |
| Exchange Traded Funds – 58.0% | |
| | 2,662,535 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 253,313,580 | |
| | 4,455,305 | | | Goldman Sachs ActiveBeta International Equity ETF | | | 157,138,607 | |
| | 1,675,600 | | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | 62,013,956 | |
| | 685,277 | | | Goldman Sachs MarketBeta International Equity ETF | | | 38,746,384 | |
| | 585,460 | | | Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 29,492,430 | |
| | | | | | | | |
| | | | | | | 540,704,957 | |
| | |
| | TOTAL UNDERLYING FUNDS – 90.5% | |
| | (Cost $639,518,994) | | $ | 844,043,876 | |
| | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company(a) – 5.8% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 54,000,039 | | | 0.026% | | $ | 54,000,039 | |
| | (Cost $54,000,039) | |
| | |
| | TOTAL INVESTMENTS – 96.3% | |
| | (Cost $693,519,033) | | $ | 898,043,915 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.7% | | | 34,405,643 | |
| | |
| | NET ASSETS – 100.0% | | $ | 932,449,558 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
(a) | | Represents an Affiliated issuer. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
CHF | | —Swiss Franc |
DKK | | —Danish Krone |
EUR | | —Euro |
GBP | | —British Pound |
HKD | | —Hong Kong Dollar |
ILS | | —Israeli Shekel |
JPY | | —Japanese Yen |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
SEK | | —Swedish Krona |
SGD | | —Singapore Dollar |
USD | | —U.S. Dollar |
|
Investment Abbreviation: |
ETF | | —Exchange Traded Fund |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
Morgan Stanley & Co. | | USD | | | 14,036,839 | | | JPY | | | 1,585,000,000 | | | | 03/16/22 | | | $ | 248,788 | |
| | USD | | | 1,882,057 | | | SEK | | | 16,950,000 | | | | 03/16/22 | | | | 5,072 | |
| | USD | | | 143,700 | | | NZD | | | 210,000 | | | | 03/16/22 | | | | 49 | |
| | | USD | | | 1,918,564 | | | HKD | | | 14,950,000 | | | | 03/16/22 | | | | 1,035 | |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 254,944 | |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. | | USD | | | 17,431,602 | | | EUR | | | 15,330,000 | | | | 03/16/22 | | | $ | (49,120 | ) |
| | USD | | | 5,219,201 | | | CHF | | | 4,780,000 | | | | 03/16/22 | | | | (37,086 | ) |
| | USD | | | 7,977,928 | | | GBP | | | 5,975,000 | | | | 03/16/22 | | | | (106,800 | ) |
| | USD | | | 3,875,686 | | | AUD | | | 5,410,000 | | | | 03/16/22 | | | | (61,143 | ) |
| | USD | | | 601,706 | | | SGD | | | 820,000 | | | | 03/16/22 | | | | (6,549 | ) |
| | USD | | | 1,297,947 | | | DKK | | | 8,490,000 | | | | 03/16/22 | | | | (3,892 | ) |
| | USD | | | 337,336 | | | NOK | | | 3,050,000 | | | | 03/16/22 | | | | (8,506 | ) |
| | | USD | | | 190,956 | | | ILS | | | 600,000 | | | | 03/16/22 | | | | (2,166 | ) |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (275,262 | ) |
FUTURES CONTRACTS — At December 31, 2021, 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 | | | 423 | | | | 03/18/22 | | | $ | 100,642,275 | | | $ | 2,086,193 | |
Mini MSCI EAFE Index | | | 203 | | | | 03/18/22 | | | | 23,566,270 | | | | 508,099 | |
S&P Toronto Stock Exchange 60 Index | | | 50 | | | | 03/17/22 | | | | 10,126,092 | | | | 172,838 | |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | 2,767,130 | |
SWAP CONTRACTS — At December 31, 2021, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| | | | | | | | | | | | | | |
| Reference Obligation/ Index | | Financing Rate Paid
by the Fund(a) | | Counterparty | | Termination
Date(b) | | Notional
Amount (000s) | | | Unrealized
Appreciation/
(Depreciation)* | |
| | | | | |
MSGSHBC Index(c) | | 3 Month LIBOR+0.050% | | Morgan Stanley & Co. | | 02/09/22 | | $ | 19,641 | | | $ | (24,704 | ) |
| | * | | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
| | (a) | | Payments made quarterly. |
| | (b) | | 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). |
| | (c) | | The top 50 components are shown below. |
A basket (MSGSHBC) of common stocks
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
Alcoa Corp | | Basic Materials | | | (17 | ) | | $ | (999 | ) | | | 4.04 | % |
Freeport-McMoRan Inc | | Basic Materials | | | (19 | ) | | | (793 | ) | | | 3.21 | |
Cleveland-Cliffs Inc | | Basic Materials | | | (35 | ) | | | (765 | ) | | | 3.10 | |
Devon Energy Corp | | Energy | | | (15 | ) | | | (665 | ) | | | 2.69 | |
ON Semiconductor Corp | | Technology | | | (10 | ) | | | (650 | ) | | | 2.63 | |
Advanced Micro Devices Inc | | Technology | | | (4 | ) | | | (636 | ) | | | 2.58 | |
Applied Materials Inc | | Technology | | | (4 | ) | | | (598 | ) | | | 2.42 | |
Marathon Oil Corp | | Energy | | | (35 | ) | | | (575 | ) | | | 2.33 | |
LyondellBasell Industries NV | | Basic Materials | | | (6 | ) | | | (532 | ) | | | 2.15 | |
Delta Air Lines Inc | | Consumer, Cyclical | | | (14 | ) | | | (529 | ) | | | 2.14 | |
Lam Research Corp | | Technology | | | (1 | ) | | | (527 | ) | | | 2.13 | |
United Rentals Inc | | Consumer, Non-cyclical | | | (2 | ) | | | (513 | ) | | | 2.08 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | Value | | | Weight | |
NXP Semiconductors NV | | Technology | | | (2 | ) | | $ | (513 | ) | | | 2.08 | % |
Parker-Hannifin Corp | | Industrial | | | (2 | ) | | | (484 | ) | | | 1.96 | |
Southwest Airlines Co | | Consumer, Cyclical | | | (11 | ) | | | (474 | ) | | | 1.92 | |
Micron Technology Inc | | Technology | | | (5 | ) | | | (466 | ) | | | 1.89 | |
Microchip Technology Inc | | Technology | | | (5 | ) | | | (462 | ) | | | 1.87 | |
General Motors Co | | Consumer, Cyclical | | | (8 | ) | | | (454 | ) | | | 1.84 | |
Stanley Black & Decker Inc | | Industrial | | | (2 | ) | | | (439 | ) | | | 1.78 | |
Aptiv PLC | | Consumer, Cyclical | | | (3 | ) | | | (438 | ) | | | 1.77 | |
Wynn Resorts Ltd | | Consumer, Cyclical | | | (5 | ) | | | (434 | ) | | | 1.76 | |
Marathon Petroleum Corp | | Energy | | | (7 | ) | | | (417 | ) | | | 1.69 | |
Eastman Chemical Co | | Basic Materials | | | (3 | ) | | | (415 | ) | | | 1.68 | |
TE Connectivity Ltd | | Industrial | | | (3 | ) | | | (412 | ) | | | 1.67 | |
Whirlpool Corp | | Consumer, Cyclical | | | (2 | ) | | | (383 | ) | | | 1.55 | |
Occidental Petroleum Corp | | Energy | | | (13 | ) | | | (375 | ) | | | 1.52 | |
Valero Energy Corp | | Energy | | | (5 | ) | | | (359 | ) | | | 1.45 | |
Teradyne Inc | | Technology | | | (2 | ) | | | (356 | ) | | | 1.44 | |
Masco Corp | | Industrial | | | (5 | ) | | | (328 | ) | | | 1.33 | |
TransDigm Group Inc | | Industrial | | | — | | | | (310 | ) | | | 1.26 | |
JetBlue Airways Corp | | Consumer, Cyclical | | | (22 | ) | | | (309 | ) | | | 1.25 | |
Bank of New York Mellon Corp/The | | Financial | | | (5 | ) | | | (305 | ) | | | 1.23 | |
Williams Cos Inc/The | | Energy | | | (11 | ) | | | (295 | ) | | | 1.19 | |
Halliburton Co | | Energy | | | (13 | ) | | | (290 | ) | | | 1.17 | |
MetLife Inc | | Financial | | | (5 | ) | | | (289 | ) | | | 1.17 | |
American International Group Inc | | Financial | | | (5 | ) | | | (279 | ) | | | 1.13 | |
CDW Corp/DE | | Communications | | | (1 | ) | | | (278 | ) | | | 1.13 | |
Wells Fargo & Co | | Financial | | | (6 | ) | | | (277 | ) | | | 1.12 | |
Synchrony Financial | | Financial | | | (6 | ) | | | (268 | ) | | | 1.08 | |
Discover Financial Services | | Financial | | | (2 | ) | | | (247 | ) | | | 1.00 | |
Axalta Coating Systems Ltd | | Basic Materials | | | (7 | ) | | | (245 | ) | | | 0.99 | |
NIKE Inc | | Consumer, Cyclical | | | (1 | ) | | | (243 | ) | | | 0.98 | |
BorgWarner Inc | | Consumer, Cyclical | | | (5 | ) | | | (234 | ) | | | 0.95 | |
Pure Storage Inc | | Technology | | | (7 | ) | | | (227 | ) | | | 0.92 | |
ONEOK Inc | | Energy | | | (4 | ) | | | (223 | ) | | | 0.90 | |
Brunswick Corp/DE | | Consumer, Cyclical | | | (2 | ) | | | (223 | ) | | | 0.90 | |
Westinghouse Air Brake Technologies Corp | | Industrial | | | (2 | ) | | | (218 | ) | | | 0.88 | |
Aramark | | Consumer, Cyclical | | | (6 | ) | | | (218 | ) | | | 0.88 | |
Fortune Brands Home & Security Inc | | Industrial | | | (2 | ) | | | (215 | ) | | | 0.87 | |
Boyd Gaming Corp | | Consumer, Cyclical | | | (3 | ) | | | (213 | ) | | | 0.86 | |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | $97.75 | | | 03/13/2023 | | | | 223 | | | $ | 557,500 | | | $ | 614,643 | | | $ | 808,465 | | | $ | (193,822 | ) |
Eurodollar Futures | | 97.75 | | | 06/19/2023 | | | | 127 | | | | 317,500 | | | | 319,881 | | | | 517,923 | | | | (198,042 | ) |
Eurodollar Futures | | 98.00 | | | 12/19/2022 | | | | 58 | | | | 145,000 | | | | 144,275 | | | | 144,410 | | | | (135 | ) |
Eurodollar Futures | | 98.25 | | | 09/19/2022 | | | | 61 | | | | 152,500 | | | | 147,163 | | | | 145,779 | | | | 1,384 | |
Eurodollar Futures | | 98.75 | | | 12/19/2022 | | | | 161 | | | | 402,500 | | | | 148,926 | | | | 149,299 | | | | (373 | ) |
Eurodollar Futures | | 99.00 | | | 06/13/2022 | | | | 118 | | | | 295,000 | | | | 126,850 | | | | 124,174 | | | | 2,676 | |
Eurodollar Futures | | 99.00 | | | 09/19/2022 | | | | 167 | | | | 417,500 | | | | 126,294 | | | | 127,725 | | | | (1,431 | ) |
Eurodollar Futures | | 99.00 | | | 12/19/2022 | | | | 558 | | | | 1,395,000 | | | | 313,874 | | | | 794,603 | | | | (480,729 | ) |
| | | | | | | |
| TOTAL | | | | | | | | | 1,473 | | | $ | 3,682,500 | | | $ | 1,941,906 | | | $ | 2,812,378 | | | $ | (870,472 | ) |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
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) | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $4,750.00 | | | 01/12/2022 | | | | (9 | ) | | $ | (4,275,000 | ) | | $ | (46,575 | ) | | $ | (26,506 | ) | | $ | (20,069 | ) |
S&P 500 Index | | 4,750.00 | | | 01/19/2022 | | | | (9 | ) | | | (4,275,000 | ) | | | (57,240 | ) | | | (35,887 | ) | | | (21,353 | ) |
S&P 500 Index | | 4,760.00 | | | 01/31/2022 | | | | (3 | ) | | | (1,428,000 | ) | | | (22,860 | ) | | | (20,715 | ) | | | (2,145 | ) |
S&P 500 Index | | 4,785.00 | | | 01/31/2022 | | | | (2 | ) | | | (957,000 | ) | | | (12,100 | ) | | | (8,014 | ) | | | (4,086 | ) |
S&P 500 Index | | 4,800.00 | | | 01/05/2022 | | | | (9 | ) | | | (4,320,000 | ) | | | (8,100 | ) | | | (21,459 | ) | | | 13,359 | |
S&P 500 Index | | 4,830.00 | | | 02/28/2022 | | | | (4 | ) | | | (1,932,000 | ) | | | (28,000 | ) | | | (20,731 | ) | | | (7,269 | ) |
S&P 500 Index | | 4,850.00 | | | 01/31/2022 | | | | (2 | ) | | | (970,000 | ) | | | (5,740 | ) | | | (7,400 | ) | | | 1,660 | |
S&P 500 Index | | 4,860.00 | | | 01/31/2022 | | | | (2 | ) | | | (972,000 | ) | | | (5,019 | ) | | | (8,118 | ) | | | 3,099 | |
S&P 500 Index | | 4,865.00 | | | 01/31/2022 | | | | (8 | ) | | | (3,892,000 | ) | | | (18,801 | ) | | | (23,867 | ) | | | 5,066 | |
S&P 500 Index | | 4,870.00 | | | 01/31/2022 | | | | (9 | ) | | | (4,383,000 | ) | | | (19,710 | ) | | | (24,827 | ) | | | 5,117 | |
S&P 500 Index | | 4,875.00 | | | 01/26/2022 | | | | (9 | ) | | | (4,387,500 | ) | | | (14,490 | ) | | | (22,911 | ) | | | 8,421 | |
S&P 500 Index | | 4,875.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,412,500 | ) | | | (14,315 | ) | | | (17,160 | ) | | | 2,845 | |
S&P 500 Index | | 4,880.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,416,000 | ) | | | (13,335 | ) | | | (16,040 | ) | | | 2,705 | |
S&P 500 Index | | 4,885.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,419,500 | ) | | | (12,425 | ) | | | (14,973 | ) | | | 2,548 | |
S&P 500 Index | | 4,895.00 | | | 02/28/2022 | | | | (1 | ) | | | (489,500 | ) | | | (4,105 | ) | | | (4,659 | ) | | | 554 | |
S&P 500 Index | | 4,940.00 | | | 02/28/2022 | | | | (3 | ) | | | (1,482,000 | ) | | | (8,145 | ) | | | (10,725 | ) | | | 2,580 | |
| | | | | | | | | | (91 | ) | | $ | (44,011,000 | ) | | $ | (290,960 | ) | | $ | (283,992 | ) | | $ | (6,968 | ) |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $4,380.00 | | | 01/31/2022 | | | | (3 | ) | | $ | (1,314,000 | ) | | $ | (3,780 | ) | | $ | (20,611 | ) | | $ | 16,831 | |
S&P 500 Index | | 4,450.00 | | | 02/28/2022 | | | | (2 | ) | | | (890,000 | ) | | | (8,450 | ) | | | (21,755 | ) | | | 13,305 | |
S&P 500 Index | | 4,470.00 | | | 02/28/2022 | | | | (2 | ) | | | (894,000 | ) | | | (8,920 | ) | | | (16,523 | ) | | | 7,603 | |
S&P 500 Index | | 4,490.00 | | | 01/31/2022 | | | | (1 | ) | | | (449,000 | ) | | | (1,925 | ) | | | (8,274 | ) | | | 6,349 | |
S&P 500 Index | | 4,500.00 | | | 02/28/2022 | | | | (1 | ) | | | (450,000 | ) | | | (4,850 | ) | | | (10,131 | ) | | | 5,281 | |
S&P 500 Index | | 4,515.00 | | | 01/31/2022 | | | | (1 | ) | | | (451,500 | ) | | | (2,130 | ) | | | (5,569 | ) | | | 3,439 | |
S&P 500 Index | | 4,525.00 | | | 01/12/2022 | | | | (9 | ) | | | (4,072,500 | ) | | | (3,645 | ) | | | (57,374 | ) | | | 53,729 | |
S&P 500 Index | | 4,530.00 | | | 01/31/2022 | | | | (1 | ) | | | (453,000 | ) | | | (2,270 | ) | | | (9,349 | ) | | | 7,079 | |
S&P 500 Index | | 4,535.00 | | | 01/31/2022 | | | | (2 | ) | | | (907,000 | ) | | | (4,630 | ) | | | (15,306 | ) | | | 10,676 | |
S&P 500 Index | | 4,540.00 | | | 01/19/2022 | | | | (9 | ) | | | (4,086,000 | ) | | | (9,765 | ) | | | (38,636 | ) | | | 28,871 | |
S&P 500 Index | | 4,540.00 | | | 01/31/2022 | | | | (2 | ) | | | (908,000 | ) | | | (4,720 | ) | | | (17,966 | ) | | | 13,246 | |
S&P 500 Index | | 4,555.00 | | | 01/31/2022 | | | | (1 | ) | | | (455,500 | ) | | | (2,520 | ) | | | (8,532 | ) | | | 6,012 | |
S&P 500 Index | | 4,580.00 | | | 01/05/2022 | | | | (9 | ) | | | (4,122,000 | ) | | | (675 | ) | | | (45,378 | ) | | | 44,703 | |
S&P 500 Index | | 4,650.00 | | | 02/28/2022 | | | | (3 | ) | | | (1,395,000 | ) | | | (22,290 | ) | | | (21,918 | ) | | | (372 | ) |
S&P 500 Index | | 4,680.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,276,000 | ) | | | (30,625 | ) | | | (31,375 | ) | | | 750 | |
S&P 500 Index | | 4,685.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,279,500 | ) | | | (31,360 | ) | | | (32,649 | ) | | | 1,289 | |
S&P 500 Index | | 4,690.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,283,000 | ) | | | (32,095 | ) | | | (32,906 | ) | | | 811 | |
S&P 500 Index | | 4,695.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,286,500 | ) | | | (32,865 | ) | | | (33,437 | ) | | | 572 | |
S&P 500 Index | | 4,700.00 | | | 01/26/2022 | | | | (9 | ) | | | (4,230,000 | ) | | | (37,305 | ) | | | (36,112 | ) | | | (1,193 | ) |
S&P 500 Index | | 4,700.00 | | | 01/31/2022 | | | | (7 | ) | | | (3,290,000 | ) | | | (33,635 | ) | | | (34,501 | ) | | | 866 | |
| | | | | | | | | | (90 | ) | | $ | (41,492,500 | ) | | $ | (278,455 | ) | | $ | (498,302 | ) | | $ | 219,847 | |
| | | | | | | |
| TOTAL | | | | | | | | | (181 | ) | | $ | (85,503,500 | ) | | $ | (569,415 | ) | | $ | (782,294 | ) | | $ | 212,879 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Assets and Liabilities
December 31, 2021
| | | | | | |
| | | | | | |
| | Assets: | |
| | Investments in Affiliated Funds, at value (cost $693,519,033) | | $ | 898,043,915 | |
| | Purchased options, at value (premium paid $2,812,378) | | | 1,941,906 | |
| | Cash | | | 18,113,374 | |
| | Foreign currencies, at value (cost $47,535) | | | 56,017 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 254,944 | |
| | Variation margin on futures contracts | | | 396,989 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(a) | | | 14,797,369 | |
| | Due from broker — upfront payment | | | 1,361,608 | |
| | Investments sold | | | 253,465 | |
| | Fund shares sold | | | 117,549 | |
| | Reimbursement from investment adviser | | | 58,019 | |
| | Other assets | | | 64,794 | |
| | Total assets | | | 935,459,949 | |
| | | | | | |
| | Liabilities: | | | | |
| | Unrealized loss on swap contracts | | | 24,704 | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 275,262 | |
| | Written option contracts, at value (premium received $782,294) | | | 569,415 | |
| | Payables: | | | | |
| | Collateral on certain derivative contracts(b) | | | 1,370,000 | |
| | Investments purchased | | | 351,836 | |
| | Management fees | | | 116,370 | |
| | Distribution and Service fees and Transfer Agency fees | | | 96,231 | |
| | Fund shares redeemed | | | 39,101 | |
| | Accrued expenses | | | 167,472 | |
| | Total liabilities | | | 3,010,391 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 721,911,641 | |
| | Total distributable earnings | | | 210,537,917 | |
| | | NET ASSETS | | $ | 932,449,558 | |
| | | Net Assets: | | | | |
| | | Class A | | $ | 185,213,455 | |
| | | Class C | | | 10,309,058 | |
| | | Institutional | | | 19,051,669 | |
| | | Service | | | 310,115 | |
| | | Investor | | | 5,797,431 | |
| | | Class R6 | | | 544,796,371 | |
| | | Class R | | | 6,611,015 | |
| | | Class P | | | 160,360,444 | |
| | | Total Net Assets | | $ | 932,449,558 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | |
| | | Class A | | | 8,123,552 | |
| | | Class C | | | 467,717 | |
| | | Institutional | | | 823,631 | |
| | | Service | | | 13,612 | |
| | | Investor | | | 258,482 | |
| | | Class R6 | | | 23,545,458 | |
| | | Class R | | | 293,003 | |
| | | Class P | | | 6,926,950 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | |
| | | Class A | | | $22.80 | |
| | | Class C | | | 22.04 | |
| | | Institutional | | | 23.13 | |
| | | Service | | | 22.78 | |
| | | Investor | | | 22.43 | |
| | | Class R6 | | | 23.14 | |
| | | Class R | | | 22.56 | |
| | | Class P | | | 23.15 | |
| | (a) | | Includes segregated cash of $5,894,065, $1,030,000 and $7,873,304 relating to initial margin requirements and/or collateral on futures, forwards foreign currency and options transactions, respectively. |
| | (b) | | Segregated for initial margin and/or collateral on swaps. |
| | (c) | | Maximum public offering price per share for Class A Shares is $24.13. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2021
| | | | | | |
| | | | | | |
| | Investment income: | | | | |
| | |
| | Dividends from Affiliated Funds | | $ | 16,374,584 | |
| | | | | | |
| | Expenses: | | | | |
| | |
| | Management fees | | | 1,335,312 | |
| | |
| | Distribution and Service (12b-1) fees(a) | | | 566,921 | |
| | |
| | Transfer Agency fees(a) | | | 523,623 | |
| | |
| | Professional fees | | | 100,285 | |
| | |
| | Registration fees | | | 95,159 | |
| | |
| | Printing and mailing costs | | | 91,852 | |
| | |
| | Custody, accounting and administrative services | | | 90,730 | |
| | |
| | Service fees—Class C | | | 28,463 | |
| | |
| | Trustee fees | | | 20,293 | |
| | |
| | Prime Broker Fees | | | 1,135 | |
| | |
| | Shareholder Administration fees— Service Class | | | 744 | |
| | |
| | Other | | | 12,107 | |
| | |
| | Total expenses | | | 2,866,624 | |
| | |
| | Less — expense reductions | | | (378,264 | ) |
| | |
| | Net expenses | | | 2,488,360 | |
| | |
| | NET INVESTMENT INCOME | | | 13,886,224 | |
| | | | | | |
| | Realized and unrealized gain (loss): | | | | |
| | |
| | Capital gain distributions from Affiliated Funds | | | 41,264,544 | |
| | |
| | Net realized gain (loss) from: | | | | |
| | |
| | Affiliated Funds | | | 7,249,840 | |
| | |
| | Purchased options | | | 419,582 | |
| | |
| | Futures contracts | | | 29,421,539 | |
| | |
| | Written options | | | 4,224,473 | |
| | |
| | Swap contracts | | | 2,145,572 | |
| | |
| | Forward foreign currency exchange contracts | | | 2,944,337 | |
| | |
| | Foreign currency transactions | | | (5,962 | ) |
| | |
| | Net change in unrealized gain (loss) on: | | | | |
| | |
| | Affiliated Funds | | | 63,135,811 | |
| | |
| | Purchased options | | | (1,777,248 | ) |
| | |
| | Futures contracts | | | (122,161 | ) |
| | |
| | Written options | | | 87,549 | |
| | |
| | Swap contracts | | | (24,704 | ) |
| | |
| | Forward foreign currency exchange contracts | | | 820,041 | |
| | |
| | Foreign currency translation | | | 14,363 | |
| | |
| | Net realized and unrealized gain | | | 149,797,576 | |
| | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 163,683,800 | |
| | (a) | | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distribution and/or Service Fees | | | Transfer Agency Fees | |
Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
| $ | 449,633 | | | $ | 85,387 | | | $ | 744 | | | $ | 31,157 | | | $ | 280,066 | | | $ | 17,546 | | | $ | 6,396 | | | $ | 119 | | | $ | 8,499 | | | $ | 156,636 | | | $ | 9,698 | | | $ | 44,663 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | |
| | | |
| | Net investment income | | $ | 13,886,224 | | | $ | 9,397,445 | |
| | | |
| | Net realized gain | | | 87,663,925 | | | | 13,860,434 | |
| | | |
| | Net change in unrealized gain | | | 62,133,651 | | | | 71,268,212 | |
| | | |
| | Net increase in net assets resulting from operations | | | 163,683,800 | | | | 94,526,091 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | |
| | | |
| | From distributable earnings: | | | | | | | | |
| | | |
| | Class A Shares | | | (21,200,803 | ) | | | (3,838,747 | ) |
| | | |
| | Class C Shares | | | (1,144,912 | ) | | | (223,898 | ) |
| | | |
| | Institutional Shares | | | (2,199,570 | ) | | | (368,684 | ) |
| | | |
| | Service Shares | | | (35,736 | ) | | | (5,799 | ) |
| | | |
| | Investor Shares | | | (685,427 | ) | | | (125,539 | ) |
| | | |
| | Class R6 Shares | | | (62,812,794 | ) | | | (12,747,997 | ) |
| | | |
| | Class R Shares | | | (739,023 | ) | | | (117,416 | ) |
| | | |
| | Class P Shares | | | (18,499,746 | ) | | | (3,401,510 | ) |
| | | |
| | Total distributions to shareholders | | | (107,318,011 | ) | | | (20,829,590 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | |
| | | |
| | Proceeds from sales of shares | | | 33,704,055 | | | | 40,734,037 | |
| | | |
| | Reinvestment of distributions | | | 105,373,693 | | | | 20,421,928 | |
| | | |
| | Cost of shares redeemed | | | (89,658,618 | ) | | | (117,245,793 | ) |
| | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | 49,419,130 | | | | (56,089,828 | ) |
| | | |
| | TOTAL INCREASE | | | 105,784,919 | | | | 17,606,673 | |
| | | | | | | | | | |
| | Net assets: | |
| | | |
| | Beginning of year | | | 826,664,639 | | | | 809,057,966 | |
| | | |
| | End of year | | $ | 932,449,558 | | | $ | 826,664,639 | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 21.36 | | | $ | 19.32 | | | $ | 16.26 | | | $ | 18.84 | | | $ | 15.25 | |
| | | | | | |
| | Net investment income(a) (b) | | | 0.31 | | | | 0.18 | | | | 0.29 | | | | 0.20 | | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.96 | | | | 2.36 | | | | 3.86 | | | | (2.35 | ) | | | 3.80 | |
| | | | | | |
| | Total from investment operations | | | 4.27 | | | | 2.54 | | | | 4.15 | | | | (2.15 | ) | | | 3.96 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.01 | ) | | | (0.18 | ) | | | (0.27 | ) | | | (0.43 | ) | | | (0.37 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.83 | ) | | | (0.50 | ) | | | (1.09 | ) | | | (0.43 | ) | | | (0.37 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 22.80 | | | $ | 21.36 | | | $ | 19.32 | | | $ | 16.26 | | | $ | 18.84 | |
| | | | | | |
| | Total return(c) | | | 20.07 | % | | | 13.15 | % | | | 25.66 | % | | | (11.40 | )% | | | 25.96 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 185,213 | | | $ | 166,449 | | | $ | 162,028 | | | $ | 135,758 | | | $ | 137,276 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.56 | % | | | 0.57 | % | | | 0.58 | % | | | 0.58 | % | | | 0.59 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.60 | % | | | 0.64 | % | | | 0.66 | % | | | 0.66 | % | | | 0.67 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.29 | % | | | 0.98 | % | | | 1.56 | % | | | 1.09 | % | | | 0.93 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 20.71 | | | $ | 18.74 | | | $ | 15.77 | | | $ | 18.01 | | | $ | 14.58 | |
| | | | | | |
| | Net investment income (loss)(a) (b) | | | 0.10 | | | | 0.02 | | | | 0.10 | | | | (0.05 | ) | | | 0.01 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.86 | | | | 2.28 | | | | 3.77 | | | | (2.12 | ) | | | 3.65 | |
| | | | | | |
| | Total from investment operations | | | 3.96 | | | | 2.30 | | | | 3.87 | | | | (2.17 | ) | | | 3.66 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.81 | ) | | | (0.01 | ) | | | (0.08 | ) | | | (0.07 | ) | | | (0.23 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.63 | ) | | | (0.33 | ) | | | (0.90 | ) | | | (0.07 | ) | | | (0.23 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 22.04 | | | $ | 20.71 | | | $ | 18.74 | | | $ | 15.77 | | | $ | 18.01 | |
| | | | | | |
| | Total return(c) | | | 19.19 | % | | | 12.29 | % | | | 24.72 | % | | | (12.04 | )% | | | 25.08 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 10,309 | | | $ | 13,716 | | | $ | 17,348 | | | $ | 23,020 | | | $ | 68,315 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 1.31 | % | | | 1.32 | % | | | 1.33 | % | | | 1.33 | % | | | 1.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 1.35 | % | | | 1.39 | % | | | 1.41 | % | | | 1.40 | % | | | 1.42 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets(b) | | | 0.45 | % | | | 0.13 | % | | | 0.58 | % | | | (0.29 | )% | | | 0.08 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (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. |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 21.63 | | | $ | 19.55 | | | $ | 16.43 | | | $ | 19.01 | | | $ | 15.38 | |
| | | | | | |
| | Net investment income(a) (b) | | | 0.39 | | | | 0.23 | | | | 0.34 | | | | 0.09 | | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.03 | | | | 2.42 | | | | 3.93 | | | | (2.20 | ) | | | 3.83 | |
| | | | | | |
| | Total from investment operations | | | 4.42 | | | | 2.65 | | | | 4.27 | | | | (2.11 | ) | | | 4.07 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.10 | ) | | | (0.25 | ) | | | (0.33 | ) | | | (0.47 | ) | | | (0.44 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.92 | ) | | | (0.57 | ) | | | (1.15 | ) | | | (0.47 | ) | | | (0.44 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 23.13 | | | $ | 21.63 | | | $ | 19.55 | | | $ | 16.43 | | | $ | 19.01 | |
| | | | | | |
| | Total return(c) | | | 20.50 | % | | | 13.56 | % | | | 26.18 | % | | | (11.07 | )% | | | 26.48 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 19,052 | | | $ | 14,179 | | | $ | 13,423 | | | $ | 16,974 | | | $ | 155,828 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.19 | % | | | 0.19 | % | | | 0.20 | % | | | 0.19 | % | | | 0.20 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.24 | % | | | 0.26 | % | | | 0.28 | % | | | 0.26 | % | | | 0.28 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.62 | % | | | 1.25 | % | | | 1.82 | % | | | 0.47 | % | | | 1.40 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (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. | | 17 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 21.35 | | | $ | 19.30 | | | $ | 16.20 | | | $ | 18.75 | | | $ | 15.19 | |
| | | | | | |
| | Net investment income(a) (b) | | | 0.29 | | | | 0.15 | | | | 0.21 | | | | 0.15 | | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.94 | | | | 2.37 | | | | 3.89 | | | | (2.31 | ) | | | 3.76 | |
| | | | | | |
| | Total from investment operations | | | 4.23 | | | | 2.52 | | | | 4.10 | | | | (2.16 | ) | | | 3.92 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.98 | ) | | | (0.15 | ) | | | (0.18 | ) | | | (0.39 | ) | | | (0.36 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.80 | ) | | | (0.47 | ) | | | (1.00 | ) | | | (0.39 | ) | | | (0.36 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 22.78 | | | $ | 21.35 | | | $ | 19.30 | | | $ | 16.20 | | | $ | 18.75 | |
| | | | | | |
| | Total return(c) | | | 19.90 | % | | | 13.04 | % | | | 25.49 | % | | | (11.48 | )% | | | 25.79 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 310 | | | $ | 269 | | | $ | 380 | | | $ | 543 | | | $ | 684 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.69 | % | | | 0.69 | % | | | 0.70 | % | | | 0.69 | % | | | 0.69 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.74 | % | | | 0.76 | % | | | 0.78 | % | | | 0.77 | % | | | 0.78 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.21 | % | | | 0.79 | % | | | 1.16 | % | | | 0.80 | % | | | 0.91 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (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. |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 21.05 | | | $ | 19.04 | | | $ | 16.03 | | | $ | 18.58 | | | $ | 15.03 | |
| | | | | | |
| | Net investment income(a) (b) | | | 0.38 | | | | 0.23 | | | | 0.30 | | | | 0.24 | | | | 0.18 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.89 | | | | 2.33 | | | | 3.84 | | | | (2.32 | ) | | | 3.78 | |
| | | | | | |
| | Total from investment operations | | | 4.27 | | | | 2.56 | | | | 4.14 | | | | (2.08 | ) | | | 3.96 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.07 | ) | | | (0.23 | ) | | | (0.31 | ) | | | (0.47 | ) | | | (0.41 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.89 | ) | | | (0.55 | ) | | | (1.13 | ) | | | (0.47 | ) | | | (0.41 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 22.43 | | | $ | 21.05 | | | $ | 19.04 | | | $ | 16.03 | | | $ | 18.58 | |
| | | | | | |
| | Total return(c) | | | 20.36 | % | | | 13.44 | % | | | 25.97 | % | | | (11.18 | )% | | | 26.35 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 5,797 | | | $ | 4,908 | | | $ | 4,517 | | | $ | 5,703 | | | $ | 5,481 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.31 | % | | | 0.32 | % | | | 0.33 | % | | | 0.33 | % | | | 0.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.35 | % | | | 0.39 | % | | | 0.41 | % | | | 0.41 | % | | | 0.42 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.61 | % | | | 1.24 | % | | | 1.66 | % | | | 1.28 | % | | | 1.07 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (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. | | 19 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 21.63 | | | $ | 19.55 | | | $ | 16.44 | | | $ | 19.04 | | | $ | 15.37 | |
| | | | | | |
| | Net investment income(a) (b) | | | 0.40 | | | | 0.25 | | | | 0.49 | | | | 1.61 | | | | 0.12 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.03 | | | | 2.40 | | | | 3.78 | | | | (3.71 | ) | | | 3.96 | |
| | | | | | |
| | Total from investment operations | | | 4.43 | | | | 2.65 | | | | 4.27 | | | | (2.10 | ) | | | 4.08 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (1.10 | ) | | | (0.25 | ) | | | (0.34 | ) | | | (0.50 | ) | | | (0.41 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.92 | ) | | | (0.57 | ) | | | (1.16 | ) | | | (0.50 | ) | | | (0.41 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 23.14 | | | $ | 21.63 | | | $ | 19.55 | | | $ | 16.44 | | | $ | 19.04 | |
| | | | | | |
| | Total return(c) | | | 20.55 | % | | | 13.57 | % | | | 26.14 | % | | | (11.00 | )% | | | 26.54 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 544,796 | | | $ | 490,832 | | | $ | 478,073 | | | $ | 4,485 | | | $ | 13 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.18 | % | | | 0.18 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.23 | % | | | 0.25 | % | | | 0.26 | % | | | 0.32 | % | | | 0.24 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.66 | % | | | 1.36 | % | | | 2.55 | % | | | 9.20 | % | | | 0.66 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (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. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 21.17 | | | $ | 19.15 | | | $ | 16.13 | | | $ | 18.69 | | | $ | 15.15 | |
| | | | | | |
| | Net investment income(a) (b) | | | 0.23 | | | | 0.13 | | | | 0.24 | | | | 0.14 | | | | 0.19 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.94 | | | | 2.34 | | | | 3.82 | | | | (2.32 | ) | | | 3.70 | |
| | | | | | |
| | Total from investment operations | | | 4.17 | | | | 2.47 | | | | 4.06 | | | | (2.18 | ) | | | 3.89 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.96 | ) | | | (0.13 | ) | | | (0.22 | ) | | | (0.38 | ) | | | (0.35 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (2.78 | ) | | | (0.45 | ) | | | (1.04 | ) | | | (0.38 | ) | | | (0.35 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 22.56 | | | $ | 21.17 | | | $ | 19.15 | | | $ | 16.13 | | | $ | 18.69 | |
| | | | | | |
| | Total return(c) | | | 19.76 | % | | | 12.88 | % | | | 25.36 | % | | | (11.63 | )% | | | 25.70 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 6,611 | | | $ | 5,700 | | | $ | 5,922 | | | $ | 4,938 | | | $ | 5,910 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.81 | % | | | 0.82 | % | | | 0.83 | % | | | 0.83 | % | | | 0.84 | % |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.85 | % | | | 0.89 | % | | | 0.91 | % | | | 0.91 | % | | | 0.92 | % |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 0.97 | % | | | 0.70 | % | | | 1.31 | % | | | 0.77 | % | | | 1.06 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % | | | 53 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (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. | | 21 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Dynamic Global Equity Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended,
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 21.64 | | | $ | 19.56 | | | $ | 16.44 | | | $ | 19.43 | |
| | | | | |
| | Net investment income(b) (c) | | | 0.40 | | | | 0.26 | | | | 0.37 | | | | 0.31 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 4.03 | | | | 2.39 | | | | 3.91 | | | | (2.80 | ) |
| | | | | |
| | Total from investment operations | | | 4.43 | | | | 2.65 | | | | 4.28 | | | | (2.49 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (1.10 | ) | | | (0.25 | ) | | | (0.34 | ) | | | (0.50 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (1.82 | ) | | | (0.32 | ) | | | (0.82 | ) | | | — | |
| | | | | |
| | Total distributions | | | (2.92 | ) | | | (0.57 | ) | | | (1.16 | ) | | | (0.50 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 23.15 | | | $ | 21.64 | | | $ | 19.56 | | | $ | 16.44 | |
| | | | | |
| | Total return(d) | | | 20.54 | % | | | 13.57 | % | | | 26.19 | % | | | (12.80 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 160,360 | | | $ | 130,610 | | | $ | 127,367 | | | $ | 103,074 | |
| | | | | |
| | Ratio of net expenses to average net assets(e) | | | 0.18 | % | | | 0.18 | % | | | 0.19 | % | | | 0.18 | %(f) |
| | | | | |
| | Ratio of total expenses to average net assets(e) | | | 0.23 | % | | | 0.25 | % | | | 0.27 | % | | | 0.27 | %(f) |
| | | | | |
| | Ratio of net investment income to average net assets(c) | | | 1.64 | % | | | 1.37 | % | | | 1.96 | % | | | 2.33 | %(f) |
| | | | | |
| | Portfolio turnover rate(g) | | | 4 | % | | | 12 | % | | | 40 | % | | | 11 | % |
| | (a) | | Commenced operations on April 17, 2018. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| | (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) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (g) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 Dynamic Global Equity Fund (the “Fund”). The Fund is a diversified fund and currently offers eight classes of shares: Class A, Class C, Institutional, Service, 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, Service, 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.
The Fund is expected to invest in a diversified portfolio of global equity asset classes. Such investments may include underlying funds (including exchange-traded funds (“ETFs”)) (collectively, the “Underlying Funds”), futures, forwards, options, swaps and other instruments with similar economic exposures. The Fund may invest in Underlying Funds that currently exist or that may become available for investment in the future for which GSAM or an affiliate now or in the future acts as investment adviser or principal underwriter.
|
| 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 valuation policy of the Fund and Underlying Funds is to value investments at fair value.
B. Investment Income and Investments —Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. 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. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the 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.
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, Transfer Agency and Service and Shareholder Administration fees. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Fund may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.
23
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2021
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
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.
24
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| 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:
Underlying Funds (including Money Market Funds) — Underlying Funds include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are 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.
25
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
iii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A total return swap is an agreement that gives the Fund the right to receive or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to pay the dollar value of that decline to the counterparty.
B. Level 3 Fair Value Investments —To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining 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 Fund’s investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| Assets | |
|
Underlying Funds | |
| | | |
Equity | | $ | 303,338,919 | | | $ | — | | | $ | — | |
| | | |
Exchange Traded Funds | | | 540,704,957 | | | | — | | | | — | |
| | | |
Investment Company | | | 54,000,039 | | | | — | | | | — | |
| | | |
| Total | | $ | 898,043,915 | | | $ | — | | | $ | — | |
26
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 254,944 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 2,767,130 | | | | — | | | | — | |
| | | |
Purchased options | | | 1,941,906 | | | | — | | | | — | |
| | | |
| Total | | $ | 4,709,036 | | | $ | 254,944 | | | $ | — | |
| | | |
| Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (275,262 | ) | | $ | — | |
| | | |
Total Return Swap Contracts(a) | | | — | | | | (24,704 | ) | | | — | |
| | | |
Written option contracts | | | (569,415 | ) | | | — | | | | — | |
| | | |
| Total | | $ | (569,415 | ) | | $ | (299,966 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| | | | | | | | | | | | |
| | | | |
| Risk | | Statement of Assets and Liabilities | | Assets | | | Statement of Assets and Liabilities | | Liabilities | |
Interest | | Purchased options, at value | | $ | 1,941,906 | | | — | | $ | — | |
Equity | | Variation margin on futures contracts(a) | | | 2,767,130 | | | Payable for unrealized loss on swap contracts,(b) Written Options, at value | | | (594,119) | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts. | | | 254,944 | | | Payable for unrealized loss on forward foreign currency exchange contracts. | | | (275,262) | |
| Total | | | | $ | 4,963,980 | | | | | $ | (869,381) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedule of Investments. Only the variation margin as of December 31, 2021 is reported within the Statement of Assets and Liabilities. |
| (b) | | Aggregate of amounts include $24,704 for the Fund 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. |
27
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| | | | | | | | | | |
| Risk | | Statement of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
Interest | | Net realized gain (loss) from purchased options and futures contracts /Net change in unrealized gain (loss) on purchased options | | $ | 893,902 | | | $ | (1,777,248 | ) |
Equity | | Net realized gain (loss) from futures contracts, swaps contracts and written options/Net change in unrealized gain (loss) on futures contracts, swaps contracts and written options | | | 35,317,264 | | | | (59,316 | ) |
Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 2,944,337 | | | | 820,041 | |
| Total | | | | $ | 39,155,503 | | | $ | (1,016,523 | ) |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type was as follows:
| | | | | | | | | | | | | | | | | | |
| Average Number of Contracts, Notional Amounts(a) | |
Futures
contracts | | | Forward
contracts | | | Swap
Agreements | | | Purchased
Options | | | Written
Options | |
| | 707 | | | $ | 59,205,296 | | | | 16,458,068 | | | | 1,598,333 | | | $ | 23,367 | |
| (a) | | Amounts disclosed represent average number of contracts for futures contracts, purchased options and written options, notional amounts for forward contracts and swap contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the fiscal year ended December 31, 2021. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets of 0.15% for the Fund.
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.
28
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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.
The Trust, on behalf of Service Shares of the Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing 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 the average daily net assets attributable to Service Shares of the Fund, as set forth below.
| | | | | | | | | | | | | | | | |
| | | Distribution and/or Service Plan Rates | |
| | | Class A* | | | Class C | | | Class R* | | | Service | |
Distribution and/or Service Plan | | | 0.25 | % | | | 0.75 | % | | | 0.50 | % | | | 0.25 | % |
| * | | 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/or Service Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained $5,355 of the front end sales charges and $680 of the CDSC for this Fund.
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C and a Shareholder Administration Plan to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide 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 and Service Shares of the Fund, respectively.
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: 0.16% 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 P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to 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 each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were $378,264.
G. Line of Credit Facility — As of December 31, 2021, the Fund participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to
29
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2021, the Fund did not have any borrowings under the facility. Prior to April 26, 2021 the facility was $700,000,000.
H. Other Transactions with Affiliates — The Fund invests primarily in the Class R6 Shares of the Underlying Funds (except certain Underlying Funds that are ETFs). These Underlying Funds are considered to be affiliated with the Fund. The table below shows the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2021 (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market
Value
12/31/2020 | | | Purchases
at Cost* | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
12/31/2021 | | | Shares as of
12/31/2021 | | | Dividend
Income | | | Capital
Gains
Distributions | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | $ | 67,905 | | | $ | 2,231 | | | $ | (6,212 | ) | | $ | 1,260 | | | $ | (3,170 | ) | | $ | 62,014 | | | | 1,676 | | | $ | 1,850 | | | $ | — | |
Goldman Sachs ActiveBeta International Equity ETF | | | 144,159 | | | | — | | | | (2,242 | ) | | | 458 | | | | 14,764 | | | | 157,139 | | | | 4,455 | | | | 3,799 | | | | — | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 211,584 | | | | — | | | | (11,129 | ) | | | 3,540 | | | | 49,319 | | | | 253,314 | | | | 2,663 | | | | 2,724 | | | | — | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 31,286 | | | | 5,683 | | | | — | | | | — | | | | (5,294 | ) | | | 31,675 | | | | 3,259 | | | | 683 | | | | 5,000 | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 44,437 | | | | 183,079 | | | | (173,516 | ) | | | — | | | | — | | | | 54,000 | | | | 54,000 | | | | — | | | | — | |
Goldman Sachs Global Infrastructure
Fund — Class R6 | | | 13,081 | | | | 249 | | | | — | | | | — | | | | 1,916 | | | | 15,246 | | | | 1,134 | | | | 203 | | | | 47 | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 11,400 | | | | 315 | | | | — | | | | — | | | | 2,701 | | | | 14,416 | | | | 1,141 | | | | 315 | | | | — | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 66,793 | | | | 4,515 | | | | — | | | | — | | | | 3,292 | | | | 74,600 | | | | 5,181 | | | | 2,326 | | | | 2,189 | |
Goldman Sachs International Small Cap Insights Fund—Class R6 | | | 14,165 | | | | 525 | | | | — | | | | — | | | | 1,321 | | | | 16,011 | | | | 1,158 | | | | 525 | | | | — | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 52,882 | | | | 20,328 | | | | — | | | | — | | | | (4,548 | ) | | | 68,662 | | | | 1,892 | | | | 176 | | | | 20,149 | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 52,758 | | | | 10,044 | | | | (5,000 | ) | | | 996 | | | | 3,920 | | | | 62,718 | | | | 2,629 | | | | 840 | | | | 9,204 | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 32,094 | | | | — | | | | — | | | | — | | | | (2,602 | ) | | | 29,492 | | | | 585 | | | | 1,800 | | | | — | |
Goldman Sachs MarketBeta International Equity ETF | | | 36,046 | | | | — | | | | — | | | | — | | | | 2,700 | | | | 38,746 | | | | 685 | | | | 1,134 | | | | — | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 19,022 | | | | 4,676 | | | | (3,500 | ) | | | 996 | | | | (1,183 | ) | | | 20,011 | | | | 719 | | | | — | | | | 4,676 | |
| | | | | | | | | |
Total | | $ | 797,612 | | | $ | 231,645 | | | $ | (201,599 | ) | | $ | 7,250 | | | $ | 63,136 | | | $ | 898,044 | | | | | | | $ | 16,375 | | | $ | 41,265 | |
| * | | Includes reinvestment of distributions. |
30
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2021, the Goldman Sachs Growth Strategy, Goldman Sachs Growth and Income Strategy and Goldman Sachs Balanced Strategy Portfolios beneficially owned 25%, 23% and 10%, respectively, of the total outstanding shares of the Fund.
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2021, are $50,739,425 and $28,873,483, respectively.
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | |
Distribution paid from: | | | | |
Ordinary income | | | 54,769,419 | |
Net long-term capital gains | | | 52,548,592 | |
Total taxable distributions | | | 107,318,011 | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | |
Distribution paid from: | | | | |
Ordinary income | | $ | 13,786,669 | |
Net long-term capital gains | | | 7,042,921 | |
Total taxable distributions | | $ | 20,829,590 | |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax basis were as follows:
| | | | |
Undistributed long-term gains | | $ | 8,898,499 | |
Timing differences (Straddle Loss Deferral) | | | (1,036 | ) |
Unrealized gains (losses) — net | | | 201,640,454 | |
Total accumulated earnings (losses) net | | $ | 210,537,917 | |
As of December 31, 2021, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax Cost | | $ | 698,476,458 | |
Gross unrealized gain | | | 202,379,825 | |
Gross unrealized loss | | | (739,371 | ) |
Net unrealized gains | | $ | 201,640,454 | |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures and options contracts and net mark to market gains/(losses) on foreign currency contracts.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
31
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2021
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.
Dividend-Paying Investments Risk — The Fund’s investments in dividend-paying securities could cause the Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of the Fund to produce current income.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Investments in the Underlying Funds Risk — The investments of the Fund may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Fund’s investment performance is directly related to the investment performance of the Underlying Funds it holds. The Fund is subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Fund has a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.
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.
32
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
| 8. OTHER RISKS (continued) |
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on 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.
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.
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.
33
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2021
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Dynamic Global Equity Fund | |
| | | For the Fiscal Year Ended
December 31, 2021
| | | For the Fiscal Year Ended
December 31, 2020
| |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 447,388 | | | $ | 10,465,500 | | | | 452,591 | | | $ | 8,274,964 | |
Reinvestment of distributions | | | 835,193 | | | | 19,471,814 | | | | 166,912 | | | | 3,526,407 | |
Shares redeemed | | | (952,749 | ) | | | (22,455,855 | ) | | | (1,212,679 | ) | | | (22,020,216 | ) |
| | | | 329,832 | | | | 7,481,459 | | | | (593,176 | ) | | | (10,218,845 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 32,367 | | | | 734,171 | | | | 28,501 | | | | 498,361 | |
Reinvestment of distributions | | | 50,432 | | | | 1,134,953 | | | | 10,959 | | | | 221,848 | |
Shares redeemed | | | (277,299 | ) | | | (6,214,088 | ) | | | (302,838 | ) | | | (5,160,510 | ) |
| | | | (194,500 | ) | | | (4,344,964 | ) | | | (263,378 | ) | | | (4,440,301 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 185,277 | | | | 4,556,350 | | | | 651,159 | | | | 12,881,036 | |
Reinvestment of distributions | | | 90,955 | | | | 2,151,529 | | | | 16,739 | | | | 359,055 | |
Shares redeemed | | | (108,213 | ) | | | (2,561,457 | ) | | | (699,008 | ) | | | (13,145,115 | ) |
| | | | 168,019 | | | | 4,146,422 | | | | (31,110 | ) | | | 94,976 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 112 | | | | 2,670 | | | | 211 | | | | 3,915 | |
Reinvestment of distributions | | | 1,262 | | | | 29,400 | | | | 220 | | | | 4,649 | |
Shares redeemed | | | (376 | ) | | | (8,411 | ) | | | (7,507 | ) | | | (113,385 | ) |
| | | | 998 | | | | 23,659 | | | | (7,076 | ) | | | (104,821 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 40,132 | | | | 943,819 | | | | 33,472 | | | | 604,166 | |
Reinvestment of distributions | | | 29,852 | | | | 685,427 | | | | 6,017 | | | | 125,539 | |
Shares redeemed | | | (44,715 | ) | | | (1,046,455 | ) | | | (43,486 | ) | | | (766,754 | ) |
| | | | 25,269 | | | | 582,791 | | | | (3,997 | ) | | | (37,049 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 109,199 | | | | 2,469,003 | | | | 383,853 | | | | 7,549,584 | |
Reinvestment of distributions | | | 2,647,554 | | | | 62,667,602 | | | | 590,151 | | | | 12,665,504 | |
Shares redeemed | | | (1,902,056 | ) | | | (45,255,149 | ) | | | (2,735,397 | ) | | | (53,939,479 | ) |
| | | | 854,697 | | | | 19,881,456 | | | | (1,761,393 | ) | | | (33,724,391 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 24,324 | | | | 566,994 | | | | 34,886 | | | | 626,087 | |
Reinvestment of distributions | | | 32,052 | | | | 739,023 | | | | 5,623 | | | | 117,416 | |
Shares redeemed | | | (32,657 | ) | | | (758,976 | ) | | | (80,430 | ) | | | (1,469,351 | ) |
| | | | 23,719 | | | | 547,041 | | | | (39,921 | ) | | | (725,848 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 583,073 | | | | 13,965,548 | | | | 547,359 | | | | 10,295,924 | |
Reinvestment of distributions | | | 781,031 | | | | 18,493,945 | | | | 158,422 | | | | 3,401,510 | |
Shares redeemed | | | (472,272 | ) | | | (11,358,227 | ) | | | (1,182,031 | ) | | | (20,630,983 | ) |
| | | | 891,832 | | | | 21,101,266 | | | | (476,250 | ) | | | (6,933,549 | ) |
| | | | |
NET INCREASE (DECREASE) | | | 2,099,866 | | | $ | 49,419,130 | | | | (3,176,301 | ) | | $ | (56,089,828 | ) |
34
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Dynamic Global Equity Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Dynamic Global Equity Fund (one of the funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statement of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provides a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
35
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| | |
| | |
Fund Expenses — Six Months Period Ended December 31, 2021 (Unaudited) | | |
As a shareholder of Class A, Class C, Institutional, Service, 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/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses.
The Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, 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 July 1, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 and do not include expenses of Underlying Funds in which the Fund invests. 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.
| | | | | | | | | | | | |
| | | Dynamic Global Equity Fund | |
| Share Class | | Beginning
Account Value
7/1/21 | | | Ending
Account Value
12/31/21 | | | Expenses Paid for the
6 months ended
12/31/21* | |
| Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,052.40 | | | $ | 2.90 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.38 | + | | | 2.85 | |
| Class C | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,048.60 | | | | 6.76 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.60 | + | | | 6.67 | |
| Institutional | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,054.40 | | | | 0.98 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.25 | + | | | 0.97 | |
| Service | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,051.70 | | | | 3.57 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.73 | + | | | 3.52 | |
| Investor | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,053.90 | | | | 1.60 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,023.64 | + | | | 1.58 | |
| Class R6 | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,054.80 | | | | 0.93 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | |
| Class R | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,051.10 | | | | 4.19 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.12 | + | | | 4.13 | |
| Class P | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,054.40 | | | | 0.93 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.92 | |
| | * | | 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 December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: | |
| | + | | 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. | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Dynamic Global Equity | | | 0.56 | % | | | 1.31 | % | | | 0.19 | % | | | 0.69 | % | | | 0.31 | % | | | 0.18 | % | | | 0.81 | % | | | 0.18 | % |
36
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Trustees and Officers (Unaudited)
Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007- 2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); Director of MoneyLion Inc. (an operator of a data-driven, digital financial platform) (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014- 2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019- January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021–September 2021); and Managing Director (2013–2021), BlackRock, Inc. (a financial services firm). Trustee—Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | | | | | | |
37
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees (continued)
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
Interested Trustee*
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
| James A. McNamara Age: 59 | | President and Trustee | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018- Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 39 portfolios (26 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs ETF Trust II and Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
38
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | | | | |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Dynamic Global Equity — Tax Information (Unaudited)
For the year ended December 31, 2021, 23.95% of the dividends paid from net investment company taxable income by Dynamic Global Equity Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Dynamic Global Equity Fund designates $52,548,592, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2021.
For the year end December 31, 2021, the Dynamic Global Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Fund from sources within foreign countries and possessions of the United States was $0.2631 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the year ended December 31, 2021 from foreign sources was 19.35%. The total amount of foreign taxes paid by the Fund was $0.0339 per share.
For the year ended December 31, 2021, 24.63% of the dividends paid from net investment company taxable income by the Dynamic Global Equity Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
During the year ended December 31, 2021, the Dynamic Global Equity Fund designates $14,915,231 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
39
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 $2.21 trillion in assets under supervision as of December 31, 2021, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. 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
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Clean Energy Income Fund |
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Alternative Premia Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Energy Infrastructure 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. |
| | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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 portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
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.
Diversification does not protect an investor from market risk and does not ensure a profit.
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change. They should not be construed as investment advice.
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.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider 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. 268332-OTU-1560997 DYNGLEQAR-22
Goldman Sachs Funds
| | | | |
| | |
| Annual Report | | | | December 31, 2021 |
| | |
| | | | Real Estate Securities and Global Infrastructure Funds |
| | | | International Real Estate Securities |
| | | | Real Estate Securities |
| | | | Global Real Estate Securities |
| | | | Global Infrastructure |
Goldman Sachs Real Estate Securities and Global Infrastructure Funds
| ∎ | | INTERNATIONAL REAL ESTATE SECURITIES |
| ∎ | | GLOBAL REAL ESTATE SECURITIES |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs International Real Estate Securities Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs International Real Estate Securities Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 6.39%, 5.63%, 6.89%, 6.57%, 6.74% and 6.75%, respectively. These returns compare to the 8.15% average annual total return of the Fund’s benchmark, the FTSE EPRA Nareit Developed ex-US Real Estate Index (Net, USD, Unhedged) (the “Real Estate Index”) during the same period. |
| Q | | Which countries’ real estate markets most influenced the international real estate securities market as a whole during the Reporting Period? |
| A | | For the Reporting Period overall, the international real estate securities market, as measured by the Real Estate Index, posted positive absolute returns but underperformed the U.S. real estate securities market, as measured by the Wilshire Real Estate Securities Index (with dividends reinvested), by more than 37 percentage points, and underperformed the broad international equity market, as measured by the MSCI EAFE® Index (net), by nearly three percentage points. |
| | | The Real Estate Index returned 2.00% during the first quarter of 2021. Canada and Hong Kong were the best performing markets on a relative basis, while continental Europe and New Zealand were the weakest. Within continental Europe, Germany and Finland were the worst performing individual country markets. The Real Estate Index returned 6.87% during the second quarter of 2021. Israel and Canada were the top performing markets, while Singapore and New Zealand were the weakest. The Real Estate Index returned -2.71% during the third quarter of 2021. Israel and New Zealand were the top performing markets, while continental Europe was the weakest. Within continental Europe, France and the Netherlands were weakest due to their significant retail exposure. The Real Estate Index returned 1.97% in the fourth quarter of 2021. The U.K. and Canada were the top performing markets, while Japan and India were the weakest. The strong performance in the U.K. during the quarter was driven by the self-storage and industrial subsectors, while Japan suffered most in the hotel and diversified subsectors. |
| | | For the Reporting Period overall, Israel, Canada and the U.K. were the best performing real estate markets, each posting a robust double-digit positive absolute return. New Zealand was the only real estate market in the Real Estate Index to post a negative absolute return for the Reporting Period. Japan and Singapore posted modestly positive absolute returns but also significantly lagged the Real Estate Index during the Reporting Period. India is not a constituent of the Real Estate Index but also proved to be among the weakest real estate markets during the Reporting Period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund posted solid positive absolute returns but underperformed the Real Estate Index on a relative basis during the Reporting Period. Stock selection detracted most from the Fund’s relative results, especially in continental Europe, Japan and Hong Kong. Only partially offsetting these detractors was stock selection in the U.K., Australia and Singapore, which contributed positively. Country allocation overall contributed positively. Allocation positioning in the U.K., Singapore and continental Europe proved beneficial; having no exposure to Israel, which performed strongly during the Reporting Period, detracted most. |
| | | From a subsector perspective, stock selection detracted, while allocation decisions overall contributed positively. Stock selection in the residential and diversified subsectors detracted most. Having an overweighted allocation to the technology subsector, which was the weakest subsector in |
1
PORTFOLIO RESULTS
| | the Real Estate Index during the Reporting Period, also dampened results. Only partially offsetting these detractors was stock selection in the industrial and office subsectors, which contributed positively. Having overweighted allocations to the self-storage and industrial subsectors, which were the two strongest in the Real Estate Index during the Reporting Period, added relative value as well. |
| Q | | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | The biggest detractor from the Fund’s relative results during the Reporting Period was Vonovia, the Germany-based largest listed European residential landlord. Vonovia had strong underlying fundamental performance, with the business having little, if any, impact from the COVID-19 pandemic. However, Vonovia entered into an agreement to take over the second largest residential landlord in Germany, Deutsche Wohnen, and consequently issued a large amount of equity to fund the purchase. This dynamic led to underperformance in Vonovia’s stock. Still, at the end of the Reporting Period, we continued to find Vonovia’s valuation and fundamentals attractive. |
| | | The Fund’s out-of-Real Estate Index position in GDS Holdings, a data center owner in China, also detracted from its relative results during the Reporting Period. GDS Holdings suffered from a broad-based growth de-rating of Internet stocks in China that was prompted by the Chinese central government’s tightening against Internet giants’ monopoly, data privacy and security as well as its promotion to carbon reduction for the long term and power rationing for the short term. These government policies exerted some move-in delays among GDS Holdings’ customers, even as new sales of GDS Holdings’ data center pipeline remained strong. GDS Holdings also maintained solid 2021 earnings before interest, taxes, depreciation and amortization (“EBITDA”) and capital expenditure growth guidance. At the end of the Reporting Period, we continued to expect China’s growth of data and cloud usage, stemming from digitization from consumers and enterprises, to remain unaffected by these regulations. In our view, GDS Holdings has a high quality management team and among the highest quality data centers at or new China’s gateway cities. |
| | | The Fund’s out-of-Real Estate Index position in Shangri-La Asia, a luxury hotel owner and operator, was also a significant detractor from relative results during the Reporting Period. Shangri-La Asia had a challenging 2021, as mainland China and Hong Kong, the two most important hotel markets from which it derives most of its earnings, were enforcing the government’s “zero COVID policy,” which bode well for public health but poorly for the resumption of tourism for the entire Asia region. While Shangri-La Asia returned to the valuation when the Fund first established the position in late 2020, it was trading at a substantial discount to replacement cost — an important point to note when the available industry stock is withdrawn due to failed operators, and input costs are on the rise suggesting a heightened economic barrier to entry. Although the timing and extent of reopening was murky in Asia at the end of the Reporting Period, we believed there was limited downside risk at the company’s then-valuation level, but the potential return, in our view, could be substantial, likely pending a decision by the government after the Beijing Winter Olympics in February 2022. |
| Q | | What were some of the Fund’s best-performing individual holdings? |
| A | | Summit Industrial Income REIT, a leading owner of logistics assets in Canada, contributed most positively to the Fund’s relative results during the Reporting Period, having also been a top contributor in the prior annual period. The Canadian logistics market benefited during the Reporting Period from tight supply and demand that was accelerated by the shift to online retail, driven, in turn, by the COVID-19 pandemic. This dynamic led to strong market rental growth. In addition, capitalization rates for the assets were compressed, driven by the strong investment demand for logistics assets. (Cap rate, or capitalization rate, is the ratio of a property’s net income to its purchase price.) Summit Industrial Income REIT benefited from these trends during the Reporting Period and outperformed the Real Estate Index. At the end of the Reporting Period, we believed Summit Industrial Income REIT was likely to continue to benefit from trends within the industrial logistics sector. |
| | | Big Yellow Group, the leading self-storage provider in the U.K., also contributed to the Fund’s relative results during the Reporting Period. In our view, the strong performance of Big Yellow Group can be attributed to two primary drivers of growth. First, the self-storage sector broadly experienced strong pricing growth, driven by limited new self-storage supply in the U.K., with restrictive planning keeping a lid on new space creation. This allowed Big Yellow Group to raise its prices. With its dynamic pricing systems, we believed at the end of the Reporting Period, that Big Yellow Group could continue to generate strong rental growth. Second, occupancy levels in the Big Yellow Group store portfolio reached record levels during the Reporting Period. The |
2
PORTFOLIO RESULTS
| | business proved to be resilient and posted revenue growth throughout the Reporting Period. At the end of the Reporting Period, we remained favorable on the company, as it may supplement this growth with selective and accretive developments going forward. |
| | | The Fund’s out-of-Real Estate Index position in Goodman Group, an Australia-based integrated property group specializing in industrial property ownership, funds management and property development and management, contributed positively to relative results for the second consecutive calendar year. The company began to benefit from structural tailwinds from e-commerce, retailers and third-party logistics, which, along with the low interest rate environment, should enable them, in our view, to continue delivering strong growth in the near term. In March 2021, the pace of 10-year government bond rate increases in both the U.S. and Australia moderated, which correlated with a prior rush into cyclical and value stocks. The steadier government bond rate environment in March supported Goodman Group’s strong performance as did the growth of the industrial logistics subsector through much of the Reporting Period. At the end of the Reporting Period, we considered the business to be well run, with good long-term growth prospects and a clearly-defined strategy. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund did not use derivatives during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | During the Reporting Period, we initiated a Fund position in LondonMetric, a U.K.-focused owner of logistics and long lease assets. We felt that its valuation relative to the other logistics names in the U.K. was especially compelling. |
| | | We established a Fund position in Scentre Group, an Australian mall owner, in early 2021, as we believed the business had experienced its worst point of tenancy cancellation and/or need of rental concessions prompted by the COVID-19 pandemic. We further believed its cash collection and leasing began showing signs of improvement and expected its share valuation to improve. Scentre Group subsequently did perform well not only among Australian REITs overall but also against Australian retail REIT peers, as the company was among the few retail landlords that released 2021 guidance during the Reporting Period. At the end of the Reporting Period, we continued to see recovery and returns potential in Scentre Group, as it owns possibly the highest quality malls in Australia, which we believed could compete and sustain through a degree of retail migration to online. |
| | | Conversely, we sold the Fund’s position in Alstria Office REIT, a German office real estate company. During the Reporting Period, Alstria Office REIT received a cash takeover offer from Brookfield Asset Management, and its stock traded to the offer price. |
| | | We exited the Fund’s position in Deutsche Wohnen, a German real estate company focused on mid-tier residential apartments in Berlin. We sold the position because it had received a bid from Vonovia, mentioned earlier, the largest listed European residential landlord, and its stock traded close to the offer price. |
| Q | | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | | In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to continental Europe decreased relative to the Real Estate Index. The Fund’s position in cash also decreased. |
| Q | | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | | From a region/country perspective, the Fund was overweighted relative to the Real Estate Index in the U.K., Germany and China at the end of the Reporting Period. The Fund was underweighted relative to the Real Estate Index in Singapore, continental Europe, Japan and Hong Kong and was rather neutrally weighted to the remaining regions/countries of the Real Estate Index at the end of December 2021. The Fund also had an out-of-benchmark exposure to India at the end of the Reporting Period.* |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| | *Sector, | | subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the Real Estate Index. |
3
PORTFOLIO RESULTS
| Q | | What is the Fund’s tactical view and strategy for the months ahead? |
| A | | In the macroeconomic backdrop of record low interest rates, lower expected equity returns and higher uncertainty about the future that existed at the end of the Reporting Period, the real estate sector, especially publicly-traded REITs, stood out, in our opinion. With the potential for attractive yield and secular growth, along with acting as a hedge against inflation and higher taxes, real estate provides potential solutions facing today’s investors. |
| | | More specifically, in today’s low interest rate environment, the yield REITs offer is usually meaningfully higher than traditional bonds and global equities. Those REITS that were forced to cut dividends in 2020 were concentrated in the COVID-19-impacted subsectors of retail, hotels and senior housing. By the end of the Reporting Period, we saw some signs of improvements in some of these subsectors and believed REIT yields would potentially be more stable in 2022 due to growth prospects widening, certain impacted subsectors recovering, and a higher likelihood of dividend increases. |
| | | In our view, secular growth winners may be the more modern subsectors acting as disruptors as a result of ongoing technological innovation, compared with other areas we view as cyclical recovery beneficiaries benefiting from an accelerated economic reopening in the wake of the pandemic. Potential beneficiaries from secular growth may include those focused on digitization, e-commerce, biotechnology innovation, population growth and increased transiency. Cyclical recovery potential beneficiaries may include those property types focused on experiences over things, demographic shifts and aging populations. |
| | | Further, unlike bonds, we believed REITs stood to benefit in an inflationary environment since rents can be reset higher to reflect higher consumer prices as long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This has limited the amount of new development projects, redirecting demand to existing assets, making them more valuable and driving rents higher still. |
| | | Overall, we believe international REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe opportunities abound, as various property subsectors and geographies could offer wide dispersions in returns. As fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound reinvestment strategy. |
| | | Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the Real Estate Index. |
The Board of Trustees of the Goldman Sachs Trust (“Board”) has approved an Agreement and Plan of Reorganization (the “Plan”) which contemplates the reorganization of the Goldman Sachs International Real Estate Securities Fund (the “Acquired Fund”) with and into the Goldman Sachs Global Real Estate Securities Fund (the “Surviving Fund” and, together with the Acquired Fund, the “Funds”). The reorganization was recommended by the Funds’ investment adviser, Goldman Sachs Asset Management, L.P. (the “Investment Adviser”), because it believes that the reorganization: (i) would rationalize Funds that have the same investment objectives and similar investment strategies (albeit with some notable differences); (ii) may provide enhanced opportunities to realize greater efficiencies in the form of lower total operating expenses over time; and (iii) would enable the combined Fund to be better positioned for asset growth.
The reorganization is expected to close on or about April 8, 2022 or on such other date as the parties to the reorganization shall agree. The reorganization is intended to qualify as a tax-free reorganization for federal income tax purposes.
For more details on the reorganization, please see the Goldman Sachs Trust prospectus supplement dated December 17, 2021 to the Prospectus and Summary Prospectuses, each dated April 30, 2021.
4
FUND BASICS
International Real Estate Securities Fund
as of December 31, 2021
| | | | | | | | | | |
| | TOP TEN HOLDINGS AS OF 12/31/211 |
| | | | |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | | | |
| | Vonovia SE | | | 10.5 | % | | Real Estate Operating Companies | | Germany |
| | Segro PLC REIT | | | 4.0 | | | Industrial | | United Kingdom |
| | Goodman Group REIT | | | 3.4 | | | Industrial | | Australia |
| | Castellum AB | | | 3.3 | | | Real Estate Operating Companies | | Sweden |
| | Link REIT | | | 3.1 | | | Retail | | Hong Kong |
| | Mitsui Fudosan Co. Ltd. | | | 3.0 | | | Industrial | | Japan |
| | Mitsubishi Estate Co. Ltd. | | | 2.9 | | | Diversified | | Japan |
| | Ingenia Communities Group REIT | | | 2.8 | | | Residential | | Australia |
| | Gecina SA REIT | | | 2.8 | | | Diversified | | France |
| | | CK Asset Holdings Ltd. | | | 2.7 | | | Development | | Hong Kong |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND VS. BENCHMARK COUNTRY ALLOCATION2 |
|
| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall country allocations may differ from percentages contained in the graph above. The graph categorizes investments’ country of domicile as reported by Bloomberg; however, the country/grouping classifications used by the portfolio management team may differ from Bloomberg. The percentage shown for each country reflects the value of investments in that category as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Sector, subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the Real Estate Index. The above graph excludes investments in the Goldman Sachs Financial Square Government Fund - Institutional Shares, which represents 1.3% of the Fund’s net assets at December 31, 2021. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the FTSE EPRA Nareit Developed Ex US Real Estate Index (Net, USD, Unhedged) (with dividends reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| International Real Estate Securities Fund’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 6.39% | | | | 6.46% | | | 7.16% | | — |
Including sales charges | | | 0.47% | | | | 5.27% | | | 6.55% | | — |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 5.63% | | | | 5.68% | | | 6.37% | | — |
Including contingent deferred sales charges | | | 4.60% | | | | 5.68% | | | 6.37% | | — |
|
Institutional | | | 6.89% | | | | 6.90% | | | 7.59% | | — |
|
Investor | | | 6.57% | | | | 6.70% | | | 7.43% | | — |
|
Class R6 (Commenced July 31, 2015) | | | 6.74% | | | | 6.92% | | | N/A | | 4.24% |
|
Class P (Commenced April 17, 2018) | | | 6.75% | | | | N/A | | | N/A | | 3.99% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
6
PORTFOLIO RESULTS
Goldman Sachs Real Estate Securities Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs Real Estate Securities Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 44.33%, 43.12%, 44.74%, 44.13%, 44.58%, 44.74%, 43.82% and 44.79%, respectively. These returns compare to the 46.11% average annual total return of the Fund’s benchmark, the Wilshire U.S. Real Estate Securities Index (with dividends reinvested) (the “Wilshire Index”) during the same period. |
| Q | | What economic and market factors most influenced the U.S. real estate securities market as a whole during the Reporting Period? |
| A | | The U.S. real estate securities market, as represented by the Wilshire Index, posted a positive return of 8.86% in December 2021 and 46.11% for the Reporting Period, outperforming both bonds and U.S. equities broadly, as measured by the Bloomberg U.S. Aggregate Bond Index and S&P 500 Index, respectively. Such strong performance was attributable, in our view, to the asset class delivering an attractive yield, improved growth prospects, hedging benefits against rising inflation and corporate taxes (since real estate investment trusts (“REITs”) are exempt from corporate taxes) and being the beneficiary of government fiscal spending. Still, there was a wide dispersion of returns across companies and property types during the Reporting Period. |
| | During the first quarter of 2021, the Wilshire Index returned 8.83%. REITs outperformed the broader U.S. equity market due to their defensive nature, as value stocks rallied. Retail and hotels were the top performing subsectors, while technology and triple net were weakest. (Triple net properties are typically single-tenant retail properties leased to tenants with high credit ratings on “net, net, net” terms, meaning the tenant is responsible for real estate taxes, insurance, and all maintenance.) Retail and hotel REITs benefited from the COVID-19 vaccine rollout and decreased lockdowns. |
| | The Wilshire Index increased 12.75% during the second quarter of 2021. REITs continued to outperform the broader U.S. equity market given their more defensive nature. Self-storage and retail were the top performing subsectors, while hotels and triple net were weakest. Retail REITs continued to recover from their 2020 lows. |
| | During the third quarter of 2021, the Wilshire Index returned 1.64%. Residential, industrial and self-storage were the best performing subsectors, while health care and hotels were the biggest detractors. Self-storage was seen as an especially defensive subsector, historically performing better during market dislocations. Hotel REITs underperformed, as hotel demand weakened amid remote workplace trends and concerns around COVID-19. |
| | The Wilshire Index rose 17.15% during the fourth quarter of 2021, again outperforming the broader U.S. equity market. All REIT subsectors posted positive returns, with the industrial subsector leading the way. Industrial REITs benefited from accelerating e-commerce trends amid the persistent pandemic. |
| | For the Reporting Period overall, the self-storage subsector was strongest, benefiting from increased transiency, driven by demographic shifts, including an aging population and high tax to low tax and urban to suburban trends. The hotel subsector was weakest but still posted positive absolute returns for the Reporting Period as a whole. Hotels suffered from long-lasting lockdowns and decreased travel given the global pandemic. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | While posting robust double-digit absolute returns, the Fund underperformed the Wilshire Index during the Reporting |
7
PORTFOLIO RESULTS
| | Period. Stock selection overall added modest value, while allocation decisions as a whole detracted modestly. Detracting most from the Fund’s relative results was weak stock selection in the industrial and residential subsectors. Having an overweight to the office subsector, which underperformed the Wilshire Index during the Reporting Period, also hurt. Having a position in cash, albeit modest, during a period when the Wilshire Index rallied, further dampened the Fund’s relative results. Largely offsetting these detractors was effective individual stock selection and allocation positioning in the health care subsector. Effective stock selection in the technology subsector and having no exposure to the weakly performing triple net subsector also boosted relative results. |
| Q | | What were some of the Fund’s weakest-performing individual holdings? |
| A | | An overweight position in Americold Realty Trust, an industrial REIT focused on temperature-controlled warehouses, detracted due to a reduction in adjusted funds from operations guidance stemming from two transitory issues. First, labor shortages were creating food production issues, leading, in turn, to lower overall levels of inventory in the food supply. This hurt the REIT’s higher margin storage business. Second, Americold Realty Trust’s own labor costs increased materially during the Reporting Period, as the competition for labor intensified. We believe the inventory issues should alleviate in the next several quarters, as labor challenges in the food production industry ease. The REIT’s labor costs, in our view, are likely to remain elevated, but the company has embarked on a repricing initiative with its current customers that we think can bring margins back to historical levels within the next year. |
| | Shares of Host Hotels & Resorts, a hotel REIT, underperformed the Wilshire Index during the Reporting Period due to investor concerns around the timing and durability of the lodging recovery. The company saw a slow, consistent improvement in fundamentals during the Reporting Period and was aggressive in recycling capital from large gateway city hotels into more leisure-focused assets. At the end of the Reporting Period, we still found both the company’s balance sheet and its valuation attractive. We continued to believe the real question around a lodging recovery was when, not if. |
| | The Fund’s underweight position in Life Storage detracted from relative returns, as the self-storage REIT performed strongly. Also, Life Storage’s shares continued to rally even after we sold the position based on our view there were better relative opportunities elsewhere within the subsector. |
| Q | | What were some of the Fund’s best-performing individual holdings? |
| A | | The Fund’s position in Public Storage, an owner of self-storage facilities for lease on a month-to-month basis, was the top contributor to relative results during the Reporting Period. Public Storage gave forward earnings guidance for the first time in the company’s 25-year history, driving strong performance for the company. Its strong performance was also driven by appreciation in storage operating fundamentals, as occupancies and pricing remained at strong levels. Indeed, storage fundamentals were solid, with exceptional demand, driven by COVID-19-related trends and a strong housing market, coming up against supply that was leveling off. This led to record occupancy and pricing power. At the end of the Reporting Period, we expected these levels to moderate going forward. However, we felt they were still likely to produce results ahead of market expectations. We believed there remained company-specific catalysts — in the form of balance sheet optimization and better communication with investors — that could drive continued strong performance. |
| | Simon Property Group, an owner and operator of U.S. retail real estate properties, was also a top contributor to Fund returns during the Reporting Period. Demand for Simon Property Group’s assets was stronger than market participants anticipated, which led to improved occupancy within the REIT’s portfolio. The stock began 2021 with a low valuation, given modest expectations for fundamental improvement in the company’s assets. This helped fuel a powerful recovery in its share price, as Simon Property Group continued to beat market expectations. At the end of the Reporting Period, we remained favorable on Simon Property Group and believed the company has a top-tier portfolio of assets as well as one of the strongest balance sheets relative to its peers. Additionally, we believed its management team was effectively focused on allocating capital over time. |
| | | Camden Property Trust, a large apartment owner, with assets primarily concentrated in the Sunbelt markets, also contributed positively to the Fund’s results during the Reporting Period. As the U.S. has seen migration into these cities and markets during the past couple of years, partially accelerated by the COVID-19 pandemic, Camden Property Trust has been able to achieve both strong occupancy and high rental rate growth. The demand backdrop for for-rent assets was strong given high single-family home sale prices |
8
PORTFOLIO RESULTS
| | and limited supply, coupled with ongoing job and wage growth, particularly in the Sunbelt markets. This created a loss to lease — that is, in-place rental rates versus market rates — for Camden Property Trust’s portfolio. In our view, Camden Property Trust may well be able to capture this upside in earnings over the next couple of years, even if market rent growth substantially slows going forward. At the end of the Reporting Period, we also believed the company’s development pipeline was a relative advantage versus its peers, augmenting its overall earnings growth potential in the coming years. In our view, its management is one of the most tenured in the subsector and has a strong track record of operational and capital allocation execution. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund did not use derivatives during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | During the Reporting Period, we established a Fund position in Site Centers, an owner of open-air retail assets across the U.S., primarily power center/bigger box properties. As demand from larger footplate tenants increased, Site Center’s leasing activity benefited, and the leased percentage in its portfolios increased throughout the Reporting Period more than the market anticipated. |
| | We initiated a Fund position in DigitalBridge Group, which is a transition story away from legacy assets into digital infrastructure. It has a portfolio of operating businesses, and the company benefits, in our view, from a leading investment management business focused on the digital infrastructure space, which has seen a strong inflow of capital seeking to invest in direct assets. |
| | Conversely, in addition to the sale of Life Storage, already mentioned, we sold the Fund’s position in CyrusOne, a data center REIT, as it was going through a period of significant management churn, or turnover. We felt this would affect the momentum of sales and leasing of its data centers, and so we opted to exit the position. |
| Q | | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | | In constructing the Fund’s portfolio, we focus on picking securities rather than on making real estate subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its real estate subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to the office and technology subsectors increased relative to the Wilshire Index and its exposure to the residential and health care subsectors decreased relative to the Wilshire Index. |
| Q | | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | | From a subsector perspective, the Fund had overweighted exposure compared to the Wilshire Index in the technology and hotel subsectors and had underweighted exposure compared to the Wilshire Index in the residential, retail and health care subsectors. The Fund was rather neutrally weighted in the remaining subsectors of the Wilshire Index at the end of the Reporting Period, with the exception of the triple net subsector to which the Fund had no exposure at the end of the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | In April 2021, portfolio manager Nora Creedon assumed a new role working across the firm’s private Real Estate and Alternatives Capital Markets & Strategy business globally. Nora’s portfolio management responsibility for the Fund were assumed by existing portfolio managers Kristin Kuney and Tim Ryan. By design, all investment decisions for the Fund are performed within a team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. |
| Q | | What is the Fund’s tactical view and strategy for the months ahead? |
| A | | In the macroeconomic backdrop of record low interest rates, lower expected equity returns and higher uncertainty about the future that existed at the end of the Reporting Period, the real estate sector, especially publicly-traded REITs, stood out, in our opinion. With the potential for attractive yield and secular growth, along with acting as a hedge against inflation and higher taxes, real estate provides potential solutions facing today’s investors. |
| | | More specifically, in today’s low interest rate environment, the yield REITs offer is usually meaningfully higher than traditional bonds and global equities. Those REITS that were |
9
PORTFOLIO RESULTS
| | forced to cut dividends in 2020 were concentrated in the COVID-19-impacted subsectors of retail, hotels and senior housing. By the end of the Reporting Period, we saw some signs of improvements in some of these subsectors and believed REIT yields would potentially be more stable in 2022 due to growth prospects widening, certain impacted subsectors recovering, and a higher likelihood of dividend increases. |
| | In our view, secular growth winners may be the more modern subsectors acting as disruptors as a result of ongoing technological innovation, compared with other areas we view as cyclical recovery beneficiaries benefiting from an accelerated economic reopening in the wake of the pandemic. Potential beneficiaries from secular growth may include those focused on digitization, e-commerce, biotechnology innovation, population growth and increased transiency. Cyclical recovery potential beneficiaries may include those property types focused on experiences over things, demographic shifts and aging populations. |
| | | Further, unlike bonds, we believed REITs stood to benefit in an inflationary environment since rents can be reset higher to reflect higher consumer prices as long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This has limited the amount of new development projects, redirecting demand to existing assets, making them more valuable and driving rents higher still. |
| | Overall, we believe REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe attractive opportunities may be found across the sector, as various property subsectors could offer wide dispersions in returns. As fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound capital allocation strategy. |
| | | Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the Wilshire Index. |
10
FUND BASICS
Real Estate Securities Fund
as of December 31, 2021
| | | | | | | | |
| | TOP TEN HOLDINGS AS OF 12/31/211 |
| | | | |
| | | Holding | | % of Net Assets | | Line of Business | | Country |
| | | | |
| | Prologis, Inc. REIT | | 9.9% | | Industrial | | United States |
| | Equinix, Inc. REIT | | 8.4 | | Specialized | | United States |
| | Public Storage REIT | | 7.0 | | Specialized | | United States |
| | Simon Property Group, Inc. REIT | | 4.8 | | Retail | | United States |
| | AvalonBay Communities, Inc. REIT | | 4.5 | | Residential | | United States |
| | Alexandria Real Estate Equities, Inc. REIT | | 3.9 | | Office | | United States |
| | Duke Realty Corp. REIT | | 3.7 | | Industrial | | United States |
| | Invitation Homes, Inc. REIT | | 3.6 | | Residential | | United States |
| | Essex Property Trust, Inc. REIT | | 3.3 | | Residential | | United States |
| | | Digital Realty Trust, Inc. REIT | | 3.2 | | Specialized | | United States |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND VS. BENCHMARK SECTOR ALLOCATION2 |
|
| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph excludes investments in the Goldman Sachs Financial Square Government Fund — Institutional Shares, which represents 0.9% of the Fund’s net assets at December 31, 2021. |
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.
11
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Wilshire U.S. Real Estate Securities Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Real Estate Securities Fund’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 44.33% | | | | 10.02% | | | 10.41% | | — |
Including sales charges | | | 36.42% | | | | 8.78% | | | 9.79% | | — |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 43.12% | | | | 9.20% | | | 9.59% | | — |
Including contingent deferred sales charges | | | 42.05% | | | | 9.20% | | | 9.59% | | — |
|
Institutional | | | 44.74% | | | | 10.44% | | | 10.85% | | — |
|
Service | | | 44.13% | | | | 9.90% | | | 10.29% | | — |
|
Investor | | | 44.58% | | | | 10.29% | | | 10.69% | | — |
|
Class R6 (Commenced July 31, 2015) | | | 44.74% | | | | 10.45% | | | N/A | | 9.60% |
|
Class R | | | 43.82% | | | | 9.74% | | | 10.14% | | — |
|
Class P (Commenced April 17, 2018) | | | 44.79% | | | | N/A | | | N/A | | 15.57% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
12
PORTFOLIO RESULTS
Goldman Sachs Global Real Estate Securities Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs Global Real Estate Securities Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 25.92%, 25.01%, 26.38%, 26.20%, 26.45%, 25.56% and 26.48%, respectively. These returns compare to the 26.42% average annual total return of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (USD, net) (the “FTSE Index”) during the same period. |
| Q | | Which countries’ real estate markets most influenced the global real estate securities market as a whole during the Reporting Period? |
| A | | For the Reporting Period overall, the global real estate securities market, as measured by the FTSE Index, returned 26.42%. For the Reporting Period as a whole, the U.S., Canada and the U.K. were the strongest performing real estate markets, each generating a robust double-digit positive absolute return. Singapore, Japan and Hong Kong also posted positive absolute returns but were among the weakest real estate markets in the FTSE Index during the Reporting Period. India is not a constituent of the FTSE Index but also proved to be among the weakest real estate markets during the Reporting Period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund posted double-digit positive absolute returns that performed in line with the FTSE Index during the Reporting Period. Stock selection overall detracted but was offset by country allocation and subsector allocation decisions as a whole, which contributed positively. |
| | | From a country perspective, stock selection in the U.S. contributed most positively by a significant degree. Having |
| | an overweight to the U.S. and an underweight to Singapore also added value. Detracting most from relative results was stock selection in Hong Kong, Japan and continental Europe. There were no significant detractors as measured by country allocation during the Reporting Period. |
| | | From a subsector perspective, stock selection in retail, office and health care contributed most positively to the Fund’s relative results during the Reporting Period. Having overweighted allocations to the self-storage and industrial subsectors, the two strongest subsectors in the FTSE Index during the Reporting Period, further boosted the Fund’s relative performance. Detracting most from relative results was stock selection and allocation positioning in the hotel, technology and residential subsectors. |
| Q | | What were some of the Fund’s best-performing individual holdings? |
| A | | Camden Property Trust, a large U.S.-based apartment owner, with assets primarily concentrated in the Sunbelt markets, contributed most positively to the Fund’s results during the Reporting Period. As the U.S. has seen migration into these cities and markets during the past couple of years, partially accelerated by the COVID-19 pandemic, Camden Property Trust has been able to achieve both strong occupancy and high rental rate growth. The demand backdrop for for-rent assets was strong given high single-family home sale prices and limited supply, coupled with ongoing job and wage growth, particularly in the Sunbelt markets. This created a loss to lease — that is, in-place rental rates versus market rates — for Camden Property Trust’s portfolio. In our view, Camden Property Trust may well be able to capture this upside in earnings over the next couple of years, even if market rent growth substantially slows going forward. At the end of the Reporting Period, we also believed the company’s development pipeline was a relative advantage versus its peers, augmenting its overall earnings growth potential in the |
13
PORTFOLIO RESULTS
| | coming years. In our view, its management is one of the most tenured in the subsector and has a strong track record of operational and capital allocation execution. |
| | | The Fund’s position in Public Storage, a U.S.-based owner of self-storage facilities for lease on a month-to-month basis, was also a top contributor to relative results during the Reporting Period. Public Storage gave forward earnings guidance for the first time in the company’s 25-year history, driving strong performance for the company. Its strong performance was also driven by appreciation in storage operating fundamentals, as occupancies and pricing remained at strong levels. Indeed, storage fundamentals were solid, with exceptional demand, driven by COVID-19-related trends and a strong housing market, coming up against supply that was leveling off. This led to record occupancy and pricing power. At the end of the Reporting Period, we expected these levels to moderate going forward. However, we felt they were still likely to produce results ahead of market expectations. We believed there remained company-specific catalysts — in the form of balance sheet optimization and better communication with investors — that could drive continued strong performance. |
| | | CubeSmart, another U.S.-based owner of self-storage facilities for lease on a month-to-month basis, was similarly rewarded during the Reporting Period as fundamentals in the self-storage subsector appreciated. Storage fundamentals were solid, with exceptional demand, driven by COVID-19-related demand and a strong housing market, coming up against supply that was leveling off. This led to record occupancy and pricing power. At the end of the Reporting Period, we thought CubeSmart’s exposure to the New York City market could help drive future strong performance, as we viewed the market favorably over the next two to three years. |
| Q | | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | The Fund’s out-of-FTSE Index position in GDS Holdings, a data center owner in China, detracted most from its relative results during the Reporting Period. GDS Holdings suffered from a broad-based growth de-rating of Internet stocks in China that was prompted by the Chinese central government’s tightening against Internet giants’ monopoly, data privacy and security as well as its promotion to carbon reduction for the long term and power rationing for the short term. These government policies exerted some move-in delays among GDS Holdings’ customers, even as new sales of GDS Holdings’ data center pipeline remained strong. GDS Holdings also maintained solid 2021 earnings before interest, taxes, depreciation and amortization (“EBITDA”) and capital expenditure growth guidance. At the end of the Reporting Period, we continued to expect China’s growth of data and cloud usage, stemming from digitization from consumers and enterprises, to remain unaffected by these regulations. In our view, GDS Holdings has a high quality management team and among the highest quality data centers at or new China’s gateway cities. |
| | | Another significant detractor from the Fund’s relative results during the Reporting Period was Vonovia, the Germany-based largest listed European residential landlord. Vonovia had strong underlying fundamental performance, with the business having little, if any, impact from the COVID-19 pandemic. However, Vonovia entered into an agreement to take over the second largest residential landlord in Germany, Deutsche Wohnen, and consequently issued a large amount of equity to fund the purchase. This dynamic led to underperformance in Vonovia’s stock. Still, at the end of the Reporting Period, we continued to find Vonovia’s valuation and fundamentals attractive. |
| | | The Fund’s position in Swire Properties, a company that focused on high quality retail and office assets in Hong Kong and top-tier cities in mainland China, also detracted from relative results during the Reporting Period. As Hong Kong assets account for the majority of Swire Properties’ portfolio, the gradual economic reopening in February 2021 and a pickup in activities helped its performance. However, such support was more than offset by the effects of limited cross-border reopening, which is critical for both cross-border consumption and possibly some revival of office leasing activities, driving the company’s underperformance of the FTSE Index during the Reporting Period as a whole. At the end of the Reporting Period, we remained constructive on Swire Properties given our view of its valuation, high quality assets and management team. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund did not use derivatives during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | During the Reporting Period, we initiated a Fund position in GLP J-REIT, a large-scale logistics warehouse manager in Japan, as we expect strong logistics market fundamentals in Japan driven by e-commerce demand. We also expect strong |
14
PORTFOLIO RESULTS
| | digital processing unit (DPU) growth going forward, supporting companies in the logistics space. (A DPU is a new class of programmable processor.) |
| | | We established a Fund position in Mitsui Fudosan, a large Japan-based diversified real estate landlord and developer focusing on Tokyo offices and retail facilities. We purchased the shares based on our expectation of its relatively higher earnings recovery from the COVID-19 pandemic going forward and based on our view of its valuation. |
| | | Conversely, we sold the Fund’s position in Mitsui Fudosan Logistics Park, a logistics-focused Japanese REIT sponsored by the largest Japanese diversified real estate developer, Mitsui Fudosan, mentioned above. This sale was based solely on its relative valuation within the logistics space. |
| | | We exited the Fund’s position in CyrusOne, a U.S. data center REIT, as it was going through a period of significant management churn, or turnover. We felt this would affect the momentum of sales and leasing of its data centers, and so we opted to exit the position. |
| Q | | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | | In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, the Fund’s exposure to continental Europe, Japan and the U.K. increased relative to the FTSE Index and its exposure to the U.S. decreased relative to the FTSE Index during the Reporting Period. |
| Q | | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | | From a region/country perspective, the Fund was overweighted relative to the FTSE Index in the UK and China, underweighted relative to the FTSE Index in Sweden, Hong Kong, and Singapore and rather neutrally weighted compared to the FTSE Index in the other constituent regions/countries of the FTSE Index at the end of December 2021. The Fund also had exposure to India at the end of the Reporting Period, which is not a component of the FTSE Index.* |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | In April 2021, portfolio manager Nora Creedon assumed a new role working across the firm’s private Real Estate and Alternatives Capital Markets & Strategy business globally. Kristin Kuney, managing director and portfolio manager for Real Estate and Infrastructure strategies, assumed Nora’s responsibilities as Global Head of Real Estate and Infrastructure. Kristin has more than 20 years of industry experience and has been at the firm since 2000. She joined the Fundamental Equity team in 2004 as a research analyst focused on real estate securities and has worked closely with Nora on these strategies for the last decade. By design, all investment decisions for the Fund are performed within a team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. |
| Q | | What is the Fund’s tactical view and strategy for the months ahead? |
| A | | In the macroeconomic backdrop of record low interest rates, lower expected equity returns and higher uncertainty about the future that existed at the end of the Reporting Period, the real estate sector, especially publicly-traded REITs, stood out, in our opinion. With the potential for attractive yield and secular growth, along with acting as a hedge against inflation and higher taxes, real estate provides potential solutions facing today’s investors. |
| | | Those REITS that were forced to cut dividends in 2020 were concentrated in the COVID-19-impacted subsectors of retail, hotels and senior housing. By the end of the Reporting Period, we saw some signs of improvements in some of these subsectors and believed REIT yields would potentially be more stable in 2022 due to growth prospects widening, certain impacted subsectors recovering, and a higher likelihood of dividend increases. We looked toward higher quality companies globally as near-term strong performers due to their offering of somewhat greater predictability of cash flows in the form of strong balance sheets, secular growth exposure and/or more recurring revenues tied to more durable demand drivers. |
| | *Sector, | | subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the FTSE Index. |
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PORTFOLIO RESULTS
| | | Further, unlike bonds, we believed REITs stood to benefit in an inflationary environment since rents can be reset higher to reflect higher consumer prices as long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This has limited the amount of new development projects, redirecting demand to existing assets, making them more valuable and driving rents higher still. |
| | | With the recent trends of market volatility and uncertainty, especially with the emergence of the Omicron variant of COVID-19, we remain vigilant as we navigate turbulence into the next year. We intend to remain focused on property types exposed to secular growth and those companies acting as disruptors as a result of continued technological innovation compared with other areas that we view as cyclical recovery beneficiaries benefiting from an accelerated economic reopening in the wake of the pandemic. At the end of the Reporting Period, we remained optimistic about the pace and scope of global economic recovery alongside ongoing expansionary monetary and fiscal policies. We will closely monitor the global supply chain as well as inflation trends. Despite uncertainty, we intend to stay true to our quality-first investment approach and seek to invest in businesses with healthy balance sheets, relatively stable cash flows and differentiated business models aligned to secular tailwinds. We continue to test our models and re-evaluate our assumptions with increasing information, stay focused on the long-term investment horizon and believe this fundamental approach can generate strong returns in the long term. |
| | | Overall, we believe global REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe attractive opportunities may be found across the sector, as various property subsectors and geographies could offer wide dispersions in returns. As fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound capital allocation strategy. |
| | | Sector and subsector allocations throughout this shareholder report are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the FTSE Index. |
16
FUND BASICS
Global Real Estate Securities Fund
as of December 31, 2021
| | | | | | | | | | |
| | TOP TEN HOLDINGS AS OF 12/31/211 |
| | | | |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | | | |
| | Prologis, Inc. REIT | | | 4.9 | % | | Industrial | | United States |
| | Public Storage REIT | | | 4.2 | | | Specialized | | United States |
| | Equinix, Inc. REIT | | | 4.1 | | | Specialized | | United States |
| | Vonovia SE | | | 3.7 | | | Real Estate Operating Companies | | Germany |
| | Simon Property Group, Inc. REIT | | | 3.1 | | | Retail | | United States |
| | AvalonBay Communities, Inc. REIT | | | 3.0 | | | Residential | | United States |
| | Alexandria Real Estate Equities, Inc. REIT | | | 2.7 | | | Office | | United States |
| | Invitation Homes, Inc. REIT | | | 2.5 | | | Residential | | United States |
| | Duke Realty Corp. REIT | | | 2.1 | | | Industrial | | United States |
| | | Essex Property Trust, Inc. REIT | | | 2.0 | | | Residential | | United States |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND VS. BENCHMARK COUNTRY ALLOCATION2 |
|
| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall country allocations may differ from percentages contained in the graph above. The graph categorizes investments’ country of domicile as reported by Bloomberg; however, the country/grouping classifications used by the portfolio management team may differ from Bloomberg. The percentage shown for each country reflects the value of investments in that country as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Sector, subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the FTSE Index. The above graph excludes investments in the Goldman Sachs Financial Square Government Fund—Institutional Shares, which represents 1.1% of the Fund’s net assets at December 31, 2021. |
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.
17
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on August 31, 2015 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) (with dividends reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Global Real Estate Securities Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from August 31, 2015 through December 31, 2021.
| | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Since Inception |
Class A (Commenced August 31, 2015) | | | | | | | | | | |
Excluding sales charges | | | 25.92% | | | | 8.03% | | | 7.36% |
Including sales charges | | | 18.96% | | | | 6.83% | | | 6.41% |
|
Class C (Commenced August 31, 2015) | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 25.01% | | | | 7.24% | | | 6.57% |
Including contingent deferred sales charges | | | 23.99% | | | | 7.24% | | | 6.57% |
|
Institutional (Commenced August 31, 2015) | | | 26.38% | | | | 8.45% | | | 7.78% |
|
Investor (Commenced August 31, 2015) | | | 26.20% | | | | 8.32% | | | 7.63% |
|
Class R6 (Commenced August 31, 2015) | | | 26.45% | | | | 8.47% | | | 7.80% |
|
Class R (Commenced August 31, 2015) | | | 25.56% | | | | 7.76% | | | 7.10% |
|
Class P (Commenced April 17, 2018) | | | 26.48% | | | | N/A | | | 9.84% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
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.
18
PORTFOLIO RESULTS
Goldman Sachs Global Infrastructure Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Infrastructure Team discusses the Goldman Sachs Global Infrastructure Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 16.15%, 15.28%, 16.50%, 16.49%, 16.55%, 15.84% and 16.66%, respectively. These returns compare to the 19.87% average annual total return of the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (the “Index”). The Index is intended to measure all sectors of the infrastructure market. |
| Q | | What economic and market factors most influenced global infrastructure companies during the Reporting Period? |
| A | | Global infrastructure securities generated double-digit positive returns during the Reporting Period, with investor sentiment influenced most by the distribution of COVID-19 vaccines, improving economic and employment conditions, rising inflation, higher interest rates, and continued fiscal stimulus and accommodative monetary policies from central banks and governments. |
| | | During the first quarter of 2021, when the Reporting Period began, global infrastructure securities, as measured by the Index, gained 5.33%. The broad global equity market overcame bouts of volatility during the quarter to reach new highs in March. The advance was driven by two key themes — the accelerated rollout of COVID-19 vaccines globally and the ongoing commitment from central banks around the world to support economic recovery. Improving economic growth, normalizing inflation and rising bond yields laid the foundation for the “reflation trade,”1 as investors started to price in a brighter future. As COVID-19 vaccines were distributed around the world, investors’ economic confidence seemed palpable, albeit a little disproportionate, with certain parts of the global equity market outperforming others. Rapid improvement in economic growth pushed up bond yields, which boded well for cyclical sectors, such as financials, industrials, materials and energy, many of which are considered value-oriented. Value stocks outperformed their growth counterparts during the first quarter by more than 1000 basis points, the largest outperformance in more than 20 years. (A basis point is 1/100th of a percentage point.) Meanwhile, investors took a sharp turn away from momentum stocks across the information technology, communication services, health care and consumer discretionary sectors. |
| | | In the second quarter of 2021, global infrastructure securities returned 6.88%. Global equities continued to perform well, as both COVID-19 vaccine availability and distribution continued to increase. The rotation from growth to value stocks took a breather in April, with growth stocks outperforming their value counterparts. Starting in May, equity markets across the world were impacted by rising commodity prices, which stoked fears of earlier than consensus expected interest rate hikes from central banks, particularly the U.S. Federal Reserve (the “Fed”). In June, global equities rallied following a weaker than consensus expected U.S. payrolls report that eased concerns of a potential shift to tighter monetary policy. Overall, discussions during the quarter centered on central bank liquidity tailwinds, fiscal stimulus, COVID-19 vaccine progress, economic reopening momentum, strong corporate profits and robust equity inflows. While inflation concerns were fairly pervasive, the Fed remained consistent in its messaging around expectations that price pressures would be transitory. However, the peak inflation theme gained traction as the quarter progressed, even as economists suggested the transitory period might be longer than initially expected. Corporate earnings season brought another round of outsized |
| | 1 | | Reflation is the inflation that typically comes immediately after a low-point in the economic cycle — often after economic stimulus, and the reflation trade is the purchase of specific stocks or sectors believed to outperform in that type of environment. |
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PORTFOLIO RESULTS
| | beats over consensus estimates, along with corporate commentary highlighting some input pressures offset by above-average pricing power or productivity initiatives. Despite a late-quarter agreement between the White House and a bipartisan group of Senators on the framework of a physical infrastructure package, the path to additional fiscal stimulus remained complicated. |
| | | In the third quarter of 2021, global infrastructure securities declined 0.94%. The global equity market delivered strong returns during the first half of the quarter, continuing the trend from the second quarter, with additional focus on positive corporate earnings and accommodative monetary policies. Excess savings from fiscal stimulus packages, along with pent-up consumer demand, pushed up equity inflows, helping companies perform well and display resilient operating margins. Removal of emergency measures previously imposed around the world, increased COVID-19 vaccinations and vaccine efficacy, an increase in corporate stock buybacks, and better than consensus expected unemployment rates further supported the global equity market’s momentum and addressed investor concerns about higher inflation rates and lower than consensus expected manufacturing activities. However, global equities retreated in the second half of the quarter, primarily due to the Fed’s announcements around the tapering of its monthly asset purchase program. This led to a rise in interest rates. The market decline was further aggravated by halts in global manufacturing activities because of supply-chain disruptions and semiconductor shortages in addition to power cuts and energy crises around the world. Regulations imposed by the Chinese government on certain key sectors, with a focus on data privacy and technology utilization, led to increased investor pessimism about Chinese stocks, which was worsened by a debt crisis at one of China’s largest property developers and by the spread of the Delta variant, which dampened China’s economic reopening momentum. |
| | | Global infrastructure securities gained 7.49% during the fourth quarter of 2021. Despite the emergence of the Omicron variant of COVID-19, which rattled investors near the end of November, the global equity market finished the calendar year on a high note. Omicron was responsible for record case counts in many population centers, but studies showed the new variant was usually accompanied by milder symptoms than previous variants. The U.S. Center for Disease Control lowered its isolation recommendation from 10 days to five days for asymptomatic COVID-19 infections. Meanwhile, supply-chain issues and shortages continued to put pressure on corporate earnings power. In political news, the U.S. President signed into law a $1.2 trillion infrastructure bill. On the economic data front, inflation remained elevated, with the Fed walking back its use of the word “transitory” in describing the inflationary environment. The Fed, which began tapering its asset purchase program in December, subsequently decided to double its pace so as to end quantitative easing during March 2022. Fed policymakers also indicated there was the possibility of three interest rate hikes in 2022. |
| | | For the Reporting Period overall, the global infrastructure market, as measured by the Index, posted an average annual total return of 19.87%. In terms of absolute return, the U.S. and Canada were the best performing markets in the Index. Japan, followed at some distance by Hong Kong, were the worst performers. Among market sectors, energy infrastructure, communications infrastructure, utilities and transportation infrastructure all generated positive absolute returns during the Reporting Period.2 |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | While the Fund posted double-digit positive absolute returns, it underperformed the Index on a relative basis. The Fund was hurt by an underweight relative to the Index in the energy infrastructure sector. In addition, as global infrastructure securities recorded gains during the Reporting Period, the Fund’s small cash position detracted from performance. On the positive side, underweight positions in the utilities and transportation infrastructure sectors and an overweight in the communications infrastructure sector added to relative returns. |
| | | Security selection was negative overall, with stock picks in all four sectors detracting from the Fund’s relative performance during the Reporting Period. |
| | | Among countries, the Fund benefited from its lack of exposure to Japan. Stock selection in France was also advantageous. Conversely, the Fund was hurt by underweight positions and stock selection in Canada and Italy. |
| | 2 | | Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector allocations used by the Index. |
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PORTFOLIO RESULTS
| Q | | What individual holdings detracted most from the Fund’s relative performance during the Reporting Period? |
| A | | During the Reporting Period, the top detractors from the Fund’s performance versus the Index were Boralex, Northland Power and Orsted. |
| | | Boralex detracted most from the Fund’s relative performance during the Reporting Period. The Canadian power producer, which focuses on the development and operation of renewable energy power stations, is primarily an onshore wind asset owner but also has hydroelectric facilities and a growing solar portfolio. Like many of its renewable peers, Boralex’s shares retreated during the Reporting Period after especially strong performance in 2020. At the end of the Reporting Period, we continued to view Boralex as a compelling growth investment given what we saw as its strong development track record in North America and Europe. |
| | | Northland Power is a power producer that generates electricity from clean natural gas and renewable energy sources. After especially strong performance in 2020, Northland Power — along with other clean energy stocks — weakened during the Reporting Period. Nevertheless, we thought the company continued to offer top-tier scale and growth in the clean energy space, and at the end of the Reporting Period, we believed its shares may outperform in the long term as it executes on its growth portfolio. |
| | | Orsted is the global leader in the development and operation of offshore wind farms. Its shares declined during the Reporting Period as investors rotated away from clean energy companies toward traditional energy stocks amid a rally in commodity prices. As the Reporting Period ended, we thought the need for offshore wind farms was stronger than ever, and we believed the growth prospects for market leaders like Orsted were substantial. |
| Q | | What individual holdings added most to the Fund’s relative performance during the Reporting Period? |
| A | | Targa Resources, Cheniere Energy and KunLun Energy were the leading positive contributors to the Fund’s relative performance during the Reporting Period. |
| | | The Fund’s top contributor was Targa Resources, a midstream3 provider of natural gas and natural gas liquids services. A strong commodity tailwind helped drive positive investor sentiment for Targa Resources, as U.S. production growth expectations rebounded strongly. The commodity price recovery also served to increase earnings on the company’s commodity-indexed contracts as well as improve its volume outlook on higher consensus expected drilling activity. In our view at the end of the Reporting Period, Targa Resources was well positioned to capitalize on long-term production growth in the Permian Basin. |
| | | Cheniere Energy is an exporter of liquefied natural gas (“LNG”). As the global economy continued to recover from the COVID-19 shock, LNG demand recovered sharply too, which, in turn, drove up prices in Asia and Europe. The increase in demand, combined with subdued U.S. natural gas prices, widened U.S. LNG export arbitrage4 and improved Cheniere Energy’s outlook for future contracts. Given the company’s geographical location, scale and early mover advantage, we believed at the end of the Reporting Period that Cheniere Energy would likely be the partner of choice for businesses seeking to source competitively priced LNG. |
| | | KunLun Energy is a Hong Kong-listed natural gas company. KunLun Energy outperformed its Chinese gas utility peers, as it completed the disposal of its gas pipeline business at an attractive valuation in the second quarter of 2021 and returned 50% of the proceeds to shareholders as a special dividend. The company then focused on growing its city gas distribution5 business and continued to re-rate6 throughout the Reporting Period as it reported strong results for the first half of 2021. Its management said it planned to use the majority of the remaining cash proceeds for city gas distribution-related mergers and acquisitions. In our view, this effort should drive strong growth in the medium term and drive further re-rating, given that the stock continued to trade at a discount to its main city gas peers at the end of the Reporting Period. |
| | 3 | | 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. |
| | 4 | | LNG arbitrage refers to a physical cargo diversion from one market to another that offers a higher price. |
| | 5 | | City gas distribution refers to the transportation or distribution of natural gas to consumers in domestic, commercial or industrial and transport sectors through a network of pipelines. |
| | 6 | | Re-rating in the stock market means that investors are willing to pay a higher price for shares, anticipating higher earnings in the future. |
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PORTFOLIO RESULTS
| Q | | Were there any notable purchases or sales during the Reporting Period? |
| A | | Among the Fund’s notable purchases during the Reporting Period was a position in Northland Power, mentioned earlier. In our view, the company’s focus on offshore wind generation, an area we consider to be a massive global opportunity, sets the stock up for potential long-term outperformance. |
| | | We initiated a Fund position in Keyera, an independent natural gas and natural gas liquids midstream company that operates in western Canada. We believe the company is well positioned to benefit from the continued normalization of crude oil and natural gas demand as the impact of the COVID-19 pandemic on the global economy continues to decline. Specifically, we think Keyera will continue to benefit from improvement in prices at AECO7 Hub as producers ramp up volume on the company’s gathering and processing systems. Lastly, Keyera’s leverage and free cash flow profile may have a positive impact on the stock’s performance once some of the company’s large growth projects become operational in 2022-2023. |
| | | Conversely, key sales included the Fund’s positions in Terna, which operates Italy’s electricity network, and Severn Trent, a provider of water and wastewater treatment in parts of the U.K. In our opinion, there were more attractive investment opportunities, driven by relative valuations, in other parts of the utilities sector. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund did not use derivatives or similar instruments within its investment process during the Reporting Period. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | In constructing the Fund’s portfolio, we focus on picking securities rather than on making sector, subsector or country bets. We seek to outpace the Index by overweighting securities we expect to outperform and underweighting those that we think may lag. Consequently, changes in the Fund’s sector or country weights are generally the direct result of individual security selection and/or the appreciation or depreciation of particular Fund holdings. That said, during |
| | the Reporting Period, the Fund’s overweight relative to the Index in energy infrastructure increased. More specifically, we added to the Fund’s investments in “C” corporations, even as we eliminated its exposure to energy master limited partnerships. Within transportation infrastructure, the Fund grew slightly more underweight, as we reduced its holdings of toll roads. Finally, the Fund’s underweight in utilities decreased as we added investments in diversified utilities and “C” corporations. At the same time, we trimmed the Fund’s holdings of water utilities. |
| | | From a country perspective, compared to the Index, the Fund’s overweight positions in France and the U.S. increased. The Fund shifted from an overweight in Italy and an underweight in Spain to rather neutral positions. In addition, at the beginning of the Reporting Period, the Fund had no exposure to Germany but became rather neutrally positioned compared to the Index as we added investments in that country. After we exited positions in Japan, the Fund no longer had exposure to that country at the end of the Reporting Period. Finally, the Fund’s cash position decreased during the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Effective April 8, 2021, Nora Creedon no longer served as a portfolio manager for the Fund and Abhinav Zutshi became a portfolio manager for the Fund. At the end of the Reporting Period, Kristin Kuney and Abhinav Zutshi were portfolio managers for the Fund. By design, all investment decisions for the Fund are performed within a team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. |
| Q | | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight relative to the Index in the Equity Real Estate Investment Trusts, Multi-Utilities, Independent power and renewable electricity produces, and IT Services sub-sectors. It was underweight relative to the Index in the Oil, gas & consumable fuels, electric utilities, transportation infrastructure, gas utilities and water utilities sub-sectors. It was rather neutrally positioned compared to the Index in the construction & engineering, diversified telecommunication services, real estate management & development and chemicals sub-sectors. In geographic terms, the Fund was overweight relative to the Index in France and the U.S., and it was underweight in Canada. The Fund had no exposure to Japan at the end of the Reporting Period. |
| | 7 | | AECO (Alberta Energy Company) Hub is one of the largest natural gas hubs in North America, with substantial production and storage capabilities and an extensive network of export pipelines. |
22
PORTFOLIO RESULTS
| Q | | What is the Fund’s tactical view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we believed global infrastructure companies had attractive growth potential; could benefit from the inflationary environment, higher corporate taxes and greater fiscal spending; and might also play a key role in the global push toward sustainability. |
| | | In our opinion, global infrastructure companies could be secular growth winners, which we defined as companies, or sectors, that function as disruptors due to their continued innovation. We had five reasons for this view at the end of the Reporting Period. First, we saw growing demand for data infrastructure, such as telecommunication towers and data centers, because of increased data usage driven by the transition online during COVID-19 lockdowns and in response to social distancing. Second, e-commerce had fueled demand for industrial infrastructure, which provides the logistics to get packages from the warehouse to the end-consumer. Third, countries and major corporations around the world are seeking to “go green,” and renewable energy companies and utilities are enabling this transition to clean energy. Fourth, the convergence of health care and technology, resulting from the pandemic and an aging population, has boosted demand for health care infrastructure. Fifth, transportation infrastructure could benefit from pent-up demand for travel, which we believed could exceed pre-pandemic levels. |
| | | As for the benefits of an inflationary environment, global infrastructure companies may have lease contracts that are linked to inflation or can be re-set in line with inflation, depending on the length of the lease term. Additionally, with rising raw material and input costs, the value of a company’s existing assets can increase as it becomes more expensive to develop new assets. Regarding corporate taxes, many global infrastructure companies, specifically those structured as real estate investment trusts or utilities, are tax exempt, making them a relative beneficiary if corporate taxes rise. Global infrastructure companies are also likely to benefit from increased spending on infrastructure, which is widely expected to be large and broad across most forms of real assets. In the U.S., the physical infrastructure bill signed into law during November 2021 includes approximately $550 billion in new spending over a five-year period. Elsewhere, the NextGeneration EU, at more than €800 billion, is the largest stimulus package ever financed in Europe and is designed to repair the economic and social damage caused by the COVID-19 pandemic. The agreement also goes beyond traditional physical infrastructure to include biotechnology innovation and other health programs, digital infrastructure, efforts to combat climate change and biodiversity protection. |
| | | Finally, we believe global infrastructure is the backbone of a sustainable world. Countries across the globe are seeking to decarbonize, and major corporations say they are committed to going green. We believe the majority of potential emissions reductions will come from renewable energy companies and utilities that transition to clean energy. In our view, renewable energy will become the world’s primary energy source by 2050 given declining costs and global decarbonization polices. |
| | | At the end of the Reporting Period, we thought these factors provided a compelling backdrop for global infrastructure securities. Broadly speaking, we believed the asset class continued to offer strong return potential, especially compared to equities. |
23
FUND BASICS
Global Infrastructure Fund
as of December 31, 2021
| | | | | | | | | | |
| | TOP 10 HOLDINGS AS OF 12/31/211 |
| | | | |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | | | |
| | American Tower Corp. | | | 10.7 | % | | Equity Real Estate Investment Trusts | | United States |
| | Crown Castle International Corp. | | | 5.8 | | | Equity Real Estate Investment Trusts | | United States |
| | National Grid PLC | | | 5.6 | | | Multi-Utilities | | United Kingdom |
| | Vinci SA | | | 5.3 | | | Construction & Engineering | | France |
| | Enbridge, Inc. | | | 4.8 | | | Oil, Gas & Consumable Fuels | | Canada |
| | Cellnex Telecom SA | | | 3.5 | | | Diversified Telecommunication Services | | Spain |
| | American Water Works Co., Inc. | | | 3.4 | | | Water Utilities | | United States |
| | Cheniere Energy, Inc. | | | 3.2 | | | Oil, Gas & Consumable Fuels | | United States |
| | Transurban Group | | | 2.9 | | | Transportation Infrastructure | | Australia |
| | | Sempra Energy | | | 2.8 | | | Multi-Utilities | | United States |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
| | | | |
| | FUND VS. BENCHMARK SECTOR ALLOCATION2 |
| | |
| | | As of December 31, 2021 | | |
| 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 percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph excludes investments in the Goldman Sachs Financial Square Government Fund — Institutional Shares, which represents 1.6% of the Fund’s net assets at December 31, 2021. 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.
24
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Performance Summary
December 31, 2021
The following graph shows the value, as of December 31, 2021 of a $1,000,000 investment made on June 27, 2016 (commencement of operations) in Class R6 Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (“the Index”) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| Global Infrastructure Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from June 27, 2016 through December 31, 2021.
| | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Since Inception |
Class A (Commenced June 27, 2016) | | | | | | | | | | |
Excluding sales charges | | | 16.15% | | | | 8.30% | | | 7.63% |
Including sales charges | | | 9.73% | | | | 7.08% | | | 6.54% |
|
Class C (Commenced June 27, 2016) | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 15.28% | | | | 7.49% | | | 6.83% |
Including contingent deferred sales charges | | | 14.11% | | | | 7.49% | | | 6.83% |
|
Institutional (Commenced June 27, 2016) | | | 16.50% | | | | 8.70% | | | 8.03% |
|
Investor Class (Commenced June 27, 2016) | | | 16.49% | | | | 8.57% | | | 7.90% |
|
Class R6 (Commenced June 27, 2016) | | | 16.55% | | | | 8.71% | | | 8.04% |
|
Class R (Commenced June 27, 2016) | | | 15.84% | | | | 8.04% | | | 7.37% |
|
Class P (Commenced April 17, 2018) | | | 16.66% | | | | N/A | | | 9.33% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
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.
25
FUND BASICS
Index Definitions:
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
The Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business.
The MSCI EAFE® Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI EAFE® Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI EAFE® Index is unmanaged and the figures for the MSCI EAFE® Index do not include any deduction for fees or expenses.
The FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) is designed to track the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs).
The FTSE EPRA Nareit Developed Ex US Real Estate Index (Net, USD, Unhedged) is a subset of the FTSE EPRA Nareit Developed Index and is designed to track the performance of listed real estate companies and REITS. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs).
The Wilshire U.S. Real Estate Securities Index is an unmanaged market capitalization weighted index comprised of publicly traded REITs and real estate operating companies. The figures do not reflect any fees or expenses.
It is not possible to invest directly in an index.
26
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | |
Description | | Value | |
|
| Common Stocks – 98.6% | |
| Australia – 9.7% | | | |
| | 86,605 | | | Goodman Group REIT (Real Estate) | | $ | 1,669,470 | |
| | 309,900 | | | Ingenia Communities Group REIT (Real Estate) | | | 1,401,996 | |
| | 79,673 | | | NEXTDC Ltd. (Software & Services)* | | | 739,815 | |
| | 422,833 | | | Scentre Group REIT (Real Estate) | | | 972,676 | |
| | | | | | | | |
| | | | | | | 4,783,957 | |
| | |
| Belgium – 1.4% | | | |
| | 14,865 | | | Warehouses De Pauw CVA REIT (Real Estate) | | | 713,437 | |
| | |
| Canada – 8.2% | | | |
| | 21,898 | | | Allied Properties Real Estate Investment Trust REIT (Real Estate) | | | 760,834 | |
| | 27,342 | | | Canadian Apartment Properties REIT (Real Estate) | | | 1,296,041 | |
| | 51,505 | | | Chartwell Retirement Residences (Health Care Equipment & Services) | | | 481,275 | |
| | 8,920 | | | Granite Real Estate Investment Trust REIT (Real Estate) | | | 743,245 | |
| | 40,177 | | | Summit Industrial Income REIT (Real Estate) | | | 746,401 | |
| | | | | | | | |
| | | | | | | 4,027,796 | |
| | |
| China – 3.6% | | | |
| | 678,100 | | | CIFI Holdings Group Co. Ltd. (Real Estate) | | | 407,857 | |
| | 133,600 | | | ESR Cayman Ltd. (Real Estate)*(a) | | | 451,917 | |
| | 7,262 | | | GDS Holdings Ltd. ADR (Software & Services)*(b) | | | 342,476 | |
| | 672,000 | | | Shangri-La Asia Ltd. (Consumer Services)* | | | 561,356 | |
| | | | | | | | |
| | | | | | | 1,763,606 | |
| | |
| France – 4.6% | | | |
| | 9,808 | | | Gecina SA REIT (Real Estate) | | | 1,372,442 | |
| | 38,748 | | | Klepierre SA REIT (Real Estate)* | | | 916,866 | |
| | | | | | | | |
| | | | | | | 2,289,308 | |
| | |
| Germany – 11.1% | | | |
| | 15,676 | | | Instone Real Estate Group SE (Real Estate)(a) | | | 295,422 | |
| | 94,550 | | | Vonovia SE (Real Estate) | | | 5,209,916 | |
| | | | | | | | |
| | | | | | | 5,505,338 | |
| | |
| Hong Kong – 9.5% | | | |
| | 208,000 | | | CK Asset Holdings Ltd. (Real Estate) | | | 1,312,057 | |
| | 111,800 | | | Hongkong Land Holdings Ltd. (Real Estate) | | | 581,317 | |
| | 172,500 | | | Link REIT (Real Estate) | | | 1,519,599 | |
| | 55,475 | | | Sun Hung Kai Properties Ltd. (Real Estate) | | | 673,148 | |
| | 236,000 | | | Swire Properties Ltd. (Real Estate) | | | 591,624 | |
| | | | | | | | |
| | | | | | | 4,677,745 | |
| | |
| Ireland – 0.5% | | | |
| | 55,860 | | | Dalata Hotel Group PLC (Consumer Services)* | | | 236,580 | |
| | |
|
| Common Stocks – (continued) | |
| Japan – 22.3% | | | |
| | 100 | | | Comforia Residential REIT, Inc. REIT (Real Estate) | | | 296,879 | |
| | 718 | | | GLP J REIT (Real Estate) | | | 1,241,076 | |
| | 451 | | | Hulic REIT, Inc. REIT (Real Estate) | | | 678,581 | |
| | 864 | | | Japan Metropolitan Fund Invest REIT (Real Estate) | | | 744,333 | |
| | 44,200 | | | Keihanshin Building Co. Ltd. (Real Estate) | | | 600,443 | |
| | 106 | | | Kenedix Office Investment Corp. REIT (Real Estate) | | | 655,062 | |
| | 160 | | | Kenedix Retail REIT Corp. REIT (Real Estate) | | | 393,703 | |
| | 104,400 | | | Mitsubishi Estate Co. Ltd. (Real Estate) | | | 1,448,288 | |
| | 74,800 | | | Mitsui Fudosan Co. Ltd. (Real Estate) | | | 1,482,594 | |
| | 48 | | | Mitsui Fudosan Logistics Park, Inc. REIT (Real Estate) | | | 269,147 | |
| | 111 | | | Nippon Prologis REIT, Inc. REIT (Real Estate) | | | 392,356 | |
| | 9,100 | | | Open House Group Co. Ltd. (Consumer Durables & Apparel) | | | 475,534 | |
| | 487 | | | Sankei Real Estate, Inc. REIT (Real Estate) | | | 506,196 | |
| | 23,800 | | | Sumitomo Realty & Development Co. Ltd. (Real Estate) | | | 701,644 | |
| | 940 | | | United Urban Investment Corp. REIT (Real Estate) | | | 1,104,779 | |
| | | | | | | | |
| | | | | | | 10,990,615 | |
| | |
| Netherlands – 0.8% | | | |
| | 17,550 | | | CTP NV (Real Estate)(a) | | | 373,639 | |
| | |
| Singapore – 4.8% | | | |
| | 434,200 | | | Ascendas India Trust (Real Estate) | | | 457,008 | |
| | 354,500 | | | Ascendas Real Estate Investment Trust REIT (Real Estate) | | | 776,704 | |
| | 69,825 | | | Capitaland Investment Ltd. (Real Estate)* | | | 176,547 | |
| | 313,000 | | | Keppel DC REIT (Real Estate) | | | 573,590 | |
| | 614,000 | | | Lendlease Global Commercial REIT (Real Estate) | | | 407,917 | |
| | | | | | | | |
| | | | | | | 2,391,766 | |
| | |
| Spain – 2.2% | | | |
| | 10,775 | | | Cellnex Telecom SA (Telecommunication Services)*(a) | | | 624,171 | |
| | 42,550 | | | Merlin Properties Socimi SA REIT (Real Estate) | | | 461,006 | |
| | | | | | | | |
| | | | | | | 1,085,177 | |
| | |
| Sweden – 3.3% | | | |
| | 61,207 | | | Castellum AB (Real Estate) | | | 1,645,870 | |
| | |
| Switzerland – 2.2% | | | |
| | 8,784 | | | PSP Swiss Property AG (Real Estate) | | | 1,094,620 | |
| | |
| United Kingdom – 14.4% | | | |
| | 40,761 | | | Big Yellow Group PLC REIT (Real Estate) | | | 941,788 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
| Shares | | |
Description | | Value | |
|
| Common Stocks – (continued) | |
| United Kingdom – (continued) | | | |
| | 186,896 | | | Capital & Counties Properties PLC REIT (Real Estate) | | $ | 426,945 | |
| | 16,744 | | | Derwent London PLC REIT (Real Estate) | | | 778,951 | |
| | 186,176 | | | Life Science REIT PLC REIT (Real Estate)* | | | 255,149 | |
| | 257,162 | | | LondonMetric Property PLC REIT (Real Estate) | | | 988,306 | |
| | 101,976 | | | Segro PLC REIT (Real Estate) | | | 1,984,631 | |
| | 430,773 | | | Tritax EuroBox PLC (Real Estate)(a) | | | 678,763 | |
| | 70,511 | | | UNITE Group PLC (The) REIT (Real Estate) | | | 1,060,505 | |
| | | | | | | | |
| | | | | | | 7,115,038 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $46,274,391) | | $ | 48,694,492 | |
| | |
| | | | | | | | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company – 1.3%(c) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 636,526 | | | 0.026% | | $ | 636,526 | |
| | (Cost $636,526) | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE |
|
| | (Cost $46,910,917) | | $ | 49,331,018 | |
| | |
| | | | | | | | |
|
| Securities Lending Reinvestment Vehicle – 0.6%(c) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 321,600 | | | 0.026% | | $ | 321,600 | |
| | (Cost $321,600) | |
| | |
| | TOTAL INVESTMENTS – 100.5% | |
| | (Cost $47,232,517) | | $ | 49,652,618 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.5)% | | | (262,272 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 49,390,346 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
* | | Non-income producing security. |
| |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. |
| |
(b) | | All or a portion of security is on loan. |
| |
(c) | | Represents an affiliated issuer. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | |
Description | | Value | |
|
| Common Stocks – 98.7% | |
| Development – 0.3% | |
| | 53,199 | | | WeWork, Inc., Class A*(a) | | $ | 457,511 | |
| | |
| Diversified – 0.7% | |
| | 158,951 | | | DigitalBridge Group, Inc. REIT* | | | 1,324,062 | |
| | |
| Health Care – 8.0% | |
| | 28,491 | | | Healthcare Trust of America, Inc., Class A REIT | | | 951,315 | |
| | 119,472 | | | Healthpeak Properties, Inc. REIT | | | 4,311,744 | |
| | 73,804 | | | Ventas, Inc. REIT | | | 3,772,860 | |
| | 60,237 | | | Welltower, Inc. REIT | | | 5,166,528 | |
| | | | | | | | |
| | | | | | | 14,202,447 | |
| | |
| Hotel – 6.0% | |
| | 244,552 | | | Host Hotels & Resorts, Inc. REIT* | | | 4,252,759 | |
| | 205,837 | | | RLJ Lodging Trust REIT | | | 2,867,310 | |
| | 37,647 | | | Ryman Hospitality Properties, Inc. REIT* | | | 3,462,018 | |
| | | | | | | | |
| | | | | | | 10,582,087 | |
| | |
| Industrial – 18.5% | |
| | 84,487 | | | Americold Realty Trust REIT | | | 2,770,329 | |
| | 99,141 | | | Duke Realty Corp. REIT | | | 6,507,615 | |
| | 18,850 | | | EastGroup Properties, Inc. REIT | | | 4,294,973 | |
| | 104,195 | | | Prologis, Inc. REIT | | | 17,542,270 | |
| | 18,931 | | | Terreno Realty Corp. REIT | | | 1,614,625 | |
| | | | | | | | |
| | | | | | | 32,729,812 | |
| | |
| Office – 9.9% | |
| | 30,880 | | | Alexandria Real Estate Equities, Inc. REIT | | | 6,885,005 | |
| | 29,495 | | | Boston Properties, Inc. REIT | | | 3,397,234 | |
| | 75,275 | | | Cousins Properties, Inc. REIT | | | 3,032,077 | |
| | 15,063 | | | Highwoods Properties, Inc. REIT | | | 671,659 | |
| | 69,337 | | | Hudson Pacific Properties, Inc. REIT | | | 1,713,317 | |
| | 25,594 | | | Kilroy Realty Corp. REIT | | | 1,700,977 | |
| | | | | | | | |
| | | | | | | 17,400,269 | |
| | |
| Residential – 20.6% | |
| | 31,688 | | | AvalonBay Communities, Inc. REIT | | | 8,004,072 | |
| | 28,168 | | | Camden Property Trust REIT | | | 5,033,058 | |
| | 55,618 | | | Equity LifeStyle Properties, Inc. REIT | | | 4,875,474 | |
| | 38,571 | | | Equity Residential REIT | | | 3,490,675 | |
| | 16,695 | | | Essex Property Trust, Inc. REIT | | | 5,880,480 | |
| | 141,849 | | | Invitation Homes, Inc. REIT | | | 6,431,434 | |
| | 13,107 | | | Sun Communities, Inc. REIT | | | 2,752,077 | |
| | | | | | | | |
| | | | | | | 36,467,270 | |
| | |
| Retail – 9.2% | |
| | 20,757 | | | Federal Realty Investment Trust REIT | | | 2,829,594 | |
| | 46,535 | | | Regency Centers Corp. REIT | | | 3,506,412 | |
| | 53,341 | | | Simon Property Group, Inc. REIT | | | 8,522,292 | |
| | 86,607 | | | SITE Centers Corp. REIT | | | 1,370,989 | |
| | | | | | | | |
| | | | | | | 16,229,287 | |
| | |
| Specialized – 25.5% | |
| | 9,309 | | | American Tower Corp. REIT | | | 2,722,883 | |
| | |
| | | | | | | | |
| Shares | | |
Description | | Value | |
|
| Common Stocks – (continued) | |
| Specialized – (continued) | |
| | 71,686 | | | CubeSmart REIT | | $ | 4,079,650 | |
| | 32,292 | | | Digital Realty Trust, Inc. REIT | | | 5,711,486 | |
| | 17,516 | | | Equinix, Inc. REIT | | | 14,815,733 | |
| | 11,772 | | | Extra Space Storage, Inc. REIT | | | 2,669,066 | |
| | 33,075 | | | Public Storage REIT | | | 12,388,572 | |
| | 6,649 | | | SBA Communications Corp. REIT | | | 2,586,594 | |
| | | | | | | | |
| | | | | | | 44,973,984 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $98,918,855) | | $ | 174,366,729 | |
| | |
| | | | | | | | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company – 0.9%(b) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 1,663,941 | | | 0.026% | | $ | 1,663,941 | |
| | (Cost $1,663,941) | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE |
|
| | (Cost $100,582,796) | | $ | 176,030,670 | |
| | |
| | | | | | | | |
|
| Securities Lending Reinvestment Vehicle – 0.1%(b) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 90,000 | | | 0.026% | | $ | 90,000 | |
| | (Cost $90,000) | |
| | |
| | TOTAL INVESTMENTS – 99.7% | |
| | (Cost $100,672,796) | | $ | 176,120,670 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.3% | | | 523,860 | |
| | |
| | NET ASSETS – 100.0% | | $ | 176,644,530 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
* | | Non-income producing security. |
| |
(a) | | All or a portion of security is on loan. |
| |
(b) | | Represents an affiliated issuer. |
| | |
|
Investment Abbreviations: |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | |
Description | | Value | |
|
| Common Stocks – 98.4% | |
| Australia – 3.7% | | | |
| | 81,525 | | | Goodman Group REIT (Real Estate) | | $ | 1,571,543 | |
| | 468,039 | | | Ingenia Communities Group REIT (Real Estate) | | | 2,117,422 | |
| | 174,617 | | | NEXTDC Ltd. (Software & Services)* | | | 1,621,431 | |
| | 558,687 | | | Scentre Group REIT (Real Estate) | | | 1,285,192 | |
| | | | | | | | |
| | | | | | | 6,595,588 | |
| | |
| Belgium – 0.9% | | | |
| | 31,993 | | | Warehouses De Pauw CVA REIT (Real Estate) | | | 1,535,485 | |
| | |
| Canada – 3.1% | | | |
| | 41,577 | | | Canadian Apartment Properties REIT (Real Estate) | | | 1,970,795 | |
| | 132,892 | | | Chartwell Retirement Residences (Health Care Equipment & Services) | | | 1,241,775 | |
| | 16,342 | | | Granite Real Estate Investment Trust REIT (Real Estate) | | | 1,361,672 | |
| | 54,756 | | | Summit Industrial Income REIT (Real Estate) | | | 1,017,246 | |
| | | | | | | | |
| | | | | | | 5,591,488 | |
| | |
| China – 2.3% | | | |
| | 1,786,600 | | | CIFI Holdings Group Co. Ltd. (Real Estate) | | | 1,074,588 | |
| | 359,600 | | | ESR Cayman Ltd. (Real Estate)*(a) | | | 1,216,387 | |
| | 16,251 | | | GDS Holdings Ltd. ADR (Software & Services)*(b) | | | 766,397 | |
| | 1,252,000 | | | Shangri-La Asia Ltd. (Consumer Services)* | | | 1,045,859 | |
| | | | | | | | |
| | | | | | | 4,103,231 | |
| | |
| France – 1.9% | | | |
| | 16,356 | | | Gecina SA REIT (Real Estate) | | | 2,288,709 | |
| | 44,204 | | | Klepierre SA REIT (Real Estate)* | | | 1,045,967 | |
| | | | | | | | |
| | | | | | | 3,334,676 | |
| | |
| Germany – 4.0% | | | |
| | 35,427 | | | Instone Real Estate Group SE (Real Estate)(a) | | | 667,639 | |
| | 118,092 | | | Vonovia SE (Real Estate) | | | 6,507,133 | |
| | | | | | | | |
| | | | | | | 7,174,772 | |
| | |
| Hong Kong – 3.0% | | | |
| | 202,000 | | | CK Asset Holdings Ltd. (Real Estate) | | | 1,274,209 | |
| | 183,800 | | | Hongkong Land Holdings Ltd. (Real Estate) | | | 955,689 | |
| | 201,400 | | | Link REIT (Real Estate) | | | 1,774,187 | |
| | 497,000 | | | Swire Properties Ltd. (Real Estate) | | | 1,245,921 | |
| | | | | | | | |
| | | | | | | 5,250,006 | |
| | |
| Ireland – 0.4% | | | |
| | 176,002 | | | Dalata Hotel Group PLC (Consumer Services)* | | | 745,408 | |
| | |
|
| Common Stocks – (continued) | |
| Japan – 8.4% | | | |
| | 1,307 | | | GLP J REIT (Real Estate) | | | 2,259,174 | |
| | 1,088 | | | Hulic REIT, Inc. REIT (Real Estate) | | | 1,637,020 | |
| | 1,288 | | | Japan Metropolitan Fund Invest REIT (Real Estate) | | | 1,109,607 | |
| | 121,500 | | | Keihanshin Building Co. Ltd. (Real Estate) | | | 1,650,539 | |
| | 265 | | | Kenedix Retail REIT Corp. REIT (Real Estate) | | | 652,070 | |
| | 119,100 | | | Mitsubishi Estate Co. Ltd. (Real Estate) | | | 1,652,214 | |
| | 99,400 | | | Mitsui Fudosan Co. Ltd. (Real Estate) | | | 1,970,185 | |
| | 16,400 | | | Open House Group Co. Ltd. (Consumer Durables & Apparel) | | | 857,007 | |
| | 1,536 | | | Sankei Real Estate, Inc. REIT (Real Estate) | | | 1,596,545 | |
| | 1,323 | | | United Urban Investment Corp. REIT (Real Estate) | | | 1,554,918 | |
| | | | | | | | |
| | | | | | | 14,939,279 | |
| | |
| Netherlands – 0.5% | | | |
| | 39,766 | | | CTP NV (Real Estate)(a) | | | 846,617 | |
| | |
| Singapore – 1.9% | | | |
| | 708,300 | | | Ascendas India Trust (Real Estate) | | | 745,506 | |
| | 734,600 | | | Ascendas Real Estate Investment Trust REIT (Real Estate) | | | 1,609,498 | |
| | 1,544,300 | | | Lendlease Global Commercial REIT (Real Estate) | | | 1,025,972 | |
| | | | | | | | |
| | | | | | | 3,380,976 | |
| | |
| Spain – 1.3% | | | |
| | 20,035 | | | Cellnex Telecom SA (Telecommunication Services)*(a) | | | 1,160,581 | |
| | 109,436 | | | Merlin Properties Socimi SA REIT (Real Estate) | | | 1,185,680 | |
| | | | | | | | |
| | | | | | | 2,346,261 | |
| | |
| Sweden – 1.3% | | | |
| | 88,213 | | | Castellum AB (Real Estate) | | | 2,372,068 | |
| | |
| United Kingdom – 6.7% | | | |
| | 65,304 | | | Big Yellow Group PLC REIT (Real Estate) | | | 1,508,856 | |
| | 363,442 | | | Capital & Counties Properties PLC REIT (Real Estate) | | | 830,246 | |
| | 19,133 | | | Derwent London PLC REIT (Real Estate) | | | 890,091 | |
| | 634,627 | | | Life Science REIT PLC REIT (Real Estate)* | | | 869,737 | |
| | 309,664 | | | LondonMetric Property PLC REIT (Real Estate) | | | 1,190,078 | |
| | 172,504 | | | Segro PLC REIT (Real Estate) | | | 3,357,229 | |
| | 713,811 | | | Tritax EuroBox PLC (Real Estate)(a) | | | 1,124,742 | |
| | 140,033 | | | UNITE Group PLC (The) REIT (Real Estate) | | | 2,106,136 | |
| | | | | | | | |
| | | | | | | 11,877,115 | |
| | |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
| | | | | | | | |
| Shares | | |
Description | | Value | |
|
| Common Stocks – (continued) | |
| United States – 59.0% | | | |
| | 21,742 | | | Alexandria Real Estate Equities, Inc. REIT (Real Estate) | | $ | 4,847,596 | |
| | 5,890 | | | American Tower Corp. REIT (Real Estate) | | | 1,722,825 | |
| | 83,434 | | | Americold Realty Trust REIT (Real Estate) | | | 2,735,801 | |
| | 21,036 | | | AvalonBay Communities, Inc. REIT (Real Estate) | | | 5,313,483 | |
| | 14,978 | | | Boston Properties, Inc. REIT (Real Estate) | | | 1,725,166 | |
| | 19,441 | | | Camden Property Trust REIT (Real Estate) | | | 3,473,718 | |
| | 43,684 | | | Cousins Properties, Inc. REIT (Real Estate) | | | 1,759,591 | |
| | 57,267 | | | CubeSmart REIT (Real Estate) | | | 3,259,065 | |
| | 15,319 | | | Digital Realty Trust, Inc. REIT (Real Estate) | | | 2,709,472 | |
| | 57,313 | | | Duke Realty Corp. REIT (Real Estate) | | | 3,762,025 | |
| | 13,236 | | | EastGroup Properties, Inc. REIT (Real Estate) | | | 3,015,823 | |
| | 8,531 | | | Equinix, Inc. REIT (Real Estate) | | | 7,215,861 | |
| | 34,933 | | | Equity LifeStyle Properties, Inc. REIT (Real Estate) | | | 3,062,227 | |
| | 15,439 | | | Equity Residential REIT (Real Estate) | | | 1,397,229 | |
| | 10,123 | | | Essex Property Trust, Inc. REIT (Real Estate) | | | 3,565,624 | |
| | 15,730 | | | Federal Realty Investment Trust REIT (Real Estate) | | | 2,144,314 | |
| | 84,456 | | | Healthpeak Properties, Inc. REIT (Real Estate) | | | 3,048,017 | |
| | 5,735 | | | Highwoods Properties, Inc. REIT (Real Estate) | | | 255,723 | |
| | 137,978 | | | Host Hotels & Resorts, Inc. REIT (Real Estate)* | | | 2,399,437 | |
| | 35,210 | | | Hudson Pacific Properties, Inc. REIT (Real Estate) | | | 870,039 | |
| | 97,334 | | | Invitation Homes, Inc. REIT (Real Estate) | | | 4,413,124 | |
| | 13,066 | | | Kilroy Realty Corp. REIT (Real Estate) | | | 868,366 | |
| | 21,755 | | | MGM Growth Properties LLC, Class A REIT (Real Estate) | | | 888,692 | |
| | 1,234 | | | Orion Office REIT, Inc. REIT (Real Estate)* | | | 23,039 | |
| | 51,979 | | | Prologis, Inc. REIT (Real Estate) | | | 8,751,184 | |
| | 20,032 | | | Public Storage REIT (Real Estate) | | | 7,503,186 | |
| | 13,158 | | | Realty Income Corp. REIT (Real Estate) | | | 941,981 | |
| | 31,730 | | | Regency Centers Corp. REIT (Real Estate) | | | 2,390,855 | |
| | 140,104 | | | RLJ Lodging Trust REIT (Real Estate) | | | 1,951,649 | |
| | 22,737 | | | Ryman Hospitality Properties, Inc. REIT (Real Estate)* | | | 2,090,894 | |
| | 3,401 | | | SBA Communications Corp. REIT (Real Estate) | | | 1,323,057 | |
| | 34,887 | | | Simon Property Group, Inc. REIT (Real Estate) | | | 5,573,896 | |
| | 54,230 | | | SITE Centers Corp. REIT (Real Estate) | | | 858,461 | |
| | |
|
| Common Stocks – (continued) | |
| United States – (continued) | | | |
| | 30,049 | | | STORE Capital Corp. REIT (Real Estate) | | | 1,033,686 | |
| | 4,666 | | | Sun Communities, Inc. REIT (Real Estate) | | | 979,720 | |
| | 15,768 | | | Terreno Realty Corp. REIT (Real Estate) | | | 1,344,853 | |
| | 51,181 | | | Ventas, Inc. REIT (Real Estate) | | | 2,616,373 | |
| | 31,754 | | | Welltower, Inc. REIT (Real Estate) | | | 2,723,541 | |
| | 32,628 | | | WeWork, Inc., Class A (Real Estate)*(b) | | | 280,601 | |
| | | | | | | | |
| | | | | | | 104,840,194 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $128,128,052) | | $ | 174,933,164 | |
| | |
| | |
| | | | | | | | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company – 1.1%(c) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 1,903,476 | | | 0.026% | | $ | 1,903,476 | |
| | (Cost $1,903,476) | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE |
|
| | (Cost $130,031,528) | | $ | 176,836,640 | |
| | |
| | | | | | | | |
|
| Securities Lending Reinvestment Vehicle – 0.6%(c) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 1,017,300 | | | 0.026% | | $ | 1,017,300 | |
| | (Cost $1,017,300) | |
| | |
| | TOTAL INVESTMENTS – 100.1% | |
| | (Cost $131,048,828) | | $ | 177,853,940 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.1)% | | | (200,889 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 177,653,051 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
* | | Non-income producing security. |
| |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. |
| |
(b) | | All or a portion of security is on loan. |
| |
(c) | | Represents an affiliated issuer. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | | Description | |
Value | |
|
| Common Stocks – 97.6% | |
| Australia – 5.0% | | | |
| | 521,992 | | | APA Group (Gas Utilities) | | $ | 3,818,784 | |
| | 242,048 | | | NEXTDC Ltd. (IT Services)* | | | 2,247,570 | |
| | 858,358 | | | Transurban Group (Transportation Infrastructure) | | | 8,621,608 | |
| | | | | | | | |
| | | | | | | 14,687,962 | |
| | |
| Canada – 12.5% | | | |
| | 49,661 | | | Boralex, Inc., Class A (Independent Power and Renewable Electricity Producers) | | | 1,361,511 | |
| | 360,971 | | | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | | | 14,099,828 | |
| | 60,088 | | | Fortis, Inc. (Electric Utilities) | | | 2,899,064 | |
| | 131,073 | | | Keyera Corp. (Oil, Gas & Consumable Fuels) | | | 2,956,253 | |
| | 107,333 | | | Northland Power, Inc. (Independent Power and Renewable Electricity Producers) | | | 3,220,117 | |
| | 205,263 | | | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | | | 6,226,287 | |
| | 132,012 | | | TC Energy Corp. (Oil, Gas & Consumable Fuels) | | | 6,139,583 | |
| | | | | | | | |
| | | | | | | 36,902,643 | |
| | |
| China – 3.5% | | | |
| | 249,500 | | | ENN Energy Holdings Ltd. (Gas Utilities) | | | 4,703,503 | |
| | 23,041 | | | GDS Holdings Ltd. ADR (IT Services)* | | | 1,086,614 | |
| | 1,126,000 | | | Guangdong Investment Ltd. (Water Utilities) | | | 1,431,333 | |
| | 1,486,000 | | | Jiangsu Expressway Co. Ltd., Class H (Transportation Infrastructure) | | | 1,521,935 | |
| | 1,572,000 | | | Kunlun Energy Co. Ltd. (Gas Utilities) | | | 1,475,052 | |
| | | | | | | | |
| | | | | | | 10,218,437 | |
| | |
| Denmark – 0.6% | | | |
| | 13,404 | | | Orsted A/S (Electric Utilities)(a) | | | 1,716,611 | |
| | |
| France – 7.5% | | | |
| | 17,299 | | | Aeroports de Paris (Transportation Infrastructure)* | | | 2,231,637 | |
| | 200,320 | | | Engie SA (Multi-Utilities) | | | 2,965,819 | |
| | 41,359 | | | Veolia Environnement SA (Multi-Utilities) | | | 1,518,866 | |
| | 147,363 | | | Vinci SA (Construction & Engineering) | | | 15,563,735 | |
| | | | | | | | |
| | | | | | | 22,280,057 | |
| | |
| Germany – 0.8% | | | |
| | 40,394 | | | Vonovia SE (Real Estate Management & Development) | | | 2,225,800 | |
| | |
| Hong Kong – 0.8% | | | |
| | 1,534,619 | | | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | | | 2,393,645 | |
| | |
|
| Common Stocks – (continued) | |
| Italy – 2.7% | | | |
| | 112,599 | | | Atlantia SpA (Transportation Infrastructure)* | | | 2,234,168 | |
| | 511,345 | | | Enav SpA (Transportation Infrastructure)*(a) | | | 2,288,902 | |
| | 416,556 | | | Enel SpA (Electric Utilities) | | | 3,330,821 | |
| | | | | | | | |
| | | | | | | 7,853,891 | |
| | |
| Spain – 5.7% | | | |
| | 27,508 | | | Aena SME SA (Transportation Infrastructure)*(a) | | | 4,332,073 | |
| | 175,936 | | | Cellnex Telecom SA (Diversified Telecommunication Services)*(a) | | | 10,191,562 | |
| | 192,287 | | | Iberdrola SA (Electric Utilities) | | | 2,276,677 | |
| | | | | | | | |
| | | | | | | 16,800,312 | |
| | |
| Thailand – 0.6% | | | |
| | 1,030,200 | | | Airports of Thailand PCL (Transportation Infrastructure)* | | | 1,875,900 | |
| | |
| United Kingdom – 7.0% | | | |
| | 1,063,972 | | | Life Science REIT PLC (Equity Real Estate Investment Trusts (REITs))* | | | 1,458,142 | |
| | 4,689 | | | Linde PLC (Chemicals) | | | 1,624,410 | |
| | 1,138,341 | | | National Grid PLC (Multi-Utilities) | | | 16,414,081 | |
| | 836,383 | | | Tritax EuroBox PLC (Equity Real Estate Investment Trusts)(a) | | | 1,317,876 | |
| | | | | | | | |
| | | | | | | 20,814,509 | |
| | |
| United States – 50.9% | | | |
| | 115,382 | | | AES Corp. (The) (Independent Power and Renewable Electricity Producers) | | | 2,803,782 | |
| | 35,106 | | | Ameren Corp. (Multi-Utilities) | | | 3,124,785 | |
| | 107,788 | | | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | | | 31,527,990 | |
| | 52,466 | | | American Water Works Co., Inc. (Water Utilities) | | | 9,908,729 | |
| | 68,328 | | | Archaea Energy, Inc. (Oil, Gas & Consumable Fuels)* | | | 1,249,036 | |
| | 50,748 | | | Atmos Energy Corp. (Gas Utilities) | | | 5,316,868 | |
| | 184,769 | | | CenterPoint Energy, Inc. (Multi-Utilities) | | | 5,156,903 | |
| | 93,400 | | | Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | | | 9,472,628 | |
| | 57,590 | | | CMS Energy Corp. (Multi-Utilities) | | | 3,746,229 | |
| | 32,100 | | | Consolidated Edison, Inc. (Multi-Utilities) | | | 2,738,772 | |
| | 82,023 | | | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | | | 17,121,481 | |
| | 67,431 | | | Edison International (Electric Utilities) | | | 4,602,166 | |
| | 3,585 | | | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | | | 3,032,336 | |
| | 59,381 | | | Eversource Energy (Electric Utilities) | | | 5,402,483 | |
| | 169,302 | | | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | | | 2,685,130 | |
| | |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
|
| Common Stocks – (continued) | |
| United States – (continued) | | | |
| | 23,104 | | | NextEra Energy Partners LP (Independent Power and Renewable Electricity Producers) | | $ | 1,949,978 | |
| | 54,190 | | | NextEra Energy, Inc. (Electric Utilities) | | | 5,059,178 | |
| | 80,054 | | | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | | | 4,703,973 | |
| | 20,743 | | | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | | | 8,069,442 | |
| | 61,371 | | | Sempra Energy (Multi-Utilities) | | | 8,118,156 | |
| | 129,928 | | | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | | | 6,787,439 | |
| | 29,096 | | | WEC Energy Group, Inc. (Multi-Utilities) | | | 2,824,349 | |
| | 181,974 | | | Williams Cos., Inc. (The) (Oil, Gas & Consumable Fuels) | | | 4,738,603 | |
| | | | | | | | |
| | | | | | | 150,140,436 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $231,071,309) | | $ | 287,910,203 | |
| | |
| | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company – 1.6%(b) | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 4,633,943 | | | 0.026% | | $ | 4,633,943 | |
| | (Cost $4,633,943) | |
| | |
| | TOTAL INVESTMENTS – 99.2% | |
| | (Cost $235,705,252) | | $ | 292,544,146 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.8% | | | 2,548,855 | |
| | |
| | NET ASSETS – 100.0% | | $ | 295,093,001 | |
| | |
| | |
|
| 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 |
LP | | —Limited Partnership |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Assets and Liabilities
December 31, 2021
| | | | | | | | | | | | | | | | | | |
| | | | | International
Real Estate
Securities Fund | | | Real Estate
Securities Fund | | | Global
Real Estate
Securities Fund | | | Global
Infrastructure
Fund | |
| | Assets: | | | | | | | | | | | | | | | | |
| | Investments in unaffiliated issuers, at value (cost $46,274,391, $98,918,855, $128,128,052 and $231,071,309, respectively)(a) | | $ | 48,694,492 | | | $ | 174,366,729 | | | $ | 174,933,164 | | | $ | 287,910,203 | |
| | Investments in affiliated issuers, at value (cost $636,526, $1,663,941, 1,903,476 and $4,633,943, respectively) | | | 636,526 | | | | 1,663,941 | | | | 1,903,476 | | | | 4,633,943 | |
| | Investments in securities lending reinvestment vehicle, at value which equals cost | | | 321,600 | | | | 90,000 | | | | 1,017,300 | | | | — | |
| | Cash | | | 50,807 | | | | 674,744 | | | | 591,954 | | | | 933,113 | |
| | Foreign currency, at value (cost $145,656, $—, $46,833 and $1,001,530, respectively) | | | 180,332 | | | | — | | | | 51,650 | | | | 1,019,405 | |
| | Receivables: | | | | | | | | | | | | | | | | |
| | Dividends | | | 132,232 | | | | 465,966 | | | | 510,902 | | | | 853,917 | |
| | Fund shares sold | | | — | | | | 27,450 | | | | — | | | | 270,051 | |
| | Foreign tax reclaims | | | 42,817 | | | | — | | | | 108,092 | | | | 58,950 | |
| | Reimbursement from investment adviser | | | 13,814 | | | | 32,925 | | | | 33,518 | | | | 43,588 | |
| | Investments sold | | | 8,445 | | | | — | | | | 114,315 | | | | — | |
| | Securities lending income | | | — | | | | — | | | | 67 | | | | — | |
| | Other assets | | | 46,262 | | | | 59,841 | | | | 54,689 | | | | 53,911 | |
| | Total assets | | | 50,127,327 | | | | 177,381,596 | | | | 179,319,127 | | | | 295,777,081 | |
| | | | | | | | | | | | | | | | | | |
| | Liabilities: | | | | | | | | | | | | | | | | |
| | Payables: | | | | | | | | | | | | | | | | |
| | Management fees | | | 38,461 | | | | 125,588 | | | | 136,502 | | | | 225,342 | |
| | Fund shares redeemed | | | 50,198 | | | | 300,496 | | | | 193,753 | | | | 193,754 | |
| | Investments purchased | | | 111,119 | | | | — | | | | 114,311 | | | | 108,546 | |
| | Distribution and Service fees and Transfer Agency fees | | | 2,905 | | | | 17,538 | | | | 4,523 | | | | 8,299 | |
| | Upon return of securities loaned | | | 321,600 | | | | 90,000 | | | | 1,017,300 | | | | — | |
| | Accrued expenses | | | 212,698 | | | | 203,444 | | | | 199,687 | | | | 148,139 | |
| | Total liabilities | | | 736,981 | | | | 737,066 | | | | 1,666,076 | | | | 684,080 | |
| | | | | | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | | | | | |
| | Paid-in capital | | | 60,275,942 | | | | 99,048,706 | | | | 135,653,459 | | | | 244,004,920 | |
| | Total distributable earnings (loss) | | | (10,885,596 | ) | | | 77,595,824 | | | | 41,999,592 | | | | 51,088,081 | |
| | | NET ASSETS | | $ | 49,390,346 | | | $ | 176,644,530 | | | $ | 177,653,051 | | | $ | 295,093,001 | |
| | | Net Assets: | | | | | | | | | | | | | | | | |
| | | Class A | | $ | 1,852,424 | | | $ | 23,278,218 | | | $ | 53,675 | | | $ | 1,301,658 | |
| | | Class C | | | 23,531 | | | | 1,539,717 | | | | 62,771 | | | | 621,718 | |
| | | Institutional | | | 5,936,176 | | | | 37,235,421 | | | | 410,507 | | | | 8,982,595 | |
| | | Service | | | — | | | | 892,850 | | | | — | | | | — | |
| | | Investor | | | 71,240 | | | | 2,677,526 | | | | 39,867 | | | | 247,861 | |
| | | Class R6 | | | 82,063 | | | | 443,123 | | | | 126,806,270 | | | | 166,429,632 | |
| | | Class R | | | — | | | | 1,133,768 | | | | 38,624 | | | | 37,004 | |
| | | Class P | | | 41,424,912 | | | | 109,443,907 | | | | 50,241,337 | | | | 117,472,533 | |
| | | Total Net Assets | | $ | 49,390,346 | | | $ | 176,644,530 | | | $ | 177,653,051 | | | $ | 295,093,001 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | | | | | |
| | | Class A | | | 283,271 | | | | 1,562,243 | | | | 4,243 | | | | 96,787 | |
| | | Class C | | | 3,559 | | | | 111,393 | | | | 5,001 | | | | 46,597 | |
| | | Institutional | | | 942,738 | | | | 2,375,956 | | | | 32,445 | | | | 666,619 | |
| | | Service | | | — | | | | 59,241 | | | | — | | | | — | |
| | | Investor | | | 11,001 | | | | 176,962 | | | | 3,159 | | | | 18,421 | |
| | | Class R6 | | | 13,048 | | | | 28,276 | | | | 10,042,635 | | | | 12,379,693 | |
| | | Class R | | | — | | | | 77,425 | | | | 3,067 | | | | 2,752 | |
| | | Class P | | | 6,595,571 | | | | 6,987,686 | | | | 3,981,443 | | | | 8,743,671 | |
| | | Net asset value offering and redemption price per share:(b) | | | | | | | | | | | | | | | | |
| | | Class A | | | $6.54 | | | | $14.90 | | | | $12.65 | | | | $13.45 | |
| | | Class C | | | 6.61 | | | | 13.82 | | | | 12.55 | | | | 13.34 | |
| | | Institutional | | | 6.30 | | | | 15.67 | | | | 12.65 | | | | 13.47 | |
| | | Service | | | — | | | | 15.07 | | | | — | | | | — | |
| | | Investor | | | 6.48 | | | | 15.13 | | | | 12.62 | | | | 13.46 | |
| | | Class R6 | | | 6.29 | | | | 15.67 | | | | 12.63 | | | | 13.44 | |
| | | Class R | | | — | | | | 14.64 | | | | 12.59 | | | | 13.45 | |
| | | Class P | | | 6.28 | | | | 15.66 | | | | 12.62 | | | | 13.44 | |
| | (a) | | Includes loaned securities having a market value of $315,972, $86,000, $992,004 and $— for International Real Estate Securities Fund, Real Estate Securities Fund, Global Real Estate Securities Fund and Global Infrastructure Fund, respectively. |
| | (b) | | Maximum public offering price per share for Class A Shares is $6.92, $15.77, $13.39 and $14.23. 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. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | | | | | | | | | |
| | | | | International
Real Estate
Securities Fund | | | Real Estate
Securities Fund | | | Global
Real Estate
Securities Fund | | | Global
Infrastructure
Fund | |
| | Investment income: | | | | | | | | | | | | | | | | |
| | | | | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $384,255, $144,555, $64,875 and $—) | | $ | 1,526,403 | | | $ | 2,769,362 | | | $ | 3,648,503 | | | $ | 5,932,116 | |
| | | | | |
| | Dividends — affiliated issuers | | | 169 | | | | 359 | | | | 406 | | | | 1,273 | |
| | | | | |
| | Securities lending income — affiliated issuer | | | 2,121 | | | | — | | | | 6,108 | | | | — | |
| | | | | |
| | Total investment income | | | 1,528,693 | | | | 2,769,721 | | | | 3,655,017 | | | | 5,933,389 | |
| | | | | | | | | | | | | | | | | | |
| | Expenses: | | | | | | | | | | | | | | | | |
| | | | | |
| | Management fees | | | 483,001 | | | | 1,316,617 | | | | 1,587,948 | | | | 2,146,703 | |
| | | | | |
| | Registration fees | | | 70,699 | | | | 99,474 | | | | 105,681 | | | | 98,594 | |
| | | | | |
| | Professional fees | | | 132,704 | | | | 96,238 | | | | 111,309 | | | | 79,561 | |
| | | | | |
| | Transfer Agency fees(a) | | | 18,624 | | | | 82,067 | | | | 51,708 | | | | 74,498 | |
| | | | | |
| | Custody, accounting and administrative services | | | 108,492 | | | | 96,101 | | | | 118,484 | | | | 70,315 | |
| | | | | |
| | Printing and mailing costs | | | 21,640 | | | | 53,749 | | | | 46,620 | | | | 44,895 | |
| | | | | |
| | Trustee fees | | | 19,231 | | | | 19,448 | | | | 19,397 | | | | 18,323 | |
| | | | | |
| | Distribution and/or Service (12b-1) fees(a) | | | 5,395 | | | | 68,547 | | | | 774 | | | | 7,960 | |
| | | | | |
| | Service fees — Class C | | | 90 | | | | 3,262 | | | | 142 | | | | 2,137 | |
| | | | | |
| | Shareholder Administration fees — Service Shares | | | — | | | | 2,126 | | | | — | | | | — | |
| | | | | |
| | Other | | | 412 | | | | 36,487 | | | | 12,267 | | | | 25,205 | |
| | | | | |
| | Total expenses | | | 860,288 | | | | 1,874,116 | | | | 2,054,330 | | | | 2,568,191 | |
| | | | | |
| | Less — expense reductions | | | (352,082 | ) | | | (397,208 | ) | | | (408,396 | ) | | | (213,003 | ) |
| | | | | |
| | Net expenses | | | 508,206 | | | | 1,476,908 | | | | 1,645,934 | | | | 2,355,188 | |
| | | | | |
| | NET INVESTMENT INCOME | | | 1,020,487 | | | | 1,292,813 | | | | 2,009,083 | | | | 3,578,201 | |
| | | | | | | | | | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | | | | | |
| | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments — unaffiliated issuers | | | 2,357,569 | | | | 8,745,645 | | | | 14,455,408 | | | | 1,965,072 | |
| | | | | |
| | Foreign currency transactions | | | (16,134 | ) | | | — | | | | (10,974 | ) | | | 32,248 | |
| | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments — unaffiliated issuers | | | 76,469 | | | | 45,771,650 | | | | 22,373,771 | | | | 30,168,905 | |
| | | | | |
| | Foreign currency translations | | | (9,264 | ) | | | — | | | | (10,408 | ) | | | 10,252 | |
| | | | | |
| | Net realized and unrealized gain | | | 2,408,640 | | | | 54,517,295 | | | | 36,807,797 | | | | 32,176,477 | |
| | | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 3,429,127 | | | $ | 55,810,108 | | | $ | 38,816,880 | | | $ | 35,754,678 | |
| | (a) | | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agency Fees | |
Fund | | Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
International Real Estate Securities Fund | | $ | 5,124 | | | $ | 271 | | | $ | — | | | $ | — | | | $ | 3,280 | | | $ | 58 | | | $ | 2,259 | | | $ | — | | | $ | 115 | | | $ | 20 | | | $ | — | | | $ | 12,892 | |
Real Estate Securities Fund | | | 52,004 | | | | 9,680 | | | | 2,129 | | | | 4,734 | | | | 33,225 | | | | 2,077 | | | | 13,546 | | | | 342 | | | | 4,027 | | | | 178 | | | | 1,527 | | | | 27,145 | |
Global Real Estate Securities Fund | | | 173 | | | | 427 | | | | — | | | | 174 | | | | 111 | | | | 91 | | | | 910 | | | | — | | | | 58 | | | | 36,805 | | | | 56 | | | | 13,677 | |
Global Infrastructure Fund | | | 1,377 | | | | 6,410 | | | | — | | | | 173 | | | | 881 | | | | 1,367 | | | | 3,149 | | | | — | | | | 349 | | | | 47,898 | | | | 56 | | | | 20,798 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Real Estate Securities Fund | | | | | | Real Estate Securities Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | |
| | Net investment income | | $ | 1,020,487 | | | $ | 1,121,046 | | | | | | | $ | 1,292,813 | | | $ | 1,745,185 | |
| | Net realized gain (loss) | | | 2,341,435 | | | | (2,625,472 | ) | | | | | | | 8,745,645 | | | | 12,433,337 | |
| | Net change in unrealized gain (loss) | | | 67,205 | | | | (4,726,434 | ) | | | | | | | 45,771,650 | | | | (26,856,048 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | 3,429,127 | | | | (6,230,860 | ) | | | | | | | 55,810,108 | | | | (12,677,526 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (91,351 | ) | | | (15,239 | ) | | | | | | | (1,423,797 | ) | | | (1,884,068 | ) |
| | Class C Shares | | | (892 | ) | | | (232 | ) | | | | | | | (91,892 | ) | | | (137,431 | ) |
| | Institutional Shares | | | (305,641 | ) | | | (60,522 | ) | | | | | | | (2,271,763 | ) | | | (2,203,861 | ) |
| | Service Shares | | | — | | | | — | | | | | | | | (51,452 | ) | | | (90,056 | ) |
| | Investor Shares | | | (3,566 | ) | | | (870 | ) | | | | | | | (165,549 | ) | | | (230,536 | ) |
| | Class R6 Shares | | | (4,144 | ) | | | (120 | ) | | | | | | | (27,708 | ) | | | (101,806 | ) |
| | Class R Shares | | | — | | | | — | | | | | | | | (67,420 | ) | | | (86,660 | ) |
| | Class P Shares | | | (2,170,728 | ) | | | (532,922 | ) | | | | | | | (6,567,981 | ) | | | (6,634,674 | ) |
| | Total distributions to shareholders | | | (2,576,322 | ) | | | (609,905 | ) | | | | | | | (10,667,562 | ) | | | (11,369,092 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | |
| | Proceeds from sales of shares | | | 4,544,690 | | | | 19,591,950 | | | | | | | | 31,014,980 | | | | 30,451,351 | |
| | Reinvestment of distributions | | | 2,574,122 | | | | 609,717 | | | | | | | | 10,572,044 | | | | 11,186,191 | |
| | Cost of shares redeemed | | | (10,389,832 | ) | | | (41,602,561 | ) | | | | | | | (29,473,867 | ) | | | (56,542,166 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (3,271,020 | ) | | | (21,400,894 | ) | | | | | | | 12,113,157 | | | | (14,904,624 | ) |
| | TOTAL INCREASE (DECREASE) | | | (2,418,215 | ) | | | (28,241,659 | ) | | | | | | | 57,255,703 | | | | (38,951,242 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | | | |
| | Beginning of year | | | 51,808,561 | | | | 80,050,220 | | | | | | | | 119,388,827 | | | | 158,340,069 | |
| | End of year | | $ | 49,390,346 | | | $ | 51,808,561 | | | | | | | $ | 176,644,530 | | | $ | 119,388,827 | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Global Real Estate Securities Fund | | | | | | Global Infrastructure Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | |
| | Net investment income | | $ | 2,009,083 | | | $ | 2,879,734 | | | | | | | $ | 3,578,201 | | | $ | 2,593,906 | |
| | Net realized gain (loss) | | | 14,444,434 | | | | (10,696,841 | ) | | | | | | | 1,997,320 | | | | 1,003,524 | |
| | Net change in unrealized gain (loss) | | | 22,363,363 | | | | (9,358,626 | ) | | | | | | | 30,179,157 | | | | (12,045,226 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | 38,816,880 | | | | (17,175,733 | ) | | | | | | | 35,754,678 | | | | (8,447,796 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (1,263 | ) | | | (609 | ) | | | | | | | (10,884 | ) | | | (5,116 | ) |
| | Class C Shares | | | (822 | ) | | | (383 | ) | | | | | | | (8,412 | ) | | | (7,652 | ) |
| | Institutional Shares | | | (44,599 | ) | | | (31,174 | ) | | | | | | | (166,495 | ) | | | (90,063 | ) |
| | Investor Shares | | | (841 | ) | | | (436 | ) | | | | | | | (4,434 | ) | | | (2,579 | ) |
| | Class R6 Shares | | | (2,860,276 | ) | | | (323 | ) | | | | | | | (3,246,938 | ) | | | (2,440,099 | ) |
| | Class R Shares | | | (654 | ) | | | (2,372,452 | ) | | | | | | | (513 | ) | | | (355 | ) |
| | Class P Shares | | | (1,131,317 | ) | | | (453,308 | ) | | | | | | | (1,902,191 | ) | | | (111,437 | ) |
| | From return of capital: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | — | | | | (36 | ) | | | | | | | — | | | | (1,185 | ) |
| | Class C Shares | | | — | | | | (41 | ) | | | | | | | — | | | | (1,773 | ) |
| | Institutional Shares | | | — | | | | (1,508 | ) | | | | | | | — | | | | (20,864 | ) |
| | Investor Shares | | | — | | | | (22 | ) | | | | | | | — | | | | (597 | ) |
| | Class R6 Shares | | | — | | | | (22 | ) | | | | | | | — | | | | (565,276 | ) |
| | Class R Shares | | | — | | | | (116,461 | ) | | | | | | | — | | | | (82 | ) |
| | Class P Shares | | | — | | | | (22,783 | ) | | | | | | | — | | | | (25,815 | ) |
| | Total distributions to shareholders | | | (4,039,772 | ) | | | (2,999,558 | ) | | | | | | | (5,339,867 | ) | | | (3,272,893 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | |
| | Proceeds from sales of shares | | | 23,775,737 | | | | 41,090,365 | | | | | | | | 121,405,866 | | | | 38,721,064 | |
| | Reinvestment of distributions | | | 4,039,772 | | | | 2,999,558 | | | | | | | | 5,339,868 | | | | 3,272,887 | |
| | Cost of shares redeemed | | | (64,718,634 | ) | | | (82,690,864 | ) | | | | | | | (42,666,786 | ) | | | (46,559,951 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (36,903,125 | ) | | | (38,600,941 | ) | | | | | | | 84,078,948 | | | | (4,566,000 | ) |
| | TOTAL INCREASE (DECREASE) | | | (2,126,017 | ) | | | (58,776,232 | ) | | | | | | | 114,493,759 | | | | (16,286,689 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net assets: | | | | | | | | | | | | | |
| | Beginning of year | | | 179,779,068 | | | | 238,555,300 | | | | | | | | 180,599,242 | | | | 196,885,931 | |
| | End of year | | $ | 177,653,051 | | | $ | 179,779,068 | | | | | | | $ | 295,093,001 | | | $ | 180,599,242 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Real Estate Securities Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.45 | | | $ | 6.66 | | | $ | 5.90 | | | $ | 6.48 | | | $ | 5.73 | |
| | | | | | |
| | Net investment income(a) | | | 0.11 | | | | 0.09 | | | | 0.11 | | | | 0.13 | | | | 0.12 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.30 | | | | (0.26 | ) | | | 1.08 | | | | (0.59 | ) | | | 0.89 | |
| | | | | | |
| | Total from investment operations | | | 0.41 | | | | (0.17 | ) | | | 1.19 | | | | (0.46 | ) | | | 1.01 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.32 | ) | | | (0.04 | ) | | | (0.43 | ) | | | (0.12 | ) | | | (0.26 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.54 | | | $ | 6.45 | | | $ | 6.66 | | | $ | 5.90 | | | $ | 6.48 | |
| | | | | | |
| | Total Return(b) | | | 6.39 | % | | | (2.42 | )% | | | 20.38 | % | | | (7.19 | )% | | | 17.89 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 1,852 | | | $ | 2,005 | | | $ | 2,888 | | | $ | 3,081 | | | $ | 4,377 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.36 | % | | | 1.37 | % | | | 1.38 | % | | | 1.38 | % | | | 1.39 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.05 | % | | | 2.17 | % | | | 1.89 | % | | | 1.76 | % | | | 1.70 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.64 | % | | | 1.62 | % | | | 1.72 | % | | | 2.04 | % | | | 2.02 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 36 | % | | | 55 | % | | | 30 | % | | | 43 | % | | | 38 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Real Estate Securities Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.49 | | | $ | 6.72 | | | $ | 5.94 | | | $ | 6.50 | | | $ | 5.73 | |
| | | | | | |
| | Net investment income(a) | | | 0.06 | | | | 0.05 | | | | 0.07 | | | | 0.09 | | | | 0.08 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.30 | | | | (0.27 | ) | | | 1.07 | | | | (0.60 | ) | | | 0.90 | |
| | | | | | |
| | Total from investment operations | | | 0.36 | | | | (0.22 | ) | | | 1.14 | | | | (0.51 | ) | | | 0.98 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.24 | ) | | | (0.01 | ) | | | (0.36 | ) | | | (0.05 | ) | | | (0.21 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.61 | | | $ | 6.49 | | | $ | 6.72 | | | $ | 5.94 | | | $ | 6.50 | |
| | | | | | |
| | Total Return(b) | | | 5.63 | % | | | (3.17 | )% | | | 19.38 | % | | | (7.89 | )% | | | 17.23 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 24 | | | $ | 76 | | | $ | 158 | | | $ | 231 | | | $ | 810 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.11 | % | | | 2.12 | % | | | 2.13 | % | | | 2.13 | % | | | 2.14 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.85 | % | | | 2.90 | % | | | 2.64 | % | | | 2.49 | % | | | 2.44 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.90 | % | | | 0.86 | % | | | 0.99 | % | | | 1.38 | % | | | 1.26 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 36 | % | | | 55 | % | | | 30 | % | | | 43 | % | | | 38 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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. | | 39 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Real Estate Securities Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.22 | | | $ | 6.43 | | | $ | 5.71 | | | $ | 6.26 | | | $ | 5.54 | |
| | | | | | |
| | Net investment income(a) | | | 0.13 | | | | 0.12 | | | | 0.13 | | | | 0.18 | | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.29 | | | | (0.27 | ) | | | 1.05 | | | | (0.60 | ) | | | 0.87 | |
| | | | | | |
| | Total from investment operations | | | 0.42 | | | | (0.15 | ) | | | 1.18 | | | | (0.42 | ) | | | 1.01 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.06 | ) | | | (0.46 | ) | | | (0.13 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.30 | | | $ | 6.22 | | | $ | 6.43 | | | $ | 5.71 | | | $ | 6.26 | |
| | | | | | |
| | Total Return(b) | | | 6.89 | % | | | (2.16 | )% | | | 20.86 | % | | | (6.72 | )% | | | 18.45 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 5,936 | | | $ | 4,864 | | | $ | 6,938 | | | $ | 10,138 | | | $ | 117,768 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.67 | % | | | 1.79 | % | | | 1.50 | % | | | 1.35 | % | | | 1.28 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.01 | % | | | 2.05 | % | | | 1.97 | % | | | 2.90 | % | | | 2.44 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 36 | % | | | 55 | % | | | 30 | % | | | 43 | % | | | 38 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Real Estate Securities Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.39 | | | $ | 6.60 | | | $ | 5.85 | | | $ | 6.43 | | | $ | 5.68 | |
| | | | | | |
| | Net investment income(a) | | | 0.13 | | | | 0.11 | | | | 0.13 | | | | 0.14 | | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.29 | | | | (0.27 | ) | | | 1.07 | | | | (0.58 | ) | | | 0.87 | |
| | | | | | |
| | Total from investment operations | | | 0.42 | | | | (0.16 | ) | | | 1.20 | | | | (0.44 | ) | | | 1.03 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.33 | ) | | | (0.05 | ) | | | (0.45 | ) | | | (0.14 | ) | | | (0.28 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.48 | | | $ | 6.39 | | | $ | 6.60 | | | $ | 5.85 | | | $ | 6.43 | |
| | | | | | |
| | Total Return(b) | | | 6.57 | % | | | (2.23 | )% | | | 20.71 | % | | | (7.00 | )% | | | 18.29 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 71 | | | $ | 71 | | | $ | 117 | | | $ | 103 | | | $ | 109 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.11 | % | | | 1.12 | % | | | 1.13 | % | | | 1.13 | % | | | 1.14 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.80 | % | | | 1.93 | % | | | 1.65 | % | | | 1.52 | % | | | 1.45 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.89 | % | | | 1.91 | % | | | 1.94 | % | | | 2.24 | % | | | 2.54 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 36 | % | | | 55 | % | | | 30 | % | | | 43 | % | | | 38 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Real Estate Securities Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.22 | | | $ | 6.43 | | | $ | 5.70 | | | $ | 6.26 | | | $ | 5.54 | |
| | | | | | |
| | Net investment income(a) | | | 0.13 | | | | 0.12 | | | | 0.11 | | | | 0.24 | | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.28 | | | | (0.27 | ) | | | 1.08 | | | | (0.65 | ) | | | 0.87 | |
| | | | | | |
| | Total from investment operations | | | 0.41 | | | | (0.15 | ) | | | 1.19 | | | | (0.41 | ) | | | 1.01 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.06 | ) | | | (0.46 | ) | | | (0.15 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 6.29 | | | $ | 6.22 | | | $ | 6.43 | | | $ | 5.70 | | | $ | 6.26 | |
| | | | | | |
| | Total Return(b) | | | 6.74 | % | | | (2.15 | )% | | | 21.05 | % | | | (6.71 | )% | | | 18.48 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 82 | | | $ | 12 | | | $ | 12 | | | $ | 202 | | | $ | 11 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.98 | % | | | 0.98 | % | | | 0.98 | % | | | 0.98 | % | | | 0.99 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.64 | % | | | 1.80 | % | | | 1.47 | % | | | 1.29 | % | | | 1.29 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.02 | % | | | 2.05 | % | | | 1.81 | % | | | 3.86 | % | | | 2.41 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 36 | % | | | 55 | % | | | 30 | % | | | 43 | % | | | 38 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Real Estate Securities Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | | | | Period Ended
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of period | | $ | 6.21 | | | $ | 6.41 | | | $ | 5.70 | | | | | | | $ | 6.38 | |
| | | | | | |
| | Net investment income(b) | | | 0.13 | | | | 0.11 | | | | 0.13 | | | | | | | | 0.08 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.28 | | | | (0.25 | ) | | | 1.04 | | | | | | | | (0.61 | ) |
| | | | | | |
| | Total from investment operations | | | 0.41 | | | | (0.14 | ) | | | 1.17 | | | | | | | | (0.53 | ) |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (0.06 | ) | | | (0.46 | ) | | | | | | | (0.15 | ) |
| | | | | | |
| | Net asset value, end of period | | $ | 6.28 | | | $ | 6.21 | | | $ | 6.41 | | | | | | | $ | 5.70 | |
| | | | | | |
| | Total Return(c) | | | 6.75 | % | | | (2.00 | )% | | | 20.72 | % | | | | | | | (8.45 | )% |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 41,425 | | | $ | 44,780 | | | $ | 69,937 | | | | | | | $ | 82,014 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.98 | % | | | 0.98 | % | | | 0.98 | % | | | | | | | 0.98 | %(d) |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.68 | % | | | 1.77 | % | | | 1.50 | % | | | | | | | 1.39 | %(d) |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.03 | % | | | 1.98 | % | | | 2.10 | % | | | | | | | 1.85 | %(d) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 36 | % | | | 55 | % | | | 30 | % | | | | | | | 43 | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (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. | | 43 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.03 | | | $ | 13.27 | | | $ | 12.61 | | | $ | 15.53 | | | $ | 18.40 | |
| | | | | | |
| | Net investment income(a) | | | 0.07 | | | | 0.12 | | | | 0.22 | | | | 0.28 | | | | 0.30 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.75 | | | | (1.22 | ) | | | 2.92 | | | | (0.94 | ) | | | 0.06 | |
| | | | | | |
| | Total from investment operations | | | 4.82 | | | | (1.10 | ) | | | 3.14 | | | | (0.66 | ) | | | 0.36 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.13 | ) | | | (0.14 | ) | | | (0.22 | ) | | | (0.37 | ) | | | (0.29 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.95 | ) | | | (1.14 | ) | | | (2.48 | ) | | | (2.26 | ) | | | (3.23 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 14.90 | | | $ | 11.03 | | | $ | 13.27 | | | $ | 12.61 | | | $ | 15.53 | |
| | | | | | |
| | Total Return(b) | | | 44.33 | % | | | (7.85 | )% | | | 25.49 | % | | | (5.39 | )% | | | 2.11 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 23,278 | | | $ | 19,177 | | | $ | 27,488 | | | $ | 26,002 | | | $ | 38,120 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.28 | % | | | 1.29 | % | | | 1.30 | % | | | 1.30 | % | | | 1.31 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.55 | % | | | 1.62 | % | | | 1.57 | % | | | 1.50 | % | | | 1.54 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.55 | % | | | 1.06 | % | | | 1.51 | % | | | 1.88 | % | | | 1.65 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 44 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.31 | | | $ | 12.50 | | | $ | 11.99 | | | $ | 14.88 | | | $ | 17.79 | |
| | | | | | |
| | Net investment income (loss)(a) | | | (0.02 | ) | | | 0.03 | | | | 0.10 | | | | 0.12 | | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.41 | | | | (1.14 | ) | | | 2.78 | | | | (0.85 | ) | | | 0.06 | |
| | | | | | |
| | Total from investment operations | | | 4.39 | | | | (1.11 | ) | | | 2.88 | | | | (0.73 | ) | | | 0.22 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.06 | ) | | | (0.08 | ) | | | (0.11 | ) | | | (0.27 | ) | | | (0.19 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.88 | ) | | | (1.08 | ) | | | (2.37 | ) | | | (2.16 | ) | | | (3.13 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.82 | | | $ | 10.31 | | | $ | 12.50 | | | $ | 11.99 | | | $ | 14.88 | |
| | | | | | |
| | Total Return(b) | | | 43.12 | % | | | (8.50 | )% | | | 24.62 | % | | | (6.12 | )% | | | 1.38 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 1,540 | | | $ | 1,332 | | | $ | 2,615 | | | $ | 3,568 | | | $ | 12,421 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.03 | % | | | 2.04 | % | | | 2.05 | % | | | 2.05 | % | | | 2.06 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.29 | % | | | 2.37 | % | | | 2.32 | % | | | 2.25 | % | | | 2.29 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | (0.20 | )% | | | 0.26 | % | | | 0.69 | % | | | 0.83 | % | | | 0.92 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.56 | | | $ | 13.83 | | | $ | 13.05 | | | $ | 15.98 | | | $ | 18.81 | |
| | | | | | |
| | Net investment income(a) | | | 0.13 | | | | 0.17 | | | | 0.28 | | | | 0.23 | | | | 0.37 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.97 | | | | (1.26 | ) | | | 3.03 | | | | (0.86 | ) | | | 0.08 | |
| | | | | | |
| | Total from investment operations | | | 5.10 | | | | (1.09 | ) | | | 3.31 | | | | (0.63 | ) | | | 0.45 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.18 | ) | | | (0.27 | ) | | | (0.41 | ) | | | (0.34 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.18 | ) | | | (2.53 | ) | | | (2.30 | ) | | | (3.28 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 15.67 | | | $ | 11.56 | | | $ | 13.83 | | | $ | 13.05 | | | $ | 15.98 | |
| | | | | | |
| | Total Return(b) | | | 44.74 | % | | | (7.48 | )% | | | 26.01 | % | | | (5.04 | )% | | | 2.58 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 37,235 | | | $ | 23,409 | | | $ | 30,069 | | | $ | 31,337 | | | $ | 206,095 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.91 | % | | | 0.91 | % | | | 0.92 | % | | | 0.91 | % | | | 0.91 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.17 | % | | | 1.24 | % | | | 1.19 | % | | | 1.12 | % | | | 1.14 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.92 | % | | | 1.47 | % | | | 1.86 | % | | | 1.50 | % | | | 1.98 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.15 | | | $ | 13.40 | | | $ | 12.71 | | | $ | 15.65 | | | $ | 18.52 | |
| | | | | | |
| | Net investment income(a) | | | 0.05 | | | | 0.11 | | | | 0.21 | | | | 0.26 | | | | 0.29 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.80 | | | | (1.23 | ) | | | 2.94 | | | | (0.95 | ) | | | 0.06 | |
| | | | | | |
| | Total from investment operations | | | 4.85 | | | | (1.12 | ) | | | 3.15 | | | | (0.69 | ) | | | 0.35 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.11 | ) | | | (0.13 | ) | | | (0.20 | ) | | | (0.36 | ) | | | (0.28 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.93 | ) | | | (1.13 | ) | | | (2.46 | ) | | | (2.25 | ) | | | (3.22 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 15.07 | | | $ | 11.15 | | | $ | 13.40 | | | $ | 12.71 | | | $ | 15.65 | |
| | | | | | |
| | Total Return(b) | | | 44.13 | % | | | (7.95 | )% | | | 25.40 | % | | | (5.56 | )% | | | 2.07 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 893 | | | $ | 940 | | | $ | 1,608 | | | $ | 1,429 | | | $ | 2,446 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.41 | % | | | 1.41 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.68 | % | | | 1.74 | % | | | 1.69 | % | | | 1.61 | % | | | 1.64 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.42 | % | | | 0.95 | % | | | 1.43 | % | | | 1.73 | % | | | 1.60 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.19 | | | $ | 13.43 | | | $ | 12.73 | | | $ | 15.65 | | | $ | 18.50 | |
| | | | | | |
| | Net investment income(a) | | | 0.11 | | | | 0.14 | | | | 0.24 | | | | 0.31 | | | | 0.36 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.81 | | | | (1.22 | ) | | | 2.97 | | | | (0.94 | ) | | | 0.06 | |
| | | | | | |
| | Total from investment operations | | | 4.92 | | | | (1.08 | ) | | | 3.21 | | | | (0.63 | ) | | | 0.42 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.16 | ) | | | (0.16 | ) | | | (0.25 | ) | | | (0.40 | ) | | | (0.33 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.98 | ) | | | (1.16 | ) | | | (2.51 | ) | | | (2.29 | ) | | | (3.27 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 15.13 | | | $ | 11.19 | | | $ | 13.43 | | | $ | 12.73 | | | $ | 15.65 | |
| | | | | | |
| | Total Return(b) | | | 44.58 | % | | | (7.59 | )% | | | 25.84 | % | | | (5.18 | )% | | | 2.42 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 2,678 | | | $ | 2,289 | | | $ | 4,532 | | | $ | 7,969 | | | $ | 10,776 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.03 | % | | | 1.04 | % | | | 1.05 | % | | | 1.05 | % | | | 1.06 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.30 | % | | | 1.36 | % | | | 1.32 | % | | | 1.25 | % | | | 1.29 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.80 | % | | | 1.17 | % | | | 1.64 | % | | | 2.10 | % | | | 1.99 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.56 | | | $ | 13.83 | | | $ | 13.05 | | | $ | 15.98 | | | $ | 18.81 | |
| | | | | | |
| | Net investment income(a) | | | 0.12 | | | | 0.18 | | | | 0.30 | | | | 0.16 | | | | 0.41 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.98 | | | | (1.27 | ) | | | 3.01 | | | | (0.79 | ) | | | 0.05 | |
| | | | | | |
| | Total from investment operations | | | 5.10 | | | | (1.09 | ) | | | 3.31 | | | | (0.63 | ) | | | 0.46 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.18 | ) | | | (0.27 | ) | | | (0.41 | ) | | | (0.35 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.18 | ) | | | (2.53 | ) | | | (2.30 | ) | | | (3.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 15.67 | | | $ | 11.56 | | | $ | 13.83 | | | $ | 13.05 | | | $ | 15.98 | |
| | | | | | |
| | Total Return(b) | | | 44.74 | % | | | (7.47 | )% | | | 26.02 | % | | | (5.03 | )% | | | 2.60 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 443 | | | $ | 1,116 | | | $ | 973 | | | $ | 797 | | | $ | 227 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.18 | % | | | 1.24 | % | | | 1.18 | % | | | 1.08 | % | | | 1.14 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.93 | % | | | 1.52 | % | | | 1.98 | % | | | 1.02 | % | | | 2.23 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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. | | 49 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.87 | | | $ | 13.09 | | | $ | 12.47 | | | $ | 15.39 | | | $ | 18.27 | |
| | | | | | |
| | Net investment income(a) | | | 0.04 | | | | 0.09 | | | | 0.18 | | | | 0.24 | | | | 0.26 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.66 | | | | (1.19 | ) | | | 2.88 | | | | (0.93 | ) | | | 0.05 | |
| | | | | | |
| | Total from investment operations | | | 4.70 | | | | (1.10 | ) | | | 3.06 | | | | (0.69 | ) | | | 0.31 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.11 | ) | | | (0.12 | ) | | | (0.18 | ) | | | (0.34 | ) | | | (0.25 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | (1.89 | ) | | | (2.94 | ) |
| | | | | | |
| | Total distributions | | | (0.93 | ) | | | (1.12 | ) | | | (2.44 | ) | | | (2.23 | ) | | | (3.19 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 14.64 | | | $ | 10.87 | | | $ | 13.09 | | | $ | 12.47 | | | $ | 15.39 | |
| | | | | | |
| | Total Return(b) | | | 43.82 | % | | | (8.00 | )% | | | 25.14 | % | | | (5.62 | )% | | | 1.92 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 1,134 | | | $ | 910 | | | $ | 1,440 | | | $ | 1,770 | | | $ | 3,092 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.53 | % | | | 1.54 | % | | | 1.55 | % | | | 1.55 | % | | | 1.56 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.79 | % | | | 1.87 | % | | | 1.82 | % | | | 1.75 | % | | | 1.79 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.93 | % | | | 0.79 | % | | | 1.22 | % | | | 1.60 | % | | | 1.45 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 37 | % | | | 57 | % | | | 37 | % | | | 43 | % | | | 35 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 50 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | | | | Period Ended
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of period | | $ | 11.55 | | | $ | 13.82 | | | $ | 13.04 | | | | | | | $ | 14.90 | |
| | | | | | |
| | Net investment income(b) | | | 0.13 | | | | 0.17 | | | | 0.29 | | | | | | | | 0.39 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 4.97 | | | | (1.26 | ) | | | 3.02 | | | | | | | | (0.01 | ) |
| | | | | | |
| | Total from investment operations | | | 5.10 | | | | (1.09 | ) | | | 3.31 | | | | | | | | 0.38 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.18 | ) | | | (0.27 | ) | | | | | | | (0.35 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | | | | | (1.89 | ) |
| | | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.18 | ) | | | (2.53 | ) | | | | | | | (2.24 | ) |
| | | | | | |
| | Net asset value, end of period | | $ | 15.66 | | | $ | 11.55 | | | $ | 13.82 | | | | | | | $ | 13.04 | |
| | | | | | |
| | Total Return(c) | | | 44.79 | % | | | (7.48 | )% | | | 26.04 | % | | | | | | | 1.36 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 109,444 | | | $ | 70,215 | | | $ | 89,616 | | | | | | | $ | 89,479 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.90 | % | | | 0.90 | % | | | 0.91 | % | | | | | | | 0.90 | %(d) |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.16 | % | | | 1.23 | % | | | 1.18 | % | | | | | | | 1.07 | %(d) |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.93 | % | | | 1.47 | % | | | 1.90 | % | | | | | | | 3.56 | %(d) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 37 | % | | | 57 | % | | | 37 | % | | | | | | | 43 | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (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. | | 51 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.25 | | | $ | 11.14 | | | $ | 9.79 | | | $ | 10.64 | | | $ | 10.05 | |
| | | | | | |
| | Net investment income(a) | | | 0.09 | | | | 0.12 | | | | 0.17 | | | | 0.19 | | | | 0.21 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.55 | | | | (0.88 | ) | | | 2.01 | | | | (0.79 | ) | | | 0.63 | |
| | | | | | |
| | Total from investment operations | | | 2.64 | | | | (0.76 | ) | | | 2.18 | | | | (0.60 | ) | | | 0.84 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.24 | ) | | | (0.10 | ) | | | (0.53 | ) | | | (0.20 | ) | | | (0.25 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | — | | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | |
| | Total distributions | | | (0.24 | ) | | | (0.13 | ) | | | (0.83 | ) | | | (0.25 | ) | | | (0.25 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.65 | | | $ | 10.25 | | | $ | 11.14 | | | $ | 9.79 | | | $ | 10.64 | |
| | | | | | |
| | Total Return(c) | | | 25.92 | % | | | (6.63 | )% | | | 22.47 | % | | | (5.77 | )% | | | 8.50 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 54 | | | $ | 50 | | | $ | 54 | | | $ | 905 | | | $ | 1,768 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.34 | % | | | 1.35 | % | | | 1.36 | % | | | 1.37 | % | | | 1.39 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.58 | % | | | 1.60 | % | | | 1.52 | % | | | 1.52 | % | | | 1.59 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.80 | % | | | 1.21 | % | | | 1.55 | % | | | 1.85 | % | | | 2.03 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 52 | % | | | 75 | % | | | 42 | % | | | 67 | % | | | 58 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.18 | | | $ | 11.09 | | | $ | 9.79 | | | $ | 10.64 | | | $ | 10.04 | |
| | | | | | |
| | Net investment income(a) | | | 0.01 | | | | 0.04 | | | | 0.11 | | | | 0.12 | | | | 0.12 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.53 | | | | (0.87 | ) | | | 1.98 | | | | (0.80 | ) | | | 0.65 | |
| | | | | | |
| | Total from investment operations | | | 2.54 | | | | (0.83 | ) | | | 2.09 | | | | (0.68 | ) | | | 0.77 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.05 | ) | | | (0.49 | ) | | | (0.12 | ) | | | (0.17 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | — | | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | |
| | Total distributions | | | (0.17 | ) | | | (0.08 | ) | | | (0.79 | ) | | | (0.17 | ) | | | (0.17 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.55 | | | $ | 10.18 | | | $ | 11.09 | | | $ | 9.79 | | | $ | 10.64 | |
| | | | | | |
| | Total Return(c) | | | 25.01 | % | | | (7.39 | )% | | | 21.60 | % | | | (6.45 | )% | | | 7.72 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 63 | | | $ | 50 | | | $ | 66 | | | $ | 27 | | | $ | 28 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.09 | % | | | 2.10 | % | | | 2.11 | % | | | 2.12 | % | | | 2.15 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.33 | % | | | 2.34 | % | | | 2.29 | % | | | 2.27 | % | | | 2.79 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.05 | % | | | 0.45 | % | | | 0.96 | % | | | 1.20 | % | | | 1.15 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 52 | % | | | 75 | % | | | 42 | % | | | 67 | % | | | 58 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.25 | | | $ | 11.13 | | | $ | 9.82 | | | $ | 10.66 | | | $ | 10.06 | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.13 | | | | 0.15 | | | | 0.22 | | | | (0.03 | ) | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.55 | | | | (0.87 | ) | | | 2.00 | | | | (0.54 | ) | | | 0.65 | |
| | | | | | |
| | Total from investment operations | | | 2.68 | | | | (0.72 | ) | | | 2.22 | | | | (0.57 | ) | | | 0.89 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.28 | ) | | | (0.13 | ) | | | (0.61 | ) | | | (0.22 | ) | | | (0.29 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | — | | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | |
| | Total distributions | | | (0.28 | ) | | | (0.16 | ) | | | (0.91 | ) | | | (0.27 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.65 | | | $ | 10.25 | | | $ | 11.13 | | | $ | 9.82 | | | $ | 10.66 | |
| | | | | | |
| | Total Return(c) | | | 26.38 | % | | | (6.26 | )% | | | 22.91 | % | | | (5.41 | )% | | | 8.96 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 411 | | | $ | 2,150 | | | $ | 2,131 | | | $ | 1,855 | | | $ | 338,527 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.97 | % | | | 0.97 | % | | | 0.97 | % | | | 1.00 | % | | | 1.00 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.21 | % | | | 1.22 | % | | | 1.15 | % | | | 1.18 | % | | | 1.24 | % |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 1.17 | % | | | 1.60 | % | | | 1.98 | % | | | (0.26 | )% | | | 2.31 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 52 | % | | | 75 | % | | | 42 | % | | | 67 | % | | | 58 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 54 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | �� | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.23 | | | $ | 11.11 | | | $ | 9.80 | | | $ | 10.65 | | | $ | 10.05 | |
| | | | | | |
| | Net investment income(a) | | | 0.12 | | | | 0.14 | | | | 0.21 | | | | 0.23 | | | | 0.22 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.54 | | | | (0.87 | ) | | | 2.00 | | | | (0.81 | ) | | | 0.65 | |
| | | | | | |
| | Total from investment operations | | | 2.66 | | | | (0.73 | ) | | | 2.21 | | | | (0.58 | ) | | | 0.87 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.27 | ) | | | (0.12 | ) | | | (0.60 | ) | | | (0.22 | ) | | | (0.27 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | — | | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | |
| | Total distributions | | | (0.27 | ) | | | (0.15 | ) | | | (0.90 | ) | | | (0.27 | ) | | | (0.27 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.62 | | | $ | 10.23 | | | $ | 11.11 | | | $ | 9.80 | | | $ | 10.65 | |
| | | | | | |
| | Total Return(c) | | | 26.20 | % | | | (6.37 | )% | | | 22.79 | % | | | (5.50 | )% | | | 8.80 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 40 | | | $ | 32 | | | $ | 34 | | | $ | 27 | | | $ | 29 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.09 | % | | | 1.10 | % | | | 1.11 | % | | | 1.12 | % | | | 1.15 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.33 | % | | | 1.34 | % | | | 1.29 | % | | | 1.27 | % | | | 1.75 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.05 | % | | | 1.45 | % | | | 1.85 | % | | | 2.20 | % | | | 2.13 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 52 | % | | | 75 | % | | | 42 | % | | | 67 | % | | | 58 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 55 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.23 | | | $ | 11.11 | | | $ | 9.80 | | | $ | 10.66 | | | $ | 10.06 | |
| | | | | | |
| | Net investment income(a) | | | 0.14 | | | | 0.15 | | | | 0.21 | | | | 0.29 | | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.55 | | | | (0.87 | ) | | | 2.01 | | | | (0.86 | ) | | | 0.65 | |
| | | | | | |
| | Total from investment operations | | | 2.69 | | | | (0.72 | ) | | | 2.22 | | | | (0.57 | ) | | | 0.89 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.29 | ) | | | (0.13 | ) | | | (0.61 | ) | | | (0.24 | ) | | | (0.29 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | — | | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | |
| | Total distributions | | | (0.29 | ) | | | (0.16 | ) | | | (0.91 | ) | | | (0.29 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.63 | | | $ | 10.23 | | | $ | 11.11 | | | $ | 9.80 | | | $ | 10.66 | |
| | | | | | |
| | Total Return(c) | | | 26.45 | % | | | (6.27 | )% | | | 22.97 | % | | | (5.44 | )% | | | 8.97 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 126,806 | | | $ | 144,290 | | | $ | 193,139 | | | $ | 259,662 | | | $ | 29 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.96 | % | | | 0.96 | % | | | 0.96 | % | | | 0.97 | % | | | 0.99 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.20 | % | | | 1.20 | % | | | 1.14 | % | | | 1.11 | % | | | 1.59 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.18 | % | | | 1.58 | % | | | 1.90 | % | | | 2.76 | % | | | 2.29 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 52 | % | | | 75 | % | | | 42 | % | | | 67 | % | | | 58 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 56 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 10.21 | | | $ | 11.10 | | | $ | 9.80 | | | $ | 10.65 | | | $ | 10.05 | |
| | | | | | |
| | Net investment income(a) | | | 0.06 | | | | 0.09 | | | | 0.15 | | | | 0.18 | | | | 0.17 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.54 | | | | (0.87 | ) | | | 1.99 | | | | (0.81 | ) | | | 0.65 | |
| | | | | | |
| | Total from investment operations | | | 2.60 | | | | (0.78 | ) | | | 2.14 | | | | (0.63 | ) | | | 0.82 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.08 | ) | | | (0.54 | ) | | | (0.17 | ) | | | (0.22 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | — | | | | — | (b) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.05 | ) | | | — | |
| | | | | | |
| | Total distributions | | | (0.22 | ) | | | (0.11 | ) | | | (0.84 | ) | | | (0.22 | ) | | | (0.22 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.59 | | | $ | 10.21 | | | $ | 11.10 | | | $ | 9.80 | | | $ | 10.65 | |
| | | | | | |
| | Total Return(c) | | | 25.56 | % | | | (6.83 | )% | | | 22.10 | % | | | (5.97 | )% | | | 8.26 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 39 | | | $ | 31 | | | $ | 33 | | | $ | 27 | | | $ | 29 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.59 | % | | | 1.60 | % | | | 1.61 | % | | | 1.62 | % | | | 1.65 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.83 | % | | | 1.84 | % | | | 1.79 | % | | | 1.77 | % | | | 2.25 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.55 | % | | | 0.95 | % | | | 1.35 | % | | | 1.70 | % | | | 1.63 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 52 | % | | | 75 | % | | | 42 | % | | | 67 | % | | | 58 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 57 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | | | | Period Ended
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of period | | $ | 10.22 | | | $ | 11.11 | | | $ | 9.80 | | | | | | | $ | 10.30 | |
| | | | | | |
| | Net investment income(b) | | | 0.14 | | | | 0.15 | | | | 0.22 | | | | | | | | 0.23 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.55 | | | | (0.88 | ) | | | 2.01 | | | | | | | | (0.50 | ) |
| | | | | | |
| | Total from investment operations | | | 2.69 | | | | (0.73 | ) | | | 2.23 | | | | | | | | (0.27 | ) |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.29 | ) | | | (0.13 | ) | | | (0.62 | ) | | | | | | | (0.18 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.02 | ) | | | (0.30 | ) | | | | | | | — | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.01 | ) | | | — | | | | | | | | (0.05 | ) |
| | | | | | |
| | Total distributions | | | (0.29 | ) | | | (0.16 | ) | | | (0.92 | ) | | | | | | | (0.23 | ) |
| | | | | | |
| | Net asset value, end of period | | $ | 12.62 | | | $ | 10.22 | | | $ | 11.11 | | | | | | | $ | 9.80 | |
| | | | | | |
| | Total Return(c) | | | 26.48 | % | | | (6.36 | )% | | | 22.98 | % | | | | | | | (2.69 | )% |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 50,241 | | | $ | 33,176 | | | $ | 43,099 | | | | | | | $ | 39,405 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.96 | % | | | 0.96 | % | | | 0.96 | % | | | | | | | 0.96 | %(d) |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.20 | % | | | 1.20 | % | | | 1.14 | % | | | | | | | 1.11 | %(d) |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.18 | % | | | 1.56 | % | | | 1.98 | % | | | | | | | 3.15 | %(d) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 52 | % | | | 75 | % | | | 42 | % | | | | | | | 67 | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (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. |
| | |
| 58 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.78 | | | $ | 12.47 | | | $ | 9.68 | | | $ | 10.85 | | | $ | 9.89 | |
| | | | | | |
| | Net investment income(a) | | | 0.15 | | | | 0.14 | | | | 0.18 | | | | 0.19 | | | | 0.22 | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.74 | | | | (0.64 | ) | | | 2.83 | | | | (1.19 | ) | | | 0.99 | |
| | | | | | |
| | Total from investment operations | | | 1.89 | | | | (0.50 | ) | | | 3.01 | | | | (1.00 | ) | | | 1.21 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.18 | ) | | | (0.16 | ) | | | (0.19 | ) | | | (0.17 | ) | | | (0.20 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | — | | | | (0.05 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.03 | ) | | | (0.03 | ) | | | — | | | | — | (c) |
| | | | | | |
| | Total distributions | | | (0.22 | ) | | | (0.19 | ) | | | (0.22 | ) | | | (0.17 | ) | | | (0.25 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.45 | | | $ | 11.78 | | | $ | 12.47 | | | $ | 9.68 | | | $ | 10.85 | |
| | | | | | |
| | Total Return(d) | | | 16.15 | % | | | (3.97 | )% | | | 31.22 | % | | | (9.31 | )% | | | 12.29 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 1,302 | | | $ | 357 | | | $ | 782 | | | $ | 1,376 | | | $ | 40 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.35 | % | | | 1.34 | % | | | 1.36 | % | | | 1.38 | % | | | 1.38 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.45 | % | | | 1.56 | % | | | 1.51 | % | | | 1.51 | % | | | 6.20 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.14 | % | | | 1.17 | % | | | 1.53 | % | | | 1.83 | % | | | 2.04 | %(b) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 50 | % | | | 57 | % | | | 39 | % | | | 67 | % | | | 103 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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. | | 59 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.70 | | | $ | 12.41 | | | $ | 9.65 | | | $ | 10.84 | | | $ | 9.88 | |
| | | | | | |
| | Net investment income(a) | | | 0.05 | | | | 0.02 | | | | 0.11 | | | | 0.10 | | | | 0.13 | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.73 | | | | (0.62 | ) | | | 2.80 | | | | (1.17 | ) | | | 1.00 | |
| | | | | | |
| | Total from investment operations | | | 1.78 | | | | (0.60 | ) | | | 2.91 | | | | (1.07 | ) | | | 1.13 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.10 | ) | | | (0.09 | ) | | | (0.13 | ) | | | (0.12 | ) | | | (0.14 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | — | | | | (0.03 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.02 | ) | | | (0.02 | ) | | | — | | | | — | (c) |
| | | | | | |
| | Total distributions | | | (0.14 | ) | | | (0.11 | ) | | | (0.15 | ) | | | (0.12 | ) | | | (0.17 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.34 | | | $ | 11.70 | | | $ | 12.41 | | | $ | 9.65 | | | $ | 10.84 | |
| | | | | | |
| | Total Return(d) | | | 15.28 | % | | | (4.78 | )% | | | 30.31 | % | | | (9.96 | )% | | | 11.46 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 622 | | | $ | 868 | | | $ | 2,607 | | | $ | 1,383 | | | $ | 57 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 2.10 | % | | | 2.09 | % | | | 2.11 | % | | | 2.13 | % | | | 2.14 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.20 | % | | | 2.30 | % | | | 2.26 | % | | | 2.26 | % | | | 7.06 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.39 | % | | | 0.21 | % | | | 1.01 | % | | | 1.00 | % | | | 1.24 | %(b) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 50 | % | | | 57 | % | | | 39 | % | | | 67 | % | | | 103 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 60 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.80 | | | $ | 12.50 | | | $ | 9.71 | | | $ | 10.85 | | | $ | 9.89 | |
| | | | | | |
| | Net investment income(a) | | | 0.19 | | | | 0.21 | | | | 0.19 | | | | 0.06 | | | | 0.29 | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.74 | | | | (0.68 | ) | | | 2.87 | | | | (1.02 | ) | | | 0.96 | |
| | | | | | |
| | Total from investment operations | | | 1.93 | | | | (0.47 | ) | | | 3.06 | | | | (0.96 | ) | | | 1.25 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.17 | ) | | | (0.24 | ) | | | (0.18 | ) | | | (0.20 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | — | | | | (0.08 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.06 | ) | | | (0.03 | ) | | | — | | | | (0.01 | ) |
| | | | | | |
| | Total distributions | | | (0.26 | ) | | | (0.23 | ) | | | (0.27 | ) | | | (0.18 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.47 | | | $ | 11.80 | | | $ | 12.50 | | | $ | 9.71 | | | $ | 10.85 | |
| | | | | | |
| | Total Return(c) | | | 16.50 | % | | | (3.63 | )% | | | 31.66 | % | | | (8.89 | )% | | | 12.72 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 8,983 | | | $ | 6,772 | | | $ | 1,264 | | | $ | 1,737 | | | $ | 222,546 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.99 | % | | | 0.99 | % | | | 1.00 | % | | | 0.99 | % | | | 0.99 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.08 | % | | | 1.19 | % | | | 1.13 | % | | | 1.06 | % | | | 1.29 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.50 | % | | | 1.82 | % | | | 1.70 | % | | | 0.54 | % | | | 2.65 | %(b) |
| | | | | | |
| | Portfolio turnover rate(d) | | | 50 | % | | | 57 | % | | | 39 | % | | | 67 | % | | | 103 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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 GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Investor Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.78 | | | $ | 12.47 | | | $ | 9.68 | | | $ | 10.85 | | | $ | 9.89 | |
| | | | | | |
| | Net investment income(a) | | | 0.18 | | | | 0.10 | | | | 0.22 | | | | 0.20 | | | | 0.24 | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.75 | | | | (0.58 | ) | | | 2.82 | | | | (1.18 | ) | | | 0.99 | |
| | | | | | |
| | Total from investment operations | | | 1.93 | | | | (0.48 | ) | | | 3.04 | | | | (0.98 | ) | | | 1.23 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.21 | ) | | | (0.19 | ) | | | (0.22 | ) | | | (0.19 | ) | | | (0.21 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | — | | | | (0.05 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.02 | ) | | | (0.03 | ) | | | — | | | | (0.01 | ) |
| | | | | | |
| | Total distributions | | | (0.25 | ) | | | (0.21 | ) | | | (0.25 | ) | | | (0.19 | ) | | | (0.27 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.46 | | | $ | 11.78 | | | $ | 12.47 | | | $ | 9.68 | | | $ | 10.85 | |
| | | | | | |
| | Total Return(c) | | | 16.49 | % | | | (3.80 | )% | | | 31.49 | % | | | (9.00 | )% | | | 12.56 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 248 | | | $ | 181 | | | $ | 929 | | | $ | 279 | | | $ | 28 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.10 | % | | | 1.09 | % | | | 1.10 | % | | | 1.13 | % | | | 1.14 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.20 | % | | | 1.29 | % | | | 1.26 | % | | | 1.25 | % | | | 6.05 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.39 | % | | | 0.86 | % | | | 1.96 | % | | | 1.95 | % | | | 2.23 | %(b) |
| | | | | | |
| | Portfolio turnover rate(d) | | | 50 | % | | | 57 | % | | | 39 | % | | | 67 | % | | | 103 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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 GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.77 | | | $ | 12.47 | | | $ | 9.69 | | | $ | 10.85 | | | $ | 9.89 | |
| | | | | | |
| | Net investment income(a) | | | 0.19 | | | | 0.18 | | | | 0.23 | | | | 0.22 | | | | 0.26 | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.74 | | | | (0.65 | ) | | | 2.82 | | | | (1.18 | ) | | | 0.99 | |
| | | | | | |
| | Total from investment operations | | | 1.93 | | | | (0.47 | ) | | | 3.05 | | | | (0.96 | ) | | | 1.25 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.19 | ) | | | (0.24 | ) | | | (0.20 | ) | | | (0.22 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | — | | | | (0.06 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | (0.03 | ) | | | — | | | | (0.01 | ) |
| | | | | | |
| | Total distributions | | | (0.26 | ) | | | (0.23 | ) | | | (0.27 | ) | | | (0.20 | ) | | | (0.29 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.44 | | | $ | 11.77 | | | $ | 12.47 | | | $ | 9.69 | | | $ | 10.85 | |
| | | | | | |
| | Total Return(c) | | | 16.55 | % | | | (3.64 | )% | | | 31.63 | % | | | (8.88 | )% | | | 12.74 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 166,430 | | | $ | 160,304 | | | $ | 187,335 | | | $ | 183,306 | | | $ | 28 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.98 | % | | | 0.98 | % | | | 0.99 | % | | | 0.98 | % | | | 0.97 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.07 | % | | | 1.18 | % | | | 1.11 | % | | | 1.10 | % | | | 5.88 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.51 | % | | | 1.57 | % | | | 1.94 | % | | | 2.17 | % | | | 2.40 | %(b) |
| | | | | | |
| | Portfolio turnover rate(d) | | | 50 | % | | | 57 | % | | | 39 | % | | | 67 | % | | | 103 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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 GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Class R Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.78 | | | $ | 12.48 | | | $ | 9.69 | | | $ | 10.85 | | | $ | 9.89 | |
| | | | | | |
| | Net investment income(a) | | | 0.11 | | | | 0.12 | | | | 0.16 | | | | 0.14 | | | | 0.18 | (b) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.75 | | | | (0.66 | ) | | | 2.82 | | | | (1.16 | ) | | | 1.00 | |
| | | | | | |
| | Total from investment operations | | | 1.86 | | | | (0.54 | ) | | | 2.98 | | | | (1.02 | ) | | | 1.18 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.15 | ) | | | (0.13 | ) | | | (0.17 | ) | | | (0.14 | ) | | | (0.18 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | — | | | | (0.04 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.03 | ) | | | (0.02 | ) | | | — | | | | — | (c) |
| | | | | | |
| | Total distributions | | | (0.19 | ) | | | (0.16 | ) | | | (0.19 | ) | | | (0.14 | ) | | | (0.22 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 13.45 | | | $ | 11.78 | | | $ | 12.48 | | | $ | 9.69 | | | $ | 10.85 | |
| | | | | | |
| | Total Return(d) | | | 15.84 | % | | | (4.24 | )% | | | 30.94 | % | | | (9.49 | )% | | | 12.00 | % |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 37 | | | $ | 32 | | | $ | 33 | | | $ | 25 | | | $ | 28 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.60 | % | | | 1.59 | % | | | 1.61 | % | | | 1.63 | % | | | 1.64 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.71 | % | | | 1.82 | % | | | 1.77 | % | | | 1.75 | % | | | 6.55 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.89 | % | | | 1.01 | % | | | 1.42 | % | | | 1.30 | % | | | 1.74 | %(b) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 50 | % | | | 57 | % | | | 39 | % | | | 67 | % | | | 103 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 64 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | | | | Period Ended
December 31, 2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of period | | $ | 11.76 | | | $ | 12.47 | | | $ | 9.68 | | | | | | | $ | 10.47 | |
| | | | | | |
| | Net investment income(b) | | | 0.19 | | | | 0.21 | | | | 0.23 | | | | | | | | 0.12 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.75 | | | | (0.69 | ) | | | 2.83 | | | | | | | | (0.73 | ) |
| | | | | | |
| | Total from investment operations | | | 1.94 | | | | (0.48 | ) | | | 3.06 | | | | | | | | (0.61 | ) |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.17 | ) | | | (0.24 | ) | | | | | | | (0.18 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.04 | ) | | | — | | | | — | | | | | | | | — | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.06 | ) | | | (0.03 | ) | | | | | | | — | |
| | | | | | |
| | Total distributions | | | (0.26 | ) | | | (0.23 | ) | | | (0.27 | ) | | | | | | | (0.18 | ) |
| | | | | | |
| | Net asset value, end of period | | $ | 13.44 | | | $ | 11.76 | | | $ | 12.47 | | | | | | | $ | 9.68 | |
| | | | | | |
| | Total Return(c) | | | 16.66 | % | | | (3.72 | )% | | | 31.77 | % | | | | | | | (5.91 | )% |
| | | | | | |
| | Net assets, end of period (in 000’s) | | $ | 117,473 | | | $ | 12,085 | | | $ | 3,936 | | | | | | | $ | 2,278 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.98 | % | | | 0.98 | % | | | 0.99 | % | | | | | | | 0.98 | %(d) |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.07 | % | | | 1.18 | % | | | 1.12 | % | | | | | | | 1.14 | %(d) |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.51 | % | | | 1.77 | % | | | 1.99 | % | | | | | | | 1.68 | %(d) |
| | | | | | |
| | Portfolio turnover rate(e) | | | 50 | % | | | 57 | % | | | 39 | % | | | | | | | 67 | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (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. | | 65 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 |
International Real Estate Securities | | A, C, Institutional, Investor, R6 and P | | Non-diversified |
Real Estate Securities | | A, C, Institutional, Service, Investor, R6, R and P | | Non-diversified |
Global Real Estate Securities | | A, C, Institutional, Investor, R6, R and P | | Diversified |
Global Infrastructure | | A, C, Institutional, Investor, R6, R and P | | Non-diversified |
Class A Shares of the Global Infrastructure, Global Real Estate Securities, International Real Estate Securities, and Real Estate Securities Funds 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, Service, 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 Funds pursuant to a management agreement (the “Agreement”) with the Trust.
| | |
| 2. SIGNIFICANT ACCOUNTING POLICIES | | |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. 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. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered are reflected as other income in the Statements of Operations. 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.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and
Shareholder Administration fees.
66
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| | | | | | |
| Fund | | | | Income Distributions
Declared/Paid | | Capital Gains Distributions
Declared/Paid |
International Real Estate Securities | | | | Semi-Annually | | Annually |
Global Infrastructure, Global Real Estate Securities and Real Estate Securities | | | | Quarterly | | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| | |
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS | | |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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).
67
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are
reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
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.
68
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
| | | |
| INTERNATIONAL REAL ESTATE SECURITIES FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 1,316,359 | | | $ | 18,507,373 | | | $ | — | |
| | | |
Europe | | | 2,485,919 | | | | 17,573,088 | | | | — | |
| | | |
North America | | | 4,027,796 | | | | — | | | | — | |
| | | |
Oceania | | | — | | | | 4,783,957 | | | | — | |
| | | |
Investment Company | | | 636,526 | | | | — | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 321,600 | | | | — | | | | — | |
| | | |
| Total | | $ | 8,788,200 | | | $ | 40,864,418 | | | $ | — | |
| | | |
| REAL ESTATE SECURITIES FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
North America | | $ | 174,366,729 | | | $ | — | | | $ | — | |
| | | |
Investment Company | | | 1,663,941 | | | | — | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 90,000 | | | | — | | | | — | |
| | | |
| Total | | $ | 176,120,670 | | | $ | — | | | $ | — | |
| | | |
| GLOBAL REAL ESTATE SECURITIES FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 1,840,985 | | | $ | 25,832,507 | | | $ | — | |
| | | |
Europe | | | 5,095,360 | | | | 25,137,042 | | | | — | |
| | | |
North America | | | 110,431,682 | | | | — | | | | — | |
| | | |
Oceania | | | — | | | | 6,595,588 | | | | — | |
| | | |
Investment Company | | | 1,903,476 | | | | — | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 1,017,300 | | | | — | | | | — | |
| | | |
| Total | | $ | 120,288,803 | | | $ | 57,565,137 | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in table. The Fund utilizes fair value model prices provided by an independent third-party (fair value) service for certain international equity securities resulting in a Level 2 classification. |
69
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| GLOBAL INFRASTRUCTURE FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 1,086,614 | | | $ | 13,401,368 | | | $ | — | |
| | | |
Europe | | | 4,400,428 | | | | 67,290,752 | | | | — | |
| | | |
North America | | | 187,043,079 | | | | — | | | | — | |
| | | |
Oceania | | | — | | | | 14,687,962 | | | | — | |
| | | |
Investment Company | | | 4,633,943 | | | | — | | | | — | |
| | | |
| Total | | $ | 197,164,064 | | | $ | 95,380,082 | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in table. The Fund utilizes fair value model prices provided by an independent third-party (fair value) service for certain international equity securities resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
| | |
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS | | |
A. Management Agreement — Under the Agreement, GSAM manages the 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 year ended December 31, 2021, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Contractual Management Rate | | | Effective Net Management
Rate^ | |
| Fund | | First $1 billion | | | Next $1 billion | | | Next $3 billion | | | Next $3 billion | | | Over $8 billion | | | Effective
Rate | |
International Real Estate Securities | | | 0.95 | % | | | 0.95 | % | | | 0.86 | % | | | 0.81 | % | | | 0.80 | % | | | 0.95 | % | | | 0.95 | % |
Real Estate Securities | | | 0.87 | | | | 0.78 | | | | 0.74 | | | | 0.73 | | | | 0.71 | | | | 0.87 | | | | 0.87 | |
Global Real Estate Securities | | | 0.93 | | | | 0.84 | | | | 0.80 | | | | 0.78 | | | | 0.76 | | | | 0.93 | | | | 0.93 | |
Global Infrastructure | | | 0.90 | | | | 0.81 | | | | 0.77 | | | | 0.75 | | | | 0.74 | | | | 0.90 | | | | 0.90 | |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
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, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund.
For the year ended December 31, 2021, GSAM waived $368, $914, $901 and $3,822 of the International Real Estate Securities, Real Estate Securities, Global Real Estate Securities and Global Infrastructure Funds’ management fees, respectively.
70
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable 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 Funds, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of each applicable 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 Funds, as set forth below.
The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing 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 the average daily net assets attributable to Service Shares of the Funds, as set forth below.
| | | | | | | | | | | | | | | | |
| | | Distribution and/or Service Plan Rates | |
| | | Class A* | | | Class C | | | Service | | | Class R* | |
Distribution and/or Service Plans | | | 0.25 | % | | | 0.75 | % | | | 0.25 | % | | | 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/or 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 Funds 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 year ended December 31, 2021, Goldman Sachs retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
International Real Estate Securities | | | | $ | 12 | | | $ | — | |
Real Estate Securities | | | | | 2,731 | | | | — | |
Global Infrastructure | | | | | 35 | | | | — | |
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide 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 and Service Shares of the Funds, respectively.
E. 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: 0.16% 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 and Service Shares.
Effective April 30, 2021, for the Global Infrastructure, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.01% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Fund. Prior to
71
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
April 30, 2021, Goldman Sachs waived a portion of its transfer agency fee equal to 0.02% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for each Fund is 0.004%, except Global Infrastructure which is at 0.054%. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Transfer
Agency Fee
Waiver/Credits | | | Other
Expense
Reimbursements | | | Total
Expense
Reductions | |
International Real Estate Securities | | | | $ | 368 | | | $ | — | | | $ | 351,714 | | | $ | 352,082 | |
Real Estate Securities | | | | | 914 | | | | — | | | | 396,294 | | | | 397,208 | |
Global Real Estate Securities | | | | | 901 | | | | — | | | | 407,495 | | | | 408,396 | |
Global Infrastructure Fund | | | | | 3,822 | | | | 215 | | | | 208,966 | | | | 213,003 | |
G. Line of Credit Facility — As of December 31, 2021, the Funds participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the year ended December 31, 2021, the Funds did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2021, Goldman Sachs earned $8,879 in brokerage commissions from portfolio transactions, on behalf of the Global Infrastructure Fund.
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Beginning
Value as of
December 31,
2020 | | Purchases
at Cost | | | Proceeds
from Sales | | | Market
Value as of
December 31,
2021 | | | Shares as of
December 31,
2021 | | | Dividend
Income | |
International Real Estate Securities | | $1,168,707 | | $ | 13,095,084 | | | $ | (13,627,265 | ) | | $ | 636,526 | | | | 636,526 | | | $ | 169 | |
Real Estate Securities | | — | | | 35,614,115 | | | | (33,950,174 | ) | | | 1,663,941 | | | | 1,663,941 | | | | 359 | |
Global Real Estate Securities | | 2,365,286 | | | 36,968,825 | | | | (37,430,635 | ) | | | 1,903,476 | | | | 1,903,476 | | | | 406 | |
Global Infrastructure Fund | | 2,834,469 | | | 96,592,099 | | | | (94,792,625 | ) | | | 4,633,943 | | | | 4,633,943 | | | | 1,273 | |
72
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2021, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
International Real Estate Securities | | | | | — | % | | | 44 | % | | | — | % | | | 15 | % | | | 16 | % | | | — | % | | | — | % |
Global Real Estate Securities | | | | | 20 | | | | 60 | | | | 5 | | | | 100 | | | | — | | | | 100 | | | | — | |
Global Infrastructure | | | | | — | | | | — | | | | — | | | | 15 | | | | — | | | | 100 | | | | — | |
As of December 31, 2021, the following Goldman Sachs Fund of Funds and Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Fund:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Goldman Sachs
Dynamic Global Equity
Portfolio | | | Goldman Sachs
Equity Growth
Strategy Portfolio | | | Goldman Sachs
Growth and Income
Strategy Portfolio | | | Goldman Sachs
Growth Strategy
Portfolio | | | Goldman Sachs
Satellite Strategies
Portfolio | | | Goldman Sachs
Tax-Advantaged
Global Equity
Portfolio | |
Global Real Estate Securities | | | | | 8 | % | | | — | % | | | 6 | % | | | 5 | % | | | — | % | | | 38 | % |
Global Infrastructure | | | | | — | | | | 5 | | | | 6 | | | | 6 | | | | 9 | | | | 23 | |
| | |
| 5. PORTFOLIO SECURITIES TRANSACTIONS | | |
The cost of purchases and proceeds from sales and maturities of long-term securities for the year ended December 31, 2021, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales | |
International Real Estate Securities | | | | $ | 17,737,720 | | | $ | 21,876,562 | |
Real Estate Securities | | | | | 58,096,885 | | | | 55,025,628 | |
Global Real Estate Securities | | | | | 87,146,407 | | | | 124,443,399 | |
Global Infrastructure | | | | | 199,731,471 | | | | 115,356,435 | |
The Real Estate Securities Funds may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Global Real Estate Securities and International Real Estate Securities Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the
73
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 6. SECURITIES LENDING (continued) |
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 Global Real Estate Securities, International Real Estate Securities and Real Estate Securities Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2021, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
Each of the Global Real Estate Securities and International Real Estate Securities Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the year ended December 31, 2021, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | | | | | |
| | | | | For the Fiscal Year Ended December 31, 2021 | | | Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned
as of December 31,
2021 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities Loaned | | | Amounts Received
by the Funds
from Lending to
Goldman Sachs | |
International Real Estate Securities | | | | $ | 235 | | | $ | — | | | $ | — | |
Global Real Estate Securities | | | | | 682 | | | | 35 | | | | — | |
The following table provides information about the Funds’ investments in the Government Money Market Fund for the year ended December 31, 2021:
| | | | | | | | | | | | | | | | |
| Fund | | Beginning
Value as of
December 31,
2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31,
2021 | |
International Real Estate Securities | | $ | — | | | $ | 7,079,717 | | | $ | (6,758,117 | ) | | $ | 321,600 | |
Real Estate Securities | | | — | | | | 423,608 | | | | (333,608 | ) | | | 90,000 | |
Global Real Estate Securities | | | — | | | | 12,834,476 | | | | (11,817,176 | ) | | | 1,017,300 | |
74
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | | | | | | | | | | | | | |
| | | International
Real Estate
Securities | | | Real Estate
Securities | | | Global
Real Estate
Securities | | | Global
Infrastructure | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income | | $ | 2,576,322 | | | $ | 4,517,000 | | | $ | 4,039,772 | | | $ | 4,764,609 | |
Net long-term capital gains | | | — | | | | 6,150,562 | | | | — | | | | 575,258 | |
Total distributions | | $ | 2,576,322 | | | $ | 10,667,562 | | | $ | 4,039,772 | | | $ | 5,339,867 | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | | | | | | | | | | | | | |
| | | International
Real Estate
Securities | | | Real Estate
Securities | | | Global
Real Estate
Securities | | | Global
Infrastructure | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income | | $ | 609,905 | | | $ | 1,929,291 | | | $ | 2,658,332 | | | $ | 2,657,301 | |
Net long-term capital gains | | | — | | | | 9,439,801 | | | | 200,353 | | | | — | |
Return of capital | | | — | | | | — | | | | 140,873 | | | | 615,592 | |
Total distributions | | $ | 609,905 | | | $ | 11,369,092 | | | $ | 2,999,558 | | | $ | 3,272,893 | |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | | | | | | | | | | | | | |
| | | International
Real Estate
Securities | | | Real Estate
Securities | | | Global
Real Estate
Securities | | | Global
Infrastructure | |
Undistributed ordinary income — net | | $ | 19,566 | | | $ | 1,118,789 | | | $ | 1,537,063 | | | $ | 272,252 | |
Undistributed long-term capital gains | | | — | | | | 1,650,733 | | | | 161,530 | | | | — | |
Total undistributed earnings | | $ | 19,566 | | | $ | 2,769,522 | | | $ | 1,698,593 | | | $ | 272,252 | |
Capital loss carryforwards:(1) | | | | | | | | | | | | | | | | |
Perpetual Long-Term | | $ | (11,380,465 | ) | | $ | — | | | $ | — | | | $ | — | |
Total capital loss carryforwards | | $ | (11,380,465 | ) | | $ | — | | | $ | — | | | $ | — | |
Timing differences (Real Estate Investment Trusts, Qualified Late Year Ordinary Loss Deferral and Post October Loss Deferral) | | $ | — | | | $ | 179,029 | | | $ | 57,817 | | | $ | (865,017 | ) |
Unrealized gains (losses) — net | | | 475,303 | | | | 74,647,273 | | | | 40,243,182 | | | | 51,680,846 | |
Total accumulated earnings (losses) — net | | $ | (10,885,596 | ) | | $ | 77,595,824 | | | $ | 41,999,592 | | | $ | 51,088,081 | |
| (1) | | During the fiscal year ended December 31, 2021, the Fund utilized $1,145,978, $7,898,436 and $763,169 in capital loss carryforwards from prior years for International Real Estate Securities Fund, Global Real Estate Securities Fund and Global Infrastructure Fund, respectively. |
75
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 7. TAX INFORMATION (continued) |
As of December 31, 2021, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| | | International
Real Estate
Securities | | | Real Estate
Securities | | | Global Real
Estate
Securities | | | Global
Infrastructure | |
Tax Cost | | $ | 49,178,266 | | | $ | 101,473,397 | | | $ | 137,612,882 | | | $ | 240,883,797 | |
Gross unrealized gain | | | 5,219,044 | | | | 75,578,688 | | | | 43,329,297 | | | | 56,986,162 | |
Gross unrealized loss | | | (4,743,741 | ) | | | (931,415 | ) | | | (3,086,115 | ) | | | (5,305,316 | ) |
Net unrealized gain (loss) | | $ | 475,303 | | | $ | 74,647,273 | | | $ | 40,243,182 | | | $ | 51,680,846 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of partnership investments and passive foreign investment companies.
The Global Real Estate Securities Fund reclassified $48,331 from distributable earnings to paid-in capital for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from partnership investments.
The Global Infrastructure Fund reclassified $34,060 from paid-in capital to distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from underlying fund investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
The Funds’ risks include, but are not limited to, the following:
Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
76
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 8. OTHER RISKS (continued) |
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.
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.
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.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, 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. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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.
77
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 8. OTHER RISKS (continued) |
Non-Diversification Risk — The Global Infrastructure, International Real Estate Securities and Real Estate Securities Funds are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
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.
At a meeting held on December 14-15, 2021, the Trustees approved a reorganization pursuant to which the Goldman Sachs International Real Estate Securities Fund (the “Acquired Fund”) will be reorganized with and into the Goldman Sachs Global Real Estate Securities Fund (the “Surviving Fund”). Effective on or about April 8, 2022 (the “Closing Date”), shareholders of the Acquired Fund will own shares in the Surviving Fund equal in dollar value to their interest in the Acquired Fund on the Closing Date. As part of the reorganization, holders of Class A, Class C, Institutional, Investor, Class R6 and Class P Shares of the Acquired Fund will receive Class A, Class C, Institutional, Investor, Class R6 and Class P Shares of the Surviving Fund, respectively. The reorganization is intended to be a tax-free reorganization for Federal income tax purposes.
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.
78
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Real Estate Securities Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 34,833 | | | $ | 236,192 | | | | 14,555 | | | $ | 83,687 | |
Reinvestment of distributions | | | 13,889 | | | | 90,594 | | | | 2,770 | | | | 15,123 | |
Shares redeemed | | | (76,328 | ) | | | (513,017 | ) | | | (139,827 | ) | | | (769,843 | ) |
| | | | |
| | | | (27,606 | ) | | | (186,231 | ) | | | (122,502 | ) | | | (671,033 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 88 | | | | 600 | | | | 551 | | | | 3,383 | |
Reinvestment of distributions | | | 136 | | | | 892 | | | | 42 | | | | 232 | |
Shares redeemed | | | (8,302 | ) | | | (54,467 | ) | | | (12,454 | ) | | | (72,451 | ) |
| | | | |
| | | | (8,078 | ) | | | (52,975 | ) | | | (11,861 | ) | | | (68,836 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 126,356 | | | | 824,598 | | | | 20,583 | | | | 123,358 | |
Reinvestment of distributions | | | 48,591 | | | | 304,314 | | | | 11,310 | | | | 60,450 | |
Shares redeemed | | | (13,895 | ) | | | (91,126 | ) | | | (329,293 | ) | | | (1,827,794 | ) |
| | | | |
| | | | 161,052 | | | | 1,037,786 | | | | (297,400 | ) | | | (1,643,986 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,414 | | | | 9,742 | | | | 1,286 | | | | 7,362 | |
Reinvestment of distributions | | | 536 | | | | 3,451 | | | | 159 | | | | 870 | |
Shares redeemed | | | (2,077 | ) | | | (13,638 | ) | | | (8,032 | ) | | | (49,166 | ) |
| | | | |
| | | | (127 | ) | | | (445 | ) | | | (6,587 | ) | | | (40,934 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 11,097 | | | | 70,182 | | | | — | | | | — | |
Reinvestment of distributions | | | 663 | | | | 4,144 | | | | 23 | | | | 120 | |
Shares redeemed | | | (679 | ) | | | (4,404 | ) | | | — | | | | — | |
| | | | |
| | | | 11,081 | | | | 69,922 | | | | 23 | | | | 120 | |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 539,166 | | | | 3,403,376 | | | | 3,763,846 | | | | 19,374,160 | |
Reinvestment of distributions | | | 347,038 | | | | 2,170,727 | | | | 99,884 | | | | 532,922 | |
Shares redeemed | | | (1,504,078 | ) | | | (9,713,180 | ) | | | (7,553,506 | ) | | | (38,883,307 | ) |
| | | | |
| | | | (617,874 | ) | | | (4,139,077 | ) | | | (3,689,776 | ) | | | (18,976,225 | ) |
| | | | |
NET DECREASE | | | (481,552 | ) | | $ | (3,271,020 | ) | | | (4,128,103 | ) | | $ | (21,400,894 | ) |
79
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Real Estate Securities Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 261,452 | | | $ | 3,474,537 | | | | 151,591 | | | $ | 1,711,995 | |
Reinvestment of distributions | | | 98,461 | | | | 1,374,972 | | | | 167,283 | | | | 1,784,623 | |
Shares redeemed | | | (535,583 | ) | | | (6,949,385 | ) | | | (652,041 | ) | | | (7,478,412 | ) |
| | | | |
| | | | (175,670 | ) | | | (2,099,876 | ) | | | (333,167 | ) | | | (3,981,794 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 23,475 | | | | 311,598 | | | | 12,822 | | | | 136,861 | |
Reinvestment of distributions | | | 7,048 | | | | 91,893 | | | | 13,271 | | | | 132,433 | |
Shares redeemed | | | (48,409 | ) | | | (579,022 | ) | | | (106,025 | ) | | | (1,084,385 | ) |
| | | | |
| | | | (17,886 | ) | | | (175,531 | ) | | | (79,932 | ) | | | (815,091 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 846,648 | | | | 10,847,402 | | | | 203,539 | | | | 2,421,613 | |
Reinvestment of distributions | | | 155,150 | | | | 2,269,344 | | | | 197,171 | | | | 2,200,981 | |
Shares redeemed | | | (651,410 | ) | | | (9,524,433 | ) | | | (549,710 | ) | | | (6,405,332 | ) |
| | | | |
| | | | 350,388 | | | | 3,592,313 | | | | (149,000 | ) | | | (1,782,738 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 15,402 | | | | 202,220 | | | | 17,117 | | | | 186,599 | |
Reinvestment of distributions | | | 1,932 | | | | 27,290 | | | | 4,306 | | | | 46,371 | |
Shares redeemed | | | (42,347 | ) | | | (544,995 | ) | | | (57,146 | ) | | | (595,416 | ) |
| | | | |
| | | | (25,013 | ) | | | (315,485 | ) | | | (35,723 | ) | | | (362,446 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 58,594 | | | | 821,695 | | | | 245,653 | | | | 3,153,946 | |
Reinvestment of distributions | | | 11,704 | | | | 165,549 | | | | 21,337 | | | | 230,536 | |
Shares redeemed | | | (98,003 | ) | | | (1,342,218 | ) | | | (399,865 | ) | | | (4,922,922 | ) |
| | | | |
| | | | (27,705 | ) | | | (354,974 | ) | | | (132,875 | ) | | | (1,538,440 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 13,972 | | | | 187,160 | | | | 29,934 | | | | 329,275 | |
Reinvestment of distributions | | | 516 | | | | 7,607 | | | | 6,877 | | | | 76,897 | |
Shares redeemed | | | (82,746 | ) | | | (1,027,333 | ) | | | (10,623 | ) | | | (127,504 | ) |
| | | | |
| | | | (68,258 | ) | | | (832,566 | ) | | | 26,188 | | | | 278,668 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 17,105 | | | | 227,505 | | | | 22,185 | | | | 256,198 | |
Reinvestment of distributions | | | 4,897 | | | | 67,408 | | | | 7,577 | | | | 79,676 | |
Shares redeemed | | | (28,316 | ) | | | (351,064 | ) | | | (56,007 | ) | | | (628,800 | ) |
| | | | |
| | | | (6,314 | ) | | | (56,151 | ) | | | (26,245 | ) | | | (292,926 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,122,099 | | | | 14,942,863 | | | | 2,099,373 | | | | 22,254,864 | |
Reinvestment of distributions | | | 448,322 | | | | 6,567,981 | | | | 594,839 | | | | 6,634,674 | |
Shares redeemed | | | (662,435 | ) | | | (9,155,417 | ) | | | (3,099,620 | ) | | | (35,299,395 | ) |
| | | | |
| | | | 907,986 | | | | 12,355,427 | | | | (405,408 | ) | | | (6,409,857 | ) |
| | | | |
NET INCREASE/(DECREASE) | | | 937,528 | | | $ | 12,113,157 | | | | (1,136,162 | ) | | $ | (14,904,624 | ) |
80
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Global Real Estate Securities Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,760 | | | $ | 18,460 | | | | 31 | | | $ | 345 | |
Reinvestment of distributions | | | 107 | | | | 1,263 | | | | 71 | | | | 645 | |
Shares redeemed | | | (2,536 | ) | | | (31,424 | ) | | | (4 | ) | | | (41 | ) |
| | | | |
| | | | (669 | ) | | | (11,701 | ) | | | 98 | | | | 949 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | — | | | | — | |
Reinvestment of distributions | | | 69 | | | | 822 | | | | 45 | | | | 424 | |
Shares redeemed | | | — | | | | — | | | | (1,043 | ) | | | (9,389 | ) |
| | | | |
| | | | 69 | | | | 822 | | | | (998 | ) | | | (8,965 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 13,495 | | | | 143,505 | | | | 19,341 | | | | 204,292 | |
Reinvestment of distributions | | | 3,778 | | | | 44,599 | | | | 3,610 | | | | 32,682 | |
Shares redeemed | | | (194,628 | ) | | | (2,391,739 | ) | | | (4,532 | ) | | | (43,736 | ) |
| | | | |
| | | | (177,355 | ) | | | (2,203,635 | ) | | | 18,419 | | | | 193,238 | |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | — | | | | — | |
Reinvestment of distributions | | | 71 | | | | 841 | | | | 51 | | | | 458 | |
Shares redeemed | | | — | | | | — | | | | — | | | | — | |
| | | | |
| | | | 71 | | | | 841 | | | | 51 | | | | 458 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 417,992 | | | | 4,864,136 | | | | 2,017,932 | | | | 18,813,179 | |
Reinvestment of distributions | | | 241,640 | | | | 2,860,276 | | | | 276,148 | | | | 2,488,913 | |
Shares redeemed | | | (4,722,957 | ) | | | (50,093,718 | ) | | | (5,568,483 | ) | | | (54,042,521 | ) |
| | | | |
| | | | (4,063,325 | ) | | | (42,369,306 | ) | | | (3,274,403 | ) | | | (32,740,429 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | — | | | | — | |
Reinvestment of distributions | | | 55 | | | | 654 | | | | 38 | | | | 345 | |
| | | | 55 | | | | 654 | | | | 38 | | | | 345 | |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,660,568 | | | | 18,749,636 | | | | 2,568,798 | | | | 22,072,549 | |
Reinvestment of distributions | | | 95,498 | | | | 1,131,317 | | | | 53,027 | | | | 476,091 | |
Shares redeemed | | | (1,019,691 | ) | | | (12,201,753 | ) | | | (3,257,812 | ) | | | (28,595,177 | ) |
| | | | |
| | | | 736,375 | | | | 7,679,200 | | | | (635,987 | ) | | | (6,046,537 | ) |
| | | | |
NET DECREASE | | | (3,504,779 | ) | | $ | (36,903,125 | ) | | | (3,892,782 | ) | | $ | (38,600,941 | ) |
81
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Global Infrastructure Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 78,880 | | | $ | 1,029,669 | | | | 19,509 | | | $ | 214,521 | |
Reinvestment of distributions | | | 842 | | | | 10,884 | | | | 556 | | | | 6,297 | |
Shares redeemed | | | (13,230 | ) | | | (169,032 | ) | | | (52,450 | ) | | | (618,502 | ) |
| | | | 66,492 | | | | 871,521 | | | | (32,385 | ) | | | (397,684 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 529 | | | | 6,249 | | | | 3,679 | | | | 42,098 | |
Reinvestment of distributions | | | 654 | | | | 8,412 | | | | 835 | | | | 9,425 | |
Shares redeemed | | | (28,786 | ) | | | (374,835 | ) | | | (140,458 | ) | | | (1,691,394 | ) |
| | | | (27,603 | ) | | | (360,174 | ) | | | (135,944 | ) | | | (1,639,871 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 173,497 | | | | 2,217,644 | | | | 551,603 | | | | 6,402,366 | |
Reinvestment of distributions | | | 12,889 | | | | 166,495 | | | | 9,718 | | | | 110,927 | |
Shares redeemed | | | (93,759 | ) | | | (1,216,878 | ) | | | (88,408 | ) | | | (991,768 | ) |
| | | | 92,627 | | | | 1,167,261 | | | | 472,913 | | | | 5,521,525 | |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,141 | | | | 39,068 | | | | 10,374 | | | | 122,405 | |
Reinvestment of distributions | | | 343 | | | | 4,434 | | | | 279 | | | | 3,176 | |
Shares redeemed | | | (431 | ) | | | (5,388 | ) | | | (69,764 | ) | | | (851,790 | ) |
| | | | 3,053 | | | | 38,114 | | | | (59,111 | ) | | | (726,209 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,533,995 | | | | 18,318,983 | | | | 1,962,813 | | | | 22,933,180 | |
Reinvestment of distributions | | | 252,127 | | | | 3,246,939 | | | | 266,003 | | | | 3,005,374 | |
Shares redeemed | | | (3,024,415 | ) | | | (37,219,433 | ) | | | (3,628,004 | ) | | | (41,650,565 | ) |
| | | | (1,238,293 | ) | | | (15,653,511 | ) | | | (1,399,188 | ) | | | (15,712,011 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 40 | | | | 513 | | | | 38 | | | | 436 | |
| | | | 40 | | | | 513 | | | | 38 | | | | 436 | |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7,853,489 | | | | 99,794,253 | | | | 766,138 | | | | 9,006,494 | |
Reinvestment of distributions | | | 147,276 | | | | 1,902,191 | | | | 11,996 | | | | 137,252 | |
Shares redeemed | | | (284,296 | ) | | | (3,681,220 | ) | | | (66,684 | ) | | | (755,932 | ) |
| | | | 7,716,469 | | | | 98,015,224 | | | | 711,450 | | | | 8,387,814 | |
| | | | |
NET INCREASE/(DECREASE) | | | 6,612,785 | | | $ | 84,078,948 | | | | (442,227 | ) | | $ | (4,566,000 | ) |
82
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs International Real Estate Securities Fund, Goldman Sachs Real Estate Securities Fund, Goldman Sachs Global Real Estate Securities Fund, Goldman Sachs Global Infrastructure Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs International Real Estate Securities Fund, Goldman Sachs Real Estate Securities Fund, Goldman Sachs Global Real Estate Securities Fund, Goldman Sachs Global Infrastructure Fund (four of the Funds constituting Goldman Sachs Trust, referred to hereafter as the “Funds”) as of December 31, 2021, the related statements of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations for the year then ended, the changes in their net assets for each of the two years in the period ended December 31, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs Funds complex since 2000.
83
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Fund Expenses — Six Month Period Ended December 31, 2021 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6, Class R or Class P Shares of a 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, Service 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, Service, Investor, Class R6, Class R and Class P Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses —The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | International Real Estate Securities Fund | | | Real Estate Securities Fund | | | Global Real Estate Securities Fund | | | Global Infrastructure Fund | |
| Share Class | | Beginning
Account
Value
7/1/21 | | | Ending
Account
Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | | | Beginning
Account
Value
7/1/21 | | | Ending
Account
Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | | | Beginning
Account
Value
7/1/21 | | | Ending
Account
Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | | | Beginning
Account
Value
7/1/21 | | | Ending
Account
Value
12/31/21 | | | Expenses
Paid for the
6 months ended
12/31/21* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 985.99 | | | $ | 6.81 | | | $ | 1,000.00 | | | $ | 1,181.06 | | | $ | 7.04 | | | $ | 1,000.00 | | | $ | 1,089.54 | | | $ | 7.06 | | | $ | 1,000.00 | | | $ | 1,055.40 | | | $ | 6.99 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.35 | + | | | 6.92 | | | | 1,000.00 | | | | 1,018.75 | + | | | 6.51 | | | | 1,000.00 | | | | 1,018.45 | + | | | 6.82 | | | | 1,000.00 | | | | 1,018.40 | + | | | 6.87 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 981.49 | | | | 10.54 | | | | 1,000.00 | | | | 1,176.44 | | | | 11.14 | | | | 1,000.00 | | | | 1,085.43 | | | | 10.99 | | | | 1,000.00 | | | | 1,050.94 | | | | 10.86 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,014.57 | + | | | 10.71 | | | | 1,000.00 | | | | 1,014.97 | + | | | 10.31 | | | | 1,000.00 | | | | 1,014.67 | + | | | 10.61 | | | | 1,000.00 | | | | 1,014.62 | + | | | 10.66 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 987.74 | | | | 4.96 | | | | 1,000.00 | | | | 1,182.31 | | | | 5.01 | | | | 1,000.00 | | | | 1,091.78 | | | | 5.11 | | | | 1,000.00 | | | | 1,057.00 | | | | 5.13 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.21 | + | | | 5.04 | | | | 1,000.00 | | | | 1,020.62 | + | | | 4.63 | | | | 1,000.00 | | | | 1,020.32 | + | | | 4.94 | | | | 1,000.00 | | | | 1,020.21 | + | | | 5.04 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,180.15 | | | | 7.75 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,018.10 | + | | | 7.17 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 985.90 | | | | 5.56 | | | | 1,000.00 | | | | 1,182.26 | | | | 5.67 | | | | 1,000.00 | | | | 1,091.38 | | | | 5.75 | | | | 1,000.00 | | | | 1,057.28 | | | | 5.70 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.61 | + | | | 5.65 | | | | 1,000.00 | | | | 1,020.01 | + | | | 5.24 | | | | 1,000.00 | | | | 1,019.71 | + | | | 5.55 | | | | 1,000.00 | | | | 1,019.66 | + | | | 5.60 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 987.77 | | | | 4.91 | | | | 1,000.00 | | | | 1,131.23 | | | | 4.83 | | | | 1,000.00 | | | | 1,092.04 | | | | 5.06 | | | | 1,000.00 | | | | 1,057.19 | | | | 5.08 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.27 | + | | | 4.99 | | | | 1,000.00 | | | | 1,020.67 | + | | | 4.58 | | | | 1,000.00 | | | | 1,020.37 | + | | | 4.89 | | | | 1,000.00 | | | | 1,020.27 | + | | | 4.99 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,178.64 | | | | 8.40 | | | | 1,000.00 | | | | 1,088.06 | | | | 8.37 | | | | 1,000.00 | | | | 1,054.64 | | | | 8.29 | |
Hypothetical 5% return | | | 1,000.00 | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,017.49 | + | | | 7.78 | | | | 1,000.00 | | | | 1,017.19 | + | | | 8.08 | | | | 1,000.00 | | | | 1,017.14 | + | | | 8.13 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 987.80 | | | | 4.91 | | | | 1,000.00 | | | | 1,182.48 | | | | 4.95 | | | | 1,000.00 | | | | 1,092.12 | | | | 5.06 | | | | 1,000.00 | | | | 1,058.03 | | | | 5.08 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.27 | + | | | 4.99 | | | | 1,000.00 | | | | 1,020.67 | + | | | 4.58 | | | | 1,000.00 | | | | 1,020.37 | + | | | 4.89 | | | | 1,000.00 | | | | 1,020.27 | + | | | 4.99 | |
| + | | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A
Shares | | | Class C
Shares | | | Institutional
Shares | | | Service
Shares | | | Investor
Shares | | | Class R6
Shares | | | Class R
Shares | | | Class P
Shares | |
International Real Estate Securities Fund | | | 1.36 | % | | | 2.11 | % | | | 0.99 | % | | | N/A | | | | 1.11 | % | | | 0.98 | % | | | N/A | | | | 0.98 | % |
Real Estate Securities Fund | | | 1.28 | | | | 2.03 | | | | 0.91 | | | | 1.41 | % | | | 1.03 | | | | 0.90 | | | | 1.53 | % | | | 0.90 | |
Global Real Estate Securities Fund | | | 1.34 | | | | 2.09 | | | | 0.97 | | | | N/A | | | | 1.09 | | | | 0.96 | | | | 1.59 | | | | 0.96 | |
Global Infrastructure Fund | | | 1.35 | | | | 2.10 | | | | 0.99 | | | | N/A | | | | 1.10 | | | | 0.98 | | | | 1.60 | | | | 0.98 | |
84
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017- present); Director of MoneyLion Inc. (an operator of a data driven digital financial platform) (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019- present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021- September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | | | | | | |
85
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees (continued)
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con- Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
| | | | | | | | | | |
Interested Trustee*
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
James A. McNamara Age: 59 | | President and Trustee | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 39 portfolios (26 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs ETF Trust II and Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
86
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Positions Held with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund |
| | | | | | |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
87
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Goldman Sachs Trust — Real Estate Securities and Global Infrastructure Funds — Tax Information (Unaudited)
For the year ended December 31, 2021, 33.05% of the dividends paid from net investment company taxable income by the Global Infrastructure Fund qualify for the dividends received deduction available to corporations.
For the year ended December 31, 2021, 50.34% and 36.63% of the dividends paid from net investment company taxable income by the Real Estate Securities and Global Real Estate Securities Funds, respectively, qualify as section 199A dividends.
For the year ended December 31, 2021, the International Real Estate Securities Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Real Estate Securities Fund from sources within foreign countries and possessions of the United States was $0.1707 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the year from foreign sources was 56.62%. The total amount of foreign taxes paid by the Fund was $0.0048 per share.
For the year ended December 31, 2021, 23.67%, 1.05%, 20.25%, and 100%, of the dividends paid from net investment company taxable income by International Real Estate Securities, Real Estate Securities, Global Real Estate Securities, and Global Infrastructure Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Real Estate Securities and Global Infrastructure Funds designate $6,150,562 and $575,258, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2021.
During the year ended December 31, 2021, the Real Estate Securities, Global Real Estate Securities and Global Infrastructure Funds designate $2,918,604, $210,516, and $893,553, respectively, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
88
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 $2.21 trillion in assets under supervision as of December 31, 2021, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. 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
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Clean Energy Income Fund |
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Alternative Premia Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Energy Infrastructure 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. |
| | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer,
Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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
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.
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 a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended December 31 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 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 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).
Holdings and allocations shown are as of December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional �� 1-800-621-2550).
© 2022 Goldman Sachs. All rights reserved. RESAR-22 268304-OTU-1561352
Goldman Sachs Funds
| | | | |
| | |
| Annual Report | | | | December 31, 2021 |
| | |
| | | | Tax-Advantaged Equity Funds |
| | | | International Tax-Managed Equity |
| | | | U.S. Tax-Managed Equity |
Goldman Sachs Tax-Advantaged Equity Funds
| ∎ | | INTERNATIONAL TAX-MANAGED EQUITY |
| ∎ | | U.S. TAX-MANAGED EQUITY |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
MARKET REVIEW
Goldman Sachs Tax-Advantaged Equity Funds
Market Review
During the 12 months ended December 31, 2021 (the “Reporting Period”), the performance of the U.S. and international equity markets were influenced most by the distribution of COVID-19 vaccines, improving economic and employment conditions, rising inflation, higher interest rates, and continued fiscal stimulus and accommodative monetary policies from central banks and governments.
U.S. Equities
Representing the U.S. equity market, the S&P 500® Index returned 28.71% during the Reporting Period. The U.S. equity market rose in each of the four quarters of 2021, closing near its all-time high and posting its third consecutive year of double-digit gains.
In the first quarter of 2021, when the Reporting Period began, rising bond yields and a value-led equity market dominated. The two key drivers of this performance were the Democrat victory in Georgia in January, paving the way for massive additional U.S. fiscal stimulus and progress in the COVID-19 vaccine rollout. An increase in the 10-year U.S. Treasury yield benefited financials and value stocks. The accelerating rollout of COVID-19 vaccines boosted investors’ hopes of a sustainable reopening of the economy. Small-cap stocks, which tend to be more cyclical and domestically focused, performed particularly well. The passage of President Biden’s stimulus package led to upgrades in consensus forecasts for U.S. Gross Domestic Product (“GDP”) growth for the year. Some investors worried the size of the U.S. stimulus could provoke a pickup in inflation. However, despite upgrading its growth forecasts for the year and expecting unemployment to decline, the U.S. Federal Reserve (the “Fed”) did not believe inflation would be meaningfully above target and did not expect to raise interest rates before 2024.
Discussions throughout the second quarter of 2021 centered on the central bank liquidity tailwind, fiscal stimulus, COVID-19 vaccine progress, reopening momentum, strong corporate profits and robust equity inflows. While inflation concerns were fairly pervasive, the Fed remained consistent in its messaging around expectations that price pressures would be transitory. The peak inflation theme gained traction as the quarter progressed, even as economists suggested the transitory period may be longer than expected. Corporate earnings season brought a round of outsized beats over consensus estimates, along with corporate commentary highlighting some input pressure offset for companies with above-average pricing power or productivity initiatives. Despite a late-quarter agreement between the White House and a bipartisan group of Senators on the framework of a physical infrastructure package, the path to additional fiscal stimulus remained complicated.
The U.S. equity market increased only marginally in the third quarter of 2021, as measured by the S&P 500® Index. Other major U.S. equity indices posted negative returns for the quarter. In July and August, the second quarter’s rally continued, as the focus remained on easy financial conditions, accommodative monetary policy, pent-up consumer demand, positive earnings sentiment, resilient operating margins, corporate buybacks and retail inflows. Some economic indicators, including higher inflation and lower than consensus expected retail sales and manufacturing activity, were causes of concern among investors, though the market and the Fed remained largely optimistic. Sentiment deteriorated in September as the spread of the COVID-19 Delta variant dampened reopening momentum and the Fed signaled for a slowdown of asset purchases. A still complicated path to fiscal stimulus in the House of Representatives, the then-looming debt ceiling discussion, and global risk events, including supply-chain disruptions and input price pressures, all put a strain on the U.S. equity market. September also saw a global risk asset sell-off on the heels of Chinese real estate developers’ leverage concerns and a spike in energy prices. U.S. Treasury yields climbed, as the global bond market posted its weakest month since March 2020.
The U.S. equity market, as measured by the S&P 500® Index, then rose strongly, logging its best performing quarter in the fourth quarter of 2021 since the fourth quarter of 2020 on the heels of robust consumer spending, strong corporate earnings results and passage of the U.S. government’s infrastructure plan. There remained a few areas of concern still intact, including the Omicron variant of COVID-19, which emerged in late November, persistent inflation and supply-chain pressures, acceleration in the Fed’s asset purchase tapering, and the fate of the social spending bill in Congress. Strong corporate earnings in October propelled U.S. equities higher despite the overhanging supply-chain issues and persistently high inflation. More than 80% of the S&P 500® Index constituent companies reported upside surprises. The positive momentum continued into November, and the passage of the infrastructure bill boosted market sentiment until the World Health Organization announced Omicron as a variant of concern given its potentially heightened transmissibility. Increased case counts around the world and travel restrictions added pressure to the
1
MARKET REVIEW
equities markets globally. Moreover, the fate of the social spending bill was punted into 2022. However, in December, studies showed the Omicron variant tends to cause less severe symptoms. The Fed also announced an accelerated timeline for tapering its asset purchases, doubling its pace from a decrease of $15 billion a month in corporate debt purchases to a decrease of $30 billion a month. The U.S. equity market rallied in December on positive seasonality and improved sentiment, closing the year on a high note.
On the economic data front, inflation remained high in the fourth quarter, though the “peak inflation” narrative gained traction with cooler consumer confidence and manufacturing readings.
For the Reporting Period overall, all 11 sectors in the S&P 500® Index posted double-digit positive absolute returns. Energy, real estate and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index during the Reporting Period were utilities, consumer staples and industrials.
Within the U.S. equity market, all capitalization segments posted positive returns, led by large-cap stocks, as measured by the Russell 1000® Index, followed by mid-cap stocks, as measured by the Russell Midcap® Index, and then small-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks modestly outperformed value stocks in the large-cap segment of the U.S. equity market during the Reporting Period, but value stocks significantly outperformed growth stocks in the mid- and small-cap segments during the same time frame. (All as measured by the FTSE Russell indices.)
International Equities
International equities rallied, but underperformed the U.S. equity market, during the Reporting Period. The MSCI Europe, Australasia, Far East (EAFE) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posted a return of 11.26%.1
International equity markets overcame bouts of volatility during the first quarter of 2021 to surge to new highs during March, driven by two key themes—the accelerating rollout of the COVID-19 vaccines globally and the ongoing commitment from central banks around the world to support the economic recovery. Accelerating GDP growth, normalizing inflation and steepening yield curves laid the foundation for the “reflation trade,” as investors started to price in a brighter future. (Reflation is the inflation that typically comes immediately after a low-point in the economic cycle—often after economic stimulus, and the reflation trade is the purchase of specific stocks or sectors believed to outperform in that type of environment.) Markets took a sharp turn away from momentum stocks and favored cyclical sectors, many of which tend to be more value oriented. European equities were less impacted by inflation fears, as reopening progress pushed travel and leisure stocks higher, and U.K. equities were additionally buoyed by gains in energy prices. Markets welcomed the European Central Bank’s (“ECB”) decision to increase the pace of its Pandemic Emergency Purchase Programme asset purchases in response to the bond sell-off there. Markets also overcame pressure as AstraZeneca vaccine safety concerns and new local lockdown measures in France dampened near-term recovery prospects. March’s Euro-area Manufacturing Purchasing Managers Index posted a historic high. Japanese equities rose during the quarter, rallying on the back of a sharp rotation from growth to value stocks. Investor sentiment was also supported by the consistent weakness of the yen against the U.S. dollar and the rally in U.S. equities.
The rotation from growth to value stocks took a breather in April 2021, with growth stocks outperforming their value counterparts. Starting in May 2021, equity markets across the world were impacted by rising commodity prices, which stoked fears of earlier than consensus expected interest rate hikes from central banks, particularly the U.S. Fed. In June, international equities rallied following a weaker than consensus expected U.S. payrolls report that eased concerns of a shift to tighter monetary policy. Overall, discussions during the quarter centered on central bank liquidity tailwinds, fiscal stimulus, COVID-19 vaccine progress, economic reopening momentum, strong corporate profits and robust equity inflows. While inflation concerns were fairly pervasive, the Fed remained consistent in its messaging around expectations that price pressures would be transitory. European equities advanced for the fifth straight quarter amid a sharp rebound in economic growth, an accelerating COVID-19 vaccine rollout and significantly better than consensus expected first quarter 2021 corporate earnings. Cyclical stocks generated the best returns, although sector performance was broadly positive. The ECB maintained its accommodative monetary policy stance, while also upgrading its GDP growth forecast and raising its inflation forecast for both 2021 and 2022. In the U.K., the Bank of England (“BOE”) raised its economic growth forecast for 2021 and tapered its pace of asset purchases. In Japan, state of emergency measures following a third
| 1 | | All index returns are expressed in U.S. dollar terms. |
2
MARKET REVIEW
wave of COVID-19 cases that had begun in March 2021 and slowing COVID-19 vaccine rollouts weighed on investor sentiment for the majority of the second calendar quarter. However, the Japanese equity market rallied strongly during the first half of June, likely driven by the increased pace of inoculations. This exuberance was short-lived, however, as the direction of the Japanese equity market again turned sharply down in the middle of June in step with the U.S. equity markets.
International equities fell during the third quarter of 2021 for the first time in six quarters. During the first half of the quarter, the international equity markets delivered strong returns, continuing the trend from the second calendar quarter along with an additional focus on positive corporate earnings as well as accommodative monetary policies. Pandemic-related pressures appeared to be easing, and economic activity appeared to be increasing. However, the markets receded in the second half of the third calendar quarter, primarily due to the Fed’s announcements around tapering of monthly asset purchase plans but also due to heightened worries around an increase in interest rates, global supply-chain concerns, COVID-19 Delta variant cases and China’s government regulations on Chinese technology stocks. Then, a debt crisis at one of China’s largest property developers destabilized markets. All that said, European equities advanced for the sixth straight quarter, as risk sentiment was bolstered by robust corporate earnings, solid economic growth and an accommodative policy environment. The ECB signaled it would maintain interest rates at record lows for a longer period to support the economic recovery and unveiled a new flexible inflation policy framework. In the U.K., the BOE left its monetary policy unchanged but signaled it was moving closer to raising its interest rates. Japanese equities also advanced during the quarter, rebounding largely on the Tokyo Olympics that began in July 2021 and on the election of Fumio Kishida as the nation’s next prime minister. Prime Minister Kishida was widely expected to compile a sizable fiscal package to shore up the Japanese economy. Bringing the MSCI EAFE Index into negative territory for the quarter were the equity markets of Germany and the Pacific Basin ex-Japan, which declined.
Many of the concerns that dominated the international equity markets in September 2021 ebbed somewhat in October, and the MSCI EAFE Index returned to positive territory, supported in Europe and the U.K. particularly by favorable third calendar quarter corporate earnings reports. The Japanese equity market declined in October as investors digested the prospects of new prime minister Kishida ahead of the general election that took place on October 31. Global news flow was generally negative in the first half of October, especially from China, but the sustained strength of U.S. equity markets provided some support for Japan. Equity markets in the Pacific Basin ex-Japan rose, rallying on both positive corporate earnings guidance and an ongoing decline in the number of new COVID-19 cases in many countries in the region. However, shares were weaker toward the end of the month with ongoing concerns around rising energy prices, higher inflation and ongoing tensions between the U.S. and China weighing on investment sentiment.
International equities then gave back its returns after a strong October, with the MSCI EAFE Index delivering a negative return in November 2021. The markets suffered over fears of the new Omicron variant of COVID-19 weighing on sentiment, led by Europe, which saw rising COVID-19 hospitalizations and varied restrictions. The emergence of the potentially more transmissible Omicron variant triggered a sell-off among global risk assets on the day after the U.S.’ Thanksgiving, as investors fled to safety. Travel restrictions were re-imposed to curtail the spread of the new variant, while lockdown measures in Europe amid rising cases and deaths sought to have the same effect. Persistently high inflation weighed on market sentiment as well. Japan’s equities underperformed the MSCI EAFE Index due both to inflation and supply-chain issues as well as to concerns round the spread of the new COVID-19 variant—the same narrative that affected their global counterparts. Following the sell-off in November, international equities saw a strong rebound in December 2021, as the initial scare of the Omicron variant dissipated. Studies of the variant showed that while it may be more contagious than other variants, it was likely not as severe as initially feared, with a smaller share of infections resulting in hospitalizations. This led to an improvement in investor sentiment, as widespread major restrictions became less likely. Value stocks outperformed growth stocks in December, which benefited international equities, due to their relatively high value/cyclical exposures.
For the Reporting Period overall, 10 of the 11 sectors of the MSCI EAFE Index gained, with energy leading the way, followed by information technology and financials. Communication services was the weakest performer on the basis of total return during the Reporting Period, followed by utilities and real estate.
From a country perspective, Austria was by far the strongest individual country constituent in the MSCI EAFE Index on a relative basis during the Reporting Period, followed by the Netherlands, Sweden, Norway and France. New Zealand and Hong Kong most
3
MARKET REVIEW
significantly lagged the MSCI EAFE Index on a relative basis during the Reporting Period, each generating a negative total return. Portugal, Spain and Japan each posted a positive total return but also significantly underperformed the MSCI EAFE Index during the Reporting Period.
Looking Ahead
In the months ahead, we expect less expensive stocks to outpace more expensive stocks. We also believe that stocks with good momentum are likely to outperform those with poor momentum. Our plan is to seek profitable companies with positive fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. To that end, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide potentially strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
4
MARKET REVIEW
Enhancements Made to Proprietary Quantitative Model during the 12-Month Period Ended December 31, 2021
We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the 12-month period ended December 31, 2021 (the “Reporting Period”).
During the first half of 2021, we introduced new signals within our Sentiment Analysis investment theme, which were rolled out across the majority of regions, including the U.S., Japan and Europe. These signals are an extension to our existing suite of signals that focus on institutional positioning and capture sentiment associated with outstanding short-interest for specific securities. The new signals focus on short positions by institutional investors and seek to identify which ones may have been covered prematurely or maintained beyond their optimal duration. Additionally, within our High Quality Business Models investment theme, we introduced another signal to our existing suite of alternative growth signals, also across multiple regions, including the U.S., Japan and Europe. The new signal seeks to identify companies that exhibit elevated levels of demand for their products and services based on trends identified from consumer Internet activity data. While we believe that these types of trends can help provide additional insight on the global demand for certain products and services, we have also closely focused on developing our own process to identify which individual companies are most exposed to specific trends. Lastly, we introduced in the U.S. region a proprietary methodology to enhance how we identify a company’s relevant peer group, as we believe that more common methods that rely on country or industry classifications may be overly simplistic for companies operating in a complex business environment. This methodology is used to enhance relative valuation signals within our Fundamental Mispricings investment theme that seek to identify companies that are trading at attractive valuations relative to their most relevant peers.
During the second half of 2021, we introduced a new signal in the U.S. within our High Quality Business Models investment theme. The signal focuses on the number of job postings by a company, as we believe companies that are looking to expand their workforce are better positioned for growth in the long term. Additionally, we introduced two new signals within our Themes and Trends investment theme. The first signal, rolled out in the U.S. region, helps expand our library of economic linkages signals by identifying relationships between companies posting similar jobs in the same geographical regions. The second signal, rolled out across all global regions, focuses on macro market environments and assesses similarities between market events from the past and the current environment. This signal evaluates the historical performance of the stock in similar market conditions to predict future stock returns. Finally, we introduced a new signal, rolled out across all developed markets regions, within our Sentiment Analysis investment theme. The signal uses short sales transaction data to help identify potential sustained stock selloffs, expanding upon our existing factors that leverage short sales and short interest data.
5
PORTFOLIO RESULTS
International Tax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of international equity securities.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 12.02%, 11.19%, 12.42%, 12.31%, 12.43% and 12.42%, respectively. This compares to the 11.26% average annual total return of the Fund’s benchmark, the MSCI EAFE Index (Net, USD, Unhedged) (the “Index”), during the same time period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund outperformed the Index, with three of our quantitative model’s four investment themes adding to performance. Stock selection driven by our investment themes bolstered relative returns. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends. |
| | | In keeping with this investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, three of our investment themes — Sentiment Analysis, Fundamental Mispricings and High Quality Business Models — contributed positively to the Fund’s relative returns. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. |
| | | Our Market Themes & Trends investment theme detracted from relative performance during the Reporting Period. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. The Fund tends to be similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
6
PORTFOLIO RESULTS
| Q | | How successful was your stock selection during the Reporting Period? |
| A | | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the Index. During the Reporting Period, stock selection in the information technology, health care and industrials sectors added to the Fund’s relative performance. Stock selection in the energy, materials and communication services sectors detracted from results. |
| Q | | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | | Compared to the Index, the Fund benefited from its overweight positions in Nippon Yusen, a Japan-based transportation and logistics company; ASM International, a Netherlands-headquartered provider of semiconductor wafer processing equipment for the fabrication of semiconductor devices; and Mitsui O.S.K. Lines, a Japanese provider of marine transportation, warehousing and cargo handling services. Our Market Themes & Trends, Fundamental Mispricings and Sentiment Analysis investment themes were largely responsible for the Fund’s overweight in Nippon Yusen. We assumed the Fund overweight in ASM International mainly because of our Sentiment Analysis and Market Themes & Trends investment themes. The Fund was overweight Mitsui O.S.K. Lines due primarily to our Market Themes & Trends investment theme. |
| Q | | Which individual stock holdings detracted significantly from relative performance? |
| A | | During the Reporting Period, the Fund was hurt most by overweight positions versus the Index in Japan-based M3, which provides medical-related services through the Internet; Neste Oyj, a Finnish oil refining and marketing company; and Vestas Wind Systems, a Danish manufacturer, installer and servicer of wind turbines. We adopted the Fund overweight in M3 and Neste Oyj mostly because of our Market Themes & Trends investment theme. The Fund’s overweight in Vestas Wind Systems was largely due to our Sentiment Analysis, Market Themes & Trends and High Quality Business Models investment themes. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. |
| Q | | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | | As mentioned previously, we focus on picking stocks rather than on making industry or sector bets. The Fund is similar to the Index in terms of its sector allocation and style. That said, at the end of the Reporting Period, the Fund was overweight the information technology, industrials, consumer discretionary and materials sectors relative to the Index. It was underweight the consumer staples, real estate, communication services and financials sectors. The Fund was relatively neutrally weighted to the Index in the utilities, health care and energy sectors at the end of the Reporting Period. |
| | | At the end of the Reporting Period, the Fund was overweight compared to the Index in the Netherlands, Japan and Italy. Relative to the Index, it was underweight Germany, the U.K. and Spain. The Fund was rather neutrally weighted relative to the Index in Switzerland, Denmark, Norway, Israel, Ireland, Hong Kong, France, Sweden, Belgium, Austria, Australia, Singapore, Portugal, Finland and New Zealand at the end of the Reporting Period. |
7
FUND BASICS
International Tax-Managed Equity Fund
as of December 31, 2021
| | | | | | | | | | |
| | TOP TEN HOLDINGS AS OF 12/31/211 | | |
| | | | |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | | | |
| | Roche Holding AG | | | 2.4 | % | | Pharmaceuticals, Biotechnology & Life Sciences | | Switzerland |
| | Novo Nordisk A/S, Class B | | | 2.0 | | | Pharmaceuticals, Biotechnology & Life Sciences | | Denmark |
| | LVMH Moet Hennessy Louis Vuitton SE | | | 1.9 | | | Consumer Durables & Apparel | | France |
| | ASML Holding NV | | | 1.9 | | | Semiconductors & Semiconductor Equipment | | Netherlands |
| | Schneider Electric SE | | | 1.6 | | | Capital Goods | | United States |
| | Commonwealth Bank of Australia | | | 1.5 | | | Banks | | Australia |
| | Tokyo Electron Ltd. | | | 1.4 | | | Semiconductors & Semiconductor Equipment | | Japan |
| | Deutsche Post AG | | | 1.2 | | | Transportation | | Germany |
| | AIA Group Ltd. | | | 1.2 | | | Insurance | | Hong Kong |
| | | Experian PLC | | | 1.1 | | | Commercial & Professional Services | | United Kingdom |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
|
| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
8
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI EAFE Index (Net, USD, Unhedged), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| International Tax-Managed Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 12.02% | | | | 9.34% | | | 8.25% | | — |
Including sales charges | | | 5.85% | | | | 8.12% | | | 7.64% | | — |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 11.19% | | | | 8.53% | | | 7.43% | | — |
Including contingent deferred sales charges | | | 10.17% | | | | 8.53% | | | 7.43% | | — |
|
Institutional | | | 12.42% | | | | 9.75% | | | 8.66% | | — |
|
Investor | | | 12.31% | | | | 9.60% | | | 8.52% | | — |
|
Class R6 (Commenced April 30, 2018) | | | 12.43% | | | | N/A | | | N/A | | 5.64% |
|
Class P (Commenced April 17, 2018) | | | 12.42% | | | | N/A | | | N/A | | 5.20% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
9
PORTFOLIO RESULTS
U.S. Tax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of U.S. equity securities.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 28.80%, 27.82%, 29.23%, 28.58%, 29.13%, 29.24% and 29.23%, respectively. This compares to the 25.66% average annual total return of the Fund’s benchmark, the Russell 3000® Index (the “Index”), over the same time period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund outperformed the Index, with all four of our quantitative model’s investment themes adding to performance. Stock selection driven by these investment themes also contributed positively to relative returns. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends. |
| | | In keeping with our investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, all four of our investment themes bolstered the Fund’s relative performance. Sentiment Analysis and High Quality Business Models were our best-performing themes. Fundamental Mispricings and Market Themes & Trends also added to results. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
10
PORTFOLIO RESULTS
| Q | | How successful was your stock selection during the Reporting Period? |
| A | | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire U.S. equity market, ranging from large- to small-cap stocks. During the Reporting Period, stock selection in the health care, information technology and real estate sectors contributed positively to relative performance. Stock selection in the financials, consumer discretionary and communication services sectors detracted from the Fund’s returns. |
| Q | | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | | Relative to the Index, the Fund benefited from its overweight positions in NVIDIA, which designs and manufactures graphics processors, chipsets and related multimedia software; Fortinet, a provider of cybersecurity solutions; and Applied Materials, which supplies equipment, services and software for the manufacture of semiconductors. We adopted the overweight in NVIDIA largely because of our Sentiment Analysis investment theme. Our High Quality Business Models and Sentiment Analysis investment themes led to the overweights in Fortinet and Applied Materials. |
| Q | | Which individual stock holdings detracted significantly from relative performance? |
| A | | During the Reporting Period, the Fund was hurt by its overweight positions compared to the Index in online payment system PayPal Holdings and social networking operator Pinterest. An underweight in Costco Wholesale, which runs membership warehouses, also detracted from relative performance. We adopted the overweight in PayPal Holdings primarily because of our Sentiment Analysis investment theme. The overweight in Pinterest and the underweight in Costco Wholesale were mainly due to our High Quality Business Models investment theme. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. |
| Q | | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | | As mentioned previously, we focus on picking stocks rather than on making industry or sector bets. The Fund is similar to the Index in terms of its sector allocation and style. That said, at the end of the Reporting Period, the Fund was overweight relative to the Index in the health care, real estate, consumer discretionary and materials sectors. It was underweight compared to the Index in the consumer staples, utilities, industrials, information technology, energy and communication services sectors. The Fund was relatively neutral versus the Index in the financials sector at the end of the Reporting Period. |
11
FUND BASICS
U.S. Tax-Managed Equity Fund
as of December 31, 2021
| | | | | | | | | | |
| | TOP TEN HOLDINGS AS OF 12/31/211 | | |
| | | | |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | | | |
| | Microsoft Corp. | | | 5.6 | % | | Software & Services | | United States |
| | Apple, Inc. | | | 5.1 | | | Technology Hardware & Equipment | | United States |
| | Amazon.com, Inc. | | | 2.8 | | | Retailing | | United States |
| | Alphabet, Inc., Class A | | | 2.1 | | | Media & Entertainment | | United States |
| | Alphabet, Inc., Class C | | | 1.8 | | | Media & Entertainment | | United States |
| | AbbVie, Inc. | | | 1.7 | | | Pharmaceuticals, Biotechnology & Life Sciences | | United States |
| | Tesla, Inc. | | | 1.7 | | | Automobiles & Components | | United States |
| | Sherwin-Williams Co. (The) | | | 1.6 | | | Materials | | United States |
| | Meta Platforms, Inc., Class A | | | 1.6 | | | Media & Entertainment | | United States |
| | | NVIDIA Corp. | | | 1.5 | | | Semiconductors & Semiconductor Equipment | | United States |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
|
| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
12
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Class A Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 3000® Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| U.S. Tax-Managed Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | Ten Years | | Since Inception |
Class A | | | | | | | | | | | | |
Excluding sales charges | | | 28.80% | | | | 15.81% | | | 15.17% | | — |
Including sales charges | | | 21.73% | | | | 14.51% | | | 14.52% | | — |
|
Class C | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 27.82% | | | | 14.94% | | | 14.31% | | — |
Including contingent deferred sales charges | | | 26.82% | | | | 14.94% | | | 14.31% | | — |
|
Institutional | | | 29.23% | | | | 16.22% | | | 15.61% | | — |
|
Service | | | 28.58% | | | | 15.64% | | | 15.03% | | — |
|
Investor | | | 29.13% | | | | 16.10% | | | 15.45% | | — |
|
Class R6 (Commenced April 30, 2018) | | | 29.24% | | | | N/A | | | N/A | | 16.38% |
|
Class P (Commenced April 17, 2018) | | | 29.23% | | | | N/A | | | N/A | | 15.55% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
13
FUND BASICS
Index Definitions
Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. The Russell 1000® Index is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market. The Russell 1000® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. The Russell Midcap® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 31% of the total market capitalization of the Russell 1000® Index companies. The Russell Midcap® Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Russell Midcap® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set.
Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and 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.
MSCI EAFE Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI EAFE® Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI EAFE® Index is unmanaged and the figures for the MSCI EAFE® Index do not include any deduction for fees or expenses
S&P 500 Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
Russell 3000 Index is a market capitalization weighted equity index maintained by the FTSE Russell that provides exposure to the entire U.S. stock market. The index tracks the performance of the 3,000 largest U.S.-traded stocks which represent about 98% of all U.S incorporated equity securities. It is not possible to invest directly in an index.
It is not possible to invest directly in an unmanaged index.
14
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
| Shares | | | Description | | Value | |
| |
| Common Stocks – 97.7% | | | |
| Australia – 9.2% | | | |
| | 77,750 | | | ASX Ltd. (Diversified Financials) | | $ | 5,254,676 | |
| | 295,489 | | | Australia & New Zealand Banking Group Ltd. (Banks) | | | 5,919,042 | |
| | 317,850 | | | BHP Group PLC (Materials) | | | 9,457,546 | |
| | 16,188 | | | Brambles Ltd. (Commercial & Professional Services) | | | 125,236 | |
| | 167,225 | | | Commonwealth Bank of Australia (Banks) | | | 12,292,929 | |
| | 338,222 | | | Fortescue Metals Group Ltd. (Materials) | | | 4,754,308 | |
| | 453,470 | | | Glencore PLC (Materials)* | | | 2,310,558 | |
| | 300,778 | | | Goodman Group REIT (Real Estate) | | | 5,798,047 | |
| | 297,502 | | | Harvey Norman Holdings Ltd. (Retailing) | | | 1,069,325 | |
| | 54,405 | | | Mineral Resources Ltd. (Materials) | | | 2,222,216 | |
| | 132,742 | | | Rio Tinto PLC ADR (Materials)(b) | | | 8,885,749 | |
| | 10,702 | | | Sonic Healthcare Ltd. (Health Care Equipment & Services) | | | 362,973 | |
| | 1,872,985 | | | Telstra Corp. Ltd. (Telecommunication Services) | | | 5,692,376 | |
| | 323,934 | | | Treasury Wine Estates Ltd. (Food, Beverage & Tobacco) | | | 2,920,701 | |
| | 177,027 | | | Wesfarmers Ltd. (Retailing) | | | 7,638,087 | |
| | 93,732 | | | Woolworths Group Ltd. (Food & Staples Retailing) | | | 2,591,086 | |
| | | | | | | | |
| | | | | | | 77,294,855 | |
| | |
| Belgium – 0.6% | | | |
| | 10,087 | | | Bekaert SA (Materials) | | | 448,475 | |
| | 18,168 | | | D’ieteren Group (Retailing) | | | 3,541,716 | |
| | 25,294 | | | Warehouses De Pauw CVA REIT (Real Estate) | | | 1,213,971 | |
| | | | | | | | |
| | | | | | | 5,204,162 | |
| | |
| Brazil – 0.2% | | | |
| | 26,957 | | | Yara International ASA (Materials) | | | 1,359,123 | |
| | |
| Canada – 0.2% | | | |
| | 227,192 | | | International Petroleum Corp. (Energy)* | | | 1,252,972 | |
| | |
| China – 0.7% | | | |
| | 942,600 | | | Chow Tai Fook Jewellery Group Ltd. (Retailing)* | | | 1,698,451 | |
| | 168,100 | | | ENN Energy Holdings Ltd. (Utilities) | | | 3,168,974 | |
| | 73,000 | | | SITC International Holdings Co. Ltd. (Transportation) | | | 264,018 | |
| | 486,000 | | | Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco) | | | 999,504 | |
| | | | | | | | |
| | | | | | | 6,130,947 | |
| | |
| Denmark – 3.5% | | | |
| | 1,147 | | | AP Moller – Maersk A/S, Class A (Transportation) | | | 3,805,246 | |
| | 287 | | | AP Moller – Maersk A/S, Class B (Transportation) | | | 1,024,393 | |
| | |
| |
| Common Stocks – (continued) | | | |
| Denmark – (continued) | | | |
| | 21,884 | | | DSV A/S (Transportation) | | | 5,099,591 | |
| | 148,446 | | | Novo Nordisk A/S, Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 16,674,327 | |
| | 10,594 | | | Scandinavian Tobacco Group A/S (Food, Beverage & Tobacco)(a) | | | 222,525 | |
| | 5,592 | | | Solar A/S, Class B (Capital Goods) | | | 680,589 | |
| | 69,010 | | | Vestas Wind Systems A/S (Capital Goods) | | | 2,101,709 | |
| | | | | | | | |
| | | | | | | 29,608,380 | |
| | |
| Finland – 1.8% | | | |
| | 150,308 | | | Kesko OYJ, Class B (Food & Staples Retailing) | | | 5,009,894 | |
| | 25,266 | | | Neste OYJ (Energy) | | | 1,243,487 | |
| | 188,616 | | | Nokia OYJ (Technology Hardware & Equipment)* | | | 1,194,636 | |
| | 544,874 | | | Nordea Bank Abp (Banks) | | | 6,646,673 | |
| | 32,485 | | | Tokmanni Group Corp. (Retailing) | | | 727,226 | |
| | | | | | | | |
| | | | | | | 14,821,916 | |
| | |
| France – 9.7% | | | |
| | 12,596 | | | Air Liquide SA (Materials) | | | 2,196,799 | |
| | 29,209 | | | AXA SA (Insurance) | | | 869,356 | |
| | 35,442 | | | BNP Paribas SA (Banks) | | | 2,450,499 | |
| | 4,992 | | | Christian Dior SE (Consumer Durables & Apparel) | | | 4,141,502 | |
| | 177,916 | | | Electricite de France SA (Utilities) | | | 2,092,525 | |
| | 4,336 | | | Hermes International (Consumer Durables & Apparel) | | | 7,576,625 | |
| | 5,779 | | | Ipsen SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 528,836 | |
| | 9,958 | | | Kering (Consumer Durables & Apparel) | | | 7,989,831 | |
| | 57,513 | | | Legrand SA (Capital Goods) | | | 6,735,992 | |
| | 10,013 | | | L’Oreal SA (Household & Personal Products) | | | 4,774,331 | |
| | 19,648 | | | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel) | | | 16,237,786 | |
| | 4,822 | | | Nexity SA (Real Estate) | | | 227,071 | |
| | 30,443 | | | Pernod Ricard SA (Food, Beverage & Tobacco) | | | 7,323,917 | |
| | 63,685 | | | Publicis Groupe SA (Media & Entertainment) | | | 4,290,721 | |
| | 2,140 | | | Remy Cointreau SA (Food, Beverage & Tobacco) | | | 520,169 | |
| | 38,375 | | | Rexel SA (Capital Goods)* | | | 777,189 | |
| | 34,629 | | | Rothschild & Co. (Diversified Financials) | | | 1,590,805 | |
| | 14,043 | | | Sartorius Stedim Biotech (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,712,509 | |
| | 52,765 | | | Societe Generale SA (Banks) | | | 1,813,468 | |
| | 4,171 | | | Teleperformance (Commercial & Professional Services) | | | 1,864,758 | |
| | | | | | | | |
| | | | | | | 81,714,689 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
| Shares | | | Description | | Value | |
| |
| Common Stocks – (continued) | | | |
| Germany – 5.6% | | | |
| | 56,183 | | | Covestro AG (Materials)(a) | | $ | 3,457,956 | |
| | 20,925 | | | Daimler AG (Automobiles & Components) | | | 1,598,759 | |
| | 10,463 | | | Daimler Truck Holding AG (Capital Goods)* | | | 384,624 | |
| | 2,862 | | | Deutsche Boerse AG (Diversified Financials) | | | 477,881 | |
| | 154,330 | | | Deutsche Post AG (Transportation) | | | 9,926,637 | |
| | 27,379 | | | DWS Group GmbH & Co. KGaA (Diversified Financials)(a) | | | 1,104,089 | |
| | 143,212 | | | E.ON SE (Utilities) | | | 1,990,283 | |
| | 1,171 | | | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 112,590 | |
| | 37,347 | | | HUGO BOSS AG (Consumer Durables & Apparel) | | | 2,260,766 | |
| | 5,125 | | | Krones AG (Capital Goods) | | | 557,531 | |
| | 30,810 | | | Merck KGaA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,926,106 | |
| | 1,947 | | | Rheinmetall AG (Capital Goods) | | | 183,233 | |
| | 123,637 | | | RWE AG (Utilities) | | | 5,009,352 | |
| | 46,652 | | | Siemens AG (Capital Goods) | | | 8,080,268 | |
| | 24,987 | | | Siemens Healthineers AG (Health Care Equipment & Services)(a) | | | 1,863,013 | |
| | 10,632 | | | Wacker Chemie AG (Materials) | | | 1,580,569 | |
| | | | | | | | |
| | | | | | | 46,513,657 | |
| | |
| Hong Kong – 1.2% | | | |
| | 954,200 | | | AIA Group Ltd. (Insurance) | | | 9,630,595 | |
| | 42,000 | | | Sun Hung Kai Properties Ltd. (Real Estate) | | | 509,639 | |
| | | | | | | | |
| | | | | | | 10,140,234 | |
| | |
| Israel – 0.4% | | | |
| | 190,911 | | | Plus500 Ltd. (Diversified Financials) | | | 3,521,536 | |
| | |
| Italy – 1.9% | | | |
| | 23,285 | | | Azimut Holding SpA (Diversified Financials) | | | 650,962 | |
| | 17,152 | | | Banca Generali SpA (Diversified Financials) | | | 752,405 | |
| | 53,112 | | | Banca Mediolanum SpA (Diversified Financials) | | | 523,602 | |
| | 68,919 | | | BFF Bank SpA (Diversified Financials)(a) | | | 554,189 | |
| | 5,829 | | | Davide Campari-Milano NV (Food, Beverage & Tobacco) | | | 85,059 | |
| | 99,132 | | | Intesa Sanpaolo SpA (Banks) | | | 256,051 | |
| | 71,818 | | | Moncler SpA (Consumer Durables & Apparel) | | | 5,190,170 | |
| | 222,100 | | | PRADA SpA (Consumer Durables & Apparel) | | | 1,422,171 | |
| | 171,664 | | | Prysmian SpA (Capital Goods) | | | 6,457,350 | |
| | 1,587 | | | Reply SpA (Software & Services) | | | 322,332 | |
| | | | | | | | |
| | | | | | | 16,214,291 | |
| | |
| |
| Common Stocks – (continued) | | | |
| Japan – 24.4% | | | |
| | 2,000 | | | Advantest Corp. (Semiconductors & Semiconductor Equipment) | | | 189,398 | |
| | 22,200 | | | AGC, Inc. (Capital Goods) | | | 1,060,563 | |
| | 47,900 | | | Amada Co. Ltd. (Capital Goods) | | | 474,300 | |
| | 18,100 | | | Asahi Diamond Industrial Co. Ltd. (Capital Goods) | | | 102,795 | |
| | 29,200 | | | Canon, Inc. (Technology Hardware & Equipment) | | | 712,295 | |
| | 263,700 | | | Casio Computer Co. Ltd. (Consumer Durables & Apparel) | | | 3,395,540 | |
| | 15,900 | | | Central Glass Co. Ltd. (Capital Goods) | | | 294,909 | |
| | 43,500 | | | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,417,927 | |
| | 19,600 | | | Citizen Watch Co. Ltd. (Technology Hardware & Equipment) | | | 84,838 | |
| | 25,700 | | | Cosmo Energy Holdings Co. Ltd. (Energy) | | | 502,121 | |
| | 5,900 | | | Daiken Corp. (Materials) | | | 111,310 | |
| | 745,200 | | | Daiwa Securities Group, Inc. (Diversified Financials) | | | 4,205,161 | |
| | 36,700 | | | Dentsu Group, Inc. (Media & Entertainment) | | | 1,306,273 | |
| | 8,800 | | | Doutor Nichires Holdings Co. Ltd. (Consumer Services) | | | 122,648 | |
| | 32,600 | | | DTS Corp. (Software & Services) | | | 716,005 | |
| | 9,700 | | | Eizo Corp. (Technology Hardware & Equipment) | | | 340,875 | |
| | 559,100 | | | ENEOS Holdings, Inc. (Energy) | | | 2,088,692 | |
| | 10,300 | | | Exedy Corp. (Automobiles & Components) | | | 149,113 | |
| | 26,100 | | | Fuji Corp. (Capital Goods) | | | 585,399 | |
| | 49,100 | | | Fujitsu Ltd. (Software & Services) | | | 8,436,685 | |
| | 13,800 | | | Goldcrest Co. Ltd. (Real Estate) | | | 194,164 | |
| | 10,600 | | | Gunze Ltd. (Consumer Durables & Apparel) | | | 372,265 | |
| | 15,200 | | | Ichiyoshi Securities Co. Ltd. (Diversified Financials) | | | 87,133 | |
| | 24,000 | | | IDOM, Inc. (Retailing) | | | 150,860 | |
| | 221,300 | | | Iida Group Holdings Co. Ltd. (Consumer Durables & Apparel) | | | 5,146,877 | |
| | 5,000 | | | I-PEX, Inc. (Technology Hardware & Equipment) | | | 85,082 | |
| | 84,200 | | | Isuzu Motors Ltd. (Automobiles & Components) | | | 1,047,994 | |
| | 48,800 | | | J Front Retailing Co. Ltd. (Retailing) | | | 444,366 | |
| | 7,900 | | | Japan Aviation Electronics Industry Ltd. (Technology Hardware & Equipment) | | | 136,913 | |
| | 179,700 | | | Japan Post Holdings Co. Ltd. (Insurance)* | | | 1,399,913 | |
| | 244,100 | | | JVCKenwood Corp. (Consumer Durables & Apparel) | | | 373,964 | |
| | 5,500 | | | Kaneka Corp. (Materials) | | | 180,583 | |
| | 14,700 | | | KDDI Corp. (Telecommunication Services) | | | 429,883 | |
| | 99,800 | | | Komatsu Ltd. (Capital Goods) | | | 2,333,922 | |
| | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| |
| Common Stocks – (continued) | | | |
| Japan – (continued) | | | |
| | 94,300 | | | Konami Holdings Corp. (Media & Entertainment) | | $ | 4,526,356 | |
| | 3,200 | | | KYB Corp. (Automobiles & Components)* | | | 89,784 | |
| | 56,800 | | | Kyushu Electric Power Co., Inc. (Utilities) | | | 424,076 | |
| | 16,800 | | | Lintec Corp. (Materials) | | | 385,375 | |
| | 61,900 | | | Mandom Corp. (Household & Personal Products) | | | 761,950 | |
| | 441,400 | | | Marubeni Corp. (Capital Goods) | | | 4,300,559 | |
| | 21,500 | | | Marusan Securities Co. Ltd. (Diversified Financials) | | | 97,062 | |
| | 3,900 | | | Matsuda Sangyo Co. Ltd. (Commercial & Professional Services) | | | 82,616 | |
| | 10,900 | | | Maxell Ltd. (Technology Hardware & Equipment) | | | 129,737 | |
| | 14,500 | | | Mazda Motor Corp. (Automobiles & Components)* | | | 111,257 | |
| | 234,900 | | | Mitsubishi Electric Corp. (Capital Goods) | | | 2,981,595 | |
| | 103,100 | | | Mitsubishi Gas Chemical Co., Inc. (Materials) | | | 1,747,697 | |
| | 8,400 | | | Mitsubishi Pencil Co. Ltd. (Commercial & Professional Services) | | | 88,523 | |
| | 69,300 | | | Mitsubishi Shokuhin Co. Ltd. (Food & Staples Retailing) | | | 1,667,065 | |
| | 50,800 | | | Mitsui & Co. Ltd. (Capital Goods) | | | 1,203,852 | |
| | 49,100 | | | Mitsui Fudosan Co. Ltd. (Real Estate) | | | 973,200 | |
| | 96,200 | | | Mitsui OSK Lines Ltd. (Transportation) | | | 7,150,006 | |
| | 489,600 | | | Mizuho Financial Group, Inc. (Banks) | | | 6,218,535 | |
| | 304,200 | | | NGK Insulators Ltd. (Capital Goods) | | | 5,148,589 | |
| | 290,800 | | | Nikon Corp. (Consumer Durables & Apparel) | | | 3,132,553 | |
| | 84,100 | | | Nippon Express Co. Ltd. (Transportation) | | | 5,032,949 | |
| | 141,000 | | | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | | | 3,856,105 | |
| | 95,000 | | | Nippon Yusen KK (Transportation) | | | 7,244,030 | |
| | 371,700 | | | Nissan Motor Co. Ltd. (Automobiles & Components)* | | | 1,790,311 | |
| | 69,700 | | | Nitto Denko Corp. (Materials) | | | 5,384,499 | |
| | 194,200 | | | Nomura Research Institute Ltd. (Software & Services) | | | 8,302,205 | |
| | 5,400 | | | Noritake Co. Ltd./Nagoya Japan (Capital Goods) | | | 235,454 | |
| | 186,900 | | | NTT Data Corp. (Software & Services) | | | 4,009,233 | |
| | 546,700 | | | Oji Holdings Corp. (Materials) | | | 2,648,794 | |
| | 6,600 | | | OKUMA Corp. (Capital Goods) | | | 293,732 | |
| | 137,300 | | | Osaka Gas Co. Ltd. (Utilities) | | | 2,270,841 | |
| | 25,500 | | | PHC Holdings Corp. (Health Care Equipment & Services)* | | | 462,205 | |
| | 311,000 | | | Ricoh Co. Ltd. (Technology Hardware & Equipment) | | | 2,898,865 | |
| | 23,700 | | | Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 2,155,976 | |
| | 29,400 | | | S Foods, Inc. (Food, Beverage & Tobacco) | | | 890,084 | |
| | |
| |
| Common Stocks – (continued) | | | |
| Japan – (continued) | | | |
| | 11,800 | | | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 144,063 | |
| | 256,000 | | | Sekisui House Ltd. (Consumer Durables & Apparel) | | | 5,508,033 | |
| | 4,800 | | | Shimamura Co. Ltd. (Retailing) | | | 402,819 | |
| | 16,600 | | | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 790,846 | |
| | 229,600 | | | Showa Denko KK (Materials) | | | 4,827,841 | |
| | 58,600 | | | Sodick Co. Ltd. (Capital Goods) | | | 417,032 | |
| | 43,200 | | | SoftBank Group Corp. (Telecommunication Services) | | | 2,071,015 | |
| | 27,800 | | | Sompo Holdings, Inc. (Insurance) | | | 1,172,429 | |
| | 36,500 | | | Starts Corp., Inc. (Real Estate) | | | 797,567 | |
| | 381,200 | | | Sumitomo Corp. (Capital Goods) | | | 5,641,531 | |
| | 158,300 | | | Sumitomo Forestry Co. Ltd. (Consumer Durables & Apparel) | | | 3,060,149 | |
| | 18,900 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 645,384 | |
| | 90,900 | | | Suntory Beverage & Food Ltd. (Food, Beverage & Tobacco) | | | 3,291,761 | |
| | 252,900 | | | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 6,906,272 | |
| | 174,600 | | | TIS, Inc. (Software & Services) | | | 5,191,915 | |
| | 2,000 | | | Token Corp. (Consumer Durables & Apparel) | | | 164,395 | |
| | 125,100 | | | Tokio Marine Holdings, Inc. (Insurance) | | | 6,964,272 | |
| | 20,600 | | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | | 11,856,800 | |
| | 262,300 | | | Tokyo Gas Co. Ltd. (Utilities) | | | 4,708,382 | |
| | 39,700 | | | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 1,758,466 | |
| | 124,400 | | | Tosoh Corp. (Materials) | | | 1,848,151 | |
| | 67,900 | | | Toyota Motor Corp. (Automobiles & Components) | | | 1,254,968 | |
| | 63,600 | | | Toyota Tsusho Corp. (Capital Goods) | | | 2,931,753 | |
| | 9,700 | | | Tsugami Corp. (Capital Goods) | | | 147,986 | |
| | 8,400 | | | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | | | 525,444 | |
| | 12,200 | | | Valqua Ltd. (Materials) | | | 287,552 | |
| | 152,000 | | | Yamaha Motor Co. Ltd. (Automobiles & Components) | | | 3,650,906 | |
| | 10,400 | | | Yamaichi Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 210,280 | |
| | | | | | | | |
| | | | | | | 204,554,448 | |
| | |
| Luxembourg – 0.8% | | | |
| | 51,680 | | | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | | | 6,402,725 | |
| | |
| Netherlands – 8.7% | | | |
| | 18,606 | | | ASM International NV (Semiconductors & Semiconductor Equipment) | | | 8,213,024 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
| Shares | | | Description | | Value | |
| |
| Common Stocks – (continued) | | | |
| Netherlands – (continued) | | | |
| | 19,900 | | | ASML Holding NV (Semiconductors & Semiconductor Equipment) | | $ | 15,940,327 | |
| | 80,091 | | | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | | | 6,808,762 | |
| | 91,565 | | | ING Groep NV (Banks) | | | 1,273,030 | |
| | 191,032 | | | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | | | 6,555,529 | |
| | 35,830 | | | Koninklijke DSM NV (Materials) | | | 8,069,153 | |
| | 64,617 | | | OCI NV (Materials)* | | | 1,686,639 | |
| | 12,965 | | | Randstad NV (Commercial & Professional Services) | | | 884,438 | |
| | 327,973 | | | Royal Dutch Shell PLC, Class A (Energy) | | | 7,174,360 | |
| | 25,674 | | | Royal Dutch Shell PLC, Class B ADR (Energy) | | | 1,112,968 | |
| | 82,126 | | | Signify NV (Capital Goods)(a) | | | 3,813,260 | |
| | 69,348 | | | Universal Music Group NV (Media & Entertainment) | | | 1,956,449 | |
| | 80,909 | | | Wolters Kluwer NV (Commercial & Professional Services) | | | 9,523,078 | |
| | | | | | | | |
| | | | | | | 73,011,017 | |
| | |
| New Zealand – 0.4% | | | |
| | 27,358 | | | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | | | 612,917 | |
| | 395,473 | | | Spark New Zealand Ltd. (Telecommunication Services) | | | 1,222,997 | |
| | 18,434 | | | Xero Ltd. (Software & Services)* | | | 1,886,891 | |
| | | | | | | | |
| | | | | | | 3,722,805 | |
| | |
| Norway – 1.3% | | | |
| | 87,240 | | | Aker BP ASA (Energy) | | | 2,682,509 | |
| | 194,174 | | | DNB Bank ASA (Banks) | | | 4,441,485 | |
| | 229,326 | | | Europris ASA (Retailing)(a) | | | 1,831,711 | |
| | 7,569 | | | Kid ASA (Retailing)(a) | | | 96,777 | |
| | 13,230 | | | Nordic Semiconductor ASA (Semiconductors & Semiconductor Equipment)* | | | 443,691 | |
| | 55,750 | | | SpareBank 1 SMN (Banks) | | | 940,996 | |
| | 41,415 | | | SpareBank 1 SR-Bank ASA (Banks) | | | 625,394 | |
| | | | | | | | |
| | | | | | | 11,062,563 | |
| | |
| Portugal – 0.2% | | | |
| | 127,809 | | | Galp Energia SGPS SA (Energy) | | | 1,240,151 | |
| | |
| Singapore – 2.5% | | | |
| | 344,633 | | | DBS Group Holdings Ltd. (Banks) | | | 8,346,654 | |
| | 65,100 | | | Jardine Cycle & Carriage Ltd. (Capital Goods) | | | 994,280 | |
| | 255,000 | | | Oversea-Chinese Banking Corp. Ltd. (Banks) | | | 2,158,255 | |
| | 185,782 | | | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | | | 9,166,266 | |
| | | | | | | | |
| | | | | | | 20,665,455 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| |
| Common Stocks – (continued) | | | |
| South Africa – 0.9% | | | |
| | 191,469 | | | Anglo American PLC (Materials) | | $ | 7,875,555 | |
| | |
| Spain – 0.7% | | | |
| | 473,774 | | | Banco Bilbao Vizcaya Argentaria SA (Banks) | | | 2,809,948 | |
| | 445,822 | | | Banco Santander SA (Banks) | | | 1,480,611 | |
| | 161,960 | | | Bankinter SA (Banks) | | | 825,210 | |
| | 14,642 | | | Viscofan SA (Food, Beverage & Tobacco) | | | 948,641 | |
| | | | | | | | |
| | | | | | | 6,064,410 | |
| | |
| Sweden – 3.4% | | | |
| | 148,380 | | | Boliden AB (Materials) | | | 5,721,496 | |
| | 11,225 | | | Evolution AB (Consumer Services)(a) | | | 1,586,553 | |
| | 104,796 | | | Getinge AB, Class B (Health Care Equipment & Services) | | | 4,567,236 | |
| | 141,913 | | | Lundin Energy AB (Energy) | | | 5,078,040 | |
| | 185,294 | | | Swedbank AB, Class A (Banks) | | | 3,723,639 | |
| | 712,338 | | | Swedish Match AB (Food, Beverage & Tobacco) | | | 5,655,025 | |
| | 165,707 | | | Telefonaktiebolaget LM Ericsson, Class B (Technology Hardware & Equipment) | | | 1,823,281 | |
| | | | | | | | |
| | | | | | | 28,155,270 | |
| | |
| Switzerland – 9.4% | | | |
| | 63,891 | | | ABB Ltd. (Capital Goods) | | | 2,435,065 | |
| | 10 | | | Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco) | | | 1,341,089 | |
| | 1,211 | | | Huber + Suhner AG (Capital Goods) | | | 115,427 | �� |
| | 17,882 | | | Kuehne + Nagel International AG (Transportation) | | | 5,759,030 | |
| | 64 | | | LEM Holding SA (Technology Hardware & Equipment) | | | 178,402 | |
| | 11,268 | | | Lonza Group AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 9,381,606 | |
| | 63,607 | | | Nestle SA (Food, Beverage & Tobacco) | | | 8,880,638 | |
| | 4,556 | | | Novartis AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 400,345 | |
| | 49,106 | | | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 20,372,177 | |
| | 19,571 | | | Sonova Holding AG (Health Care Equipment & Services) | | | 7,648,290 | |
| | 9,401 | | | Tecan Group AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 5,709,849 | |
| | 503,452 | | | UBS Group AG (Diversified Financials) | | | 9,036,610 | |
| | 17,662 | | | Zurich Insurance Group AG (Insurance) | | | 7,737,351 | |
| | | | | | | | |
| | | | | | | 78,995,879 | |
| | |
| United Kingdom – 6.8% | | | |
| | 1,722 | | | AstraZeneca PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | | | 100,306 | |
| | 1,309,916 | | | Aviva PLC (Insurance) | | | 7,301,707 | |
| | |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| |
| Common Stocks – (continued) | | | |
| United Kingdom – (continued) | | | |
| | 149,495 | | | Barratt Developments PLC (Consumer Durables & Apparel) | | $ | 1,518,046 | |
| | 9,185 | | | Berkeley Group Holdings PLC (Consumer Durables & Apparel) | | | 594,776 | |
| | 21,205 | | | BP PLC ADR (Energy) | | | 564,689 | |
| | 127,461 | | | British American Tobacco PLC (Food, Beverage & Tobacco) | | | 4,732,850 | |
| | 7,821 | | | Clarkson PLC (Transportation) | | | 410,741 | |
| | 39,403 | | | CNH Industrial NV (Capital Goods) | | | 761,826 | |
| | 99,797 | | | Diageo PLC (Food, Beverage & Tobacco) | | | 5,456,511 | |
| | 194,685 | | | Experian PLC (Commercial & Professional Services) | | | 9,589,389 | |
| | 62,399 | | | Halma PLC (Technology Hardware & Equipment) | | | 2,705,554 | |
| | 60,061 | | | IG Group Holdings PLC (Diversified Financials) | | | 663,875 | |
| | 80,811 | | | IMI PLC (Capital Goods) | | | 1,905,847 | |
| | 277,460 | | | Imperial Brands PLC (Food, Beverage & Tobacco) | | | 6,080,485 | |
| | 442,842 | | | ITV PLC (Media & Entertainment)* | | | 665,865 | |
| | 1,350,490 | | | JD Sports Fashion PLC (Retailing) | | | 3,981,930 | |
| | 371,404 | | | Man Group PLC (Diversified Financials) | | | 1,143,172 | |
| | 5,852 | | | Morgan Sindall Group PLC (Capital Goods) | | | 200,860 | |
| | 22,740 | | | National Grid PLC (Utilities) | | | 327,895 | |
| | 73,739 | | | Paragon Banking Group PLC (Banks) | | | 565,421 | |
| | 110,087 | | | Persimmon PLC (Consumer Durables & Apparel) | | | 4,266,871 | |
| | 71,708 | | | Phoenix Group Holdings PLC (Insurance) | | | 634,761 | |
| | 42,054 | | | Segro PLC REIT (Real Estate) | | | 818,444 | |
| | 18,366 | | | Spectris PLC (Technology Hardware & Equipment) | | | 914,179 | |
| | 47,187 | | | SSE PLC (Utilities) | | | 1,054,875 | |
| | | | | | | | |
| | | | | | | 56,960,875 | |
| | |
| | |
| Common Stocks – (continued) | | | | | | |
| United States – 3.2% | | | | | | |
| | 35,211 | | | Ferguson PLC (Capital Goods) | | | | | | | 6,254,420 | |
| | 95,122 | | | Reliance Worldwide Corp. Ltd. (Capital Goods) | | | | 434,652 | |
| | 67,744 | | | Schneider Electric SE (Capital Goods) | | | | 13,318,182 | |
| | 364,303 | | | Stellantis NV (Automobiles & Components) | | | | | | | 6,877,534 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,884,788 | |
| | |
| | TOTAL COMMON STOCKS | | | | | | | | |
| | (Cost $584,985,875) | | | | | | $ | 819,372,703 | |
| | |
| | | | | | | | | | | | |
Shares | | | Description | | Rate | | | Value | |
| |
| Preferred Stock – 0.7% | | | | |
| Germany – 0.7% | | | | | | |
| | 30,859 | | | Volkswagen AG (Automobiles & Components) | | | 2.57 | % | | $ | 6,199,064 | |
| | (Cost $4,703,053) | | | | | | | | |
| | |
| | TOTAL INVESTMENTS – 98.4% | | | | | |
| | (Cost $589,688,928) | | | | | | $ | 825,571,767 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 1.6% | | | | | | | 13,109,810 | |
| | |
| | NET ASSETS – 100.0% | | | | | | $ | 838,681,577 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
* | | Non-income producing security. |
| |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. |
| |
(b) | | All or a portion of the security has been segregated as collateral for futures contracts. The total value of the security segregated amounted to $607,280. |
| | | | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | |
EURO STOXX 50 Index | | | 52 | | | 03/18/22 | | $ | 2,436,562 | | | $ | 69,639 | |
FTSE 100 Index | | | 9 | | | 03/18/22 | | | 853,787 | | | | 17,271 | |
Hang Seng Index | | | 1 | | | 01/28/22 | | | 148,128 | | | | 2,228 | |
MSCI Singapore Index | | | 3 | | | 01/28/22 | | | 74,772 | | | | 572 | |
SPI 200 Index | | | 3 | | | 03/17/22 | | | 387,720 | | | | 4,939 | |
TOPIX Index | | | 7 | | | 03/10/22 | | | 1,199,759 | | | | 28,775 | |
| | | | |
| Total Futures Contracts | | | | | | | | | | | | $ | 123,424 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS U.S.TAX-MANAGED EQUITY FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – 99.7% | |
| Automobiles & Components – 2.5% | | | |
| | 436,408 | | | Ford Motor Co. | | $ | 9,064,194 | |
| | 164,726 | | | General Motors Co.* | | | 9,657,885 | |
| | 21,887 | | | Gentex Corp. | | | 762,762 | |
| | 14,024 | | | Patrick Industries, Inc. | | | 1,131,597 | |
| | 40,833 | | | Tesla, Inc.* | | | 43,151,498 | |
| | | | | | | | |
| | | | | | | 63,767,936 | |
| | |
| Banks – 2.6% | | | |
| | 22,070 | | | Bancorp, Inc. (The)* | | | 558,592 | |
| | 11,523 | | | Cadence Bank | | | 343,270 | |
| | 13,311 | | | Cathay General Bancorp | | | 572,240 | |
| | 109,152 | | | Citizens Financial Group, Inc. | | | 5,157,432 | |
| | 11,346 | | | East West Bancorp, Inc. | | | 892,703 | |
| | 13,386 | | | Essent Group Ltd. | | | 609,465 | |
| | 40,192 | | | First BanCorp (Puerto Rico) | | | 553,846 | |
| | 56,420 | | | First Hawaiian, Inc. | | | 1,541,959 | |
| | 49,865 | | | First Horizon Corp. | | | 814,295 | |
| | 32,891 | | | Independent Bank Group, Inc. | | | 2,373,086 | |
| | 19,845 | | | International Bancshares Corp. | | | 841,230 | |
| | 40,827 | | | JPMorgan Chase & Co. | | | 6,464,955 | |
| | 906,342 | | | KeyCorp | | | 20,963,690 | |
| | 80,240 | | | MGIC Investment Corp. | | | 1,157,061 | |
| | 10,646 | | | National Bank Holdings Corp., Class A | | | 467,785 | |
| | 74,150 | | | PacWest Bancorp | | | 3,349,356 | |
| | 5,054 | | | PNC Financial Services Group, Inc. (The) | | | 1,013,428 | |
| | 25,107 | | | Popular, Inc. (Puerto Rico) | | | 2,059,778 | |
| | 28,824 | | | Radian Group, Inc. | | | 609,051 | |
| | 12,072 | | | SVB Financial Group* | | | 8,187,713 | |
| | 20,899 | | | Walker & Dunlop, Inc. | | | 3,153,241 | |
| | 46,281 | | | Western Alliance Bancorp | | | 4,982,150 | |
| | | | | | | | |
| | | | | | | 66,666,326 | |
| | |
| Capital Goods – 4.1% | | | |
| | 4,830 | | | Acuity Brands, Inc. | | | 1,022,608 | |
| | 9,405 | | | AECOM* | | | 727,477 | |
| | 5,761 | | | AGCO Corp. | | | 668,391 | |
| | 29,484 | | | AMETEK, Inc. | | | 4,335,327 | |
| | 83,460 | | | Atkore, Inc.* | | | 9,279,917 | |
| | 32,308 | | | Emerson Electric Co. | | | 3,003,675 | |
| | 10,093 | | | Encore Wire Corp. | | | 1,444,308 | |
| | 13,565 | | | Fortive Corp. | | | 1,034,874 | |
| | 28,001 | | | H&E Equipment Services, Inc. | | | 1,239,604 | |
| | 50,186 | | | Hexcel Corp.* | | | 2,599,635 | |
| | 6,443 | | | Honeywell International, Inc. | | | 1,343,430 | |
| | 97,597 | | | Illinois Tool Works, Inc. | | | 24,086,940 | |
| | 96,928 | | | Johnson Controls International PLC | | | 7,881,216 | |
| | 26,377 | | | L3Harris Technologies, Inc. | | | 5,624,631 | |
| | 12,408 | | | Lockheed Martin Corp. | | | 4,409,927 | |
| | 19,710 | | | MasTec, Inc.* | | | 1,818,839 | |
| | 28,109 | | | nVent Electric PLC | | | 1,068,142 | |
| | 35,480 | | | Owens Corning | | | 3,210,940 | |
| | 149,820 | | | Raytheon Technologies Corp. | | | 12,893,509 | |
| | 1,213 | | | RBC Bearings, Inc.* | | | 244,990 | |
| | 25,076 | | | Rush Enterprises, Inc., Class A | | | 1,395,229 | |
| | 9,753 | | | SiteOne Landscape Supply, Inc.* | | | 2,362,957 | |
| | |
|
| Common Stocks – (continued) | |
| Capital Goods – (continued) | | | |
| | 42,985 | | | Snap-on, Inc. | | | 9,258,109 | |
| | 11,976 | | | Stanley Black & Decker, Inc. | | | 2,258,913 | |
| | 3,047 | | | Watsco, Inc. | | | 953,345 | |
| | | | | | | | |
| | | | | | | 104,166,933 | |
| | |
| Commercial & Professional Services – 1.0% | | | |
| | 11,341 | | | Cimpress PLC (Ireland)* | | | 812,129 | |
| | 29,156 | | | Cintas Corp. | | | 12,921,065 | |
| | 8,842 | | | Clean Harbors, Inc.* | | | 882,166 | |
| | 71,280 | | | CoStar Group, Inc.* | | | 5,633,258 | |
| | 54,106 | | | Korn Ferry | | | 4,097,447 | |
| | 4,575 | | | ManpowerGroup, Inc. | | | 445,285 | |
| | | | | | | | |
| | | | | | | 24,791,350 | |
| | |
| Consumer Durables & Apparel – 1.3% | | | |
| | 6,275 | | | G-III Apparel Group Ltd.* | | | 173,441 | |
| | 158,401 | | | Hanesbrands, Inc. | | | 2,648,465 | |
| | 39,074 | | | Hayward Holdings, Inc.* | | | 1,024,911 | |
| | 22,967 | | | Levi Strauss & Co., Class A | | | 574,864 | |
| | 22,929 | | | LGI Homes, Inc.* | | | 3,542,072 | |
| | 6,470 | | | M/I Homes, Inc.* | | | 402,305 | |
| | 24,158 | | | Meritage Homes Corp.* | | | 2,948,725 | |
| | 197,233 | | | PulteGroup, Inc. | | | 11,273,838 | |
| | 29,150 | | | Skechers USA, Inc., Class A* | | | 1,265,110 | |
| | 5,379 | | | Toll Brothers, Inc. | | | 389,386 | |
| | 133,161 | | | Tri Pointe Homes, Inc.* | | | 3,713,860 | |
| | 12,109 | | | Whirlpool Corp. | | | 2,841,498 | |
| | 30,058 | | | YETI Holdings, Inc.* | | | 2,489,704 | |
| | | | | | | | |
| | | | | | | 33,288,179 | |
| | |
| Consumer Services – 3.0% | | | |
| | 18,628 | | | Chipotle Mexican Grill, Inc.* | | | 32,566,401 | |
| | 7,996 | | | Choice Hotels International, Inc. | | | 1,247,296 | |
| | 23,794 | | | Darden Restaurants, Inc. | | | 3,584,328 | |
| | 2,791 | | | Domino’s Pizza, Inc. | | | 1,575,045 | |
| | 2,086 | | | Graham Holdings Co., Class B | | | 1,313,825 | |
| | 129,460 | | | H&R Block, Inc. | | | 3,050,078 | |
| | 142,560 | | | International Game Technology PLC | | | 4,121,410 | |
| | 18,869 | | | Marriott International, Inc., Class A* | | | 3,117,914 | |
| | 77,571 | | | Red Rock Resorts, Inc., Class A | | | 4,267,181 | |
| | 43,193 | | | SeaWorld Entertainment, Inc.* | | | 2,801,498 | |
| | 18,510 | | | Terminix Global Holdings, Inc.* | | | 837,207 | |
| | 91,615 | | | Texas Roadhouse, Inc. | | | 8,179,387 | |
| | 15,985 | | | Wyndham Hotels & Resorts, Inc. | | | 1,433,055 | |
| | 114,762 | | | Yum China Holdings, Inc. (China) | | | 5,719,738 | |
| | 25,926 | | | Yum! Brands, Inc. | | | 3,600,084 | |
| | | | | | | | |
| | | | | | | 77,414,447 | |
| | |
| Diversified Financials – 6.4% | | | |
| | 363,446 | | | Ally Financial, Inc. | | | 17,303,664 | |
| | 38,603 | | | Berkshire Hathaway, Inc., Class B* | | | 11,542,297 | |
| | 59,113 | | | Capital One Financial Corp. | | | 8,576,705 | |
| | 113,657 | | | CME Group, Inc. | | | 25,966,078 | |
| | 96,351 | | | Discover Financial Services | | | 11,134,322 | |
| | 19,961 | | | Interactive Brokers Group, Inc., Class A | | | 1,585,303 | |
| | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S.TAX-MANAGED EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Diversified Financials – (continued) | | | |
| | 241,521 | | | Jefferies Financial Group, Inc. | | $ | 9,371,015 | |
| | 23,105 | | | LPL Financial Holdings, Inc. | | | 3,698,880 | |
| | 8,814 | | | MarketAxess Holdings, Inc. | | | 3,624,934 | |
| | 108,239 | | | Moelis & Co., Class A | | | 6,766,020 | |
| | 112,434 | | | Morgan Stanley | | | 11,036,522 | |
| | 70,228 | | | Navient Corp. | | | 1,490,238 | |
| | 1,890 | | | Raymond James Financial, Inc. | | | 189,756 | |
| | 23,053 | | | S&P Global, Inc. | | | 10,879,402 | |
| | 130,364 | | | Starwood Property Trust, Inc. REIT | | | 3,167,845 | |
| | 316,003 | | | Synchrony Financial | | | 14,659,379 | |
| | 56,882 | | | TPG RE Finance Trust, Inc. REIT | | | 700,786 | |
| | 327,211 | | | Voya Financial, Inc. | | | 21,697,361 | |
| | | | | | | | |
| | | | | | | 163,390,507 | |
| | |
| Energy – 1.6% | | | |
| | 8,224 | | | Cactus, Inc., Class A | | | 313,581 | |
| | 7,426 | | | Core Laboratories NV | | | 165,674 | |
| | 99,446 | | | EOG Resources, Inc. | | | 8,833,788 | |
| | 11,147 | | | Exxon Mobil Corp. | | | 682,085 | |
| | 12,264 | | | Hess Corp. | | | 907,904 | |
| | 58,462 | | | Matador Resources Co. | | | 2,158,417 | |
| | 8,760 | | | ONEOK, Inc. | | | 514,738 | |
| | 134,863 | | | Ovintiv, Inc. | | | 4,544,883 | |
| | 33,190 | | | Pioneer Natural Resources Co. | | | 6,036,597 | |
| | 299,871 | | | Range Resources Corp.* | | | 5,346,700 | |
| | 94,650 | | | Schlumberger NV | | | 2,834,768 | |
| | 103,628 | | | Targa Resources Corp. | | | 5,413,527 | |
| | 156,754 | | | Williams Cos., Inc. (The) | | | 4,081,874 | |
| | | | | | | | |
| | | | | | | 41,834,536 | |
| | |
| Food & Staples Retailing – 0.3% | | | |
| | 8,444 | | | Casey’s General Stores, Inc. | | | 1,666,423 | |
| | 3,528 | | | Costco Wholesale Corp. | | | 2,002,846 | |
| | 46,925 | | | Ingles Markets, Inc., Class A | | | 4,051,505 | |
| | | | | | | | |
| | | | | | | 7,720,774 | |
| | |
| Food, Beverage & Tobacco – 2.0% | | | |
| | 65,283 | | | Archer-Daniels-Midland Co. | | | 4,412,478 | |
| | 139,373 | | | Campbell Soup Co. | | | 6,057,151 | |
| | 1,844 | | | Coca-Cola Consolidated, Inc. | | | 1,141,786 | |
| | 7,580 | | | Constellation Brands, Inc., Class A | | | 1,902,353 | |
| | 51,135 | | | Darling Ingredients, Inc.* | | | 3,543,144 | |
| | 16,445 | | | J M Smucker Co. (The) | | | 2,233,560 | |
| | 35,242 | | | Lamb Weston Holdings, Inc. | | | 2,233,638 | |
| | 9,833 | | | Lancaster Colony Corp. | | | 1,628,345 | |
| | 213,411 | | | Monster Beverage Corp.* | | | 20,495,992 | |
| | 31,537 | | | Sanderson Farms, Inc. | | | 6,026,090 | |
| | 32,843 | | | Sovos Brands, Inc.* | | | 494,287 | |
| | | | | | | | |
| | | | | | | 50,168,824 | |
| | |
| Health Care Equipment & Services – 6.1% | | | |
| | 3,020 | | | Abbott Laboratories | | | 425,035 | |
| | 730 | | | Align Technology, Inc.* | | | 479,741 | |
| | 71,276 | | | Anthem, Inc. | | | 33,039,277 | |
| | 32,213 | | | Boston Scientific Corp.* | | | 1,368,408 | |
| | 63,200 | | | Brookdale Senior Living, Inc.* | | | 326,112 | |
| | 21,748 | | | Cigna Corp. | | | 4,993,993 | |
| | |
|
| Common Stocks – (continued) | |
| Health Care Equipment & Services – (continued) | | | |
| | 72,981 | | | Edwards Lifesciences Corp.* | | | 9,454,689 | |
| | 137,014 | | | HCA Healthcare, Inc. | | | 35,201,637 | |
| | 45,700 | | | Hologic, Inc.* | | | 3,498,792 | |
| | 34,579 | | | Humana, Inc. | | | 16,039,815 | |
| | 14,459 | | | IDEXX Laboratories, Inc.* | | | 9,520,673 | |
| | 41,615 | | | Molina Healthcare, Inc.* | | | 13,236,899 | |
| | 7,463 | | | Patterson Cos., Inc. | | | 219,039 | |
| | 14,835 | | | Select Medical Holdings Corp. | | | 436,149 | |
| | 1,283 | | | STERIS PLC | | | 312,295 | |
| | 47,957 | | | UnitedHealth Group, Inc. | | | 24,081,128 | |
| | 19,837 | | | Universal Health Services, Inc., Class B | | | 2,572,066 | |
| | | | | | | | |
| | | | | | | 155,205,748 | |
| | |
| Household & Personal Products – 0.2% | | | |
| | 10,339 | | | Edgewell Personal Care Co. | | | 472,596 | |
| | 71,901 | | | Energizer Holdings, Inc. | | | 2,883,230 | |
| | 8,185 | | | Procter & Gamble Co. (The) | | | 1,338,902 | |
| | | | | | | | |
| | | | | | | 4,694,728 | |
| | |
| Insurance – 2.9% | | | |
| | 231,807 | | | American Equity Investment Life Holding Co. | | | 9,021,928 | |
| | 35,396 | | | American Financial Group, Inc. | | | 4,860,579 | |
| | 100,086 | | | Arch Capital Group Ltd.* | | | 4,448,823 | |
| | 80,386 | | | Athene Holding Ltd., Class A* | | | 6,698,565 | |
| | 59,191 | | | Brighthouse Financial, Inc.* | | | 3,066,094 | |
| | 12,062 | | | BRP Group, Inc., Class A* | | | 435,559 | |
| | 18,632 | | | Fidelity National Financial, Inc. | | | 972,218 | |
| | 100,490 | | | Globe Life, Inc. | | | 9,417,923 | |
| | 19,600 | | | Goosehead Insurance, Inc., Class A | | | 2,549,568 | |
| | 15,650 | | | Marsh & McLennan Cos., Inc. | | | 2,720,283 | |
| | 209,677 | | | Old Republic International Corp. | | | 5,153,860 | |
| | 18,092 | | | Primerica, Inc. | | | 2,772,961 | |
| | 17,273 | | | Reinsurance Group of America, Inc. | | | 1,891,221 | |
| | 202,092 | | | Stewart Information Services Corp. | | | 16,112,795 | |
| | 17,133 | | | Trupanion, Inc.* | | | 2,262,070 | |
| | 6,572 | | | W R Berkley Corp. | | | 541,467 | |
| | | | | | | | |
| | | | | | | 72,925,914 | |
| | |
| Materials – 4.7% | | | |
| | 4,937 | | | Air Products and Chemicals, Inc. | | | 1,502,132 | |
| | 29,636 | | | Alcoa Corp. | | | 1,765,713 | |
| | 37,395 | | | Amcor PLC | | | 449,114 | |
| | 78,720 | | | Avient Corp. | | | 4,404,384 | |
| | 324,992 | | | Axalta Coating Systems Ltd.* | | | 10,763,735 | |
| | 188,301 | | | CF Industries Holdings, Inc. | | | 13,327,945 | |
| | 52,836 | | | Corteva, Inc. | | | 2,498,086 | |
| | 2,903 | | | Crown Holdings, Inc. | | | 321,130 | |
| | 8,601 | | | Dow, Inc. | | | 487,849 | |
| | 8,525 | | | Eagle Materials, Inc. | | | 1,419,071 | |
| | 71,308 | | | Element Solutions, Inc. | | | 1,731,358 | |
| | 246,791 | | | Freeport-McMoRan, Inc. | | | 10,298,588 | |
| | 4,026 | | | International Flavors & Fragrances, Inc. | | | 606,517 | |
| | 133,281 | | | Louisiana-Pacific Corp. | | | 10,442,566 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS U.S.TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Materials – (continued) | | | |
| | 167,625 | | | Mosaic Co. (The) | | $ | 6,585,986 | |
| | 56,853 | | | Olin Corp. | | | 3,270,184 | |
| | 116,961 | | | Sherwin-Williams Co. (The) | | | 41,188,986 | |
| | 6,280 | | | Southern Copper Corp. (Peru) | | | 387,539 | |
| | 63,940 | | | Steel Dynamics, Inc. | | | 3,968,756 | |
| | 34,799 | | | Summit Materials, Inc., Class A* | | | 1,396,832 | |
| | 67,832 | | | Tronox Holdings PLC, Class A | | | 1,630,003 | |
| | 7,257 | | | Vulcan Materials Co. | | | 1,506,408 | |
| | | | | | | | |
| | | | | | | 119,952,882 | |
| | |
| Media & Entertainment – 8.1% | | | |
| | 18,644 | | | Alphabet, Inc., Class A* | | | 54,012,414 | |
| | 15,750 | | | Alphabet, Inc., Class C* | | | 45,574,042 | |
| | 8,185 | | | AMC Entertainment Holdings, Inc., Class A* | | | 222,632 | |
| | 36,634 | | | Charter Communications, Inc., Class A* | | | 23,884,269 | |
| | 94,443 | | | Comcast Corp., Class A | | | 4,753,316 | |
| | 5,047 | | | Marcus Corp. (The)* | | | 90,140 | |
| | 119,060 | | | Meta Platforms, Inc., Class A* | | | 40,045,831 | |
| | 17,336 | | | Netflix, Inc.* | | | 10,443,900 | |
| | 38,979 | | | Nexstar Media Group, Inc., Class A | | | 5,885,049 | |
| | 196,224 | | | Omnicom Group, Inc. | | | 14,377,333 | |
| | 89,058 | | | Pinterest, Inc., Class A* | | | 3,237,258 | |
| | 11,855 | | | Roku, Inc.* | | | 2,705,311 | |
| | 8,256 | | | Spotify Technology SA* | | | 1,932,152 | |
| | | | | | | | |
| | | | | | | 207,163,647 | |
| | |
| Pharmaceuticals, Biotechnology & Life Sciences – 10.4% | |
| | 323,049 | | | AbbVie, Inc. | | | 43,740,835 | |
| | 36,788 | | | Biogen, Inc.* | | | 8,826,177 | |
| | 40,178 | | | Bruker Corp. | | | 3,371,336 | |
| | 173,327 | | | Gilead Sciences, Inc. | | | 12,585,273 | |
| | 207,757 | | | Horizon Therapeutics PLC* | | | 22,387,894 | |
| | 110,313 | | | IQVIA Holdings, Inc.* | | | 31,123,710 | |
| | 88,523 | | | Johnson & Johnson | | | 15,143,630 | |
| | 26,154 | | | Merck & Co., Inc. | | | 2,004,443 | |
| | 8,389 | | | Mettler-Toledo International, Inc.* | | | 14,237,895 | |
| | 4,825 | | | Neurocrine Biosciences, Inc.* | | | 410,945 | |
| | 74,997 | | | PerkinElmer, Inc. | | | 15,078,897 | |
| | 128,361 | | | Pfizer, Inc. | | | 7,579,717 | |
| | 92,488 | | | Prestige Consumer Healthcare, Inc.* | | | 5,609,397 | |
| | 28,092 | | | QIAGEN NV* | | | 1,561,353 | |
| | 22,821 | | | Regeneron Pharmaceuticals, Inc.* | | | 14,411,918 | |
| | 8,738 | | | Sage Therapeutics, Inc.* | | | 371,714 | |
| | 3,494 | | | Thermo Fisher Scientific, Inc. | | | 2,331,337 | |
| | 4,187 | | | Twist Bioscience Corp.* | | | 324,032 | |
| | 38,489 | | | Vertex Pharmaceuticals, Inc.* | | | 8,452,184 | |
| | 15,927 | | | Viatris, Inc. | | | 215,492 | |
| | 46,257 | | | West Pharmaceutical Services, Inc. | | | 21,694,996 | |
| | 133,313 | | | Zoetis, Inc. | | | 32,532,371 | |
| | | | | | | | |
| | | | | | | 263,995,546 | |
| | |
| Real Estate – 6.6% | | | |
| | 646,739 | | | American Homes 4 Rent, Class A REIT | | | 28,204,288 | |
| | |
|
| Common Stocks – (continued) | |
| Real Estate – (continued) | | | |
| | 1 | | | Apartment Income REIT Corp. REIT | | | 55 | |
| | 1 | | | Apartment Investment and Management Co., Class A REIT* | | | 8 | |
| | 21,275 | | | Brixmor Property Group, Inc. REIT | | | 540,598 | |
| | 66,497 | | | Camden Property Trust REIT | | | 11,881,684 | |
| | 5,206 | | | CubeSmart REIT | | | 296,274 | |
| | 257,053 | | | Duke Realty Corp. REIT | | | 16,872,959 | |
| | 343,420 | | | Equity LifeStyle Properties, Inc. REIT | | | 30,104,197 | |
| | 36,707 | | | Extra Space Storage, Inc. REIT | | | 8,322,578 | |
| | 314,232 | | | First Industrial Realty Trust, Inc. REIT | | | 20,802,158 | |
| | 178,854 | | | Invitation Homes, Inc. REIT | | | 8,109,240 | |
| | 2,070 | | | Jones Lang LaSalle, Inc.* | | | 557,534 | |
| | 9,634 | | | Lamar Advertising Co., Class A REIT | | | 1,168,604 | |
| | 29,850 | | | Mid-America Apartment Communities, Inc. REIT | | | 6,848,784 | |
| | 251,346 | | | National Storage Affiliates Trust REIT | | | 17,393,143 | |
| | 38,663 | | | NexPoint Residential Trust, Inc. REIT | | | 3,241,119 | |
| | 7,178 | | | Prologis, Inc. REIT | | | 1,208,488 | |
| | 93,086 | | | Rexford Industrial Realty, Inc. REIT | | | 7,550,205 | |
| | 2 | | | Simon Property Group, Inc. REIT | | | 320 | |
| | 17,864 | | | STORE Capital Corp. REIT | | | 614,522 | |
| | 14,722 | | | Terreno Realty Corp. REIT | | | 1,255,639 | |
| | 45,708 | | | Ventas, Inc. REIT | | | 2,336,593 | |
| | 1 | | | Vornado Realty Trust REIT | | | 42 | |
| | | | | | | | |
| | | | | | | 167,309,032 | |
| | |
| Retailing – 7.7% | | | |
| | 11,846 | | | Academy Sports & Outdoors, Inc.* | | | 520,039 | |
| | 21,205 | | | Amazon.com, Inc.* | | | 70,704,680 | |
| | 1,486 | | | Asbury Automotive Group, Inc.* | | | 256,677 | |
| | 2,286 | | | AutoZone, Inc.* | | | 4,792,348 | |
| | 161,888 | | | Bath & Body Works, Inc. | | | 11,298,163 | |
| | 17,163 | | | Buckle, Inc. (The) | | | 726,167 | |
| | 61,470 | | | Dick’s Sporting Goods, Inc. | | | 7,068,435 | |
| | 34,974 | | | eBay, Inc. | | | 2,325,771 | |
| | 1,343 | | | Five Below, Inc.* | | | 277,853 | |
| | 4,651 | | | Home Depot, Inc. (The) | | | 1,930,211 | |
| | 104,432 | | | LKQ Corp. | | | 6,269,053 | |
| | 91,859 | | | Lowe’s Cos., Inc. | | | 23,743,714 | |
| | 1,541 | | | MercadoLibre, Inc. (Argentina)* | | | 2,077,884 | |
| | 37,100 | | | Murphy USA, Inc. | | | 7,391,804 | |
| | 22,726 | | | O’Reilly Automotive, Inc.* | | | 16,049,783 | |
| | 8,426 | | | Penske Automotive Group, Inc. | | | 903,436 | |
| | 4,359 | | | Signet Jewelers Ltd. | | | 379,364 | |
| | 149,794 | | | Target Corp. | | | 34,668,323 | |
| | 21,862 | | | Tilly’s, Inc., Class A | | | 352,197 | |
| | 53,338 | | | Victoria’s Secret & Co.* | | | 2,962,393 | |
| | | | | | | | |
| | | | | | | 194,698,295 | |
| | |
| Semiconductors & Semiconductor Equipment – 4.0% | | | |
| | 218,165 | | | Applied Materials, Inc. | | | 34,330,444 | |
| | 31,784 | | | Intel Corp. | | | 1,636,876 | |
| | 3,264 | | | KLA Corp. | | | 1,403,879 | |
| | 130,723 | | | NVIDIA Corp. | | | 38,446,941 | |
| | 46,974 | | | NXP Semiconductors NV (China) | | | 10,699,738 | |
| | 13,204 | | | Power Integrations, Inc. | | | 1,226,520 | |
| | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S.TAX-MANAGED EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Semiconductors & Semiconductor Equipment – (continued) | |
| | 11,970 | | | QUALCOMM, Inc. | | $ | 2,188,954 | |
| | 63,128 | | | Texas Instruments, Inc. | | | 11,897,734 | |
| | | | | | | | |
| | | | | | | 101,831,086 | |
| | |
| Software & Services – 15.7% | | | |
| | 44,829 | | | Adobe, Inc.* | | | 25,420,733 | |
| | 18,021 | | | Black Knight, Inc.* | | | 1,493,761 | |
| | 1,609 | | | Block, Inc.* | | | 259,870 | |
| | 17,268 | | | Citrix Systems, Inc. | | | 1,633,380 | |
| | 37,536 | | | Cognizant Technology Solutions Corp., Class A | | | 3,330,194 | |
| | 1,531 | | | Concentrix Corp. | | | 273,467 | |
| | 8,458 | | | EPAM Systems, Inc.* | | | 5,653,750 | |
| | 79,080 | | | Fortinet, Inc.* | | | 28,421,352 | |
| | 73,350 | | | Gartner, Inc.* | | | 24,522,372 | |
| | 1,785 | | | HubSpot, Inc.* | | | 1,176,583 | |
| | 9,159 | | | International Business Machines Corp. | | | 1,224,192 | |
| | 40,719 | | | Intuit, Inc. | | | 26,191,275 | |
| | 20,345 | | | Mandiant, Inc.* | | | 356,851 | |
| | 5,748 | | | Manhattan Associates, Inc.* | | | 893,757 | |
| | 424,422 | | | Microsoft Corp. | | | 142,741,607 | |
| | 9,343 | | | MongoDB, Inc.* | | | 4,945,717 | |
| | 60,100 | | | NCR Corp.* | | | 2,416,020 | |
| | 37,008 | | | Okta, Inc.* | | | 8,296,083 | |
| | 75,324 | | | Oracle Corp. | | | 6,569,006 | |
| | 6,494 | | | Palo Alto Networks, Inc.* | | | 3,615,599 | |
| | 166,869 | | | PayPal Holdings, Inc.* | | | 31,468,156 | |
| | 30,864 | | | Perficient, Inc.* | | | 3,990,407 | |
| | 5,399 | | | ServiceNow, Inc.* | | | 3,504,545 | |
| | 14,535 | | | Snowflake, Inc., Class A* | | | 4,923,731 | |
| | 10,855 | | | SPS Commerce, Inc.* | | | 1,545,209 | |
| | 105,741 | | | VeriSign, Inc.* | | | 26,839,181 | |
| | 9,615 | | | Visa, Inc., Class A | | | 2,083,667 | |
| | 112,864 | | | VMware, Inc., Class A | | | 13,078,680 | |
| | 112,247 | | | Western Union Co. (The) | | | 2,002,486 | |
| | 27,322 | | | Workday, Inc., Class A* | | | 7,463,824 | |
| | 43,289 | | | Zscaler, Inc.* | | | 13,910,054 | |
| | | | | | | | |
| | | | | | | 400,245,509 | |
| | |
| Technology Hardware & Equipment – 6.5% | | | |
| | 724,768 | | | Apple, Inc. | | | 128,697,054 | |
| | 6,480 | | | Arista Networks, Inc.* | | | 931,500 | |
| | 478,611 | | | Hewlett Packard Enterprise Co. | | | 7,547,695 | |
| | 94,239 | | | Keysight Technologies, Inc.* | | | 19,461,296 | |
| | 45,980 | | | NetApp, Inc. | | | 4,229,700 | |
| | 3,898 | | | Teledyne Technologies, Inc.* | | | 1,702,997 | |
| | 25,865 | | | Vishay Intertechnology, Inc. | | | 565,668 | |
| | 5,426 | | | Vontier Corp. | | | 166,741 | |
| | 34,029 | | | Western Digital Corp.* | | | 2,219,031 | |
| | | | | | | | |
| | | | | | | 165,521,682 | |
| | |
| Transportation – 1.7% | | | |
| | 6,795 | | | AMERCO | | | 4,934,733 | |
| | 94,059 | | | CSX Corp. | | | 3,536,618 | |
| | 3,209 | | | GXO Logistics, Inc.* | | | 291,474 | |
| | |
|
| Common Stocks – (continued) | |
| Transportation – (continued) | | | |
| | 24,136 | | | Knight-Swift Transportation Holdings, Inc. | | | 1,470,848 | |
| | 32,102 | | | Landstar System, Inc. | | | 5,746,900 | |
| | 18,420 | | | Norfolk Southern Corp. | | | 5,483,818 | |
| | 7,053 | | | Old Dominion Freight Line, Inc. | | | 2,527,654 | |
| | 36,542 | | | Ryder System, Inc. | | | 3,012,157 | |
| | 66,279 | | | Safe Bulkers, Inc. (Greece)* | | | 249,872 | |
| | 61,767 | | | Union Pacific Corp. | | | 15,560,960 | |
| | | | | | | | |
| | | | | | | 42,815,034 | |
| | |
| Utilities – 0.3% | | | |
| | 14,606 | | | CMS Energy Corp. | | | 950,120 | |
| | 3,186 | | | DTE Energy Co. | | | 380,854 | |
| | 72,026 | | | MDU Resources Group, Inc. | | | 2,221,282 | |
| | 68,737 | | | NRG Energy, Inc. | | | 2,961,190 | |
| | 18,160 | | | Public Service Enterprise Group, Inc. | | | 1,211,817 | |
| | | | | | | | |
| | | | | | | 7,725,263 | |
| | |
| | TOTAL INVESTMENTS – 99.7% | |
| | (Cost $1,267,384,645) | | $ | 2,537,294,178 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.3% | | | 8,572,350 | |
| | |
| | NET ASSETS – 100.0% | | $ | 2,545,866,528 | |
| | |
| | |
|
| 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. |
| | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Assets and Liabilities
December 31, 2021
| | | | | | | | | | |
| | | | | International Tax-Managed Equity Fund | | | U.S. Tax- Managed Equity Fund | |
| | Assets: | |
| | Investments in unaffiliated issuers, at value (cost $589,688,928 and $1,267,384,645, respectively) | | $ | 825,571,767 | | | $ | 2,537,294,178 | |
| | Foreign currency, at value (cost $6,291,554 and $—, respectively) | | | 6,371,961 | | | | — | |
Cash | | | | | — | | | | 15,065,372 | |
| | Receivables: | | | | | | | | |
| | Dividends | | | 782,074 | | | | 1,366,347 | |
| | Foreign tax reclaims | | | 2,737,584 | | | | — | |
| | Reimbursement from investment adviser | | | 20,689 | | | | 186,583 | |
| | Fund shares sold | | | 932 | | | | 144,299 | |
| | Due from custodian | | | 16,932,941 | | | | — | |
| | Other assets | | | 39,526 | | | | 52,214 | |
| | Total assets | | | 852,457,474 | | | | 2,554,108,993 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Variation margin on futures | | | 4,276 | | | | — | |
| | Payables: | | | | | | | | |
| | Cash overdraft | | | 10,911,041 | | | | — | |
| | Fund shares redeemed | | | 1,773,224 | | | | 6,029,693 | |
| | Collateral on certain derivative contracts | | | 105 | | | | — | |
| | Management fees | | | 584,309 | | | | 1,389,040 | |
| | Distribution and Service fees and Transfer Agency fees | | | 24,775 | | | | 128,301 | |
| | Accrued expenses | | | 478,167 | | | | 695,431 | |
| | Total liabilities | | | 13,775,897 | | | | 8,242,465 | |
| | | | | | | | | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 681,774,961 | | | | 1,278,717,443 | |
| | Total distributable earnings | | | 156,906,616 | | | | 1,267,149,085 | |
| | | NET ASSETS | | $ | 838,681,577 | | | $ | 2,545,866,528 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 7,234,875 | | | $ | 111,821,013 | |
| | | Class C | | | 1,008,838 | | | | 21,719,804 | |
| | | Institutional | | | 11,246,502 | | | | 56,034,634 | |
| | | Service | | | — | | | | 2,475,691 | |
| | | Investor | | | 7,290,173 | | | | 20,598,611 | |
| | | Class R6 | | | 730,125,855 | | | | 2,111,314,944 | |
| | | Class P | | | 81,775,334 | | | | 221,901,831 | |
| | | Total Net Assets | | $ | 838,681,577 | | | $ | 2,545,866,528 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 589,063 | | | | 2,920,121 | |
| | | Class C | | | 83,829 | | | | 606,027 | |
| | | Institutional | | | 913,265 | | | | 1,426,665 | |
| | | Service | | | — | | | | 64,273 | |
| | | Investor | | | 591,614 | | | | 529,174 | |
| | | Class R6 | | | 59,707,087 | | | | 54,234,303 | |
| | | Class P | | | 6,684,118 | | | | 5,698,814 | |
| | | Net asset value offering and redemption price per share:(a) | | | | | | | | |
| | | Class A | | | $12.28 | | | | $38.29 | |
| | | Class C | | | 12.03 | | | | 35.84 | |
| | | Institutional | | | 12.31 | | | | 39.28 | |
| | | Service | | | — | | | | 38.52 | |
| | | Investor | | | 12.32 | | | | 38.93 | |
| | | Class R6 | | | 12.23 | | | | 38.93 | |
| | | Class P | | | 12.23 | | | | 38.94 | |
| | (a) | | Maximum public offering price per share for Class A Shares of the International Tax-Managed Equity Fund and U.S. Tax-Managed Equity Fund is $12.99 and $40.52, respectively. 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. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | |
| | | | | International
Tax-Managed
Equity Fund | | | U.S. Tax-
Managed
Equity Fund | |
| | Investment income: | | | | | | | | |
| | | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $2,221,408 and $23,063, respectively) | | $ | 27,570,533 | | | $ | 27,874,871 | |
| | | |
| | Securities lending income — affiliated issuer | | | 5,160 | | | | 46,718 | |
| | | |
| | Dividends — affiliated issuers | | | 61 | | | | 1,152 | |
| | | |
| | Other Income | | | 61,910 | | | | — | |
| | | |
| | Total investment income | | | 27,637,664 | | | | 27,922,741 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | | |
| | Management fees | | | 6,618,015 | | | | 14,967,449 | |
| | | |
| | Transfer Agency fees(a) | | | 256,228 | | | | 857,218 | |
| | | |
| | Custody, accounting and administrative services | | | 220,563 | | | | 912,705 | |
| | | |
| | Professional fees | | | 144,354 | | | | 107,414 | |
| | | |
| | Registration fees | | | 118,768 | | | | 95,274 | |
| | | |
| | Printing and mailing costs | | | 54,545 | | | | 66,069 | |
| | | |
| | Distribution and/or Service (12b-1) fees(a) | | | 25,497 | | | | 382,255 | |
| | | |
| | Trustee fees | | | 20,242 | | | | 22,322 | |
| | | |
| | Service fees — Class C | | | 2,537 | | | | 49,844 | |
| | | |
| | Shareholder Administration fees — Service Shares | | | — | | | | 5,518 | |
| | | |
| | Other | | | — | | | | 36,455 | |
| | | |
| | Total expenses | | | 7,460,749 | | | | 17,502,523 | |
| | | |
| | Less — expense reductions | | | (458,989 | ) | | | (292,050 | ) |
| | | |
| | Net expenses | | | 7,001,760 | | | | 17,210,473 | |
| | | |
| | NET INVESTMENT INCOME | | | 20,635,904 | | | | 10,712,268 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 27,688,948 | | | | 11,911,561 | |
| | | |
| | In-kind redemptions | | | 20,078,663 | | | | 113,169,414 | |
| | | |
| | Futures | | | 922,113 | | | | 4,223,989 | |
| | | |
| | Foreign currency transactions | | | (399,196 | ) | | | — | |
| | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 20,216,889 | | | | 433,085,566 | |
| | | |
| | Futures | | | 6,064 | | | | — | |
| | | |
| | Foreign currency translations | | | (167,490 | ) | | | — | |
| | | |
| | Net realized and unrealized gain | | | 68,345,991 | | | | 562,390,530 | |
| | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 88,981,895 | | | $ | 573,102,798 | |
| | (a) | | Class specific Distribution and/or Service fees and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agency Fees | |
Fund | | Class A | | | Class C | | | Service | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class P | |
International Tax-Managed Equity Fund | | $ | 17,885 | | | $ | 7,612 | | | $ | — | | | $ | 11,446 | | | $ | 1,624 | | | $ | 4,363 | | | $ | — | | | $ | 200,320 | | | $ | 15,138 | | | $ | 23,337 | |
U.S. Tax-Managed Equity Fund | | | 227,204 | | | | 149,533 | | | | 5,518 | | | | 145,412 | | | | 31,901 | | | | 21,680 | | | | 883 | | | | 555,749 | | | | 44,657 | | | | 56,936 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Tax-Managed Equity Fund | | | | | | U.S. Tax-Managed Equity Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | |
| | Net investment income | | $ | 20,635,904 | | | $ | 9,515,616 | | | | | | | $ | 10,712,268 | | | $ | 9,058,310 | |
| | Net realized gain (loss) | | | 48,290,528 | | | | (73,126,704 | ) | | | | | | | 129,304,964 | | | | 64,937,751 | |
| | Net change in unrealized gain | | | 20,055,463 | | | | 121,870,409 | | | | | | | | 433,085,566 | | | | 173,716,486 | |
| | Net increase in net assets resulting from operations | | | 88,981,895 | | | | 58,259,321 | | | | | | | | 573,102,798 | | | | 247,712,547 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (222,523 | ) | | | (83,262 | ) | | | | | | | (187,075 | ) | | | (227,570 | ) |
| | Class C Shares | | | (19,506 | ) | | | (4,591 | ) | | | | | | | — | | | | — | |
| | Institutional Shares | | | (332,199 | ) | | | (142,381 | ) | | | | | | | (234,991 | ) | | | (272,887 | ) |
| | Service Shares | | | — | | | | — | | | | | | | | (215 | ) | | | (3,211 | ) |
| | Investor Shares | | | (208,042 | ) | | | (120,706 | ) | | | | | | | (72,929 | ) | | | (78,104 | ) |
| | Class R6 Shares | | | (21,530,042 | ) | | | (9,502,533 | ) | | | | | | | (9,154,253 | ) | | | (9,022,049 | ) |
| | Class P Shares | | | (2,422,168 | ) | | | (998,750 | ) | | | | | | | (964,387 | ) | | | (892,356 | ) |
| | From return of capital: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | — | | | | — | | | | | | | | — | | | | (95,505 | ) |
| | Institutional Shares | | | — | | | | — | | | | | | | | — | | | | (58,669 | ) |
| | Service Shares | | | — | | | | — | | | | | | | | — | | | | (2,439 | ) |
| | Investor Shares | | | — | | | | — | | | | | | | | — | | | | (19,743 | ) |
| | Class R6 Shares | | | — | | | | — | | | | | | | | — | | | | (1,942,310 | ) |
| | Class P Shares | | | — | | | | — | | | | | | | | — | | | | (188,413 | ) |
| | Total distributions to shareholders | | | (24,734,480 | ) | | | (10,852,223 | ) | | | | | | | (10,613,850 | ) | | | (12,803,256 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | |
| | Proceeds from sales of shares | | | 100,699,707 | | | | 81,613,669 | | | | | | | | 354,091,106 | | | | 116,867,565 | |
| | Proceeds paid in connection with in-kind transactions | | | (56,160,000 | ) | | | — | | | | | | | | (145,620,000 | ) | | | (92,360,000 | ) |
| | Reinvestment of distributions | | | 24,732,502 | | | | 10,851,335 | | | | | | | | 10,555,178 | | | | 12,717,767 | |
| | Cost of shares redeemed | | | (30,644,213 | ) | | | (175,459,100 | ) | | | | | | | (86,099,028 | ) | | | (291,799,400 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 38,627,996 | | | | (82,994,096 | ) | | | | | | | 132,927,256 | | | | (254,574,068 | ) |
| | TOTAL INCREASE (DECREASE) | | | 102,875,411 | | | | (35,586,998 | ) | | | | | | | 695,416,204 | | | | (19,664,777 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net assets: | | | | | | | | | | | | | |
| | Beginning of year | | | 735,806,166 | | | | 771,393,164 | | | | | | | | 1,850,450,324 | | | | 1,870,115,101 | |
| | | | | | |
| | End of year | | $ | 838,681,577 | | | $ | 735,806,166 | | | | | | | $ | 2,545,866,528 | | | $ | 1,850,450,324 | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.32 | | | $ | 10.43 | | | $ | 8.93 | | | $ | 10.93 | | | $ | 8.62 | |
| | | | | | |
| | Net investment income(a) | | | 0.28 | | | | 0.10 | | | | 0.18 | | | | 0.18 | | | | 0.11 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.07 | | | | 0.92 | | | | 1.49 | | | | (2.03 | ) | | | 2.38 | |
| | | | | | |
| | Total from investment operations | | | 1.35 | | | | 1.02 | | | | 1.67 | | | | (1.85 | ) | | | 2.49 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.39 | ) | | | (0.13 | ) | | | (0.17 | ) | | | (0.15 | ) | | | (0.18 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.28 | | | $ | 11.32 | | | $ | 10.43 | | | $ | 8.93 | | | $ | 10.93 | |
| | | | | | |
| | Total Return(b) | | | 12.02 | % | | | 9.75 | % | | | 18.66 | % | | | (16.86 | )% | | | 28.85 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 7,235 | | | $ | 6,662 | | | $ | 8,419 | | | $ | 8,145 | | | $ | 9,429 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.22 | % | | | 1.23 | % | | | 1.25 | % | | | 1.29 | % | | | 1.31 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.33 | % | | | 1.36 | % | | | 1.37 | % | | | 1.37 | % | | | 1.36 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.33 | % | | | 1.07 | % | | | 1.81 | % | | | 1.69 | % | | | 1.04 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 162 | % | | | 177 | % | | | 231 | % | | | 177 | % | | | 134 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.04 | | | $ | 10.18 | | | $ | 8.68 | | | $ | 10.59 | | | $ | 8.39 | |
| | | | | | |
| | Net investment income(a) | | | 0.20 | | | | 0.03 | | | | 0.12 | | | | 0.10 | | | | 0.04 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.03 | | | | 0.88 | | | | 1.42 | | | | (1.94 | ) | | | 2.30 | |
| | | | | | |
| | Total from investment operations | | | 1.23 | | | | 0.91 | | | | 1.54 | | | | (1.84 | ) | | | 2.34 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.24 | ) | | | (0.05 | ) | | | (0.04 | ) | | | (0.07 | ) | | | (0.14 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.03 | | | $ | 11.04 | | | $ | 10.18 | | | $ | 8.68 | | | $ | 10.59 | |
| | | | | | |
| | Total Return(b) | | | 11.19 | % | | | 8.89 | % | | | 17.74 | % | | | (17.39 | )% | | | 27.85 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 1,009 | | | $ | 1,060 | | | $ | 1,308 | | | $ | 2,551 | | | $ | 2,661 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.96 | % | | | 1.98 | % | | | 2.01 | % | | | 2.04 | % | | | 2.06 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.07 | % | | | 2.11 | % | | | 2.12 | % | | | 2.12 | % | | | 2.11 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.59 | % | | | 0.33 | % | | | 1.25 | % | | | 1.01 | % | | | 0.40 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 162 | % | | | 177 | % | | | 231 | % | | | 177 | % | | | 134 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.29 | | | $ | 10.40 | | | $ | 8.91 | | | $ | 10.85 | | | $ | 8.54 | |
| | | | | | |
| | Net investment income(a) | | | 0.32 | | | | 0.13 | | | | 0.21 | | | | 0.31 | | | | 0.17 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.07 | | | | 0.92 | | | | 1.48 | | | | (2.10 | ) | | | 2.34 | |
| | | | | | |
| | Total from investment operations | | | 1.39 | | | | 1.05 | | | | 1.69 | | | | (1.79 | ) | | | 2.51 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.37 | ) | | | (0.16 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.20 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.31 | | | $ | 11.29 | | | $ | 10.40 | | | $ | 8.91 | | | $ | 10.85 | |
| | | | | | |
| | Total Return(b) | | | 12.42 | % | | | 10.11 | % | | | 19.01 | % | | | (16.49 | )% | | | 29.42 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 11,247 | | | $ | 9,998 | | | $ | 15,783 | | | $ | 16,948 | | | $ | 619,288 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.92 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.96 | % | | | 0.99 | % | | | 0.99 | % | | | 0.96 | % | | | 0.97 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.65 | % | | | 1.36 | % | | | 2.11 | % | | | 2.87 | % | | | 1.74 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 162 | % | | | 177 | % | | | 231 | % | | | 177 | % | | | 134 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund | |
| | | | | Investor Shares(a) | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 11.30 | | | $ | 10.40 | | | $ | 8.91 | | | $ | 10.91 | | | $ | 8.61 | |
| | | | | | |
| | Net investment income(b) | | | 0.31 | | | | 0.13 | | | | 0.20 | | | | 0.19 | | | | 0.13 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.07 | | | | 0.92 | | | | 1.48 | | | | (2.00 | ) | | | 2.36 | |
| | | | | | |
| | Total from investment operations | | | 1.38 | | | | 1.05 | | | | 1.68 | | | | (1.81 | ) | | | 2.49 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.36 | ) | | | (0.15 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.19 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 12.32 | | | $ | 11.30 | | | $ | 10.40 | | | $ | 8.91 | | | $ | 10.91 | |
| | | | | | |
| | Total Return(c) | | | 12.31 | % | | | 10.09 | % | | | 18.90 | % | | | (16.66 | )% | | | 29.09 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 7,290 | | | $ | 9,085 | | | $ | 18,290 | | | $ | 14,008 | | | $ | 15,547 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.97 | % | | | 0.98 | % | | | 1.00 | % | | | 1.04 | % | | | 1.05 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.08 | % | | | 1.11 | % | | | 1.12 | % | | | 1.12 | % | | | 1.11 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.58 | % | | | 1.38 | % | | | 2.06 | % | | | 1.82 | % | | | 1.30 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 162 | % | | | 177 | % | | | 231 | % | | | 177 | % | | | 134 | % |
| | (a) | | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31,
2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 11.22 | | | $ | 10.33 | | | $ | 8.85 | | | $ | 10.92 | |
| | | | | |
| | Net investment income(b) | | | 0.32 | | | | 0.14 | | | | 0.21 | | | | 0.08 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 1.06 | | | | 0.92 | | | | 1.47 | | | | (1.95 | ) |
| | | | | |
| | Total from investment operations | | | 1.38 | | | | 1.06 | | | | 1.68 | | | | (1.87 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.37 | ) | | | (0.17 | ) | | | (0.20 | ) | | | (0.20 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 12.23 | | | $ | 11.22 | | | $ | 10.33 | | | $ | 8.85 | |
| | | | | |
| | Total Return(c) | | | 12.43 | % | | | 10.20 | % | | | 19.05 | % | | | (17.07 | )% |
| | | | | |
| | Net assets, end of period (in 000’s) | | $ | 730,126 | | | $ | 640,212 | | | $ | 660,555 | | | $ | 530,891 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.89 | % | | | 0.89 | % | | | 0.89 | % | | | 0.89 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.95 | % | | | 0.97 | % | | | 0.98 | % | | | 0.99 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 2.66 | % | | | 1.42 | % | | | 2.12 | % | | | 1.14 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 162 | % | | | 177 | % | | | 231 | % | | | 177 | % |
| | (a) | | Commenced operations on April 30, 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. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31,
2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 11.22 | | | $ | 10.34 | | | $ | 8.86 | | | $ | 11.07 | |
| | | | | |
| | Net investment income(b) | | | 0.32 | | | | 0.14 | | | | 0.21 | | | | 0.10 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 1.06 | | | | 0.91 | | | | 1.47 | | | | (2.11 | ) |
| | | | | |
| | Total from investment operations | | | 1.38 | | | | 1.05 | | | | 1.68 | | | | (2.01 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.37 | ) | | | (0.17 | ) | | | (0.20 | ) | | | (0.20 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 12.23 | | | $ | 11.22 | | | $ | 10.34 | | | $ | 8.86 | |
| | | | | |
| | Total Return(c) | | | 12.42 | % | | | 10.09 | % | | | 19.02 | % | | | (18.09 | )% |
| | | | | |
| | Net assets, end of period (in 000’s) | | $ | 81,775 | | | $ | 68,788 | | | $ | 67,038 | | | $ | 64,578 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.89 | % | | | 0.89 | % | | | 0.89 | % | | | 0.89 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.95 | % | | | 0.98 | % | | | 0.98 | % | | | 1.00 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 2.66 | % | | | 1.45 | % | | | 2.15 | % | | | 1.43 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 162 | % | | | 177 | % | | | 231 | % | | | 177 | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 29.78 | | | $ | 25.54 | | | $ | 20.43 | | | $ | 22.37 | | | $ | 18.75 | |
| | | | | | |
| | Net investment income(a) | | | 0.05 | | | | 0.06 | | | | 0.11 | | | | 0.10 | | | | 0.13 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 8.52 | | | | 4.31 | | | | 5.09 | | | | (1.93 | ) | | | 3.60 | |
| | | | | | |
| | Total from investment operations | | | 8.57 | | | | 4.37 | | | | 5.20 | | | | (1.83 | ) | | | 3.73 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.06 | ) | | | (0.09 | ) | | | (0.09 | ) | | | (0.11 | ) | | | (0.11 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.06 | ) | | | (0.13 | ) | | | (0.09 | ) | | | (0.11 | ) | | | (0.11 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 38.29 | | | $ | 29.78 | | | $ | 25.54 | | | $ | 20.43 | | | $ | 22.37 | |
| | | | | | |
| | Total Return(b) | | | 28.80 | % | | | 17.06 | % | | | 25.48 | % | | | (8.15 | )% | | | 19.88 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 111,821 | | | $ | 75,584 | | | $ | 68,427 | | | $ | 57,833 | | | $ | 50,218 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.06 | % | | | 1.08 | % | | | 1.10 | % | | | 1.14 | % | | | 1.15 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.11 | % | | | 1.12 | % | | | 1.13 | % | | | 1.14 | % | | | 1.15 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.16 | % | | | 0.24 | % | | | 0.47 | % | | | 0.44 | % | | | 0.61 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % | | | 108 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 28.04 | | | $ | 24.11 | | | $ | 19.36 | | | $ | 21.24 | | | $ | 17.86 | |
| | | | | | |
| | Net investment loss(a) | | | (0.19 | ) | | | (0.13 | ) | | | (0.06 | ) | | | (0.07 | ) | | | (0.03 | ) |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 7.99 | | | | 4.06 | | | | 4.81 | | | | (1.81 | ) | | | 3.41 | |
| | | | | | |
| | Total from investment operations | | | 7.80 | | | | 3.93 | | | | 4.75 | | | | (1.88 | ) | | | 3.38 | |
| | | | | | |
| | Net asset value, end of year | | $ | 35.84 | | | $ | 28.04 | | | $ | 24.11 | | | $ | 19.36 | | | $ | 21.24 | |
| | | | | | |
| | Total Return(b) | | | 27.82 | % | | | 16.25 | % | | | 24.54 | % | | | (8.85 | )% | | | 18.93 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 21,720 | | | $ | 19,502 | | | $ | 18,341 | | | $ | 14,380 | | | $ | 22,337 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.81 | % | | | 1.83 | % | | | 1.85 | % | | | 1.88 | % | | | 1.90 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.86 | % | | | 1.87 | % | | | 1.88 | % | | | 1.89 | % | | | 1.90 | % |
| | | | | | |
| | Ratio of net investment loss to average net assets | | | (0.59 | )% | | | (0.53 | )% | | | (0.28 | )% | | | (0.33 | )% | | | (0.14 | )% |
| | | | | | |
| | Portfolio turnover rate(c) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % | | | 108 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 30.53 | | | $ | 26.16 | | | $ | 20.91 | | | $ | 22.71 | | | $ | 19.04 | |
| | | | | | |
| | Net investment income(a) | | | 0.17 | | | | 0.15 | | | | 0.20 | | | | 0.19 | | | | 0.21 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 8.74 | | | | 4.43 | | | | 5.23 | | | | (1.97 | ) | | | 3.65 | |
| | | | | | |
| | Total from investment operations | | | 8.91 | | | | 4.58 | | | | 5.43 | | | | (1.78 | ) | | | 3.86 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.16 | ) | | | (0.17 | ) | | | (0.18 | ) | | | (0.02 | ) | | | (0.19 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.16 | ) | | | (0.21 | ) | | | (0.18 | ) | | | (0.02 | ) | | | (0.19 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 39.28 | | | $ | 30.53 | | | $ | 26.16 | | | $ | 20.91 | | | $ | 22.71 | |
| | | | | | |
| | Total Return(b) | | | 29.23 | % | | | 17.48 | % | | | 25.90 | % | | | (7.78 | )% | | | 20.29 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 56,035 | | | $ | 47,997 | | | $ | 45,718 | | | $ | 34,812 | | | $ | 1,395,335 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.75 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.74 | % | | | 0.75 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.48 | % | | | 0.56 | % | | | 0.83 | % | | | 0.79 | % | | | 1.02 | % |
| | | | | | |
| | Portfolio turnover rate(c) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % | | | 108 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Service Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 29.96 | | | $ | 25.70 | | | $ | 20.57 | | | $ | 22.51 | | | $ | 18.88 | |
| | | | | | |
| | Net investment income(a) | | | — | (b) | | | 0.02 | | | | 0.08 | | | | 0.08 | | | | 0.11 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 8.56 | | | | 4.33 | | | | 5.13 | | | | (1.94 | ) | | | 3.61 | |
| | | | | | |
| | Total from investment operations | | | 8.56 | | | | 4.35 | | | | 5.21 | | | | (1.86 | ) | | | 3.72 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | — | (b) | | | (0.05 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.09 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | — | (b) | | | (0.09 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.09 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 38.52 | | | $ | 29.96 | | | $ | 25.70 | | | $ | 20.57 | | | $ | 22.51 | |
| | | | | | |
| | Total Return(c) | | | 28.58 | % | | | 16.87 | % | | | 25.31 | % | | | (8.26 | )% | | | 19.71 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 2,476 | | | $ | 1,932 | | | $ | 1,649 | | | $ | 732 | | | $ | 736 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.23 | % | | | 1.24 | % | | | 1.24 | % | | | 1.25 | % | | | 1.25 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.24 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.01 | % | | | 0.08 | % | | | 0.33 | % | | | 0.33 | % | | | 0.52 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % | | | 108 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Investor Shares(a) | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 30.26 | | | $ | 25.93 | | | $ | 20.73 | | | $ | 22.70 | | | $ | 19.03 | |
| | | | | | |
| | Net investment income(b) | | | 0.14 | | | | 0.12 | | | | 0.17 | | | | 0.16 | | | | 0.18 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 8.67 | | | | 4.40 | | | | 5.18 | | | | (1.97 | ) | | | 3.65 | |
| | | | | | |
| | Total from investment operations | | | 8.81 | | | | 4.52 | | | | 5.35 | | | | (1.81 | ) | | | 3.83 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.14 | ) | | | (0.15 | ) | | | (0.15 | ) | | | (0.16 | ) | | | (0.16 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.14 | ) | | | (0.19 | ) | | | (0.15 | ) | | | (0.16 | ) | | | (0.16 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 38.93 | | | $ | 30.26 | | | $ | 25.93 | | | $ | 20.73 | | | $ | 22.70 | |
| | | | | | |
| | Total Return(c) | | | 29.13 | % | | | 17.38 | % | | | 25.82 | % | | | (7.95 | )% | | | 20.14 | % |
| | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 20,599 | | | $ | 15,938 | | | $ | 21,591 | | | $ | 17,894 | | | $ | 17,251 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.82 | % | | | 0.83 | % | | | 0.85 | % | | | 0.89 | % | | | 0.90 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.87 | % | | | 0.87 | % | | | 0.88 | % | | | 0.89 | % | | | 0.90 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.40 | % | | | 0.46 | % | | | 0.72 | % | | | 0.68 | % | | | 0.88 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % | | | 108 | % |
| | (a) | | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31,
2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 30.26 | | | $ | 25.93 | | | $ | 20.73 | | | $ | 22.93 | |
| | | | | |
| | Net investment income(b) | | | 0.17 | | | | 0.15 | | | | 0.20 | | | | 0.13 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 8.67 | | | | 4.40 | | | | 5.18 | | | | (2.14 | ) |
| | | | | |
| | Total from investment operations | | | 8.84 | | | | 4.55 | | | | 5.38 | | | | (2.01 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.18 | ) | | | (0.18 | ) | | | (0.19 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.17 | ) | | | (0.22 | ) | | | (0.18 | ) | | | (0.19 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 38.93 | | | $ | 30.26 | | | $ | 25.93 | | | $ | 20.73 | |
| | | | | |
| | Total Return(c) | | | 29.24 | % | | | 17.49 | % | | | 25.96 | % | | | (8.72 | )% |
| | | | | |
| | Net assets, end of period (in 000’s) | | $ | 2,111,315 | | | $ | 1,536,722 | | | $ | 1,575,990 | | | $ | 1,263,556 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.73 | % | | | 0.73 | % | | | 0.73 | % | | | 0.74 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.74 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 0.49 | % | | | 0.57 | % | | | 0.84 | % | | | 0.85 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % |
| | (a) | | Commenced operations on April 30, 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. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | Period Ended
December 31,
2018(a) | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 30.27 | | | $ | 25.94 | | | $ | 20.74 | | | $ | 23.43 | |
| | | | | |
| | Net investment income(b) | | | 0.17 | | | | 0.15 | | | | 0.20 | | | | 0.16 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 8.67 | | | | 4.40 | | | | 5.18 | | | | (2.66 | ) |
| | | | | |
| | Total from investment operations | | | 8.84 | | | | 4.55 | | | | 5.38 | | | | (2.50 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.18 | ) | | | (0.18 | ) | | | (0.19 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.17 | ) | | | (0.22 | ) | | | (0.18 | ) | | | (0.19 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 38.94 | | | $ | 30.27 | | | $ | 25.94 | | | $ | 20.74 | |
| | | | | |
| | Total Return(c) | | | 29.23 | % | | | 17.48 | % | | | 25.94 | % | | | (10.62 | )% |
| | | | | |
| | Net assets, end of period (in 000’s) | | $ | 221,902 | | | $ | 152,775 | | | $ | 138,399 | | | $ | 97,892 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.73 | % | | | 0.73 | % | | | 0.73 | % | | | 0.74 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.75 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 0.49 | % | | | 0.59 | % | | | 0.83 | % | | | 0.95 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 116 | % | | | 177 | % | | | 205 | % | | | 152 | % |
| | (a) | | Commenced operations on April 17, 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. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments, in-kind transactions 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. | | 39 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 |
International Tax-Managed Equity | | A, C, Institutional, Investor, R6 and P | | Diversified |
U. S. Tax-Managed Equity | | A, C, Institutional, Service, Investor, R6 and P | | Diversified |
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, Service, Investor, Class R6 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 Funds pursuant to a management agreement (the “Agreement”) with the Trust.
|
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. 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. 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 Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT. For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
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
40
GOLDMAN SACHS TAX-ADVANTAGED EQUITY 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 according to the following schedule:
| | | | | | |
| Fund | | | | Income Distributions
Declared/Paid | | Capital Gains Distributions
Declared/Paid |
International Tax-Managed Equity
U.S. Tax-Managed Equity | | | | Annually | | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. In-Kind Transactions — Each Fund may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing a Fund’s NAV, in accordance with the Fund’s Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.
| | |
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS | | |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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;
41
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market
42
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
| | | |
| INTERNATIONAL TAX-MANAGED EQUITY FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Africa | | $ | — | | | $ | 7,875,555 | | | $ | — | |
| | | |
Asia | | | 462,206 | | | | 244,550,414 | | | | — | |
| | | |
Europe | | | 10,126,032 | | | | 452,043,017 | | | | — | |
| | | |
North America | | | — | | | | 28,137,760 | | | | — | |
| | | |
Oceania | | | 8,885,750 | | | | 72,131,910 | | | | — | |
| | | |
South America | | | — | | | | 1,359,123 | | | | — | |
| | | |
| Total | | $ | 19,473,988 | | | $ | 806,097,779 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets(b) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 123,424 | | | $ | — | | | $ | — | |
43
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
|
| U.S. TAX-MANAGED EQUITY FUND | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 16,419,476 | | | $ | — | | | $ | — | |
| | | |
Europe | | | 1,062,001 | | | | — | | | | — | |
| | | |
North America | | | 2,517,347,278 | | | | — | | | | — | |
| | | |
South America | | | 2,465,423 | | | | — | | | | — | |
| | | |
| Total | | $ | 2,537,294,178 | | | $ | — | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in table. The Fund utilizes fair value model prices provided by an independent third-party (fair value) service for certain international equity securities resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain at fiscal year end. |
For further information regarding security characteristics, see the Schedules of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| | | | | | | | |
| Fund | | Risk | | Statements of Assets and Liabilities | | Assets | |
International Tax-Managed Equity | | Equity | | Variation margin on futures contracts | | | 123,424 | (a) |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only variation margin as of December 31, 2021 is reported within the Statements of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | | | |
| Fund | | Risk | | Statements of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
International Tax-Managed Equity | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | $ | 922,113 | | | $ | 6,064 | |
U.S. Tax-Managed Equity | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | 4,223,989 | | | | — | |
| Total | | | | | | $ | 5,146,102 | | | $ | 6,064 | |
44
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type were as follows:
| | | | |
| | | Average number of
Contracts(1) | |
| Fund | | Futures
Contracts | |
| |
International Tax-Managed Equity | | | 110 | |
U.S. Tax-Managed Equity | | | 190 | |
| (1) | | Amounts disclosed represent average number of contracts for futures contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that each Fund held such derivatives during the fiscal year ended December 31, 2021. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2021, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | | | Contractual Management Rate | | | | | | Effective Net
Management
Rate^ | |
| | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Rate | |
| International Tax-Managed Equity | | | | | 0.85% | | | | 0.77% | | | | 0.73% | | | | 0.72% | | | | 0.71% | | | | 0.85% | | | | 0.85% | |
U.S. Tax-Managed Equity | | | | | 0.70% | | | | 0.63% | | | | 0.60% | | | | 0.59% | | | | 0.58% | | | | 0.67% | | | | 0.67% | |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
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, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2021, GSAM waived $368 and $2,351 of the International Tax-Managed Equity and U.S. Tax-Managed Equity Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
The Trust, on behalf of Class C Shares of each applicable 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 Funds, as set forth below.
45
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing 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 the average daily net assets attributable to Service Shares of the Funds, as set forth below.
| | | | | | | | | | | | |
| | | Distribution and/or Service Plan Rates | |
| | | Class A* | | | Class C | | | Service | |
Distribution and/or Service Plan | | | 0.25 | % | | | 0.75 | % | | | 0.25 | % |
| * | | With respect to Class A 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 Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
International Tax-Managed Equity | | | | $ | 302 | | | $ | — | |
U.S. Tax-Managed Equity | | | | | 2,081 | | | | — | |
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide 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 and Service Shares of the Funds, respectively.
E. 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: 0.16% of the average daily net assets of Class A, Class C and Investor 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 and Service Shares. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.05% and 0.04% as an annual percentage rate of the average daily net assets attributable to the Class A, Class C and Investor Shares of the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund, respectively. This arrangement will remain in effect through at least April 30, 2022, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other
Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund are 0.014% and 0.044%, respectively. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
46
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Other Expense
Reimbursement | | | Transfer Agency
Waivers/Credits | | | Total
Expense
Reductions | |
International Tax-Managed Equity | | | | $ | 368 | | | $ | 450,326 | | | $ | 8,295 | | | $ | 458,989 | |
U.S. Tax-Managed Equity | | | | | 2,351 | | | | 238,011 | | | | 51,688 | | | $ | 292,050 | |
G. Line of Credit Facility — As of December 31, 2021, the Funds participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2021, the Funds did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2021, Goldman Sachs did not earn any brokerage commissions from portfolio transactions on behalf of the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund, respectively.
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Beginning
Value as of
December 31, 2020 | | | Purchases at
Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31, 2021 | | | Shares as of
December 31, 2021 | | | Dividend
Income | |
International Tax-Managed Equity | | | | $ | — | | | $ | 16,932,881 | | | $ | (16,932,881 | ) | | $ | — | | | | — | | | $ | 61 | |
U.S. Tax-Managed Equity | | | | | — | | | | 290,287,167 | | | | (290,287,167 | ) | | | — | | | | — | | | | 1,152 | |
As of December 31, 2021, the following Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | |
| Fund | | | | Goldman Sachs
Tax-Advantaged
Global Equity
Portfolio | |
International Tax-Managed Equity | | | | | 87 | % |
U.S. Tax-Managed Equity | | | | | 83 | % |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2021, were as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | Purchases | | | Sales | |
| Fund | | | | Long Term | | | In-Kind | | | Long Term | | | In-Kind | |
International Tax-Managed Equity | | | | $ | 1,293,217,348 | | | $ | — | | | $ | 1,218,339,136 | | | $ | 54,964,737 | |
U.S. Tax-Managed Equity | | | | | 2,849,922,832 | | | | — | | | | 2,563,455,869 | | | | 139,192,892 | |
47
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2021
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Goldman Sachs International Tax-Managed Equity Fund and the Goldman Sachs U.S. Tax-Advantaged Equity Fund may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Goldman Sachs International Tax-Managed Equity Fund and the Goldman Sachs U.S. Tax-Advantaged Equity Fund invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate
the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2021, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended December 31, 2021, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | |
| | | | | For the fiscal year ended December 31, 2021 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amounts Received
by the Funds
from Lending to
Goldman Sachs | |
International Tax-Managed Equity | | | | $ | 574 | | | $ | 54 | |
U.S. Tax-Managed Equity | | | | | 5,189 | | | | 1,508 | |
48
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
| 7. SECURITIES LENDING (continued) |
The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Beginning
Value as of
December 31, 2020 | | | Purchases at
Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31, 2021 | |
International Tax-Managed Equity | | | | $ | — | | | $ | 64,723,210 | | | $ | (64,723,210 | ) | | $ | — | |
U.S. Tax-Managed Equity | | | | | 1,153,125 | | | | 109,139,250 | | | | (110,292,375 | ) | | | — | |
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | | | | | |
| | | International
Tax-Managed
Equity | | | U.S. Tax-
Managed
Equity | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 24,734,480 | | | $ | 10,613,850 | |
Total distributions | | $ | 24,734,480 | | | $ | 10,613,850 | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | | | | | |
| | | International
Tax-Managed
Equity | | | U.S.
Tax-Managed
Equity | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 10,852,223 | | | $ | 10,496,177 | |
Return of capital | | | — | | | | 2,307,079 | |
Total distributions | | $ | 10,852,223 | | | $ | 12,803,256 | |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | | | | | |
| | | International
Tax-Managed
Equity | | | U.S.
Tax-Managed
Equity | |
Undistributed ordinary income — net | | $ | 17,271 | | | $ | 286,131 | |
Total undistributed earnings | | $ | 17,271 | | | $ | 286,131 | |
Capital loss carryforwards:(1) | | | | | | | | |
Perpetual Long-term | | $ | — | | | $ | — | |
Perpetual Short-term | | $ | (71,024,776 | ) | | $ | — | |
Total capital loss carryforwards | | $ | (71,024,776 | ) | | $ | — | |
Timing differences (Qualified Late Year Loss Deferral/Real Estate Investment Trust/Post October Capital Loss Deferral) | | $ | (6,353,388 | ) | | $ | (2,471,659 | ) |
Unrealized gains — net | | | 234,267,509 | | | | 1,269,334,613 | |
Total accumulated gains (losses) — net | | $ | 156,906,616 | | | $ | 1,267,149,085 | |
| (1) | | International Tax-Managed Equity and U.S. Tax Managed Equity Funds utilized $29,686,977 and $18,783,463, respectively, of capital losses in the current fiscal year. |
49
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 8. TAX INFORMATION (continued) |
As of December 31, 2021, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | International
Tax-Managed
Equity | | | U.S.
Tax-Managed
Equity | |
Tax cost | | $ | 591,534,682 | | | $ | 1,267,959,565 | |
Gross unrealized gain | | | 241,127,019 | | | | 1,271,385,392 | |
Gross unrealized loss | | | (6,859,510 | ) | | | (2,050,779 | ) |
Net unrealized gain (loss) | | $ | 234,267,509 | | | $ | 1,269,334,613 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures contracts, and differences in the tax treatment of underlying fund investments.
The International Tax-Managed Equity and US Tax-Managed Equity Funds reclassified $20,078,663 and $113,210,616, respectively, from distributable earnings to paid in capital for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from redemptions in-kind.
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.
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 exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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
50
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
| 9. OTHER RISKS (continued) |
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.
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. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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.
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.
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.
51
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2021
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Tax-Managed Equity Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 82,169 | | | $ | 978,215 | | | | 84,208 | | | $ | 821,313 | |
Reinvestment of distributions | | | 18,720 | | | | 222,204 | | | | 7,405 | | | | 83,156 | |
Shares redeemed | | | (100,557 | ) | | | (1,205,539 | ) | | | (310,258 | ) | | | (3,026,467 | ) |
| | | | 332 | | | | (5,120 | ) | | | (218,645 | ) | | $ | (2,121,998 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 11,059 | | | | 131,494 | | | | 8,916 | | | | 89,144 | |
Reinvestment of distributions | | | 1,676 | | | | 19,506 | | | | 419 | | | | 4,591 | |
Shares redeemed | | | (24,912 | ) | | | (289,233 | ) | | | (41,872 | ) | | | (396,482 | ) |
| | | | (12,177 | ) | | | (138,233 | ) | | | (32,537 | ) | | | (302,747 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 134,048 | | | | 1,620,123 | | | | 425,300 | | | | 3,682,625 | |
Reinvestment of distributions | | | 27,898 | | | | 331,986 | | | | 12,653 | | | | 141,843 | |
Shares redeemed | | | (134,055 | ) | | | (1,614,884 | ) | | | (1,069,674 | ) | | | (9,576,961 | ) |
| | | | 27,891 | | | | 337,225 | | | | (631,721 | ) | | | (5,752,493 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 112,645 | | | | 1,380,415 | | | | 363,286 | | | | 3,346,656 | |
Reinvestment of distributions | | | 17,347 | | | | 206,596 | | | | 10,746 | | | | 120,463 | |
Shares redeemed | | | (342,650 | ) | | | (4,283,493 | ) | | | (1,327,906 | ) | | | (12,221,352 | ) |
| | | | (212,658 | ) | | | (2,696,482 | ) | | | (953,874 | ) | | | (8,754,233 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7,411,481 | | | | 89,650,350 | | | | 5,488,866 | | | | 50,095,940 | |
Reinvestment of distributions | | | 1,821,493 | | | | 21,530,042 | | | | 853,777 | | | | 9,502,533 | |
Shares redeemed | | | (1,693,155 | ) | | | (20,462,337 | ) | | | (13,180,661 | ) | | | (120,467,112 | ) |
Shares redeemed in connection with in-kind transactions | | | (4,913,386 | ) | | | (56,160,000 | ) | | | — | | | | — | |
| | | | 2,626,433 | | | | 34,558,055 | | | | (6,838,018 | ) | | | (60,868,639 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 580,266 | | | | 6,939,110 | | | | 2,908,942 | | | | 23,577,991 | |
Reinvestment of distributions | | | 204,748 | | | | 2,422,168 | | | | 89,654 | | | | 998,749 | |
Shares redeemed | | | (231,168 | ) | | | (2,788,727 | ) | | | (3,351,805 | ) | | | (29,770,726 | ) |
| | | | 553,846 | | | | 6,572,551 | | | | (353,209 | ) | | | (5,193,986 | ) |
| | | | |
NET INCREASE/(DECREASE) | | | 2,983,667 | | | $ | 38,627,996 | | | | (9,028,004 | ) | | $ | (82,994,096 | ) |
52
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | U.S. Tax-Managed Equity Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 561,640 | | | $ | 19,883,314 | | | | 230,549 | | | $ | 5,826,973 | |
Reinvestment of distributions | | | 4,823 | | | | 175,710 | | | | 10,190 | | | | 300,211 | |
Shares redeemed | | | (184,155 | ) | | | (6,276,955 | ) | | | (382,518 | ) | | | (9,101,459 | ) |
| | | | 382,308 | | | | 13,782,069 | | | | (141,779 | ) | | $ | (2,974,275 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 51,099 | | | | 1,652,501 | | | | 82,376 | | | | 1,977,542 | |
Reinvestment of distributions | | | — | | | | — | | | | — | | | | — | |
Shares redeemed | | | (140,687 | ) | | | (4,315,583 | ) | | | (147,321 | ) | | | (3,483,352 | ) |
| | | | (89,588 | ) | | | (2,663,082 | ) | | | (64,945 | ) | | | (1,505,810 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 198,502 | | | | 6,943,237 | | | | 254,054 | | | | 6,269,384 | |
Reinvestment of distributions | | | 5,097 | | | | 190,438 | | | | 8,905 | | | | 268,931 | |
Shares redeemed | | | (349,173 | ) | | | (12,553,273 | ) | | | (438,418 | ) | | | (11,073,817 | ) |
| | | | (145,574 | ) | | | (5,419,598 | ) | | | (175,459 | ) | | | (4,535,502 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7,861 | | | | 270,576 | | | | 12,129 | | | | 243,756 | |
Reinvestment of distributions | | | 5 | | | | 215 | | | | 191 | | | | 5,650 | |
Shares redeemed | | | (8,075 | ) | | | (275,024 | ) | | | (12,000 | ) | | | (271,889 | ) |
| | | | (209 | ) | | | (4,233 | ) | | | 320 | | | | (22,483 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 37,510 | | | | 1,318,026 | | | | 32,763 | | | | 873,594 | |
Reinvestment of distributions | | | 1,926 | | | | 71,313 | | | | 3,269 | | | | 97,847 | |
Shares redeemed | | | (36,996 | ) | | | (1,308,185 | ) | | | (341,975 | ) | | | (7,367,830 | ) |
| | | | 2,440 | | | | 81,154 | | | | (305,943 | ) | | | (6,396,389 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 8,763,616 | | | | 296,622,030 | | | | 3,162,038 | | | | 80,532,569 | |
Reinvestment of distributions | | | 247,212 | | | | 9,154,253 | | | | 366,333 | | | | 10,964,359 | |
Shares redeemed | | | (1,583,015 | ) | | | (55,340,703 | ) | | | (9,922,219 | ) | | | (233,723,879 | ) |
Shares redeemed in connection with in-kind transactions | | | (3,977,655 | ) | | | (145,620,000 | ) | | | (3,599,438 | ) | | | (92,360,000 | ) |
| | | | 3,450,158 | | | | 104,815,580 | | | | (9,993,286 | ) | | | (234,586,951 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 791,646 | | | | 27,401,422 | | | | 808,573 | | | | 21,143,747 | |
Reinvestment of distributions | | | 26,006 | | | | 963,249 | | | | 36,098 | | | | 1,080,769 | |
Shares redeemed | | | (166,433 | ) | | | (6,029,305 | ) | | | (1,132,969 | ) | | | (26,777,174 | ) |
| | | | 651,219 | | | | 22,335,366 | | | | (288,298 | ) | | | (4,552,658 | ) |
| | | | |
NET INCREASE/(DECREASE) | | | 4,250,754 | | | $ | 132,927,256 | | | | (10,969,390 | ) | | $ | (254,574,068 | ) |
53
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs International Tax-Managed Equity Fund and Goldman Sachs U.S. Tax-Managed Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs International Tax-Managed Equity Fund and Goldman Sachs U.S. Tax-Managed Equity Fund (two of the Funds constituting Goldman Sachs Trust, referred to hereafter as the “Funds”) as of December 31, 2021, the related statements of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations for the year then ended, the changes in their net assets for each of the two years in the period ended December 31, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs Funds complex since 2000.
54
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended December 31, 2021 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6 or Class P Shares of a 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), (if any); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Service 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, Service, Investor, Class R6 and Class P Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 01, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | International Tax-Managed Equity Fund | | | U.S. Tax-Managed Equity Fund | |
| Share Class | | Beginning
Account
Value
7/1/21 | | | Ending
Account
Value
12/31/21 | | | Expenses Paid
for the 6
months ended
12/31/2021* | | | Beginning
Account
Value
7/1/21 | | | Ending
Account
Value
12/31/21 | | | Expenses Paid
for the 6
months ended
12/31/2021* | |
| | | | | | | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,033.51 | | | $ | 6.25 | | | $ | 1,000.00 | | | $ | 1,103.18 | | | $ | 5.73 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.06 | + | | | 6.21 | | | | 1,000.00 | | | | 1,019.76 | + | | | 5.50 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,028.97 | | | | 10.02 | | | | 1,000.00 | | | | 1,099.05 | | | | 9.63 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,015.32 | + | | | 9.96 | | | | 1,000.00 | | | | 1,016.03 | + | | | 9.25 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,035.29 | | | | 4.62 | | | | 1,000.00 | | | | 1,105.13 | | | | 3.98 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.67 | + | | | 4.58 | | | | 1,000.00 | | | | 1,021.42 | + | | | 3.82 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,102.25 | | | | 6.62 | |
Hypothetical 5% return | | | 1,000.00 | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,018.90 | + | | | 6.36 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,035.17 | | | | 4.98 | | | | 1,000.00 | | | | 1,104.76 | | | | 4.40 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.32 | + | | | 4.94 | | | | 1,000.00 | | | | 1,021.02 | + | | | 4.23 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,035.65 | | | | 4.57 | | | | 1,000.00 | | | | 1,105.06 | | | | 3.93 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.72 | + | | | 4.53 | | | | 1,000.00 | | | | 1,021.48 | + | | | 3.77 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,034.76 | | | | 4.56 | | | | 1,000.00 | | | | 1,105.05 | | | | 3.93 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.72 | + | | | 4.53 | | | | 1,000.00 | | | | 1,021.48 | + | | | 3.77 | |
| + | | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A
Shares | | | Class C
Shares | | | Institutional
Shares | | | Service
Shares | | | Investor
Shares | | | Class R6
Shares | | | Class P
Shares | |
International Tax-Managed Equity Fund | | | 1.22 | % | | | 1.96 | % | | | 0.90 | % | | | N/A | | | | 0.97 | % | | | 0.89 | % | | | 0.89 | % |
U.S. Tax-Managed Equity Fund | | | 1.08 | | | | 1.82 | | | | 0.75 | | | | 1.25 | | | | 0.83 | | | | 0.74 | | | | 0.74 | |
55
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017 — present); Director of MoneyLion Inc. (an operator of a data drive, digital financial platform (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019- present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021- September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | | | | | | |
56
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con- Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
| | | | | | | | | | |
57
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other
Directorships
Held by Trustee4 |
| | | | | |
James A. McNamara Age: 59 | | President and Trustee | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018 — Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 39 portfolios (26 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs ETF Trust II and Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
58
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Positions Held
with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund |
| | | | | | |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Tax-Advantaged Equity Funds — Tax Information (Unaudited)
For the fiscal year ended December 31, 2021, 100% of the dividends paid from net investment company taxable income by the U.S. Tax-Managed Equity Fund qualifies for the dividends received deduction available to corporations.
For the fiscal year ended December 31, 2021, the International Tax-Managed Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Tax-Managed Equity Fund from sources within foreign countries and possessions of the United States was $0.3526 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the International Tax-Managed Equity Fund during the year from foreign sources was 90.97%. The total amount of taxes paid by the International Tax-Managed Equity Fund to such countries was $0.0339 per share.
For the fiscal year ended December 31, 2021, 79.37% and 100% of the dividends paid from net investment company taxable income by the International Tax-Managed Equity and U.S. Tax-Managed Equity Funds respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
59
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 $2.21 trillion in assets under supervision as of December 31, 2021, 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
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund4 |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Alternative Premia Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Global Infrastructure Fund |
| ∎ | | Clean Energy Income 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. |
FinancialSquare 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. |
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TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
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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 a 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 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.
Holdings and allocations shown are as of December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 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 (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2022 Goldman Sachs. All rights reserved. 268340-OTU-1555017 TAXADVAR-22
Goldman Sachs Funds
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| Annual Report | | | | December 31, 2021 |
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| | | | Tax-Advantaged Equity Funds II |
| | | | U.S. Equity Dividend and Premium |
| | | | International Equity Dividend and Premium |
Goldman Sachs Tax-Advantaged Equity Funds II
| ∎ | | U.S. EQUITY DIVIDEND AND PREMIUM |
| ∎ | | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM |
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
MARKET REVIEW
Goldman Sachs Tax-Advantaged Equity Funds II
Market Review
During the 12 months ended December 31, 2021 (the “Reporting Period”), the performance of the U.S. and international equity markets were influenced most by the distribution of COVID-19 vaccines, improving economic and employment conditions, rising inflation, higher interest rates, and continued fiscal stimulus and accommodative monetary policies from central banks and governments.
U.S. Equities
Representing the U.S. equity market, the S&P 500® Index returned 28.71% during the Reporting Period. The U.S. equity market rose in each of the four quarters of 2021, closing near its all-time high and posting its third consecutive year of double-digit gains.
In the first quarter of 2021, when the Reporting Period began, rising bond yields and a value-led equity market dominated. The two key drivers of this performance were the Democrat victory in Georgia in January, paving the way for massive additional U.S. fiscal stimulus and progress in the COVID-19 vaccine rollout. An increase in the 10-year U.S. Treasury yield benefited financials and value stocks. The accelerating rollout of COVID-19 vaccines boosted investors’ hopes of a sustainable reopening of the economy. Small-cap stocks, which tend to be more cyclical and domestically focused, performed particularly well. The passage of President Biden’s stimulus package led to upgrades in consensus forecasts for U.S. Gross Domestic Product (“GDP”) growth for the year. Some investors worried the size of the U.S. stimulus could provoke a pickup in inflation. However, despite upgrading its growth forecasts for the year and expecting unemployment to decline, the U.S. Federal Reserve (the “Fed”) did not believe inflation would be meaningfully above target and did not expect to raise interest rates before 2024.
Discussions throughout the second quarter of 2021 centered on the central bank liquidity tailwind, fiscal stimulus, COVID-19 vaccine progress, reopening momentum, strong corporate profits and robust equity inflows. While inflation concerns were fairly pervasive, the Fed remained consistent in its messaging around expectations that price pressures would be transitory. The peak inflation theme gained traction as the quarter progressed, even as economists suggested the transitory period may be longer than expected. Corporate earnings season brought a round of outsized beats over consensus estimates, along with corporate commentary highlighting some input pressure offset for companies with above-average pricing power or productivity initiatives. Despite a late-quarter agreement between the White House and a bipartisan group of Senators on the framework of a physical infrastructure package, the path to additional fiscal stimulus remained complicated.
The U.S. equity market increased only marginally in the third quarter of 2021, as measured by the S&P 500® Index. Other major U.S. equity indices posted negative returns for the quarter. In July and August, the second quarter’s rally continued, as the focus remained on easy financial conditions, accommodative monetary policy, pent-up consumer demand, positive earnings sentiment, resilient operating margins, corporate buybacks and retail inflows. Some economic indicators, including higher inflation and lower than consensus expected retail sales and manufacturing activity, were causes of concern among investors, though the market and the Fed remained largely optimistic. Sentiment deteriorated in September as the spread of the COVID-19 Delta variant dampened reopening momentum and the Fed signaled for a slowdown of asset purchases. A still complicated path to fiscal stimulus in the House of Representatives, the then-looming debt ceiling discussion, and global risk events, including supply-chain disruptions and input price pressures, all put a strain on the U.S. equity market. September also saw a global risk asset sell-off on the heels of Chinese real estate developers’ leverage concerns and a spike in energy prices. U.S. Treasury yields climbed, as the global bond market posted its weakest month since March 2020.
The U.S. equity market, as measured by the S&P 500® Index, then rose strongly, logging its best performing quarter in the fourth quarter of 2021 since the fourth quarter of 2020 on the heels of robust consumer spending, strong corporate earnings results and passage of the U.S. government’s infrastructure plan. There remained a few areas of concern still intact, including the Omicron variant of COVID-19, which emerged in late November, persistent inflation and supply-chain pressures, acceleration in the Fed’s asset purchase tapering, and the fate of the social spending bill in Congress. Strong corporate earnings in October propelled U.S. equities higher despite the overhanging supply-chain issues and persistently high inflation. More than 80% of the S&P 500® Index constituent companies reported upside surprises. The positive momentum continued into November, and the passage of the
infrastructure bill boosted market sentiment until the World Health Organization announced Omicron as a variant of concern given its potentially heightened transmissibility. Increased case counts around the world and travel restrictions added pressure to the
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MARKET REVIEW
equities markets globally. Moreover, the fate of the social spending bill was punted into 2022. However, in December, studies showed the Omicron variant tends to cause less severe symptoms. The Fed also announced an accelerated timeline for tapering its asset purchases, doubling its pace from a decrease of $15 billion a month in corporate debt purchases to a decrease of $30 billion a month. The U.S. equity market rallied in December on positive seasonality and improved sentiment, closing the year on a high note. On the economic data front, inflation remained high in the fourth quarter, though the “peak inflation” narrative gained traction with cooler consumer confidence and manufacturing readings.
For the Reporting Period overall, all 11 sectors in the S&P 500® Index posted double-digit positive absolute returns. Energy, real estate and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index during the Reporting Period were utilities, consumer staples and industrials.
Within the U.S. equity market, all capitalization segments posted positive returns, led by large-cap stocks, as measured by the Russell 1000® Index, followed by mid-cap stocks, as measured by the Russell Midcap® Index, and then small-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks modestly outperformed value stocks in the large-cap segment of the U.S. equity market during the Reporting Period, but value stocks significantly outperformed growth stocks in the mid- and small-cap segments during the same time frame. (All as measured by the FTSE Russell indices.)
International Equities
International equities rallied, but underperformed the U.S. equity market, during the Reporting Period. The MSCI Europe, Australasia, Far East (EAFE) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posted a return of 11.26%.1
International equity markets overcame bouts of volatility during the first quarter of 2021 to surge to new highs during March, driven by two key themes — the accelerating rollout of the COVID-19 vaccines globally and the ongoing commitment from central banks around the world to support the economic recovery. Accelerating GDP growth, normalizing inflation and steepening yield curves laid the foundation for the “reflation trade,” as investors started to price in a brighter future. (Reflation is the inflation that typically comes immediately after a low-point in the economic cycle—often after economic stimulus, and the reflation trade is the purchase of specific stocks or sectors believed to outperform in that type of environment.) Markets took a sharp turn away from momentum stocks and favored cyclical sectors, many of which tend to be more value oriented. European equities were less impacted by inflation fears, as reopening progress pushed travel and leisure stocks higher, and U.K. equities were additionally buoyed by gains in energy prices. Markets welcomed the European Central Bank’s (“ECB”) decision to increase the pace of its Pandemic Emergency Purchase Programme (“PEPP”) asset purchases in response to the bond sell-off there. Markets also overcame pressure as AstraZeneca vaccine safety concerns and new local lockdown measures in France dampened near-term recovery prospects. March’s Euro-area Manufacturing Purchasing Managers Index posted a historical high. Japanese equities rose during the quarter, rallying on the back of a sharp rotation from growth to value stocks. Investor sentiment was also supported by the consistent weakness of the yen against the U.S. dollar and the rally in U.S. equities.
The rotation from growth to value stocks took a breather in April 2021, with growth stocks outperforming their value counterparts. Starting in May 2021, equity markets across the world were impacted by rising commodity prices, which stoked fears of earlier than consensus expected interest rate hikes from central banks, particularly the U.S. Fed. In June, international equities rallied following a weaker than consensus expected U.S. payrolls report that eased concerns of a shift to tighter monetary policy. Overall, discussions during the quarter centered on central bank liquidity tailwinds, fiscal stimulus, COVID-19 vaccine progress, economic reopening momentum, strong corporate profits and robust equity inflows. While inflation concerns were fairly pervasive, the Fed remained consistent in its messaging around expectations that price pressures would be transitory. European equities advanced for the fifth straight quarter amid a sharp rebound in economic growth, an accelerating COVID-19 vaccine rollout and significantly better than consensus expected first quarter 2021 corporate earnings. Cyclical stocks generated the best returns, although sector performance was broadly positive. The ECB maintained its accommodative monetary policy stance, while also upgrading its GDP growth forecast and raising its inflation forecast for both 2021 and 2022. In the U.K., the Bank of England (“BOE”) raised its economic growth forecast for 2021 and tapered its pace of asset purchases. In Japan, state of emergency measures following a third
| 1 | | All index returns are expressed in U.S. dollar terms. |
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MARKET REVIEW
wave of COVID-19 cases that had begun in March 2021 and slowing COVID-19 vaccine rollouts weighed on investor sentiment for the majority of the second calendar quarter. However, the Japanese equity market rallied strongly during the first half of June, likely driven by the increased pace of inoculations. This exuberance was short-lived, however, as the direction of the Japanese equity market again turned sharply down in the middle of June in step with the U.S. equity markets.
International equities fell during the third quarter of 2021 for the first time in six quarters. During the first half of the quarter, the international equity markets delivered strong returns, continuing the trend from the second calendar quarter along with an additional focus on positive corporate earnings as well as accommodative monetary policies. Pandemic-related pressures appeared to be easing, and economic activity appeared to be increasing. However, the markets receded in the second half of the third calendar quarter, primarily due to the Fed’s announcements around tapering of monthly asset purchase plans but also due to heightened worries around an increase in interest rates, global supply-chain concerns, COVID-19 Delta variant cases and China’s government regulations on Chinese technology stocks. Then, a debt crisis at one of China’s largest property developers destabilized markets. All that said, European equities advanced for the sixth straight quarter, as risk sentiment was bolstered by robust corporate earnings, solid economic growth and an accommodative policy environment. The ECB signaled it would maintain interest rates at record lows for a longer period to support the economic recovery and unveiled a new flexible inflation policy framework. In the U.K., the BOE left monetary policy unchanged but signaled it was moving closer to raising its interest rates. Japanese equities also advanced during the quarter, rebounding largely on the Tokyo Olympics that began in July 2021 and on the election of Fumio Kishida to be the nation’s next prime minister. Prime Minister Kishida was widely expected to compile a sizable fiscal package to shore up the Japanese economy. Bringing the MSCI EAFE Index into negative territory for the quarter were the equity markets of Germany and the Pacific Basin ex-Japan, which declined.
Many of the concerns that dominated the international equity markets in September 2021 ebbed somewhat in October, and the MSCI EAFE Index returned to positive territory, supported in Europe and the U.K. particularly by favorable third calendar quarter corporate earnings reports. The Japanese equity market declined in October as investors digested the prospects of new prime minister Kishida ahead of the general election that took place on October 31. Global news flow was generally negative in the first half of October, especially from China, but the sustained strength of U.S. equity markets provided some support for Japan. Equity markets in the Pacific Basin ex-Japan rose, rallying on both positive corporate earnings guidance and an ongoing decline in the number of new COVID-19 cases in many countries in the region. However, shares were weaker toward the end of the month with ongoing concerns around rising energy prices, higher inflation and ongoing tensions between the U.S. and China weighing on investment sentiment.
International equities then gave back its returns after a strong October, with the MSCI EAFE Index delivering a negative return in November 2021. The markets suffered over fears of the new Omicron variant of COVID-19 weighing on sentiment, led by Europe, which saw rising COVID-19 hospitalizations and varied restrictions. The emergence of the potentially more transmissible Omicron variant triggered a sell-off among global risk assets on the day after the U.S.’ Thanksgiving, as investors fled to safety. Travel restrictions were re-imposed to curtail the spread of the new variant, while lockdown measures in Europe amid rising cases and deaths sought to have the same effect. Persistently high inflation weighed on market sentiment as well. Japan’s equities underperformed the MSCI EAFE Index due both to inflation and supply-chain issues as well as to concerns round the spread of the new COVID-19 variant—the same narrative that affected their global counterparts. Following the sell-off in November, international equities saw a strong rebound in December 2021, as the initial scare of the Omicron variant dissipated. Studies of the variant showed that while it may be more contagious than other variants, it was likely not as severe as initially feared, with a smaller share of infections resulting in hospitalizations. This led to an improvement in investor sentiment, as widespread major restrictions became less likely. Value stocks outperformed growth stocks in December, which benefited international equities, due to their relatively high value/cyclical exposures.
For the Reporting Period overall, 10 of the 11 sectors of the MSCI EAFE Index gained, with energy leading the way, followed by information technology and financials. Communication services was the weakest performer on the basis of total return during the Reporting Period, followed by utilities and real estate.
From a country perspective, Austria was by far the strongest individual country constituent in the MSCI EAFE Index on a relative basis during the Reporting Period, followed by the Netherlands, Sweden, Norway and France. New Zealand and Hong Kong most
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MARKET REVIEW
significantly lagged the MSCI EAFE Index on a relative basis during the Reporting Period, each generating a negative total return. Portugal, Spain and Japan each posted a positive total return but also significantly underperformed the MSCI EAFE Index during the Reporting Period.
Looking Ahead
In the months ahead, we expect less expensive stocks to outpace more expensive stocks. We also believe that stocks with good momentum are likely to outperform those with poor momentum. Our plan is to seek profitable companies with positive fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. To that end, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide potentially strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
4
PORTFOLIO RESULTS
U.S. Equity Dividend and Premium Fund
Investment Objective
The Fund seeks to maximize income and total return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 22.42%, 21.48%, 22.82%, 22.78%, 22.85% and 22.93%, respectively. These returns compare to the 28.71% average annual total return of the Fund’s primary benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the same period. The Bloomberg U.S. Aggregate Bond Index, the secondary benchmark, returned -1.54%. |
| | | Although the Fund does not invest in fixed income securities, maximizing income is part of the Fund’s investment objective, and therefore we believe that a comparison of the Fund’s performance to that of the Bloomberg U.S. Aggregate Bond Index is useful to investors. |
Q What key factors were most responsible for the Fund’s performance during the Reporting Period?
| A | | During the Reporting Period, security selection detracted from the Fund’s relative returns. In particular, the Fund was hurt by its bias toward stocks with higher dividend yields. On a sector level, investments in materials, health care and communication services had a negative impact on relative performance. The Fund benefited somewhat from stock selection in the consumer discretionary and energy sectors. |
| | | The sale of call options on the S&P 500® Index detracted from the Fund’s total return during the Reporting Period. A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date. |
| Q | | How did the Fund’s call writing affect its performance? |
| A | | Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. When the Fund sells an index call option, it retains the premium it receives from the sale. However, if the purchaser exercises the option, the Fund is obligated to pay the purchaser the difference between the price of the index and the exercise price of the option. Although the Fund retains the premium it receives from the sale of the option, the premium may not exceed the difference in the value of the index as call options are exercised. This is what happened during the Reporting Period when the S&P 500® Index appreciated, and thus the Fund’s call writing detracted from performance. |
| | | Call option writing has the potential to reduce Fund volatility. Since its inception, the realized daily volatility of the Fund has been 18.25% compared to the realized volatility of the S&P 500® Index of 19.60%. During the Reporting Period, the realized daily volatility of the Fund was 10.17% compared to the realized volatility of the S&P 500® Index of 12.99%.1 |
| Q | | What was the Fund’s dividend yield during the Reporting Period? |
| A | | While maintaining industry and sector weights consistent with the S&P 500® Index, we favor stocks with higher dividend yields. The dividend yield of the Fund’s |
| | 1 | | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations. |
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PORTFOLIO RESULTS
| | Institutional Share class during the Reporting Period was 1.88% compared to 1.30% for the S&P 500® Index. (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) The Fund’s dividend yield served to enhance its quarterly net income distributions. As of December 31, 2021, the Standardized 30-Day Subsidized Yield was 1.18% and the Standardized 30-Day Unsubsidized Yield was 1.19%.2 |
| Q | | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
| A | | Relative to the S&P 500® Index, the Fund was hurt by its overweight positions in medical device maker Medtronic and telecommunications companies AT&T and Verizon Communications. The Fund was overweight all three stocks primarily due to their attractive dividend yields and/or risk metrics. |
| Q | | Which individual stock holdings contributed most positively to the Fund’s relative results? |
| A | | The Fund benefited from its overweight positions versus the S&P 500® Index in Pfizer, a pharmaceutical and biotechnology company, and PacWest Bancorp, a bank holding company. Lack of exposure to Global Payments also bolstered relative performance. The Fund was overweight Pfizer and PacWest Bancorp mainly because of their attractive dividend yields and/or risk metrics. The Fund’s avoidance of Global Payments was largely because of its unattractive dividend yield and/or risk metrics. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. Consistent with our investment approach, we also wrote equity index options on a portion of the portfolio’s market value in an effort to generate premiums. Equity index options had a negative impact on performance during the Reporting Period. |
| Q | | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
| A | | We made no changes to our quantitative model during the Reporting Period. |
| | 2 | | The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations |
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FUND BASICS
U.S. Equity Dividend and Premium Fund
as of December 31, 2021
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| | TOP TEN HOLDINGS AS OF 12/31/211 |
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| | | Holding | | % of Net Assets | | | Line of Business |
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| | Apple, Inc. | | | 7.3 | % | | Technology Hardware & Equipment |
| | Microsoft Corp. | | | 6.3 | | | Software & Services |
| | Amazon.com, Inc. | | | 3.8 | | | Retailing |
| | Alphabet, Inc. Class A | | | 2.7 | | | Media & Entertainment |
| | Tesla, Inc. | | | 2.3 | | | Automobiles & Components |
| | Meta Platforms, Inc. Class A | | | 2.1 | | | Media & Entertainment |
| | NVIDIA Corp. | | | 2.0 | | | Semiconductors & Semiconductor Equipment |
| | Pfizer, Inc. | | | 1.8 | | | Pharmaceuticals, Biotechnology & Life Sciences |
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| | Home Depot, Inc. (The) | | | 1.6 | | | Retailing |
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| | | JPMorgan Chase & Co. | | | 1.4 | | | Banks |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
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| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
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| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and other investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
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GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s primary and secondary benchmarks, the S&P 500® Index and the Bloomberg U.S. Aggregate Bond Index, respectively, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
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| U.S. Equity Dividend and Premium Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
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| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
Class A | | | | | | | | | | | | | | |
Excluding sales charges | | | 22.42% | | | | 13.19% | | | | 12.50% | | | — |
Including sales charges | | | 15.66% | | | | 11.91% | | | | 11.86% | | | — |
|
Class C | | | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 21.48% | | | | 12.35% | | | | 11.66% | | | — |
Including contingent deferred sales charges | | | 20.43% | | | | 12.35% | | | | 11.66% | | | — |
|
Institutional | | | 22.82% | | | | 13.63% | | | | 12.93% | | | — |
|
Investor | | | 22.78% | | | | 13.49% | | | | 12.78% | | | — |
|
Class R6 (Commenced April 30, 2018) | | | 22.85% | | | | N/A | | | | N/A | | | 14.98% |
|
Class P (Commenced April 17, 2018) | | | 22.93% | | | | N/A | | | | N/A | | | 14.18% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
8
PORTFOLIO RESULTS
International Equity Dividend and Premium Fund
Investment Objective
The Fund seeks to maximize total return with an emphasis on income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2021 (the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R6 and Class P Shares generated average annual total returns, without sales charges, of 8.94%, 8.22%, 9.38%, 9.15%, 9.38% and 9.37%, respectively. These returns compare to the 11.26% average annual total return of the Fund’s primary benchmark, the MSCI EAFE Index (Net, USD, Unhedged) (“MSCI EAFE Index”). The Bloomberg Global Aggregate Bond Index (Gross, USD, Unhedged), the secondary benchmark, returned -4.71%. |
| | | Although the Fund does not invest in fixed income securities, maximizing income is part of the Fund’s investment objective, and therefore we believe that a comparison of the Fund’s performance to that of the Bloomberg Global Aggregate Bond Index is useful to investors. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | Stock selection detracted from the Fund’s relative performance during the Reporting Period. Specifically, the Fund’s bias toward stocks with higher dividend yields had a negative impact on results. On a sector level, the Fund was hurt by security selection in materials, energy and consumer discretionary. Investments in the information technology, communication services and utilities sectors contributed positively to relative returns. |
| | | The sale of call options on the MSCI EAFE Index detracted from the Fund’s total return during the Reporting Period. A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date. |
| Q | | How did the Fund’s call writing affect its performance? |
| A | | Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. When the Fund sells an index call option, it retains the premium it receives from the sale. However, if the purchaser exercises the option, the Fund is obligated to pay the purchaser the difference between the price of the index and the exercise price of the option. While the Fund retains the premium it receives from the sale of the option, the premium may not exceed the difference in the value of the index as call options are exercised. This is what happened during the Reporting Period when the MSCI EAFE Index appreciated, and thus the Fund’s call writing detracted from performance. |
| | | Call option writing has the potential to reduce Fund volatility. However, since its inception, the realized daily volatility of the Fund has been 20.11% compared to the realized volatility of the MSCI EAFE Index of 18.26%. During the Reporting Period, the realized daily volatility of the Fund was 11.10% compared to the realized volatility of the MSCI EAFE Index of 11.61%.1 |
| Q | | What was the Fund’s dividend yield during the Reporting Period? |
| A | | While maintaining industry and sector weights consistent with the MSCI EAFE Index, we favor stocks with higher dividend yields. The dividend yield of the Fund’s Institutional Share class during the Reporting Period was 3.91% compared to 2.57% for the MSCI EAFE Index. (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) |
| | 1 | | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations. |
9
PORTFOLIO RESULTS
| | The Fund’s dividend yield served to enhance its quarterly net income distributions. As of December 31, 2021, the Standardized 30-Day Subsidized Yield was 2.59% and the Standardized 30-Day Unsubsidized Yield was 2.92%.2 |
| Q | | Which individual stock holdings detracted significantly from relative performance? |
| A | | Compared to the MSCI EAFE Index, the Fund was hampered by its overweight positions in Australian investment manager Magellan Financial Group, Spanish electric utility Endesa and Japan-based auto auction company USS Co. The Fund was overweight all three stocks primarily because of their attractive dividend yield and/or risk metrics. |
| Q | | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from overweight positions compared to the Index in Nordea Bank, a Finland-based financial services group; Tokyo Electron, a Japanese electronics and semiconductor company; and Partners Group Holding, a Switzerland-based global private equity firm. We chose to overweight all three stocks largely because of their attractive dividend yields and/or risk metrics. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. Consistent with our investment approach, we also wrote equity index options on a portion of the portfolio’s market value in an effort to generate premiums. Equity index options had a negative impact on performance during the Reporting Period. |
| Q | | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
| A | | We made no changes to our quantitative model during the Reporting Period. |
| | 2 | | The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations. |
10
FUND BASICS
International Equity Dividend and Premium Fund
as of December 31, 2021
| | | | | | | | | | |
| | TOP TEN HOLDINGS AS OF 12/31/211 | | |
| | | | |
| | | Company | | % of Net Assets | | | Line of Business | | Country |
| | | | |
| | Nestle SA (Registered) | | | 2.9 | % | | Food, Beverage & Tobacco | | Switzerland |
| | ASML Holding NV | | | 2.4 | | | Semiconductors & Semiconductor Equipment | | Netherlands |
| | Toyota Motor Corp. | | | 1.8 | | | Automobiles & Components | | Japan |
| | Nordea Bank Abp | | | 1.8 | | | Banks | | Finland |
| | LVMH Moet Hennessy Louis Vuitton SE | | | 1.8 | | | Consumer Durables & Apparel | | France |
| | GlaxoSmithKline plc ADR | | | 1.7 | | | Pharmaceuticals, Biotechnology & Life Sciences | | United Kingdom |
| | Roche Holding AG | | | 1.7 | | | Pharmaceuticals, Biotechnology & Life Sciences | | Switzerland |
| | Zurich Insurance Group AG | | | 1.6 | | | Insurance | | Switzerland |
| | National Australia Bank Ltd. | | | 1.4 | | | Banks | | Australia |
| | | Rio Tinto plc ADR | | | 1.4 | | | Materials | | Australia |
| 1 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
|
| As of December 31, 2021 |
| 2 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
11
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2021
The following graph shows the value as of December 31, 2021, of a $1,000,000 investment made on January 1, 2012 in Investor Shares at NAV. For comparative purposes, the performance of the Fund’s primary and secondary benchmarks, the MSCI EAFE Index (Net, USD, Unhedged) and the Bloomberg Global Aggregate Bond Index (Gross, USD, Unhedged), respectively, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
|
| International Equity Dividend and Premium Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2012 through December 31, 2021.
| | | | | | | | | | | | | | |
| Average Annual Total Return through December 31, 2021* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
Class A | | | | | | | | | | | | | | |
Excluding sales charges | | | 8.94% | | | | 6.11% | | | | 4.91% | | | — |
Including sales charges | | | 2.91% | | | | 4.93% | | | | 4.33% | | | — |
|
Class C | | | | | | | | | | | | | | |
Excluding contingent deferred sales charges | | | 8.22% | | | | 5.33% | | | | 4.12% | | | — |
Including contingent deferred sales charges | | | 7.20% | | | | 5.33% | | | | 4.12% | | | — |
|
Institutional | | | 9.38% | | | | 6.49% | | | | 5.30% | | | — |
|
Investor | | | 9.15% | | | | 6.35% | | | | 5.14% | | | — |
|
Class R6 (Commenced April 30, 2018) | | | 9.38% | | | | N/A | | | | N/A | | | 2.74% |
|
Class P (Commenced April 17, 2018) | | | 9.37% | | | | N/A | | | | N/A | | | 2.35% |
|
| * | | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
12
FUND BASICS
Index Definitions
The S&P 500® Index is an unmanaged composite index of 500 common stock prices. The Index figures do not include any deduction for fees, expenses or taxes.
The Bloomberg U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes.
The MSCI EAFE Index (net, USD, unhedged) is an unmanaged market capitalization weighted composite of securities in 21 developed markets. The Index figures do not include any deduction for fees or expenses.
The Bloomberg Global Aggregate Bond Index (gross, USD, unhedged) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes.
The Russell 3000® Index is an unmanaged index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. Index figures do not reflect any deduction for fees, expenses or taxes.
Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. The Russell 1000® Index is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market. The Russell 1000® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. The Russell Midcap® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 31% of the total market capitalization of the Russell 1000® Index companies. The Russell Midcap® Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Russell Midcap® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set.
Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
It is not possible to invest directly in an unmanaged index.
13
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – 101.7% | |
| Automobiles & Components – 2.6% | | | |
| | 49,100 | | | Autoliv, Inc. | | $ | 5,077,431 | |
| | 58,819 | | | Gentex Corp. | | | 2,049,842 | |
| | 6,000 | | | Lear Corp. | | | 1,097,700 | |
| | 12,300 | | | QuantumScape Corp.* | | | 272,937 | |
| | 68,840 | | | Tesla, Inc.* | | | 72,748,735 | |
| | | | | | | | |
| | | | | | | 81,246,645 | |
| | |
| Banks – 4.3% | | | |
| | 114,200 | | | Bank of America Corp. | | | 5,080,758 | |
| | 16,600 | | | Credicorp Ltd. | | | 2,026,362 | |
| | 240,200 | | | First Horizon Corp. | | | 3,922,466 | |
| | 177,300 | | | FNB Corp. | | | 2,150,649 | |
| | 1,012,100 | | | Huntington Bancshares, Inc. | | | 15,606,582 | |
| | 269,929 | | | JPMorgan Chase & Co.(a)(b) | | | 42,743,257 | |
| | 31,699 | | | New York Community Bancorp, Inc.(b) | | | 387,045 | |
| | 148,700 | | | PacWest Bancorp | | | 6,716,779 | |
| | 939,299 | | | People’s United Financial, Inc.(b) | | | 16,738,308 | |
| | 37,300 | | | PNC Financial Services Group, Inc. (The) | | | 7,479,396 | |
| | 222,600 | | | Truist Financial Corp. | | | 13,033,230 | |
| | 416,600 | | | Umpqua Holdings Corp. | | | 8,015,384 | |
| | 96,800 | | | US Bancorp | | | 5,437,256 | |
| | 145,000 | | | Wells Fargo & Co. | | | 6,957,100 | |
| | | | | | | | |
| | | | | | | 136,294,572 | |
| | |
| Capital Goods – 5.9% | | | |
| | 126,668 | | | 3M Co. | | | 22,500,037 | |
| | 73,387 | | | Caterpillar, Inc. | | | 15,172,028 | |
| | 865 | | | Crane Co. | | | 87,996 | |
| | 38,462 | | | Cummins, Inc. | | | 8,390,101 | |
| | 83,662 | | | Eaton Corp. plc | | | 14,458,467 | |
| | 82,661 | | | Emerson Electric Co. | | | 7,684,993 | |
| | 126,498 | | | Fastenal Co. | | | 8,103,462 | |
| | 71,124 | | | Honeywell International, Inc. | | | 14,830,065 | |
| | 14,822 | | | Hubbell, Inc. | | | 3,086,978 | |
| | 72,450 | | | Illinois Tool Works, Inc. | | | 17,880,660 | |
| | 82,734 | | | Lockheed Martin Corp. | | | 29,404,491 | |
| | 84,100 | | | MSC Industrial Direct Co., Inc. Class A | | | 7,069,446 | |
| | 7,943 | | | nVent Electric plc | | | 301,834 | |
| | 23,800 | | | Plug Power, Inc.* | | | 671,874 | |
| | 272,430 | | | Raytheon Technologies Corp. | | | 23,445,326 | |
| | 30,300 | | | Sunrun, Inc.* | | | 1,039,290 | |
| | 9,652 | | | Timken Co. (The) | | | 668,787 | |
| | 4,900 | | | Virgin Galactic Holdings, Inc.* | | | 65,562 | |
| | 27,699 | | | Watsco, Inc. | | | 8,666,463 | |
| | | | | | | | |
| | | | | | | 183,527,860 | |
| | |
| Commercial & Professional Services – 0.0% | | | |
| | 16,200 | | | ManpowerGroup, Inc. | | | 1,576,746 | |
| | |
| Consumer Durables & Apparel – 1.1% | |
| | 2,433 | | | Capri Holdings Ltd.* | | | 157,926 | |
| | 2,600 | | | Deckers Outdoor Corp.* | | | 952,406 | |
| | 41,103 | | | Garmin Ltd. | | | 5,596,741 | |
| | 6,827 | | | Lennar Corp. Class B | | | 652,798 | |
| | |
|
| Common Stocks – (continued) | |
| Consumer Durables & Apparel – (continued) | |
| | 1,037 | | | Lululemon Athletica, Inc.* | | | 405,933 | |
| | 124,000 | | | NIKE, Inc. Class B | | | 20,667,080 | |
| | 5,200 | | | Peloton Interactive, Inc. Class A* | | | 185,952 | |
| | 2,000 | | | Skechers USA, Inc. Class A* | | | 86,800 | |
| | 21,676 | | | Tempur Sealy International, Inc. | | | 1,019,422 | |
| | 45,420 | | | Toll Brothers, Inc. | | | 3,287,954 | |
| | 1,700 | | | TopBuild Corp.* | | | 469,047 | |
| | | | | | | | |
| | | | | | | 33,482,059 | |
| | |
| Consumer Services – 0.9% | | | |
| | 11,871 | | | Aramark | | | 437,446 | |
| | 7,800 | | | Bright Horizons Family Solutions, Inc.* | | | 981,864 | |
| | 7,900 | | | Chegg, Inc.* | | | 242,530 | |
| | 3,627 | | | Choice Hotels International, Inc. | | | 565,776 | |
| | 181,100 | | | H&R Block, Inc. | | | 4,266,716 | |
| | 11,719 | | | Hyatt Hotels Corp. Class A* | | | 1,123,852 | |
| | 46,000 | | | Mister Car Wash, Inc.* | | | 837,660 | |
| | 15,465 | | | Planet Fitness, Inc. Class A* | | | 1,400,820 | |
| | 30,800 | | | Six Flags Entertainment Corp.* | | | 1,311,464 | |
| | 93,400 | | | Starbucks Corp. | | | 10,924,998 | |
| | 68,700 | | | Travel + Leisure Co. | | | 3,797,049 | |
| | 14,277 | | | Wendy’s Co. (The) | | | 340,506 | |
| | 14,043 | | | Wyndham Hotels & Resorts, Inc. | | | 1,258,955 | |
| | | | | | | | |
| | | | | | | 27,489,636 | |
| | |
| Diversified Financials – 3.8% | | | |
| | 65,098 | | | Ally Financial, Inc. | | | 3,099,316 | |
| | 61,260 | | | American Express Co. | | | 10,022,136 | |
| | 113,900 | | | Apollo Global Management, Inc. | | | 8,249,777 | |
| | 107,300 | | | Ares Management Corp. | | | 8,720,271 | |
| | 66,126 | | | Berkshire Hathaway, Inc. Class B* | | | 19,771,674 | |
| | 13,500 | | | BlackRock, Inc. | | | 12,360,060 | |
| | 28,900 | | | Carlyle Group, Inc. (The) | | | 1,586,610 | |
| | 138,200 | | | Equitable Holdings, Inc. | | | 4,531,578 | |
| | 227,800 | | | Franklin Resources, Inc. | | | 7,629,022 | |
| | 79,100 | | | Janus Henderson Group plc | | | 3,317,454 | |
| | 5,800 | | | Jefferies Financial Group, Inc. | | | 225,040 | |
| | 222,164 | | | Morgan Stanley | | | 21,807,618 | |
| | 18,800 | | | OneMain Holdings, Inc. | | | 940,752 | |
| | 23,300 | | | Santander Consumer USA Holdings, Inc. | | | 979,066 | |
| | 65,200 | | | T. Rowe Price Group, Inc. | | | 12,820,928 | |
| | 1,300 | | | Upstart Holdings, Inc.* | | | 196,690 | |
| | 120,000 | | | Virtu Financial, Inc. Class A | | | 3,459,600 | |
| | | | | | | | |
| | | | | | | 119,717,592 | |
| | |
| Energy – 1.9% | | | |
| | 237,098 | | | Chevron Corp. | | | 27,823,450 | |
| | 111,000 | | | ConocoPhillips | | | 8,011,980 | |
| | 395,119 | | | Exxon Mobil Corp.(b) | | | 24,177,332 | |
| | | | | | | | |
| | | | | | | 60,012,762 | |
| | |
| Food & Staples Retailing – 0.5% | | | |
| | 222,000 | | | Walgreens Boots Alliance, Inc. | | | 11,579,520 | |
| | 38,141 | | | Walmart, Inc. | | | 5,518,621 | |
| | | | | | | | |
| | | | | | | 17,098,141 | |
| | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Food, Beverage & Tobacco – 3.5% | | | |
| | 572,400 | | | Coca-Cola Co. (The)(a) | | $ | 33,891,804 | |
| | 86,800 | | | Coca-Cola Europacific Partners plc | | | 4,854,724 | |
| | 93,600 | | | Flowers Foods, Inc. | | | 2,571,192 | |
| | 144,834 | | | General Mills, Inc. | | | 9,758,915 | |
| | 6,100 | | | Keurig Dr Pepper, Inc. | | | 224,846 | |
| | 282,100 | | | Kraft Heinz Co. (The) | | | 10,127,390 | |
| | 151,782 | | | PepsiCo, Inc. | | | 26,366,051 | |
| | 223,154 | | | Philip Morris International, Inc. | | | 21,199,630 | |
| | | | | | | | |
| | | | | | | 108,994,552 | |
| | |
| Health Care Equipment & Services – 5.2% | | | |
| | 154,142 | | | Abbott Laboratories | | | 21,693,945 | |
| | 8,000 | | | Align Technology, Inc.* | | | 5,257,440 | |
| | 18,679 | | | Anthem, Inc. | | | 8,658,464 | |
| | 162,600 | | | Cardinal Health, Inc. | | | 8,372,274 | |
| | 43,300 | | | Cigna Corp. | | | 9,942,979 | |
| | 125,878 | | | CVS Health Corp. | | | 12,985,574 | |
| | 8,800 | | | DexCom, Inc.* | | | 4,725,160 | |
| | 8,500 | | | Insulet Corp.* | | | 2,261,595 | |
| | 17,400 | | | Intuitive Surgical, Inc.* | | | 6,251,820 | |
| | 273,653 | | | Medtronic plc | | | 28,309,403 | |
| | 3,000 | | | Novocure Ltd.* | | | 225,240 | |
| | 3,241 | | | Penumbra, Inc.* | | | 931,204 | |
| | 56,740 | | | Stryker Corp. | | | 15,173,411 | |
| | 700 | | | Tandem Diabetes Care, Inc.* | | | 105,364 | |
| | 78,177 | | | UnitedHealth Group, Inc.(a) | | | 39,255,799 | |
| | | | | | | | |
| | | | | | | 164,149,672 | |
| | |
| Household & Personal Products – 1.5% | | | |
| | 97,998 | | | Kimberly-Clark Corp. | | | 14,005,874 | |
| | 195,798 | | | Procter & Gamble Co. (The)(a) | | | 32,028,637 | |
| | 11,000 | | | Reynolds Consumer Products, Inc. | | | 345,400 | |
| | | | | | | | |
| | | | | | | 46,379,911 | |
| | |
| Insurance – 2.6% | | | |
| | 13,100 | | | Axis Capital Holdings Ltd. | | | 713,557 | |
| | 21,400 | | | CNA Financial Corp. | | | 943,312 | |
| | 1,800 | | | Erie Indemnity Co. Class A | | | 346,788 | |
| | 144,400 | | | Fidelity National Financial, Inc. | | | 7,534,792 | |
| | 42,800 | | | First American Financial Corp. | | | 3,348,244 | |
| | 221,899 | | | Mercury General Corp. | | | 11,773,961 | |
| | 570,806 | | | Old Republic International Corp. | | | 14,030,411 | |
| | 152,399 | | | Principal Financial Group, Inc. | | | 11,023,020 | |
| | 245,100 | | | Prudential Financial, Inc. | | | 26,529,624 | |
| | 164,400 | | | Unum Group | | | 4,039,308 | |
| | | | | | | | |
| | | | | | | 80,283,017 | |
| | |
| Materials – 3.2% | | | |
| | 55,126 | | | Air Products and Chemicals, Inc. | | | 16,772,637 | |
| | 875,000 | | | Amcor plc | | | 10,508,750 | |
| | 2,203 | | | Ashland Global Holdings, Inc. | | | 237,022 | |
| | 258,000 | | | Huntsman Corp. | | | 8,999,040 | |
| | 49,700 | | | International Flavors & Fragrances, Inc. | | | 7,487,305 | |
| | 204,999 | | | International Paper Co. | | | 9,630,853 | |
| | 58,119 | | | Linde plc | | | 20,134,165 | |
| | |
|
| Common Stocks – (continued) | |
| Materials – (continued) | | | |
| | 63,280 | | | Newmont Corp. | | | 3,924,626 | |
| | 35,000 | | | Packaging Corp. of America | | | 4,765,250 | |
| | 1,599 | | | Reliance Steel & Aluminum Co. | | | 259,390 | |
| | 24,900 | | | Sonoco Products Co. | | | 1,441,461 | |
| | 243,100 | | | Southern Copper Corp. | | | 15,001,701 | |
| | 36,303 | | | Steel Dynamics, Inc. | | | 2,253,327 | |
| | 18,636 | | | Sylvamo Corp.* | | | 519,758 | |
| | | | | | | | |
| | | | | | | 101,935,285 | |
| | |
| Media & Entertainment – 8.5% | | | |
| | 29,168 | | | Alphabet, Inc. Class A*(a) | | | 84,500,863 | |
| | 12,466 | | | Alphabet, Inc. Class C*(a) | | | 36,071,493 | |
| | 344,619 | | | Comcast Corp. Class A | | | 17,344,674 | |
| | 277,202 | | | Interpublic Group of Cos., Inc. (The) | | | 10,381,310 | |
| | 191,894 | | | Meta Platforms, Inc. Class A* | | | 64,543,547 | |
| | 29,923 | | | Netflix, Inc.* | | | 18,026,812 | |
| | 176,900 | | | Omnicom Group, Inc. | | | 12,961,463 | |
| | 30,800 | | | Pinterest, Inc. Class A* | | | 1,119,580 | |
| | 928 | | | Roku, Inc.* | | | 211,770 | |
| | 64,900 | | | Skillz, Inc.* | | | 482,856 | |
| | 27,300 | | | Snap, Inc. Class A* | | | 1,283,919 | |
| | 125,050 | | | Walt Disney Co. (The)* | | | 19,368,994 | |
| | | | | | | | |
| | | | | | | 266,297,281 | |
| | |
| Pharmaceuticals, Biotechnology & Life Sciences – 8.3% | | | |
| | 8,500 | | | 10X Genomics, Inc. Class A* | | | 1,266,160 | |
| | 279,286 | | | AbbVie, Inc.(a) | | | 37,815,325 | |
| | 21,300 | | | Adaptive Biotechnologies Corp.* | | | 597,678 | |
| | 845 | | | Alnylam Pharmaceuticals, Inc.* | | | 143,295 | |
| | 49,202 | | | Amgen, Inc. | | | 11,068,974 | |
| | 355,801 | | | Bristol-Myers Squibb Co.(a) | | | 22,184,192 | |
| | 15,600 | | | Danaher Corp. | | | 5,132,556 | |
| | 56,878 | | | Eli Lilly & Co. | | | 15,710,841 | |
| | 2,608 | | | Exact Sciences Corp.* | | | 202,981 | |
| | 209,994 | | | Gilead Sciences, Inc. | | | 15,247,664 | |
| | 5,100 | | | Iovance Biotherapeutics, Inc.* | | | 97,359 | |
| | 212,934 | | | Johnson & Johnson | | | 36,426,620 | |
| | 2,200 | | | Maravai LifeSciences Holdings, Inc. Class A* | | | 92,180 | |
| | 414,453 | | | Merck & Co., Inc. | | | 31,763,678 | |
| | 29,085 | | | Moderna, Inc.* | | | 7,387,008 | |
| | 900 | | | Natera, Inc.* | | | 84,051 | |
| | 1,300 | | | Novavax, Inc.* | | | 185,991 | |
| | 944,399 | | | Pfizer, Inc. | | | 55,766,761 | |
| | 10,500 | | | Repligen Corp.* | | | 2,780,820 | |
| | 487 | | | Seagen, Inc.* | | | 75,290 | |
| | 23,708 | | | Thermo Fisher Scientific, Inc. | | | 15,811,200 | |
| | | | | | | | |
| | | | | | | 259,840,624 | |
| | |
| Real Estate – 2.7% | | | |
| | 80,291 | | | American Homes 4 Rent Class A (REIT) | | | 3,501,491 | |
| | 44,401 | | | American Tower Corp. (REIT) | | | 12,987,293 | |
| | 3,320 | | | Brixmor Property Group, Inc. (REIT) | | | 84,361 | |
| | 14,887 | | | Camden Property Trust (REIT) | | | 2,660,009 | |
| | 3,658 | | | Cousins Properties, Inc. (REIT) | | | 147,344 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Real Estate – (continued) | | | |
| | 39,200 | | | Crown Castle International Corp. (REIT) | | $ | 8,182,608 | |
| | 7,800 | | | CubeSmart (REIT) | | | 443,898 | |
| | 1,403 | | | EPR Properties (REIT) | | | 66,628 | |
| | 11,600 | | | Equinix, Inc. (REIT) | | | 9,811,744 | |
| | 23,100 | | | Equity LifeStyle Properties, Inc. (REIT) | | | 2,024,946 | |
| | 7,366 | | | Gaming and Leisure Properties, Inc. (REIT) | | | 358,430 | |
| | 1,826 | | | Healthcare Trust of America, Inc. Class A (REIT) | | | 60,970 | |
| | 90,500 | | | Invitation Homes, Inc. (REIT) | | | 4,103,270 | |
| | 5,566 | | | National Retail Properties, Inc. (REIT) | | | 267,465 | |
| | 1,941 | | | Orion Office REIT, Inc. (REIT)* | | | 36,238 | |
| | 8,383 | | | Park Hotels & Resorts, Inc. (REIT)* | | | 158,271 | |
| | 90,627 | | | Prologis, Inc. (REIT) | | | 15,257,962 | |
| | 19,410 | | | Realty Income Corp. (REIT) | | | 1,389,562 | |
| | 31,100 | | | SBA Communications Corp. (REIT) | | | 12,098,522 | |
| | 1,781 | | | Spirit Realty Capital, Inc. (REIT) | | | 85,826 | |
| | 12,591 | | | STORE Capital Corp. (REIT) | | | 433,130 | |
| | 29,993 | | | Sun Communities, Inc. (REIT) | | | 6,297,630 | |
| | 10,400 | | | VICI Properties, Inc. (REIT) | | | 313,144 | |
| | 21,775 | | | Zillow Group, Inc. Class A* | | | 1,354,841 | |
| | 21,502 | | | Zillow Group, Inc. Class C* | | | 1,372,903 | |
| | | | | | | | |
| | | | | | | 83,498,486 | |
| | |
| Retailing – 7.1% | | | |
| | 35,286 | | | Amazon.com, Inc.*(a) | | | 117,655,521 | |
| | 68,600 | | | Best Buy Co., Inc. | | | 6,969,760 | |
| | 3,907 | | | Burlington Stores, Inc.* | | | 1,138,930 | |
| | 3,275 | | | Carvana Co.* | | | 759,112 | |
| | 300 | | | Chewy, Inc. Class A* | | | 17,691 | |
| | 31,700 | | | Dick’s Sporting Goods, Inc. | | | 3,645,183 | |
| | 2,400 | | | DoorDash, Inc. Class A* | | | 357,360 | |
| | 4,100 | | | Farfetch Ltd. Class A* | | | 137,063 | |
| | 1,981 | | | Five Below, Inc.* | | | 409,849 | |
| | 1,700 | | | Floor & Decor Holdings, Inc. Class A* | | | 221,017 | |
| | 118,176 | | | Home Depot, Inc. (The) | | | 49,044,222 | |
| | 300 | | | Lithia Motors, Inc. | | | 89,085 | |
| | 86,599 | | | Lowe’s Cos., Inc. | | | 22,384,109 | |
| | 918 | | | MercadoLibre, Inc.* | | | 1,237,831 | |
| | 10,700 | | | Penske Automotive Group, Inc. | | | 1,147,254 | |
| | 237,400 | | | Qurate Retail, Inc. Series A | | | 1,804,240 | |
| | 56,615 | | | Target Corp. | | | 13,102,976 | |
| | 10,900 | | | Vroom, Inc.* | | | 117,611 | |
| | 6,162 | | | Wayfair, Inc. Class A* | | | 1,170,595 | |
| | 16,500 | | | Williams-Sonoma, Inc. | | | 2,790,645 | |
| | | | | | | | |
| | | | | | | 224,200,054 | |
| | |
| Semiconductors & Semiconductor Equipment – 7.3% | | | |
| | 107,917 | | | Advanced Micro Devices, Inc.* | | | 15,529,256 | |
| | 72,000 | | | Analog Devices, Inc. | | | 12,655,440 | |
| | 78,600 | | | Applied Materials, Inc. | | | 12,368,496 | |
| | 56,690 | | | Broadcom, Inc. | | | 37,722,093 | |
| | 356,609 | | | Intel Corp. | | | 18,365,364 | |
| | 24,453 | | | Lam Research Corp. | | | 17,585,375 | |
| | 46,701 | | | Marvell Technology, Inc. | | | 4,085,870 | |
| | |
|
| Common Stocks – (continued) | |
| Semiconductors & Semiconductor Equipment – (continued) | |
| | 210,800 | | | NVIDIA Corp. | | | 61,998,388 | |
| | 116,997 | | | QUALCOMM, Inc. | | | 21,395,241 | |
| | 1,600 | | | SolarEdge Technologies, Inc.* | | | 448,912 | |
| | 144,350 | | | Texas Instruments, Inc.(a) | | | 27,205,645 | |
| | 1,100 | | | Wolfspeed, Inc.* | | | 122,947 | |
| | | | | | | | |
| | | | | | | 229,483,027 | |
| | |
| Software & Services – 14.5% | | | |
| | 52,800 | | | Accenture plc Class A | | | 21,888,240 | |
| | 30,591 | | | Adobe, Inc.* | | | 17,346,932 | |
| | 9,000 | | | Alteryx, Inc. Class A* | | | 544,500 | |
| | 4,300 | | | Anaplan, Inc.* | | | 197,155 | |
| | 27,608 | | | Automatic Data Processing, Inc. | | | 6,807,581 | |
| | 4,000 | | | Avalara, Inc.* | | | 516,440 | |
| | 2,200 | | | Bill.com Holdings, Inc.* | | | 548,130 | |
| | 8,910 | | | Block, Inc. Class A* | | | 1,439,054 | |
| | 13,500 | | | Cloudflare, Inc. Class A* | | | 1,775,250 | |
| | 12,300 | | | Coupa Software, Inc.* | | | 1,944,015 | |
| | 18,100 | | | Crowdstrike Holdings, Inc. Class A* | | | 3,705,975 | |
| | 14,700 | | | Datadog, Inc. Class A* | | | 2,618,217 | |
| | 13,268 | | | DocuSign, Inc.* | | | 2,020,849 | |
| | 24,900 | | | Dynatrace, Inc.* | | | 1,502,715 | |
| | 5,500 | | | Everbridge, Inc.* | | | 370,315 | |
| | 5,400 | | | Fastly, Inc. Class A* | | | 191,430 | |
| | 2,500 | | | Five9, Inc.* | | | 343,300 | |
| | 9,500 | | | HubSpot, Inc.* | | | 6,261,925 | |
| | 234,201 | | | International Business Machines Corp. | | | 31,303,306 | |
| | 16,900 | | | Intuit, Inc. | | | 10,870,418 | |
| | 46,840 | | | Kyndryl Holdings, Inc.* | | | 847,804 | |
| | 62,200 | | | Mastercard, Inc. Class A | | | 22,349,704 | |
| | 586,733 | | | Microsoft Corp.(a)(b) | | | 197,330,042 | |
| | 2,722 | | | MongoDB, Inc.* | | | 1,440,891 | |
| | 6,827 | | | Okta, Inc.* | | | 1,530,409 | |
| | 72,500 | | | Palantir Technologies, Inc. Class A* | | | 1,320,225 | |
| | 140,700 | | | Paychex, Inc. | | | 19,205,550 | |
| | 94,300 | | | PayPal Holdings, Inc.* | | | 17,783,094 | |
| | 1,800 | | | RingCentral, Inc. Class A* | | | 337,230 | |
| | 75,135 | | | salesforce.com, Inc.* | | | 19,094,057 | |
| | 16,762 | | | ServiceNow, Inc.* | | | 10,880,382 | |
| | 8,200 | | | Smartsheet, Inc. Class A* | | | 635,090 | |
| | 7,800 | | | Snowflake, Inc. Class A* | | | 2,642,250 | |
| | 29,900 | | | SolarWinds Corp. | | | 424,281 | |
| | 34,000 | | | Trade Desk, Inc. (The) Class A* | | | 3,115,760 | |
| | 9,500 | | | Twilio, Inc. Class A* | | | 2,501,730 | |
| | 7,400 | | | Unity Software, Inc.* | | | 1,058,126 | |
| | 117,555 | | | Visa, Inc. Class A | | | 25,475,344 | |
| | 511,299 | | | Western Union Co. (The) | | | 9,121,574 | |
| | 1,200 | | | Zendesk, Inc.* | | | 125,148 | |
| | 1,800 | | | Zoom Video Communications, Inc. Class A* | | | 331,038 | |
| | 11,000 | | | Zscaler, Inc.* | | | 3,534,630 | |
| | | | | | | | |
| | | | | | | 453,280,106 | |
| | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Technology Hardware & Equipment – 8.8% | | | |
| | 1,284,856 | | | Apple, Inc.(a) | | $ | 228,151,880 | |
| | 41,800 | | | Avnet, Inc. | | | 1,723,414 | |
| | 517,448 | | | Cisco Systems, Inc.(a) | | | 32,790,680 | |
| | 82,730 | | | National Instruments Corp. | | | 3,612,819 | |
| | 60,500 | | | TE Connectivity Ltd. | | | 9,761,070 | |
| | | | | | | | |
| | | | | | | 276,039,863 | |
| | |
| Telecommunication Services – 2.2% | | | |
| | 1,340,528 | | | AT&T, Inc.(a) | | | 32,976,989 | |
| | 674,302 | | | Verizon Communications, Inc.(b) | | | 35,036,732 | |
| | | | | | | | |
| | | | | | | 68,013,721 | |
| | |
| Transportation – 1.9% | | | |
| | 17,224 | | | Lyft, Inc. Class A* | | | 735,982 | |
| | 29,646 | | | Norfolk Southern Corp. | | | 8,825,911 | |
| | 55,000 | | | Ryder System, Inc. | | | 4,533,650 | |
| | 18,882 | | | Uber Technologies, Inc.* | | | 791,722 | |
| | 100,462 | | | Union Pacific Corp. | | | 25,309,392 | |
| | 88,698 | | | United Parcel Service, Inc. Class B | | | 19,011,529 | |
| | | | | | | | |
| | | | | | | 59,208,186 | |
| | |
| Utilities – 3.4% | | | |
| | 182,200 | | | Consolidated Edison, Inc. | | | 15,545,304 | |
| | 111,097 | | | Dominion Energy, Inc. | | | 8,727,780 | |
| | 199,700 | | | Duke Energy Corp. | | | 20,948,530 | |
| | 210,300 | | | OGE Energy Corp. | | | 8,071,314 | |
| | 847,601 | | | PPL Corp. | | | 25,478,886 | |
| | 37,000 | | | Sempra Energy | | | 4,894,360 | |
| | 316,501 | | | Southern Co. (The) | | | 21,705,639 | |
| | | | | | | | |
| | | | | | | 105,371,813 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $2,104,634,521) | | $ | 3,187,421,611 | |
| | |
| Shares | | | Dividend
Rate | | Value | |
|
| Investment Company(c) – 0.1% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 4,137,766 | | | 0.026% | | $ | 4,137,766 | |
| | (Cost $4,137,766) | | | | |
| | |
| | TOTAL INVESTMENTS – 101.8% | |
| | (Cost $2,108,772,287) | | $ | 3,191,559,377 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (1.8)% | | | (55,506,671 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 3,136,052,706 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Security is currently in default and/or non-income producing. |
(a) | | All or a portion of security is segregated as collateral for call options written. |
(b) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(c) | | Represents an Affiliated Issuer. |
| | |
|
Investment Abbreviation: |
REIT | | —Real Estate Investment Trust |
| | |
Currency Abbreviation: |
USD | | —United States Dollar |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Short position contracts: | | | | | | | | | | | | | | |
S&P 500 E-Mini Index | | (235) | | | 03/18/2022 | | | $ | (55,912,375 | ) | | $ | 151,465 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Value | | | Premiums Paid
(Received) by
the Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Written options contracts: | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | |
S&P 500 Index | | 4,640 USD | | | 01/31/2022 | | | | 876 | | | $ | (417,517,368 | ) | | $ | (14,690,520 | ) | | $ | (10,069,357 | ) | | $ | (4,621,163 | ) |
| | 4,660 USD | | | 02/28/2022 | | | | 788 | | | | (375,574,984 | ) | | | (14,447,980 | ) | | | (9,814,264 | ) | | | (4,633,716 | ) |
| | | 4,825 USD | | | 03/31/2022 | | | | 889 | | | | (423,713,402 | ) | | | (9,730,105 | ) | | | (9,732,772 | ) | | | 2,667 | |
| | | | | |
| Total written options contracts | | | | 2,553 | | | | | | | $ | (38,868,605 | ) | | $ | (29,616,393 | ) | | $ | (9,252,212 | ) |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – 98.8% | |
| Australia – 8.9% | | | |
| | 1,244 | | | Afterpay Ltd. (Software & Services)* | | $ | 75,097 | |
| | 52,943 | | | AGL Energy Ltd. (Utilities) | | | 236,537 | |
| | 87,768 | | | APA Group (Utilities) | | | 642,092 | |
| | 462,911 | | | Aurizon Holdings Ltd. (Transportation) | | | 1,176,085 | |
| | 58,793 | | | AusNet Services Ltd. (Utilities) | | | 109,983 | |
| | 44,576 | | | BHP Group Ltd. (Materials) | | | 1,345,827 | |
| | 15,386 | | | BHP Group plc (Materials) | | | 457,806 | |
| | 36,465 | | | Coles Group Ltd. (Food & Staples Retailing) | | | 475,798 | |
| | 17,043 | | | Commonwealth Bank of Australia (Banks) | | | 1,252,853 | |
| | 809 | | | CSL Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 171,104 | |
| | 80,273 | | | Fortescue Metals Group Ltd. (Materials) | | | 1,128,378 | |
| | 33,850 | | | Magellan Financial Group Ltd. (Diversified Financials) | | | 523,068 | |
| | 181,654 | | | Medibank Pvt Ltd. (Insurance) | | | 442,437 | |
| | 121,850 | | | National Australia Bank Ltd. (Banks) | | | 2,558,497 | |
| | 12,537 | | | Rio Tinto Ltd. (Materials) | | | 914,853 | |
| | 11,619 | | | Rio Tinto plc (Materials) | | | 766,230 | |
| | 37,882 | | | Rio Tinto plc ADR (Materials)(a)(b) | | | 2,535,821 | |
| | 9,879 | | | Sonic Healthcare Ltd. (Health Care Equipment & Services) | | | 335,059 | |
| | 31,640 | | | Transurban Group (Transportation) | | | 317,802 | |
| | 24,555 | | | Wesfarmers Ltd. (Retailing) | | | 1,059,461 | |
| | | | | | | | |
| | | | | | | 16,524,788 | |
| | |
| Belgium – 1.4% | | | |
| | 27,782 | | | Ageas SA/NV (Insurance)(b) | | | 1,438,755 | |
| | 57,166 | | | Proximus SADP (Telecommunication Services) | | | 1,116,438 | |
| | | | | | | | |
| | | | | | | 2,555,193 | |
| | |
| Brazil – 0.2% | | | |
| | 6,050 | | | Yara International ASA (Materials) | | | 305,030 | |
| | |
| China – 0.4% | |
| | 40,000 | | | ESR Cayman Ltd. (Real Estate)*(c) | | | 135,304 | |
| | 8,118 | | | Prosus NV (Retailing)* | | | 672,374 | |
| | | | | | | | |
| | | | | | | 807,678 | |
| | |
| Denmark – 2.2% | | | |
| | 4,611 | | | Ambu A/S Class B (Health Care Equipment & Services) | | | 121,702 | |
| | 6,158 | | | Coloplast A/S Class B (Health Care Equipment & Services) | | | 1,084,112 | |
| | 21,512 | | | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,416,354 | |
| | 1,717 | | | Tryg A/S (Insurance) | | | 42,372 | |
| | 13,235 | | | Vestas Wind Systems A/S (Capital Goods) | | | 403,074 | |
| | | | | | | | |
| | | | | | | 4,067,614 | |
| | |
| Finland – 3.5% | | | |
| | 7,102 | | | Kone OYJ Class B (Capital Goods) | | | 509,631 | |
| | 50,367 | | | Neles OYJ (Capital Goods) | | | 783,920 | |
| | |
|
| Common Stocks – (continued) | |
| Finland – (continued) | | | |
| | 7,263 | | | Neste OYJ (Energy) | | | 357,454 | |
| | 279,323 | | | Nordea Bank Abp (Banks) | | | 3,407,336 | |
| | 4,735 | | | Orion OYJ Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 196,686 | |
| | 26,282 | | | Sampo OYJ Class A (Insurance)(b) | | | 1,315,230 | |
| | | | | | | | |
| | | | | | | 6,570,257 | |
| | |
| France – 9.9% | | | |
| | 5,647 | | | Airbus SE (Capital Goods)*(b) | | | 722,499 | |
| | 21,873 | | | Bouygues SA (Capital Goods) | | | 782,966 | |
| | 1,796 | | | Capgemini SE (Software & Services)(b) | | | 440,165 | |
| | 131,614 | | | Credit Agricole SA (Banks)(b) | | | 1,876,462 | |
| | 21,499 | | | Danone SA (Food, Beverage & Tobacco)(b) | | | 1,336,367 | |
| | 3,705 | | | Dassault Systemes SE (Software & Services) | | | 219,875 | |
| | 8,725 | | | Edenred (Software & Services) | | | 402,906 | |
| | 1,617 | | | Kering SA (Consumer Durables & Apparel)(b) | | | 1,297,404 | |
| | 2,385 | | | L’Oreal SA (Household & Personal Products)(b) | | | 1,137,199 | |
| | 4,118 | | | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel)(b) | | | 3,403,255 | |
| | 4,048 | | | Orange SA (Telecommunication Services) | | | 43,241 | |
| | 2,445 | | | Pernod Ricard SA (Food, Beverage & Tobacco) | | | 588,213 | |
| | 990 | | | Publicis Groupe SA (Media & Entertainment) | | | 66,700 | |
| | 3,760 | | | Safran SA (Capital Goods) | | | 460,312 | |
| | 22,801 | | | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences)(b) | | | 2,287,944 | |
| | 31,547 | | | TotalEnergies SE (Energy)(b) | | | 1,605,750 | |
| | 1,533 | | | Unibail-Rodamco-Westfield (REIT)* | | | 107,278 | |
| | 2,233 | | | Valeo (Automobiles & Components) | | | 67,339 | |
| | 8,158 | | | Vinci SA (Capital Goods) | | | 861,606 | |
| | 40,756 | | | Vivendi SE (Media & Entertainment)(b) | | | 551,303 | |
| | 1,508 | | | Worldline SA (Software & Services)*(c) | | | 83,936 | |
| | | | | | | | |
| | | | | | | 18,342,720 | |
| | |
| Germany – 7.8% | | | |
| | 1,494 | | | adidas AG (Consumer Durables & Apparel) | | | 430,190 | |
| | 1,868 | | | Allianz SE (Registered) (Insurance) | | | 440,584 | |
| | 24,132 | | | BASF SE (Materials)(b) | | | 1,693,714 | |
| | 15,734 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)(b) | | | 840,264 | |
| | 3,522 | | | Bayerische Motoren Werke AG (Automobiles & Components)(b) | | | 352,349 | |
| | 12,857 | | | Bayerische Motoren Werke AG (Preference) (Automobiles & Components)(d) | | | 1,066,188 | |
| | 16,296 | | | Deutsche Post AG (Registered) (Transportation)(b) | | | 1,048,172 | |
| | 23,641 | | | Evonik Industries AG (Materials)(b) | | | 763,734 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Germany – (continued) | | | |
| | 808 | | | GEA Group AG (Capital Goods) | | $ | 44,133 | |
| | 4,483 | | | HelloFresh SE (Food & Staples Retailing)* | | | 343,569 | |
| | 8,731 | | | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | | | 401,962 | |
| | 661 | | | LEG Immobilien SE (Real Estate) | | | 92,470 | |
| | 2,742 | | | Porsche Automobil Holding SE (Preference) (Automobiles & Components)(d) | | | 258,880 | |
| | 2,633 | | | Puma SE (Consumer Durables & Apparel) | | | 321,554 | |
| | 13,192 | | | SAP SE (Software & Services)(b) | | | 1,856,636 | |
| | 689 | | | Sartorius AG (Preference) (Health Care Equipment & Services)(d) | | | 465,999 | |
| | 14,147 | | | Siemens AG (Registered) (Capital Goods) | | | 2,450,301 | |
| | 2,182 | | | Siemens Healthineers AG (Health Care Equipment & Services)(c) | | | 162,688 | |
| | 266,202 | | | Telefonica Deutschland Holding AG (Telecommunication Services) | | | 738,389 | |
| | 1,154 | | | Volkswagen AG (Preference) (Automobiles & Components)(d) | | | 231,819 | |
| | 9,614 | | | Vonovia SE (Real Estate)(b) | | | 529,752 | |
| | | | | | | | |
| | | | | | | 14,533,347 | |
| | |
| Hong Kong – 2.2% | | | |
| | 104,400 | | | AIA Group Ltd. (Insurance) | | | 1,053,693 | |
| | 28,000 | | | Hang Lung Properties Ltd. (Real Estate) | | | 57,598 | |
| | 98 | | | Hong Kong & China Gas Co. Ltd. (Utilities) | | | 153 | |
| | 14,596 | | | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | | | 853,632 | |
| | 1,100 | | | Jardine Matheson Holdings Ltd. (Capital Goods) | | | 60,486 | |
| | 181,487 | | | Link REIT (REIT) | | | 1,598,768 | |
| | 23,910 | | | Sino Land Co. Ltd. (Real Estate) | | | 29,772 | |
| | 500 | | | Sun Hung Kai Properties Ltd. (Real Estate) | | | 6,067 | |
| | 400 | | | Swire Properties Ltd. (Real Estate) | | | 1,003 | |
| | 24,000 | | | Techtronic Industries Co. Ltd. (Capital Goods) | | | 478,438 | |
| | | | | | | | |
| | | | | | | 4,139,610 | |
| | |
| Ireland – 0.7% | | | |
| | 24,567 | | | CRH plc (Materials)(b) | | | 1,300,578 | |
| | |
| Israel – 0.2% | |
| | 20,126 | | | ICL Group Ltd. (Materials) | | | 193,856 | |
| | 710 | | | Wix.com Ltd. (Software & Services)*(a) | | | 112,031 | |
| | | | | | | | |
| | | | | | | 305,887 | |
| | |
| Italy – 0.9% | | | |
| | 9,895 | | | Enel SpA (Utilities) | | | 79,121 | |
| | 4,925 | | | Eni SpA (Energy)(b) | | | 68,447 | |
| | 1,974 | | | Ferrari NV (Automobiles & Components) | | | 508,120 | |
| | |
|
| Common Stocks – (continued) | |
| Italy – (continued) | | | |
| | 47,270 | | | Mediobanca Banca di Credito Finanziario SpA (Banks) | | | 542,682 | |
| | 2,098 | | | Moncler SpA (Consumer Durables & Apparel) | | | 151,619 | |
| | 48,755 | | | Snam SpA (Utilities) | | | 293,660 | |
| | | | | | | | |
| | | | | | | 1,643,649 | |
| | |
| Japan – 22.3% | | | |
| | 2,400 | | | ABC-Mart, Inc. (Retailing) | | | 102,745 | |
| | 2,400 | | | Advantest Corp. (Semiconductors & Semiconductor Equipment) | | | 227,278 | |
| | 11,300 | | | AGC, Inc. (Capital Goods) | | | 539,836 | |
| | 7,100 | | | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 115,556 | |
| | 1,600 | | | Bandai Namco Holdings, Inc. (Consumer Durables & Apparel) | | | 125,102 | |
| | 28,200 | | | Bridgestone Corp. (Automobiles & Components) | | | 1,210,701 | |
| | 22,100 | | | Canon, Inc. (Technology Hardware & Equipment) | | | 539,100 | |
| | 7,900 | | | Casio Computer Co. Ltd. (Consumer Durables & Apparel) | | | 101,725 | |
| | 11,600 | | | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 378,114 | |
| | 1,500 | | | Dai-ichi Life Holdings, Inc. (Insurance) | | | 30,255 | |
| | 27,400 | | | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 697,369 | |
| | 1,200 | | | Daikin Industries Ltd. (Capital Goods) | | | 271,823 | |
| | 2,400 | | | Daito Trust Construction Co. Ltd. (Real Estate) | | | 275,331 | |
| | 132,700 | | | Daiwa Securities Group, Inc. (Diversified Financials) | | | 748,826 | |
| | 2,900 | | | Denso Corp. (Automobiles & Components) | | | 240,326 | |
| | 1,500 | | | Disco Corp. (Semiconductors & Semiconductor Equipment) | | | 458,479 | |
| | 6,400 | | | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 363,314 | |
| | 2,000 | | | FANUC Corp. (Capital Goods) | | | 425,124 | |
| | 200 | | | Fast Retailing Co. Ltd. (Retailing) | | | 113,689 | |
| | 2,600 | | | Fuji Electric Co. Ltd. (Capital Goods) | | | 142,033 | |
| | 1,300 | | | Hikari Tsushin, Inc. (Retailing) | | | 200,210 | |
| | 16,000 | | | Hino Motors Ltd. (Capital Goods) | | | 131,935 | |
| | 1,916 | | | Hirose Electric Co. Ltd. (Technology Hardware & Equipment) | | | 322,002 | |
| | 1,400 | | | Hitachi Ltd. (Capital Goods) | | | 75,843 | |
| | 1,200 | | | Honda Motor Co. Ltd. (Automobiles & Components) | | | 34,141 | |
| | 3,500 | | | Hoya Corp. (Health Care Equipment & Services) | | | 519,371 | |
| | 3,100 | | | Isuzu Motors Ltd. (Automobiles & Components) | | | 38,584 | |
| | 54,000 | | | ITOCHU Corp. (Capital Goods) | | | 1,652,071 | |
| | 8,700 | | | Japan Exchange Group, Inc. (Diversified Financials) | | | 190,612 | |
| | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Japan – (continued) | | | |
| | 16,700 | | | Japan Post Insurance Co. Ltd. (Insurance) | | $ | 268,267 | |
| | 21,900 | | | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | | | 442,204 | |
| | 6,400 | | | JSR Corp. (Materials) | | | 243,222 | |
| | 12,400 | | | Kajima Corp. (Capital Goods) | | | 142,507 | |
| | 9,300 | | | Kakaku.com, Inc. (Media & Entertainment) | | | 248,620 | |
| | 33,100 | | | Kansai Electric Power Co., Inc. (The) (Utilities) | | | 309,385 | |
| | 1,700 | | | Kao Corp. (Household & Personal Products) | | | 89,036 | |
| | 600 | | | Keyence Corp. (Technology Hardware & Equipment) | | | 377,255 | |
| | 3,600 | | | Kikkoman Corp. (Food, Beverage & Tobacco) | | | 303,160 | |
| | 3,000 | | | Kintetsu Group Holdings Co. Ltd. (Transportation)* | | | 83,864 | |
| | 38,100 | | | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | | | 613,672 | |
| | 12,500 | | | Komatsu Ltd. (Capital Goods) | | | 292,325 | |
| | 1,700 | | | Kose Corp. (Household & Personal Products) | | | 192,851 | |
| | 300 | | | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | | | 91,890 | |
| | 4,100 | | | Lawson, Inc. (Food & Staples Retailing) | | | 194,542 | |
| | 27,300 | | | Lixil Corp. (Capital Goods) | | | 728,281 | |
| | 6,100 | | | M3, Inc. (Health Care Equipment & Services) | | | 307,570 | |
| | 2,100 | | | Makita Corp. (Capital Goods) | | | 89,144 | |
| | 3,800 | | | Mercari, Inc. (Retailing)* | | | 193,334 | |
| | 40,900 | | | Mitsubishi Corp. (Capital Goods) | | | 1,298,702 | |
| | 23,400 | | | Mitsubishi Electric Corp. (Capital Goods) | | | 297,017 | |
| | 49,600 | | | Mitsubishi HC Capital, Inc. (Diversified Financials) | | | 245,398 | |
| | 162,300 | | | Mitsubishi UFJ Financial Group, Inc. (Banks) | | | 883,282 | |
| | 12,100 | | | Mitsui & Co. Ltd. (Capital Goods) | | | 286,744 | |
| | 13,700 | | | MS&AD Insurance Group Holdings, Inc. (Insurance) | | | 421,854 | |
| | 8,800 | | | Murata Manufacturing Co. Ltd. (Technology Hardware & Equipment) | | | 701,910 | |
| | 8,200 | | | Nabtesco Corp. (Capital Goods) | | | 242,966 | |
| | 400 | | | Nidec Corp. (Capital Goods) | | | 47,318 | |
| | 1,600 | | | Nintendo Co. Ltd. (Media & Entertainment) | | | 748,572 | |
| | 3,700 | | | Nippon Express Co. Ltd. (Transportation) | | | 218,370 | |
| | 1,000 | | | Nippon Paint Holdings Co. Ltd. (Materials) | | | 10,921 | |
| | 64 | | | Nippon Prologis REIT, Inc. (REIT) | | | 222,705 | |
| | 10,800 | | | Nippon Yusen KK (Transportation) | | | 823,532 | |
| | 11,600 | | | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | | | 167,346 | |
| | 4,200 | | | Nitto Denko Corp. (Materials) | | | 324,460 | |
| | 51,900 | | | Nomura Holdings, Inc. (Diversified Financials) | | | 226,058 | |
| | 14,700 | | | Nomura Research Institute Ltd. (Software & Services) | | | 628,437 | |
| | |
|
| Common Stocks – (continued) | |
| Japan – (continued) | | | |
| | 26,100 | | | NSK Ltd. (Capital Goods) | | | 167,681 | |
| | 2,200 | | | Obic Co. Ltd. (Software & Services) | | | 411,728 | |
| | 300 | | | Odakyu Electric Railway Co. Ltd. (Transportation) | | | 5,577 | |
| | 7,400 | | | Olympus Corp. (Health Care Equipment & Services) | | | 170,402 | |
| | 1,700 | | | Omron Corp. (Technology Hardware & Equipment) | | | 169,401 | |
| | 5,400 | | | Otsuka Corp. (Software & Services) | | | 257,486 | |
| | 45,300 | | | Panasonic Corp. (Consumer Durables & Apparel) | | | 497,974 | |
| | 13,200 | | | Pola Orbis Holdings, Inc. (Household & Personal Products) | | | 219,989 | |
| | 17,600 | | | Recruit Holdings Co. Ltd. (Commercial & Professional Services) | | | 1,071,061 | |
| | 66,300 | | | Resona Holdings, Inc. (Banks) | | | 257,654 | |
| | 1,000 | | | Ryohin Keikaku Co. Ltd. (Retailing) | | | 15,248 | |
| | 17,100 | | | Seiko Epson Corp. (Technology Hardware & Equipment) | | | 307,978 | |
| | 2,400 | | | Sekisui House Ltd. (Consumer Durables & Apparel) | | | 51,638 | |
| | 5,000 | | | Shimadzu Corp. (Technology Hardware & Equipment) | | | 211,190 | |
| | 3,900 | | | Shin-Etsu Chemical Co. Ltd. (Materials) | | | 676,944 | |
| | 2,300 | | | Shiseido Co. Ltd. (Household & Personal Products) | | | 128,309 | |
| | 113,800 | | | SoftBank Corp. (Telecommunication Services) | | | 1,437,360 | |
| | 2,700 | | | SoftBank Group Corp. (Telecommunication Services) | | | 129,438 | |
| | 3,800 | | | Sompo Holdings, Inc. (Insurance) | | | 160,260 | |
| | 7,500 | | | Sony Group Corp. (Consumer Durables & Apparel) | | | 947,087 | |
| | 12,600 | | | Subaru Corp. (Automobiles & Components) | | | 225,134 | |
| | 1,100 | | | Sumitomo Metal Mining Co. Ltd. (Materials) | | | 41,662 | |
| | 46,600 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 1,591,264 | |
| | 300 | | | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | | | 10,032 | |
| | 2,200 | | | Sysmex Corp. (Health Care Equipment & Services) | | | 296,959 | |
| | 38,200 | | | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,043,178 | |
| | 3,000 | | | TDK Corp. (Technology Hardware & Equipment) | | | 117,078 | |
| | 6,100 | | | Tohoku Electric Power Co., Inc. (Utilities) | | | 43,359 | |
| | 6,400 | | | Tokio Marine Holdings, Inc. (Insurance) | | | 356,286 | |
| | 3,600 | | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | | 2,072,062 | |
| | 300 | | | Tokyo Gas Co. Ltd. (Utilities) | | | 5,385 | |
| | 3,900 | | | TOTO Ltd. (Capital Goods) | | | 179,936 | |
| | 185,100 | | | Toyota Motor Corp. (Automobiles & Components) | | | 3,421,128 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
December 31, 2021
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Japan – (continued) | | | |
| | 57,500 | | | USS Co. Ltd. (Retailing) | | $ | 898,364 | |
| | 3,000 | | | Yamaha Corp. (Consumer Durables & Apparel) | | | 148,006 | |
| | 200 | | | Yamato Holdings Co. Ltd. (Transportation) | | | 4,698 | |
| | 900 | | | Yaskawa Electric Corp. (Capital Goods) | | | 44,159 | |
| | 3,900 | | | ZOZO, Inc. (Retailing) | | | 121,603 | |
| | | | | | | | |
| | | | | | | 41,192,914 | |
| | |
| Macau – 0.2% | | | |
| | 37,000 | | | Galaxy Entertainment Group Ltd. (Consumer Services)* | | | 191,941 | |
| | 77,600 | | | Sands China Ltd. (Consumer Services)* | | | 180,094 | |
| | 108,800 | | | Wynn Macau Ltd. (Consumer Services)* | | | 88,351 | |
| | | | | | | | |
| | | | | | | 460,386 | |
| | |
| Netherlands – 5.2% | | | |
| | 240 | | | Adyen NV (Software & Services)*(c) | | | 630,001 | |
| | 555 | | | Argenx SE (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 197,362 | |
| | 601 | | | ASM International NV (Semiconductors & Semiconductor Equipment) | | | 264,961 | |
| | 5,588 | | | ASML Holding NV (Semiconductors & Semiconductor Equipment)(b) | | | 4,476,104 | |
| | 4,999 | | | Heineken NV (Food, Beverage & Tobacco) | | | 562,586 | |
| | 6,596 | | | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | | | 226,351 | |
| | 34,074 | | | Koninklijke KPN NV (Telecommunication Services) | | | 105,906 | |
| | 4,249 | | | NN Group NV (Insurance) | | | 229,787 | |
| | 24,710 | | | Royal Dutch Shell plc Class A (Energy)(b) | | | 541,328 | |
| | 86,152 | | | Royal Dutch Shell plc Class B (Energy)(b) | | | 1,891,603 | |
| | 14,656 | | | Universal Music Group NV (Media & Entertainment)(b) | | | 413,476 | |
| | | | | | | | |
| | | | | | | 9,539,465 | |
| | |
| New Zealand – 0.9% | | | |
| | 9,788 | | | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | | | 219,286 | |
| | 48,186 | | | Meridian Energy Ltd. (Utilities) | | | 159,943 | |
| | 431,573 | | | Spark New Zealand Ltd. (Telecommunication Services) | | | 1,334,635 | |
| | | | | | | | |
| | | | | | | 1,713,864 | |
| | |
| Norway – 0.4% | | | |
| | 12,697 | | | DNB Bank ASA (Banks) | | | 290,428 | |
| | 58 | | | Gjensidige Forsikring ASA (Insurance) | | | 1,407 | |
| | 9,166 | | | Orkla ASA (Food, Beverage & Tobacco) | | | 91,876 | |
| | 17,663 | | | Telenor ASA (Telecommunication Services) | | | 277,646 | |
| | | | | | | | |
| | | | | | | 661,357 | |
| | |
| Portugal – 0.1% | | | |
| | 14,664 | | | Galp Energia SGPS SA (Energy) | | | 142,287 | |
| | |
|
| Common Stocks – (continued) | |
| Russia – 0.9% | |
| | 27,996 | | | Coca-Cola HBC AG (Food, Beverage & Tobacco)* | | | 969,371 | |
| | 74,513 | | | Evraz plc (Materials) | | | 609,205 | |
| | | | | | | | |
| | | | | | | 1,578,576 | |
| | |
| Saudi Arabia – 0.2% | | | |
| | 3,837 | | | Delivery Hero SE (Retailing)*(c) | | | 424,720 | |
| | |
| Singapore – 1.4% | |
| | 2,800 | | | City Developments Ltd. (Real Estate) | | | 14,166 | |
| | 36,746 | | | DBS Group Holdings Ltd. (Banks) | | | 889,950 | |
| | 5,200 | | | Keppel Corp. Ltd. (Capital Goods) | | | 19,776 | |
| | 17,600 | | | Singapore Exchange Ltd. (Diversified Financials) | | | 121,492 | |
| | 210,700 | | | Singapore Technologies Engineering Ltd. (Capital Goods) | | | 588,005 | |
| | 121,600 | | | Singapore Telecommunications Ltd. (Telecommunication Services) | | | 209,332 | |
| | 13,694 | | | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | | | 673,402 | |
| | | | | | | | |
| | | | | | | 2,516,123 | |
| | |
| South Africa – 0.0% | | | |
| | 2 | | | Anglo American plc (Materials) | | | 82 | |
| | |
| Spain – 3.2% | |
| | 205 | | | ACS Actividades de Construccion y Servicios SA (Capital Goods) | | | 5,465 | |
| | 169 | | | Amadeus IT Group SA (Software & Services)* | | | 11,435 | |
| | 46,749 | | | Enagas SA (Utilities) | | | 1,086,042 | |
| | 98,111 | | | Endesa SA (Utilities)(b) | | | 2,258,657 | |
| | 30,922 | | | Ferrovial SA (Capital Goods) | | | 967,045 | |
| | 29,118 | | | Naturgy Energy Group SA (Utilities) | | | 947,069 | |
| | 27,654 | | | Red Electrica Corp. SA (Utilities)(b) | | | 598,001 | |
| | 2,879 | | | Siemens Gamesa Renewable Energy SA (Capital Goods)* | | | 68,370 | |
| | | | | | | | |
| | | | | | | 5,942,084 | |
| | |
| Sweden – 2.3% | | | |
| | 4,320 | | | Atlas Copco AB Class A (Capital Goods) | | | 298,516 | |
| | 11,277 | | | Atlas Copco AB Class B (Capital Goods) | | | 662,414 | |
| | 2,920 | | | Boliden AB (Materials) | | | 112,594 | |
| | 8,614 | | | Electrolux AB Class B (Consumer Durables & Apparel) | | | 208,628 | |
| | 2,714 | | | Lundin Energy AB (Energy) | | | 97,114 | |
| | 8,448 | | | Sinch AB (Software & Services)*(c) | | | 106,600 | |
| | 92,378 | | | Skandinaviska Enskilda Banken AB Class A (Banks) | | | 1,282,535 | |
| | 8,924 | | | Skanska AB Class B (Capital Goods) | | | 230,592 | |
| | 239,872 | | | Telia Co. AB (Telecommunication Services) | | | 938,131 | |
| | 16,408 | | | Volvo AB Class B (Capital Goods) | | | 379,460 | |
| | | | | | | | |
| | | | | | | 4,316,584 | |
| | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
| | | | | | | | |
Shares | | | Description | | Value | |
|
| Common Stocks – (continued) | |
| Switzerland – 10.7% | | | |
| | 1,260 | | | ABB Ltd. (Registered) (Capital Goods) | | $ | 48,022 | |
| | 17,824 | | | Adecco Group AG (Registered) (Commercial & Professional Services) | | | 908,264 | |
| | 1,868 | | | Banque Cantonale Vaudoise (Registered) (Banks) | | | 144,891 | |
| | 83,538 | | | Clariant AG (Registered) (Materials)* | | | 1,735,318 | |
| | 313 | | | Geberit AG (Registered) (Capital Goods) | | | 255,137 | |
| | 13,414 | | | Holcim Ltd. (Materials)* | | | 682,224 | |
| | 39,000 | | | Nestle SA (Registered) (Food, Beverage & Tobacco) | | | 5,445,075 | |
| | 28,173 | | | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,475,619 | |
| | 672 | | | Partners Group Holding AG (Diversified Financials) | | | 1,109,344 | |
| | 7,615 | | | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,159,168 | |
| | 164 | | | SGS SA (Registered) (Commercial & Professional Services) | | | 546,727 | |
| | 578 | | | Sonova Holding AG (Registered) (Health Care Equipment & Services) | | | 225,881 | |
| | 103 | | | Straumann Holding AG (Registered) (Health Care Equipment & Services) | | | 217,803 | |
| | 6,693 | | | Zurich Insurance Group AG (Insurance) | | | 2,932,063 | |
| | | | | | | | |
| | | | | | | 19,885,536 | |
| | |
| United Kingdom – 11.2% | | | |
| | 3,556 | | | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(b) | | | 207,137 | |
| | 255,575 | | | Aviva plc (Insurance) | | | 1,424,620 | |
| | 246,432 | | | BAE Systems plc (Capital Goods)(b) | | | 1,837,693 | |
| | 35,015 | | | Barclays plc (Banks) | | | 89,192 | |
| | 3,815 | | | BP plc ADR (Energy)(b) | | | 101,593 | |
| | 18,061 | | | British American Tobacco plc (Food, Beverage & Tobacco) | | | 670,636 | |
| | 9,870 | | | Coca-Cola Europacific Partners plc (Food, Beverage & Tobacco)(b) | | | 552,029 | |
| | 13,945 | | | Diageo plc (Food, Beverage & Tobacco) | | | 762,458 | |
| | 99,353 | | | Direct Line Insurance Group plc (Insurance) | | | 375,416 | |
| | 72,189 | | | GlaxoSmithKline plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(b) | | | 3,183,535 | |
| | 240,798 | | | HSBC Holdings plc (Banks)(b) | | | 1,454,243 | |
| | 26,599 | | | Imperial Brands plc (Food, Beverage & Tobacco) | | | 582,912 | |
| | 2,547 | | | Just Eat Takeaway.com NV (Retailing)*(c) | | | 138,381 | |
| | 133,695 | | | M&G plc (Diversified Financials) | | | 361,687 | |
| | 43,018 | | | National Grid plc (Utilities) | | | 620,289 | |
| | 53,625 | | | Persimmon plc (Consumer Durables & Apparel)(b) | | | 2,078,454 | |
| | 1,916 | | | Reckitt Benckiser Group plc (Household & Personal Products)(b) | | | 164,936 | |
| | 17,073 | | | RELX plc (Commercial & Professional Services) | | | 557,381 | |
| | 104,340 | | | Rolls-Royce Holdings plc (Capital Goods)* | | | 174,158 | |
| | 22,477 | | | Segro plc (REIT) | | | 437,441 | |
| | 44,462 | | | SSE plc (Utilities) | | | 993,956 | |
| | |
|
| Common Stocks – (continued) | |
| United Kingdom – (continued) | | | |
| | 9,344 | | | St James’s Place plc (Diversified Financials) | | | 213,531 | |
| | 21,195 | | | Unilever plc (Household & Personal Products)(b) | | | 1,135,461 | |
| | 20,386 | | | Unilever plc ADR (Household & Personal Products)(b) | | | 1,096,563 | |
| | 101,179 | | | Vodafone Group plc ADR (Telecommunication Services)(b) | | | 1,510,603 | |
| | | | | | | | |
| | | | | | | 20,724,305 | |
| | |
| United States – 1.5% | | | |
| | 7,531 | | | Schneider Electric SE (Capital Goods)(b) | | | 1,480,561 | |
| | 65,321 | | | Stellantis NV (Automobiles & Components)(b) | | | 1,233,169 | |
| | | | | | | | |
| | | | | | | 2,713,730 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $142,631,906) | | $ | 182,908,364 | |
| | |
| Shares | | | Dividend Rate | | Value | |
|
| Investment Company(e) – 0.3% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 504,243 | | | 0.026% | | $ | 504,243 | |
| | (Cost $504,243) | | | | |
| | |
| | TOTAL INVESTMENTS – 99.1% | |
| | (Cost $143,136,149) | | $ | 183,412,607 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.9% | | | 1,667,650 | |
| | |
| | NET ASSETS – 100.0% | | $ | 185,080,257 | |
| | |
| | |
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Security is currently in default and/or non-income producing. |
(a) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(b) | | All or a portion of security is segregated as collateral for call options written. |
(c) | | Exempt from registration under Rule 144A of the Securities Act of 1933. |
| (d) | | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. |
| (e) | | Represents an Affiliated Issuer. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
REIT | | —Real Estate Investment Trust |
| | |
Currency Abbreviations: |
EUR | | —Euro |
GBP | | —British Pound |
JPY | | —Japanese Yen |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
December 31, 2021
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
Long position contracts: | | | | | | | | | | | | | | | | |
EURO STOXX 50 Index | | | 20 | | | | 03/18/2022 | | | $ | 976,264 | | | $ | 23,272 | |
FTSE 100 Index | | | 4 | | | | 03/18/2022 | | | | 396,536 | | | | 6,981 | |
Hang Seng Index | | | 1 | | | | 01/28/2022 | | | | 150,374 | | | | 2,228 | |
MSCI Singapore Index | | | 1 | | | | 01/28/2022 | | | | 25,241 | | | | 191 | |
SPI 200 Index | | | 1 | | | | 03/17/2022 | | | | 133,633 | | | | 1,153 | |
TOPIX Index | | | 3 | | | | 03/10/2022 | | | | 519,517 | | | | 12,332 | |
| |
| Total Futures Contracts | | | $ | 46,157 | |
WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Value | | | Premiums Paid
(Received) by
the Fund | | | Unrealized
Appreciation/
(Depreciation) | |
Written options contracts: | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | |
EURO STOXX 50 Index | | 4,250 EUR | | | 03/18/2022 | | | | 768 | | | $ | (33,011,789 | ) | | $ | (1,359,642 | ) | | $ | (865,373 | ) | | $ | (494,269 | ) |
| | 7,275 GBP | | | 03/18/2022 | | | | 107 | | | | (7,901,458 | ) | | | (313,557 | ) | | | (273,869 | ) | | | (39,688 | ) |
| | | 29,000 JPY | | | 03/11/2022 | | | | 61 | | | | (1,756,294,310 | ) | | | (421,585 | ) | | | (472,838 | ) | | | 51,253 | |
| | | | | |
| Total written options contracts | | | | 936 | | | | | | | $ | (2,094,784 | ) | | $ | (1,612,080 | ) | | $ | (482,704 | ) |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statements of Assets and Liabilities
December 31, 2021
| | | | | | | | | | |
| | | | | U.S. Equity
Dividend and
Premium Fund | | | International Equity
Dividend and
Premium Fund | |
| | Assets: | |
| | Investments in unaffiliated issuers, at value (cost $2,104,634,521 and $142,631,906) | | $ | 3,187,421,611 | | | $ | 182,908,364 | |
| | Investments in affiliated issuers, at value (cost $4,137,766 and $504,243) | | | 4,137,766 | | | | 504,243 | |
| | Cash | | | 3,923,470 | | | | 188,441 | |
| | Foreign currencies, at value (cost $0 and $2,507,174) | | | — | | | | 2,504,714 | |
| | Receivables: | | | | | | | | |
| | Investments sold | | | 9,732,772 | | | | — | |
| | Dividends | | | 2,554,259 | | | | 278,378 | |
| | Fund shares sold | | | 1,741,539 | | | | 41,011 | |
| | Foreign tax reclaims | | | — | | | | 1,608,617 | |
| | Variation margin on futures | | | 161,570 | | | | — | |
| | Other assets | | | 59,324 | | | | 30,597 | |
| | Total assets | | | 3,209,732,311 | | | | 188,064,365 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Written options, at value (premiums received $29,616,393 and $1,612,080) | | | 38,868,605 | | | | 2,094,784 | |
| | Variation margin on futures | | | — | | | | 171 | |
| | Payables: | | | | | | | | |
| | Investments purchased | | | 30,508,198 | | | | — | |
| | Management fees | | | 1,851,187 | | | | 175,985 | |
| | Fund shares redeemed | | | 1,776,516 | | | | 423,769 | |
| | Distribution and Service fees and Transfer Agency fees | | | 291,351 | | | | 6,097 | |
| | Accrued expenses and other liabilities | | | 383,748 | | | | 283,302 | |
| | Total liabilities | | | 73,679,605 | | | | 2,984,108 | |
| | | | | | | | | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 2,062,288,143 | | | | 227,706,461 | |
| | Total distributable earnings (loss) | | | 1,073,764,563 | | | | (42,626,204 | ) |
| | | NET ASSETS | | $ | 3,136,052,706 | | | $ | 185,080,257 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 183,895,427 | | | $ | 2,169,505 | |
| | | Class C | | | 109,022,693 | | | | 362,137 | |
| | | Institutional | | | 1,329,450,398 | | | | 4,416,907 | |
| | | Investor | | | 473,054,085 | | | | 5,312,617 | |
| | | Class R6 | | | 336,826,727 | | | | 91,208,331 | |
| | | Class P | | | 703,803,376 | | | | 81,610,760 | |
| | | Total Net Assets | | $ | 3,136,052,706 | | | $ | 185,080,257 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | |
| | | Class A | | | 11,195,407 | | | | 285,814 | |
| | | Class C | | | 6,665,288 | | | | 49,495 | |
| | | Institutional | | | 81,205,549 | | | | 594,591 | |
| | | Investor | | | 28,874,775 | | | | 716,967 | |
| | | Class R6 | | | 20,584,783 | | | | 12,281,696 | |
| | | Class P | | | 42,998,126 | | | | 10,972,973 | |
| | | Net asset value, offering and redemption price per share:(a) | | | | | | | | |
| | | Class A | | | $16.43 | | | | $7.59 | |
| | | Class C | | | 16.36 | | | | 7.32 | |
| | | Institutional | | | 16.37 | | | | 7.43 | |
| | | Investor | | | 16.38 | | | | 7.41 | |
| | | Class R6 | | | 16.36 | | | | 7.43 | |
| | | Class P | | | 16.37 | | | | 7.44 | |
| | (a) | | Maximum public offering price per share for Class A Shares of the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds is $17.39 and $8.03, respectively. 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 NAV or the original purchase price of the shares. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statements of Operations
For the Fiscal Year Ended December 31, 2021
| | | | | | | | | | |
| | | | | U.S. Equity
Dividend and
Premium Fund | | | International Equity
Dividend and
Premium Fund | |
| | Investment income: | | | | | | | | |
| | | |
| | Dividends — unaffiliated issuers (net of foreign taxes withheld of $1,013 and $240,698) | | $ | 59,687,408 | | | $ | 7,615,092 | |
| | | |
| | Securities lending income — affiliated issuer | | | 31,080 | | | | 636 | |
| | | |
| | Dividends — affiliated issuers | | | 13,506 | | | | 76 | |
| | | |
| | Interest | | | 147 | | | | — | |
| | | |
| | Other income | | | — | | | | 138,454 | |
| | | |
| | Total investment income | | | 59,732,141 | | | | 7,754,258 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | | |
| | Management fees | | | 20,379,407 | | | | 1,536,989 | |
| | | |
| | Transfer Agency fees(a) | | | 1,926,473 | | | | 67,309 | |
| | | |
| | Distribution and Service (12b-1) fees(a) | | | 1,257,706 | | | | 8,637 | |
| | | |
| | Custody, accounting and administrative services | | | 355,166 | | | | 144,883 | |
| | | |
| | Service fees — Class C | | | 283,922 | | | | 1,056 | |
| | | |
| | Registration fees | | | 126,995 | | | | 73,538 | |
| | | |
| | Printing and mailing costs | | | 124,202 | | | | 32,349 | |
| | | |
| | Professional fees | | | 86,818 | | | | 123,811 | |
| | | |
| | Trustee fees | | | 23,110 | | | | 19,313 | |
| | | |
| | Other | | | 20,632 | | | | 25,000 | |
| | | |
| | Total expenses | | | 24,584,431 | | | | 2,032,885 | |
| | | |
| | Less — expense reductions | | | (1,662,480 | ) | | | (253,149 | ) |
| | | |
| | Net expenses | | | 22,921,951 | | | | 1,779,736 | |
| | | |
| | NET INVESTMENT INCOME | | | 36,810,190 | | | | 5,974,522 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 240,886,417 | | | | 10,927,189 | |
| | | |
| | Futures contracts | | | 7,353,728 | | | | 178,810 | |
| | | |
| | Foreign currency transactions | | | — | | | | (140,893 | ) |
| | | |
| | Written options | | | (100,653,188 | ) | | | (1,123,626 | ) |
| | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | | |
| | Investments — unaffiliated issuers | | | 401,312,766 | | | | 1,550,226 | |
| | | |
| | Futures contracts | | | (110,977 | ) | | | 63,939 | |
| | | |
| | Foreign currency translation | | | — | | | | (123,196 | ) |
| | | |
| | Written options | | | 12,841,097 | | | | (316,147 | ) |
| | | |
| | Net realized and unrealized gain | | | 561,629,843 | | | | 11,016,302 | |
| | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 598,440,033 | | | $ | 16,990,824 | |
| | (a) | | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or (12b-1) Service Fees | | | Transfer Agency Fees | |
Fund | | Class A | | | Class C | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class P | |
U.S. Equity Dividend and Premium | | $ | 405,941 | | | $ | 851,765 | | | $ | 259,805 | | | $ | 181,712 | | | $ | 524,489 | | | $ | 684,343 | | | $ | 79,440 | | | $ | 196,684 | |
International Equity Dividend and Premium | | | 5,468 | | | | 3,169 | | | | 3,500 | | | | 676 | | | | 1,971 | | | | 7,999 | | | | 28,003 | | | | 25,160 | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | | | | | International Equity Dividend and Premium Fund | |
| | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | | | | | | For the Fiscal
Year Ended
December 31, 2021 | | | For the Fiscal
Year Ended
December 31, 2020 | |
| | From operations: | | | | | | | | | | | | | |
| | Net investment income | | $ | 36,810,190 | | | $ | 42,628,482 | | | | | | | $ | 5,974,522 | | | $ | 5,693,933 | |
| | Net realized gain (loss) | | | 147,586,957 | | | | 159,096,999 | | | | | | | | 9,841,480 | | | | (39,437,182 | ) |
| | Net change in unrealized gain | | | 414,042,886 | | | | 67,663,187 | | | | | | | | 1,174,822 | | | | 21,956,401 | |
| | Net increase (decrease) in net assets resulting from operations | | | 598,440,033 | | | | 269,388,668 | | | | | | | | 16,990,824 | | | | (11,786,848 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (9,824,749 | ) | | | (8,813,798 | ) | | | | | | | (59,547 | ) | | | (45,797 | ) |
| | Class C Shares | | | (5,383,356 | ) | | | (7,122,278 | ) | | | | | | | (7,337 | ) | | | (11,424 | ) |
| | Institutional Shares | | | (77,734,244 | ) | | | (86,526,760 | ) | | | | | | | (146,586 | ) | | | (139,608 | ) |
| | Investor Shares | | | (26,472,514 | ) | | | (28,195,263 | ) | | | | | | | (154,566 | ) | | | (108,837 | ) |
| | Class R6 Shares | | | (19,587,103 | ) | | | (14,541,591 | ) | | | | | | | (2,859,038 | ) | | | (2,843,419 | ) |
| | Class P Shares | | | (40,891,276 | ) | | | (41,326,407 | ) | | | | | | | (2,564,990 | ) | | | (2,619,218 | ) |
| | Return of capital | | | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | — | | | | (34,917 | ) | | | | | | | — | | | | (1,071 | ) |
| | Class C Shares | | | — | | | | (32,721 | ) | | | | | | | — | | | | (382 | ) |
| | Institutional Shares | | | — | | | | (320,645 | ) | | | | | | | — | | | | (2,873 | ) |
| | Investor Shares | | | — | | | | (111,393 | ) | | | | | | | — | | | | (2,391 | ) |
| | Class R6 Shares | | | — | | | | (57,937 | ) | | | | | | | — | | | | (57,728 | ) |
| | Class P Shares | | | — | | | | (157,363 | ) | | | | | | | — | | | | (53,449 | ) |
| | Total distributions to shareholders | | | (179,893,242 | ) | | | (187,241,073 | ) | | | | | | | (5,792,064 | ) | | | (5,886,197 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | From share transactions: | | | | | | | | | | | | | |
| | Proceeds from sales of shares | | | 604,320,258 | | | | 650,146,397 | | | | | | | | 15,077,004 | | | | 24,809,273 | |
| | Reinvestment of distributions | | | 163,634,347 | | | | 169,859,628 | | | | | | | | 5,716,638 | | | | 5,825,672 | |
| | Cost of shares redeemed | | | (762,104,051 | ) | | | (1,193,732,492 | ) | | | | | | | (47,759,106 | ) | | | (110,895,820 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 5,850,554 | | | | (373,726,467 | ) | | | | | | | (26,965,464 | ) | | | (80,260,875 | ) |
| | TOTAL INCREASE (DECREASE) | | | 424,397,345 | | | | (291,578,872 | ) | | | | | | | (15,766,704 | ) | | | (97,933,920 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | | |
| | Beginning of year | | | 2,711,655,361 | | | | 3,003,234,233 | | | | | | | | 200,846,961 | | | | 298,780,881 | |
| | | | | | |
| | End of year | | $ | 3,136,052,706 | | | $ | 2,711,655,361 | | | | | | | $ | 185,080,257 | | | $ | 200,846,961 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 14.20 | | | $ | 13.38 | | | $ | 11.46 | | | $ | 13.16 | | | $ | 12.11 | |
| | | | | | |
| | Net investment income(a) | | | 0.15 | | | | 0.18 | | | | 0.21 | | | | 0.21 | | | | 0.19 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.01 | | | | 1.61 | | | | 2.57 | | | | (1.05 | ) | | | 1.61 | |
| | | | | | |
| | Total from investment operations | | | 3.16 | | | | 1.79 | | | | 2.78 | | | | (0.84 | ) | | | 1.80 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.15 | ) | | | (0.19 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.19 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.78 | ) | | | (0.78 | ) | | | (0.65 | ) | | | (0.64 | ) | | | (0.56 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.93 | ) | | | (0.97 | ) | | | (0.86 | ) | | | (0.86 | ) | | | (0.75 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.43 | | | $ | 14.20 | | | $ | 13.38 | | | $ | 11.46 | | | $ | 13.16 | |
| | | | | | |
| | Total return(c) | | | 22.42 | % | | | 13.62 | % | | | 24.62 | % | | | (6.63 | )% | | | 14.83 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 183,895 | | | $ | 135,937 | | | $ | 195,689 | | | $ | 187,524 | | | $ | 275,451 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.06 | % | | | 1.09 | % | | | 1.12 | % | | | 1.12 | % | | | 1.13 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.13 | % | | | 1.15 | % | | | 1.16 | % | | | 1.15 | % | | | 1.15 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.97 | % | | | 1.41 | % | | | 1.65 | % | | | 1.61 | % | | | 1.47 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 19 | % | | | 39 | % | | | 26 | % | | | 37 | % | | | 34 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 14.14 | | | $ | 13.33 | | | $ | 11.41 | | | $ | 13.11 | | | $ | 12.07 | |
| | | | | | |
| | Net investment income(a) | | | 0.04 | | | | 0.08 | | | | 0.12 | | | | 0.11 | | | | 0.10 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.99 | | | | 1.60 | | | | 2.57 | | | | (1.05 | ) | | | 1.60 | |
| | | | | | |
| | Total from investment operations | | | 3.03 | | | | 1.68 | | | | 2.69 | | | | (0.94 | ) | | | 1.70 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.03 | ) | | | (0.09 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.10 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.78 | ) | | | (0.78 | ) | | | (0.65 | ) | | | (0.64 | ) | | | (0.56 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.81 | ) | | | (0.87 | ) | | | (0.77 | ) | | | (0.76 | ) | | | (0.66 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.36 | | | $ | 14.14 | | | $ | 13.33 | | | $ | 11.41 | | | $ | 13.11 | |
| | | | | | |
| | Total return(c) | | | 21.48 | % | | | 12.83 | % | | | 23.72 | % | | | (7.38 | )% | | | 13.99 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 109,023 | | | $ | 118,819 | | | $ | 141,029 | | | $ | 139,580 | | | $ | 177,178 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.81 | % | | | 1.84 | % | | | 1.87 | % | | | 1.87 | % | | | 1.88 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.88 | % | | | 1.90 | % | | | 1.91 | % | | | 1.90 | % | | | 1.90 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 0.23 | % | | | 0.64 | % | | | 0.90 | % | | | 0.86 | % | | | 0.76 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 19 | % | | | 39 | % | | | 26 | % | | | 37 | % | | | 34 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 14.16 | | | $ | 13.35 | | | $ | 11.43 | | | $ | 13.13 | | | $ | 12.09 | |
| | | | | | |
| | Net investment income(a) | | | 0.21 | | | | 0.23 | | | | 0.26 | | | | 0.27 | | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.99 | | | | 1.60 | | | | 2.57 | | | | (1.06 | ) | | | 1.60 | |
| | | | | | |
| | Total from investment operations | | | 3.20 | | | | 1.83 | | | | 2.83 | | | | (0.79 | ) | | | 1.84 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.21 | ) | | | (0.24 | ) | | | (0.26 | ) | | | (0.27 | ) | | | (0.24 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.78 | ) | | | (0.78 | ) | | | (0.65 | ) | | | (0.64 | ) | | | (0.56 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.02 | ) | | | (0.91 | ) | | | (0.91 | ) | | | (0.80 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.37 | | | $ | 14.16 | | | $ | 13.35 | | | $ | 11.43 | | | $ | 13.13 | |
| | | | | | |
| | Total return(c) | | | 22.82 | % | | | 14.12 | % | | | 25.06 | % | | | (6.28 | )% | | | 15.31 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 1,329,450 | | | $ | 1,252,383 | | | $ | 1,242,858 | | | $ | 1,106,179 | | | $ | 2,565,883 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.71 | % | | | 0.72 | % | | | 0.75 | % | | | 0.74 | % | | | 0.74 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.76 | % | | | 0.78 | % | | | 0.77 | % | | | 0.76 | % | | | 0.76 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.33 | % | | | 1.73 | % | | | 2.02 | % | | | 2.01 | % | | | 1.89 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 19 | % | | | 39 | % | | | 26 | % | | | 37 | % | | | 34 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | |
| | | | | Investor Shares(a) | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 14.17 | | | $ | 13.36 | | | $ | 11.44 | | | $ | 13.14 | | | $ | 12.10 | |
| | | | | | |
| | Net investment income(b) | | | 0.19 | | | | 0.21 | | | | 0.25 | | | | 0.25 | | | | 0.23 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 2.99 | | | | 1.60 | | | | 2.57 | | | | (1.06 | ) | | | 1.60 | |
| | | | | | |
| | Total from investment operations | | | 3.18 | | | | 1.81 | | | | 2.82 | | | | (0.81 | ) | | | 1.83 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.19 | ) | | | (0.22 | ) | | | (0.25 | ) | | | (0.25 | ) | | | (0.23 | ) |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.78 | ) | | | (0.78 | ) | | | (0.65 | ) | | | (0.64 | ) | | | (0.56 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (c) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.97 | ) | | | (1.00 | ) | | | (0.90 | ) | | | (0.89 | ) | | | (0.79 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 16.38 | | | $ | 14.17 | | | $ | 13.36 | | | $ | 11.44 | | | $ | 13.14 | |
| | | | | | |
| | Total return(d) | | | 22.78 | % | | | 13.90 | % | | | 25.00 | % | | | (6.47 | )% | | | 15.18 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 473,054 | | | $ | 402,711 | | | $ | 468,254 | | | $ | 432,136 | | | $ | 473,178 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.81 | % | | | 0.83 | % | | | 0.87 | % | | | 0.87 | % | | | 0.88 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.88 | % | | | 0.90 | % | | | 0.91 | % | | | 0.90 | % | | | 0.90 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.23 | % | | | 1.64 | % | | | 1.90 | % | | | 1.86 | % | | | 1.76 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 19 | % | | | 39 | % | | | 26 | % | | | 37 | % | | | 34 | % |
| | (a) | | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | | | April 30, 2018*
to
December 31, 2018 | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 14.15 | | | $ | 13.34 | | | $ | 11.42 | | | $ | 12.84 | |
| | | | | |
| | Net investment income(a) | | | 0.21 | | | | 0.23 | | | | 0.26 | | | | 0.17 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 2.99 | | | | 1.60 | | | | 2.57 | | | | (0.75 | ) |
| | | | | |
| | Total from investment operations | | | 3.20 | | | | 1.83 | | | | 2.83 | | | | (0.58 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.21 | ) | | | (0.24 | ) | | | (0.26 | ) | | | (0.20 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.78 | ) | | | (0.78 | ) | | | (0.65 | ) | | | (0.64 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.02 | ) | | | (0.91 | ) | | | (0.84 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 16.36 | | | $ | 14.15 | | | $ | 13.34 | | | $ | 11.42 | |
| | | | | |
| | Total return(c) | | | 22.85 | % | | | 14.13 | % | | | 25.09 | % | | | (4.78 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 336,827 | | | $ | 208,584 | | | $ | 275,973 | | | $ | 252,381 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.70 | % | | | 0.72 | % | | | 0.74 | % | | | 0.73 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.75 | % | | | 0.77 | % | | | 0.76 | % | | | 0.76 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 1.33 | % | | | 1.77 | % | | | 2.03 | % | | | 1.91 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 19 | % | | | 39 | % | | | 26 | % | | | 37 | % |
| | * | | Commencement of operations. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (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. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | April 17, 2018*
to
December 31, 2018 | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 14.15 | | | $ | 13.34 | | | $ | 11.43 | | | $ | 13.12 | |
| | | | | |
| | Net investment income(a) | | | 0.21 | | | | 0.23 | | | | 0.26 | | | | 0.18 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 3.00 | | | | 1.60 | | | | 2.56 | | | | (1.03 | ) |
| | | | | |
| | Total from investment operations | | | 3.21 | | | | 1.83 | | | | 2.82 | | | | (0.85 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.21 | ) | | | (0.24 | ) | | | (0.26 | ) | | | (0.20 | ) |
| | | | | |
| | Distributions to shareholders from net realized gains | | | (0.78 | ) | | | (0.78 | ) | | | (0.65 | ) | | | (0.64 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.02 | ) | | | (0.91 | ) | | | (0.84 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 16.37 | | | $ | 14.15 | | | $ | 13.34 | | | $ | 11.43 | |
| | | | | |
| | Total return(c) | | | 22.93 | % | | | 14.05 | % | | | 25.07 | % | | | (6.73 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 703,803 | | | $ | 593,220 | | | $ | 679,431 | | | $ | 648,424 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.70 | % | | | 0.72 | % | | | 0.74 | % | | | 0.73 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 0.75 | % | | | 0.77 | % | | | 0.76 | % | | | 0.76 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 1.34 | % | | | 1.76 | % | | | 2.03 | % | | | 1.93 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 19 | % | | | 39 | % | | | 26 | % | | | 37 | % |
| | * | | Commencement of operations. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (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. | | 33 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | |
| | | | | Class A Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.16 | | | $ | 7.28 | | | $ | 6.55 | | | $ | 7.76 | | | $ | 6.43 | |
| | | | | | |
| | Net investment income(a) | | | 0.21 | | | | 0.15 | | | | 0.20 | | | | 0.20 | | | | 0.15 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.42 | | | | (0.11 | ) | | | 0.73 | | | | (1.22 | ) | | | 1.34 | |
| | | | | | |
| | Total from investment operations | | | 0.63 | | | | 0.04 | | | | 0.93 | | | | (1.02 | ) | | | 1.49 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.20 | ) | | | (0.16 | ) | | | (0.20 | ) | | | (0.19 | ) | | | (0.16 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.20 | ) | | | (0.16 | ) | | | (0.20 | ) | | | (0.19 | ) | | | (0.16 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 7.59 | | | $ | 7.16 | | | $ | 7.28 | | | $ | 6.55 | | | $ | 7.76 | |
| | | | | | |
| | Total return(c) | | | 8.94 | % | | | 0.93 | % | | | 14.42 | % | | | (13.34 | )% | | | 23.36 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,170 | | | $ | 2,050 | | | $ | 2,424 | | | $ | 2,232 | | | $ | 3,962 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.23 | % | | | 1.27 | % | | | 1.33 | % | | | 1.34 | % | | | 1.34 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.39 | % | | | 1.48 | % | | | 1.44 | % | | | 1.38 | % | | | 1.34 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 2.85 | % | | | 2.39 | % | | | 2.86 | % | | | 2.71 | % | | | 2.16 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 17 | % | | | 34 | % | | | 9 | % | | | 14 | % | | | 17 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | |
| | | | | Class C Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 6.90 | | | $ | 7.02 | | | $ | 6.32 | | | $ | 7.48 | | | $ | 6.21 | |
| | | | | | |
| | Net investment income(a) | | | 0.14 | | | | 0.10 | | | | 0.14 | | | | 0.16 | | | | 0.09 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.42 | | | | (0.11 | ) | | | 0.71 | | | | (1.20 | ) | | | 1.30 | |
| | | | | | |
| | Total from investment operations | | | 0.56 | | | | (0.01 | ) | | | 0.85 | | | | (1.04 | ) | | | 1.39 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.14 | ) | | | (0.11 | ) | | | (0.15 | ) | | | (0.12 | ) | | | (0.12 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.14 | ) | | | (0.11 | ) | | | (0.15 | ) | | | (0.12 | ) | | | (0.12 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 7.32 | | | $ | 6.90 | | | $ | 7.02 | | | $ | 6.32 | | | $ | 7.48 | |
| | | | | | |
| | Total return(c) | | | 8.22 | % | | | 0.18 | % | | | 13.54 | % | | | (14.01 | )% | | | 22.50 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 362 | | | $ | 621 | | | $ | 815 | | | $ | 1,252 | | | $ | 4,276 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.98 | % | | | 2.02 | % | | | 2.08 | % | | | 2.09 | % | | | 2.09 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 2.16 | % | | | 2.23 | % | | | 2.19 | % | | | 2.11 | % | | | 2.09 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 1.91 | % | | | 1.63 | % | | | 2.11 | % | | | 2.24 | % | | | 1.29 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 17 | % | | | 34 | % | | | 9 | % | | | 14 | % | | | 17 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | |
| | | | | Institutional Shares | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.01 | | | $ | 7.14 | | | $ | 6.42 | | | $ | 7.62 | | | $ | 6.32 | |
| | | | | | |
| | Net investment income(a) | | | 0.24 | | | | 0.16 | | | | 0.22 | | | | 0.31 | | | | 0.18 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.41 | | | | (0.10 | ) | | | 0.73 | | | | (1.29 | ) | | | 1.31 | |
| | | | | | |
| | Total from investment operations | | | 0.65 | | | | 0.06 | | | | 0.95 | | | | (0.98 | ) | | | 1.49 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.23 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.22 | ) | | | (0.19 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.23 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.22 | ) | | | (0.19 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 7.43 | | | $ | 7.01 | | | $ | 7.14 | | | $ | 6.42 | | | $ | 7.62 | |
| | | | | | |
| | Total return(c) | | | 9.38 | % | | | 1.18 | % | | | 14.82 | % | | | (12.96 | )% | | | 23.85 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 4,417 | | | $ | 4,897 | | | $ | 12,005 | | | $ | 15,696 | | | $ | 399,955 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.89 | % | | | 0.92 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.04 | % | | | 1.10 | % | | | 1.06 | % | | | 0.95 | % | | | 0.95 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 3.19 | % | | | 2.51 | % | | | 3.28 | % | | | 4.12 | % | | | 2.58 | % |
| | | | | | |
| | Portfolio turnover rate(d) | | | 17 | % | | | 34 | % | | | 9 | % | | | 14 | % | | | 17 | % |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | |
| | | | | Investor Shares(a) | |
| | | | | Year Ended December 31, | |
| | | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 7.00 | | | $ | 7.12 | | | $ | 6.41 | | | $ | 7.60 | | | $ | 6.31 | |
| | | | | | |
| | Net investment income(b) | | | 0.23 | | | | 0.15 | | | | 0.21 | | | | 0.20 | | | | 0.17 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.40 | | | | (0.09 | ) | | | 0.72 | | | | (1.18 | ) | | | 1.30 | |
| | | | | | |
| | Total from investment operations | | | 0.63 | | | | 0.06 | | | | 0.93 | | | | (0.98 | ) | | | 1.47 | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.18 | ) | | | (0.22 | ) | | | (0.21 | ) | | | (0.18 | ) |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (c) | | | — | | | | — | | | | — | |
| | | | | | |
| | Total distributions | | | (0.22 | ) | | | (0.18 | ) | | | (0.22 | ) | | | (0.21 | ) | | | (0.18 | ) |
| | | | | | |
| | Net asset value, end of year | | $ | 7.41 | | | $ | 7.00 | | | $ | 7.12 | | | $ | 6.41 | | | $ | 7.60 | |
| | | | | | |
| | Total return(d) | | | 9.15 | % | | | 1.20 | % | | | 14.71 | % | | | (13.10 | )% | | | 23.58 | % |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 5,313 | | | $ | 4,288 | | | $ | 8,915 | | | $ | 8,207 | | | $ | 6,048 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.98 | % | | | 1.03 | % | | | 1.08 | % | | | 1.09 | % | | | 1.09 | % |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.14 | % | | | 1.23 | % | | | 1.19 | % | | | 1.14 | % | | | 1.09 | % |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 3.09 | % | | | 2.39 | % | | | 3.14 | % | | | 2.76 | % | | | 2.36 | % |
| | | | | | |
| | Portfolio turnover rate(e) | | | 17 | % | | | 34 | % | | | 9 | % | | | 14 | % | | | 17 | % |
| | (a) | | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| | (b) | | Calculated based on the average shares outstanding methodology. |
| | (c) | | Amount is less than $0.005 per share. |
| | (d) | | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | |
| | | | | Class R6 Shares | |
| | | | | Year Ended December 31, | | | April 30, 2018*
to
December 31, 2018 | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 7.01 | | | $ | 7.13 | | | $ | 6.42 | | | $ | 7.60 | |
| | | | | |
| | Net investment income(a) | | | 0.23 | | | | 0.17 | | | | 0.22 | | | | 0.08 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.42 | | | | (0.10 | ) | | | 0.72 | | | | (1.07 | ) |
| | | | | |
| | Total from investment operations | | | 0.65 | | | | 0.07 | | | | 0.94 | | | | (0.99 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.23 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.19 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.23 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.19 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 7.43 | | | $ | 7.01 | | | $ | 7.13 | | | $ | 6.42 | |
| | | | | |
| | Total return(c) | | | 9.38 | % | | | 1.34 | % | | | 14.85 | % | | | (13.25 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 91,208 | | | $ | 102,041 | | | $ | 136,241 | | | $ | 125,311 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.88 | % | | | 0.90 | % | | | 0.94 | % | | | 0.93 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 1.02 | % | | | 1.10 | % | | | 1.05 | % | | | 1.03 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 3.14 | % | | | 2.70 | % | | | 3.23 | % | | | 1.81 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 17 | % | | | 34 | % | | | 9 | % | | | 14 | % |
| | * | | Commencement of operations. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (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. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | |
| | | | | Class P Shares | |
| | | | | Year Ended December 31, | | | April 17, 2018*
to
December 31, 2018 | |
| | | | | 2021 | | | 2020 | | | 2019 | |
| | Per Share Data | | | | | | | | | | | | | | | | |
| | | | | |
| | Net asset value, beginning of period | | $ | 7.02 | | | $ | 7.14 | | | $ | 6.43 | | | $ | 7.71 | |
| | | | | |
| | Net investment income(a) | | | 0.23 | | | | 0.17 | | | | 0.22 | | | | 0.09 | |
| | | | | |
| | Net realized and unrealized gain (loss) | | | 0.42 | | | | (0.10 | ) | | | 0.72 | | | | (1.18 | ) |
| | | | | |
| | Total from investment operations | | | 0.65 | | | | 0.07 | | | | 0.94 | | | | (1.09 | ) |
| | | | | |
| | Distributions to shareholders from net investment income | | | (0.23 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.19 | ) |
| | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | (b) | | | — | | | | — | |
| | | | | |
| | Total distributions | | | (0.23 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.19 | ) |
| | | | | |
| | Net asset value, end of period | | $ | 7.44 | | | $ | 7.02 | | | $ | 7.14 | | | $ | 6.43 | |
| | | | | |
| | Total return(c) | | | 9.37 | % | | | 1.33 | % | | | 14.83 | % | | | (14.35 | )% |
| | | | | |
| | Net assets, end of period (in 000s) | | $ | 81,611 | | | $ | 86,949 | | | $ | 138,381 | | | $ | 162,129 | |
| | | | | |
| | Ratio of net expenses to average net assets | | | 0.88 | % | | | 0.90 | % | | | 0.94 | % | | | 0.93 | %(d) |
| | | | | |
| | Ratio of total expenses to average net assets | | | 1.02 | % | | | 1.10 | % | | | 1.05 | % | | | 1.03 | %(d) |
| | | | | |
| | Ratio of net investment income to average net assets | | | 3.17 | % | | | 2.67 | % | | | 3.26 | % | | | 1.81 | %(d) |
| | | | | |
| | Portfolio turnover rate(e) | | | 17 | % | | | 34 | % | | | 9 | % | | | 14 | % |
| | * | | Commencement of operations. |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Amount is less than $0.005 per share. |
| | (c) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (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. | | 39 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements
December 31, 2021
Goldman Sachs Trust (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 |
U.S. Equity Dividend and Premium and International Equity Dividend and Premium | | A, C, Institutional, Investor, R6 and P | | Diversified |
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 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 Funds pursuant to a management agreement (the “Agreement”) with the Trust.
|
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. 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. 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 Statements of Operations. 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 United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
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
40
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| | | | | | |
| Fund | | | | Income Distributions Declared/Paid | | Capital Gains Distributions
Declared/Paid |
U.S. Equity Dividend and Premium International Equity Dividend and Premium | | | | Quarterly | | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| | |
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS | | |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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.
41
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 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 U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying 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.
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. 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.
42
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
ii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| | | | | | | | | | | | |
|
| U.S. EQUITY DIVIDEND AND PREMIUM | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Europe | | $ | 30,203,383 | | | $ | — | | | $ | — | |
| | | |
North America | | | 3,138,952,334 | | | | — | | | | — | |
| | | |
South America | | | 18,265,894 | | | | — | | | | — | |
| | | |
Investment Company | | | 4,137,766 | | | | — | | | | — | |
| | | |
| Total | | $ | 3,191,559,377 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets(b) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 151,465 | | | $ | — | | | $ | — | |
| | | |
| Liabilities | | | | | | | | | | | | |
| | | |
Written Options Contracts | | $ | (38,868,605 | ) | | $ | — | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at fiscal year end. |
43
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| | | |
| Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Africa | | $ | — | | | $ | 82 | | | $ | — | |
| | | |
Asia | | | 169,629 | | | | 51,256,265 | | | | — | |
| | | |
Australia and Oceania | | | 2,535,821 | | | | 15,702,831 | | | | — | |
| | | |
Europe | | | 8,306,303 | | | | 101,918,673 | | | | — | |
| | | |
North America | | | — | | | | 2,713,730 | | | | — | |
| | | |
South America | | | — | | | | 305,030 | | | | — | |
| | | |
Investment Company | | | 504,243 | | | | — | | | | — | |
| | | |
| Total | | $ | 11,515,996 | | | $ | 171,896,611 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| | | |
| Assets(b) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 46,157 | | | $ | — | | | $ | — | |
| | | |
| Liabilities | | | | | | | | | | | | |
| | | |
Written Options Contracts | | $ | (2,094,784 | ) | | $ | — | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedules of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2021. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure:
| | | | | | | | | | | | | | |
| Fund | | Risk | | Statements of Assets
and Liabilities | | Assets | | | Statements of Assets
and Liabilities | | Liabilities | |
U.S. Equity Dividend and Premium | | Equity | | Variation margin on futures contracts | | $ | 151,465 | (a) | | Payable for written options, at value | | | $(38,868,605) | |
International Equity Dividend and Premium | | Equity | | Variation margin on futures contracts | | | 46,157 | (a) | | Payable for written options, at value | | | (2,094,784) | |
| Total | | | | | | $ | 197,622 | | | | | | $(40,963,389) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only variation margin as of December 31, 2021 is reported within the Statements of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2021. These gains (losses) should be considered in the context that these derivative
44
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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:
| | | | | | | | | | | | |
| Fund | | Risk | | Statements of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
U.S. Equity Dividend and Premium | | Equity | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | | $ | (93,299,460) | | | $ | 12,730,120 | |
International Equity Dividend and Premium | | Equity | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | | | (944,816) | | | | (252,208 | ) |
| Total | | | | | | $ | (94,244,276) | | | $ | 12,477,912 | |
For the fiscal year ended December 31, 2021, the relevant values for each derivative type were as follows:
| | | | | | | | |
| | | Average number of
Contracts(1) | |
| Fund | | Futures
Contracts | | | Written
Options | |
| | |
U.S. Equity Dividend and Premium | | | 146 | | | | 2,502 | |
International Equity Dividend and Premium | | | 10 | | | | 1,047 | |
| (1) | | Amounts disclosed represent average number of contracts for futures and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the fiscal year ended December 31, 2021. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2021, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | | | | | |
| Fund | | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Rate | | | Effective Net
Management
Rate^ | |
| U.S. Equity Dividend and Premium | | | | | 0.75 | % | | | 0.68 | % | | | 0.65 | % | | | 0.64 | % | | | 0.63 | % | | | 0.69 | % | | | 0.65 | %* |
International Equity Dividend and Premium | | | | | 0.81 | | | | 0.73 | | | | 0.69 | | | | 0.68 | | | | 0.67 | | | | 0.81 | | | | 0.81 | |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
| * | | GSAM agreed to waive a portion of its management fees in an amount equal to 0.04% as an annual percentage of the Fund’s average daily net assets. This waiver will be effective through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
45
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2021, GSAM waived $17,376 and $103 of the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
The Trust, on behalf of Class C Shares of each applicable 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 Funds, as set forth below.
| | | | | | | | |
| | | Distribution and/or
Service Plan Rates | |
| | | Class A* | | | Class C | |
Distribution and/or Service Plan | | | 0.25 | % | | | 0.75 | % |
| * | | With respect to Class A 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 Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2021, Goldman Sachs retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
U.S. Equity Dividend and Premium | | | | $ | 19,352 | | | $ | — | |
International Equity Dividend and Premium | | | | | 181 | | | | — | |
D. Service Plan — The Trust, on behalf of each applicable 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 Funds.
E. 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: 0.16% of the average daily net assets of Class A, Class C and Investor 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 0.02% and 0.03% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds, respectively. This arrangement will remain in effect through at least April 30, 2022, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
46
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds are 0.014% and 0.044%, respectively. These Other Expense limitations will remain in place through at least April 30, 2022, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended December 31, 2021, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Other Expense
Reimbursement | | | Transfer Agency
Waivers/Credits | | | Total
Expense
Reductions | |
U.S. Equity Dividend and Premium | | | | $ | 1,191,506 | | | $ | 330,254 | | | $ | 140,720 | | | $ | 1,662,480 | |
International Equity Dividend and Premium | | | | | 103 | | | | 250,764 | | | | 2,282 | | | | 253,149 | |
G. Line of Credit Facility — As of December 31, 2021, the Funds participated in a $1,000,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2021, the Funds did not have any borrowings under the facility. Prior to April 26, 2021, the facility was $700,000,000.
H. Other Transactions with Affiliates — The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Beginning
Value as of
December 31, 2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31, 2021 | | | Shares as of
December 31, 2021 | | | Dividend
Income | |
U.S. Equity Dividend and Premium | | $ | 61,847,593 | | | $ | 328,162,842 | | | $ | (385,872,669 | ) | | $ | 4,137,766 | | | | 4,137,766 | | | $ | 13,506 | |
International Equity Dividend and Premium | | | 30,000 | | | | 12,544,717 | | | | (12,070,474 | ) | | | 504,243 | | | | 504,243 | | | | 76 | |
As of December 31, 2021, the following Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | |
| Fund | | | | Goldman Sachs
Enhanced Dividend
Global Equity
Portfolio | |
U.S. Equity Dividend and Premium | | | | | 7 | % |
International Equity Dividend and Premium | | | | | 49 | |
47
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2021, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales | |
U.S. Equity Dividend and Premium | | | | $ | 543,438,533 | | | $ | 703,504,924 | |
International Equity Dividend and Premium | | | | | 32,405,101 | | | | 58,993,934 | |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2021, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds did not have securities on loan as of December 31, 2021.
Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended December 31, 2021, are reported under Investment Income on the Statements of Operations.
48
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
| 7. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | |
| | | | | For the fiscal year ended December 31, 2021 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amounts Received
by the Funds
from Lending to
Goldman Sachs | |
U.S. Equity Dividend and Premium | | | | $ | 3,446 | | | $ | 134 | |
International Equity Dividend and Premium | | | | | 71 | | | | 59 | |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the fiscal year ended December 31, 2021:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Beginning
Value as of
December 31, 2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31, 2021 | |
U.S. Equity Dividend and Premium | | | | $ | 5,425,300 | | | $ | 315,243,740 | | | $ | (320,669,040 | ) | | $ | — | |
International Equity Dividend and Premium | | | | | — | | | | 14,282,920 | | | | (14,282,920 | ) | | | — | |
The tax character of distributions paid during the fiscal year ended December 31, 2021 was as follows:
| | | | | | | | |
| | | U.S. Equity
Dividend and
Premium | | | International Equity
Dividend and
Premium | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 36,715,547 | | | $ | 5,792,064 | |
Net long-term capital gains | | | 143,177,695 | | | | — | |
Total distributions | | $ | 179,893,242 | | | $ | 5,792,064 | |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
| | | | | | | | |
| | | U.S. Equity
Dividend and
Premium | | | International Equity
Dividend and
Premium | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 43,341,396 | | | $ | 5,768,303 | |
Net long-term capital gains | | | 143,184,701 | | | | — | |
Return of capital | | | 714,976 | | | | 117,894 | |
Total distributions | | $ | 187,241,073 | | | $ | 5,886,197 | |
49
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 8. TAX INFORMATION (continued) |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | | | | | |
| | | U.S. Equity
Dividend and
Premium | | | International Equity
Dividend and
Premium | |
Undistributed ordinary income — net | | $ | 167,599 | | | $ | 63,296 | |
Capital loss carryforwards:(1) | | | | | | | | |
Perpetual Long-term | | $ | — | | | $ | (74,546,117 | ) |
Perpetual Short-term | | | — | | | | (8,437,388 | ) |
Total capital loss carryforwards | | $ | — | | | $ | (82,983,505 | ) |
Timing differences (Real Estate Investment Trusts/Post October Capital Loss Deferral) | | | (9,121,110 | ) | | | (21,840 | ) |
Unrealized gains — net | | | 1,082,718,074 | | | | 40,315,845 | |
Total accumulated gains (losses) — net | | $ | 1,073,764,563 | | | $ | (42,626,204 | ) |
| (1) | | The International Equity Dividend and Premium Fund utilized $5,739,988 of capital losses in the current fiscal year. |
As of December 31, 2021, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | U.S. Equity
Dividend and
Premium | | | International
Equity Dividend
and Premium | |
Tax cost | | $ | 2,099,740,556 | | | $ | 142,633,886 | |
Gross unrealized gain | | | 1,154,184,529 | | | | 50,597,885 | |
Gross unrealized loss | | | (71,466,455 | ) | | | (10,282,040 | ) |
Net unrealized gain | | $ | 1,082,718,074 | | | $ | 40,315,845 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts, and differences in the tax treatment of partnership investments and real estate investment trust investments.
The U.S. Equity Dividend and Premium Fund reclassed $714,976 to paid-in capital from distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of underlying fund investments.
The International Equity Dividend and Premium Fund reclassed $9,553 to paid-in capital from distributable earnings for the year ending December 31, 2021. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of partnership investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
50
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
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 exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, 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.
51
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 9. OTHER RISKS (continued) |
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. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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.
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.
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.
52
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Dividend and Premium Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,071,696 | | | $ | 47,934,630 | | | | 2,601,527 | | | $ | 34,248,716 | |
Reinvestment of distributions | | | 538,836 | | | | 8,627,242 | | | | 584,009 | | | | 7,945,436 | |
Shares redeemed | | | (1,986,087 | ) | | | (31,209,475 | ) | | | (8,235,498 | ) | | | (98,280,277 | ) |
| | | | 1,624,445 | | | | 25,352,397 | | | | (5,049,962 | ) | | | (56,086,125 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 663,493 | | | | 10,366,879 | | | | 833,219 | | | | 11,031,713 | |
Reinvestment of distributions | | | 306,290 | | | | 4,890,543 | | | | 471,148 | | | | 6,434,889 | |
Shares redeemed | | | (2,707,607 | ) | | | (41,897,327 | ) | | | (3,483,419 | ) | | | (44,305,190 | ) |
| | | | (1,737,824 | ) | | | (26,639,905 | ) | | | (2,179,052 | ) | | | (26,838,588 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 15,305,046 | | | | 239,419,750 | | | | 38,250,549 | | | | 483,838,534 | |
Reinvestment of distributions | | | 4,277,140 | | | | 68,232,724 | | | | 5,239,327 | | | | 71,089,349 | |
Shares redeemed | | | (26,845,489 | ) | | | (423,221,873 | ) | | | (48,141,547 | ) | | | (590,714,675 | ) |
| | | | (7,263,303 | ) | | | (115,569,399 | ) | | | (4,651,671 | ) | | | (35,786,792 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,748,651 | | | | 106,802,082 | | | | 5,801,640 | | | | 73,329,566 | |
Reinvestment of distributions | | | 1,657,720 | | | | 26,470,639 | | | | 2,092,102 | | | | 28,306,656 | |
Shares redeemed | | | (7,959,798 | ) | | | (123,914,679 | ) | | | (14,526,808 | ) | | | (184,500,914 | ) |
| | | | 446,573 | | | | 9,358,042 | | | | (6,633,066 | ) | | | (82,864,692 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 8,807,588 | | | | 141,751,659 | | | | 426,781 | | | | 5,834,309 | |
Reinvestment of distributions | | | 910,495 | | | | 14,521,923 | | | | 1,083,068 | | | | 14,599,528 | |
Shares redeemed | | | (3,874,637 | ) | | | (60,289,891 | ) | | | (7,453,462 | ) | | | (88,937,447 | ) |
| | | | 5,843,446 | | | | 95,983,691 | | | | (5,943,613 | ) | | | (68,503,610 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,705,712 | | | | 58,045,258 | | | | 3,523,930 | | | | 41,863,559 | |
Reinvestment of distributions | | | 2,563,555 | | | | 40,891,276 | | | | 3,070,150 | | | | 41,483,770 | |
Shares redeemed | | | (5,184,667 | ) | | | (81,570,806 | ) | | | (15,593,577 | ) | | | (186,993,989 | ) |
| | | | 1,084,600 | | | | 17,365,728 | | | | (8,999,497 | ) | | | (103,646,660 | ) |
| | | | |
NET INCREASE (DECREASE) | | | (2,063 | ) | | $ | 5,850,554 | | | | (33,456,861 | ) | | $ | (373,726,467 | ) |
53
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
December 31, 2021
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | International Equity Dividend and Premium Fund | |
| | | For the Fiscal Year Ended
December 31, 2021 | | | For the Fiscal Year Ended
December 31, 2020 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 38,276 | | | $ | 286,919 | | | | 46,550 | | | $ | 307,171 | |
Reinvestment of distributions | | | 7,993 | | | | 59,547 | | | | 7,439 | | | | 46,424 | |
Shares redeemed | | | (46,827 | ) | | | (350,353 | ) | | | (100,693 | ) | | | (611,124 | ) |
| | | | (558 | ) | | | (3,887 | ) | | | (46,704 | ) | | | (257,529 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,171 | | | | 30,400 | | | | 6,152 | | | | 39,218 | |
Reinvestment of distributions | | | 1,003 | | | | 7,221 | | | | 1,935 | | | | 11,582 | |
Shares redeemed | | | (45,662 | ) | | | (326,957 | ) | | | (34,158 | ) | | | (210,609 | ) |
| | | | (40,488 | ) | | | (289,336 | ) | | | (26,071 | ) | | | (159,809 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 81,531 | | | | 591,238 | | | | 109,441 | | | | 689,860 | |
Reinvestment of distributions | | | 12,678 | | | | 92,444 | | | | 13,616 | | | | 82,624 | |
Shares redeemed | | | (198,016 | ) | | | (1,459,775 | ) | | | (1,106,946 | ) | | | (6,253,743 | ) |
| | | | (103,807 | ) | | | (776,093 | ) | | | (983,889 | ) | | | (5,481,259 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 275,916 | | | | 2,021,371 | | | | 351,438 | | | | 2,270,728 | |
Reinvestment of distributions | | | 21,259 | | | | 154,566 | | | | 18,330 | | | | 111,228 | |
Shares redeemed | | | (193,155 | ) | | | (1,419,459 | ) | | | (1,009,587 | ) | | | (6,010,595 | ) |
| | | | 104,020 | | | | 756,478 | | | | (639,819 | ) | | | (3,628,639 | ) |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,073,091 | | | | 7,884,259 | | | | 1,662,305 | | | | 9,561,833 | |
Reinvestment of distributions | | | 392,194 | | | | 2,859,038 | | | | 475,235 | | | | 2,901,147 | |
Shares redeemed | | | (3,738,617 | ) | | | (27,034,591 | ) | | | (6,685,693 | ) | | | (39,308,643 | ) |
| | | | (2,273,332 | ) | | | (16,291,294 | ) | | | (4,548,153 | ) | | | (26,845,663 | ) |
| Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 576,440 | | | | 4,262,817 | | | | 1,965,602 | | | | 11,940,463 | |
Reinvestment of distributions | | | 348,446 | | | | 2,543,822 | | | | 438,126 | | | | 2,672,667 | |
Shares redeemed | | | (2,336,341 | ) | | | (17,167,971 | ) | | | (9,393,621 | ) | | | (58,501,106 | ) |
| | | | (1,411,455 | ) | | | (10,361,332 | ) | | | (6,989,893 | ) | | | (43,887,976 | ) |
| | | | |
NET DECREASE | | | (3,725,620 | ) | | $ | (26,965,464 | ) | | | (13,234,529 | ) | | $ | (80,260,875 | ) |
54
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S. Equity Dividend and Premium Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S. Equity Dividend and Premium Fund (two of the Funds constituting Goldman Sachs Trust, referred to hereafter as the “Funds”) as of December 31, 2021, the related statements of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations for the year then ended, the changes in their net assets for each of the two years in the period ended December 31, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
March 1, 2022
We have served as the auditor of one or more investment companies in the Goldman Sachs Funds complex since 2000.
55
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
| | |
| | |
Fund Expenses — Six Month Period Ended December 31, 2021 (Unaudited) | | |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6 or Class P Shares of a 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), (if any); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A and Class C 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 and Class P Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2021 through December 31, 2021, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | U.S. Equity Dividend and Premium Fund | | | International Equity Dividend and Premium Fund | |
| Share Class | | Beginning
Account Value
07/01/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 Months
Ended
12/31/21* | | | Beginning
Account Value
07/01/21 | | | Ending
Account Value
12/31/21 | | | Expenses
Paid for the
6 Months
Ended
12/31/21* | |
| | | | | | | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,086.50 | | | $ | 5.57 | | | $ | 1,000 | | | $ | 1,022.10 | | | $ | 6.27 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.86 | + | | | 5.40 | | | | 1,000 | | | | 1,019.00 | + | | | 6.26 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,082.40 | | | | 9.50 | | | | 1,000 | | | | 1,018.80 | | | | 10.08 | |
Hypothetical 5% return | | | 1,000 | | | | 1,016.08 | + | | | 9.20 | | | | 1,000 | | | | 1,015.22 | + | | | 10.06 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,088.70 | | | | 3.74 | | | | 1,000 | | | | 1,024.50 | | | | 4.54 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.63 | + | | | 3.62 | | | | 1,000 | | | | 1,020.72 | + | | | 4.53 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,088.10 | | | | 4.26 | | | | 1,000 | | | | 1,022.70 | | | | 5.00 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.12 | + | | | 4.13 | | | | 1,000 | | | | 1,020.27 | + | | | 4.99 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,088.90 | | | | 3.69 | | | | 1,000 | | | | 1,024.50 | | | | 4.49 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.68 | + | | | 3.57 | | | | 1,000 | | | | 1,020.77 | + | | | 4.48 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,088.80 | | | | 3.69 | | | | 1,000 | | | | 1,024.50 | | | | 4.49 | |
Hypothetical 5% return | | | 1,000 | | | | 1,021.68 | + | | | 3.57 | | | | 1,000 | | | | 1,020.77 | + | | | 4.48 | |
| | + | | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. | |
| | * | | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2021. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class P | |
U.S. Equity Dividend and Premium | | | 1.06 | % | | | 1.81 | % | | | 0.71 | % | | | 0.81 | % | | | 0.70 | % | | | 0.70 | % |
International Equity Dividend and Premium | | | 1.23 | | | | 1.98 | | | | 0.89 | | | | 0.98 | | | | 0.88 | | | | 0.88 | |
56
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Trustees and Officers (Unaudited)
Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Jessica Palmer Age: 72 | | Chair of the Board of Trustees | | Since 2018 (Trustee since 2007) | | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Dwight L. Bush Age: 64 | | Trustee | | Since 2020 | | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); Director of MoneyLion Inc. (an operator of a data-driven, digital financial platform (2021-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Kathryn A. Cassidy Age: 67 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Diana M. Daniels Age: 72 | | Trustee | | Since 2007 | | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Joaquin Delgado Age: 61 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) |
| | | | | | | | | | |
57
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Eileen H. Dowling Age: 59 | | Trustee | | Since 2021 | | Ms. Dowling is retired. Formerly, she was Senior Advisor (April 2021-September 2021); and Managing Director (2013-2021), BlackRock, Inc. (a financial services firm). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | None |
| | | | | |
Roy W. Templin Age: 61 | | Trustee | | Since 2013 | | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling and wall systems) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Armstrong World Industries, Inc. (a ceiling and wall systems manufacturer) |
| | | | | |
Gregory G. Weaver Age: 70 | | Trustee | | Since 2015 | | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 109 | | Verizon Communications Inc. |
| | | | | | | | | | |
58
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| | | | | | | | | | |
Name,
Address and Age1 | | Position(s) Held
with the Trust | | Term of Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 170 | | None |
| | | | | | | | | | |
| * | | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2021. |
| 2 | | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2021, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 17 portfolios (13 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (16 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 38 portfolios (21 of which offered shares to the public); and Goldman Sachs ETF Trust II, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
59
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| Name, Address and Age1 | | Position(s) Held with the Trust | | Term of
Office and
Length of
Time Served2 | | Principal Occupation(s) During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 59 | | Trustee and President | | Since 2007 | | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 44 | | Secretary | | Since 2012 | | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman ETF Trust; Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 53 | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Since 2017 (Treasurer and Principal Financial Officer since 2019) | | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | | | | |
| * | | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | | Information is provided as of December 31, 2021. |
| 2 | | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Tax-Advantaged II Funds — Tax Information (Unaudited)
For the year ended December 31, 2021, 100% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium Fund qualify for the dividends received deduction available to corporations.
For the year ended December 31, 2021, the International Equity Dividend and Premium has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Equity Dividend and Premium Fund from sources within foreign countries and possessions of the United States was $0.2492 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the International Equity Dividend and Premium Fund during the year from foreign sources was 100%. The total amount of taxes paid by the International Equity Dividend and Premium Fund to such countries was $0.0093 per share.
For the year ended December 31, 2021, 100% and 100% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the U.S. Equity Dividend and Premium designates $143,177,695 or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2021.
60
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.21 trillion in assets under supervision as of December 31, 2021, 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
| ∎ | | Short-Term Conservative Income Fund |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Bond Fund4 |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | | Global Core Fixed 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 |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth 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 |
| ∎ | | Emerging Markets Equity Fund |
| ∎ | | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | | Real Estate Securities Fund |
| ∎ | | International 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 |
| ∎ | | Clean Energy Income 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. |
| | | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado
Eileen H. Dowling James A. McNamara Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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 a 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 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.
Holdings and allocations shown are as of December 31, 2021 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 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 (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2022 Goldman Sachs. All rights reserved. 268333-OTU-1554749 TAXADVAR2-22
(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. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.
| | | | | | | | | | | | |
| | | 2021 | | 2020 | | Description of Services Rendered |
| | | |
| | | | | | | | | | | | |
| | | |
Audit Fees: | | | | | | | | | | | | |
| | | |
• PricewaterhouseCoopers LLP
(“PwC”) | | | $ | 2,663,780 | | | | $ | 4,031,972 | | | Financial Statement audits. |
| | | |
Audit-Related Fees: | | | | | | | | | | | | |
| | | |
• PwC | | | $ | 365,908 | | | | $ | 344,654 | | | Other attest services. |
| | | |
Tax Fees: | | | | | | | | | | | | |
| | | |
• PwC | | | $ | 0 | | | | $ | 41,250 | | | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns and certain other tax-related services. |
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates* that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
| | | | | | | | | | | | |
| | | 2021 | | 2020 | | Description of Services Rendered |
| | | |
| | | | | | | | | | | | |
| | | |
Audit-Related Fees: | | | | | | | | | | | | |
| | | |
• PwC | | | $ | 1,906,448 | | | | $ | 2,060,932 | | | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi-annual updates related to withholding tax accrual for non-US jurisdictions. These fees are borne by the Funds’ Adviser. |
| * | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PwC for the twelve months ended December 31, 2021 and December 31, 2020 were approximately $365,908 and $385,904, respectively.
The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2020 and December 31, 2019 were approximately $14.5 million and $14.7 million, respectively. The figures for these entities are not yet available for twelve months ended December 31, 2021. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2020 and 2019 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
| 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. |
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
| 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. |
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 |
| |
| By: | | /s/ James A. McNamara |
| |
| | |
| | James A. McNamara |
| | President/Chief Executive Officer |
| | Goldman Sachs Trust |
| |
| Date: | | March 8, 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 |
| |
| Date: | | March 8, 2022 |
| |
| By: | | /s/ Joseph F. DiMaria |
| |
| | |
| | Joseph F. DiMaria |
| | Principal Financial Officer |
| | Goldman Sachs Trust |
| |
| Date: | | March 8, 2022 |
