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:
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| Robert Griffith, 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, 2023
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
| | The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds Annual Report December 31, 2023 Fund of Funds Portfolios Balanced Strategy Growth and Income Strategy Growth Strategy Satellite Strategies
Goldman Sachs Fund of Funds Portfolios
| ∎ | GROWTH AND INCOME STRATEGY |
Effective January 24, 2023, open-end mutual funds and exchange traded funds are required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee | | |
MARKET REVIEW
Goldman Sachs Fund of Funds Portfolios
Market Review
Inflation trends and macroeconomic data, central bank monetary policy, interest rate volatility, geopolitical events, and U.S. and European banking stress had the greatest influence on the capital markets during the 12-month period ended December 31, 2023 (the “Reporting Period”).
During the first quarter of 2023, when the Reporting Period began, investors focused on the evolution of the European energy crisis, the speed of China’s economic reopening and the pace of U.S. disinflation. In the U.S., inflation was not moderating as quickly as U.S. Federal Reserve (“Fed”) policymakers had hoped, and they maintained a hawkish stance, raising the target federal funds (“fed funds”) rate twice during the quarter—by 25 basis points each time. (Hawkish tends to suggest higher interest rates; opposite of dovish. A basis point is 1/100th of a percentage point.) In March 2023, investor sentiment was dominated by worries about the U.S. and European banking sectors. Swift response from U.S. and European policymakers rather quickly calmed nerves, but the turmoil made the Fed’s decisions on interest rates more complex given its objective of mitigating downside risks to economic growth while combating persistent inflation amid a tight labor market. Investor concerns about a potential European energy crisis eased, while China’s economy continued to reopen after the Chinese government had finally lifted its stringent zero-COVID policy in January 2023. For the first quarter overall, global equities generated solidly positive returns, with developed markets equities outperforming emerging markets equities. There was substantial dispersion of returns across broad equity indices, with growth equities materially outperforming value equities. Within developed equity markets, non-U.S. equities outpaced U.S. equities. In the U.S. equity market, information technology equities broadly outperformed financials and energy equities. As for global fixed income, yields broadly declined during the first quarter, leading to positive bond returns.
During the second quarter of 2023, as economic growth remained resilient, many market participants reconsidered their previous expectations of a global economic slowdown. Central banks focused on combating inflation, which decreased but remained elevated. In May, the Fed raised the fed funds rate by 25 basis points to a range between 5.00% and 5.25%. The European Central Bank and Bank of England also raised their policy rates 50 basis points and 75 basis points, respectively. In June, the Fed left the fed funds rate unchanged, but according to the Fed’s median dot plot projection, policymakers increased their estimate for the peak rate to 5.6%, up from 5.1% in March. (The dot plot shows interest rate projections of the members of the Federal Open Market Committee.) For the second quarter overall, global equities recorded positive returns, with developed markets equities outperforming emerging markets equities on the back of better than consensus expected first quarter corporate earnings in the developed markets. European equities, while posting positive returns, underperformed other developed equity markets, such as Japan and the U.S. In the U.S., equity gains were fueled by rallies in the information technology and consumer discretionary sectors. The advance in the information technology sector was driven in part by market expectations of artificial intelligence (“AI”) potential and the growing demand for AI processors. Regarding global fixed income, performance was broadly negative during the second quarter as bond yields increased. Duration-sensitive assets sold off as higher interest rates and expectations for further monetary policy tightening weighed on market sentiment.
During the third quarter of 2023, most asset classes posted losses despite a relatively benign macroeconomic backdrop. Inflation data continued to improve across major developed markets, leading central banks to signal that they were at, or close to, their peak policy rates. In the U.S., economic growth remained resilient, while upward momentum in inflation and the labor market began to weaken—a welcome development for the Fed as it sought to reach its inflation target on a sustainable basis. Policymakers, having raised the fed funds rate by 25 basis points at their July meeting, remained on hold at their September meeting. Elsewhere, Europe and U.K. inflation surprised to the downside; China continued its efforts in support of its economy; and the Bank of Japan began to gradually normalize its monetary policy. In addition, investors had to grapple with some unexpected events during the third quarter. In August, for example, Fitch Ratings downgraded its U.S. credit rating from AAA to AA+, and the markets confronted the possibility of a U.S. government shutdown, which was then narrowly avoided in September. For the third quarter overall, global equities produced negative returns, with developed markets equities performing the worst. U.S. equities and emerging markets equities also declined. In global fixed income, bond yields rose amid significant interest rate volatility. Investors remained wary of inflation, as data indicated it might be stickier, or more persistent, than consensus expected, and markets seemed to expect the Fed and other developed markets central banks to keep interest rates higher for longer.
Most asset classes generated gains during the fourth quarter of 2023, benefiting from a positive backdrop that included strong economic growth, resilient labor markets, subdued inflationary pressures across developed economies, and signals from major central banks regarding the end of their rate hiking cycles. Broadly, the performance of the capital markets was driven by investors’
MARKET REVIEW
reactions to lower inflation and a dovish Fed. As a result of a significant slowdown in inflation, the potential of an economic “soft landing” increased, leading to a sharp drop in interest rates and a broad-based rally across the capital markets. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) At both their November and December meetings, Fed policymakers left the fed funds rate unchanged in a range between 5.25% and 5.50%. The Fed also signaled in December that it may have reached the peak of its monetary policy tightening cycle, with its median dot plot projection indicating there could be 75 basis points of rate cuts in 2024. For the fourth quarter overall, global equities posted significantly positive returns, with U.S. equities outperforming developed markets equities and emerging markets equities. In the U.S. equity market, gains were led by information technology, financials and consumer discretionary stocks, while energy stocks performed the worst due to a drop in oil prices. In global fixed income, yields rose during October and then fell significantly in November and December, leading to positive bond returns for the fourth quarter overall.
Looking Ahead
At the end of the Reporting Period, we believed the U.S. was still in the late stages of the economic cycle. Although our base case was for a soft landing in 2024, we thought the risks of a recession remained above average as long as the Fed maintained its restrictive posture. Because of the Fed’s progress on inflation during the Reporting Period, we expected policymakers to shift their focus to economic growth in the near term, which could lead to a rate cutting cycle. While U.S. wage growth was near levels consistent with the Fed’s long-term targets, the job market remained tight and unemployment was still below 4%.
In our view, bonds continued to look attractive at the end of the Reporting Period, even though their yields had fallen from recent highs. We also believed bonds could provide portfolio diversification benefits in the event of an economic downturn. Overall, we thought the resilience of the U.S. economy and declining inflation would be supportive for U.S. equities, although their high valuations relative to history could remain a headwind. At the end of the Reporting Period, the Portfolios’ equity and fixed income allocations were near our long-term neutral positions. Going forward, we continued to believe a dynamic investment approach and careful risk management should help us identify attractive opportunities, both regionally and across asset classes.
PORTFOLIO RESULTS
Goldman Sachs Fund of Funds Portfolios – Asset Allocation
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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, 2023 (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 12.07%, 11.24%, 12.48%, 11.94%, 12.32%, 12.38%, 11.77% and 12.49%, respectively. This compares to the 13.04% average annual total return of the Portfolio’s blended benchmark, which is composed 60% of the Bloomberg Global Aggregate 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 7.15% and 22.20%, 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 14.70%, 13.88%, 15.14%, 14.58%, 15.01%, 15.08%, 14.39% and 15.17%, respectively. This compares to the 16.05% 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 7.15% and 22.20%, 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 17.33%, 16.47%, 17.83%, 17.23%, 17.67%, 17.76%, 17.07% and 17.83%, respectively. This compares to the 19.10% 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 7.15% and 22.20%, 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 Underlying Funds. Long-term strategic asset allocation is the |
*Source: MSCI
PORTFOLIO RESULTS
| | 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. Then, as part of our tactical investment process, we incorporate our medium-term and short-term dynamic views into the Portfolios to adapt to changes in the markets, economic cycle and macroeconomic environment. 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 relative weightings across asset classes, allocations to geographic regions, sectors and industries, and 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 double-digit positive absolute returns. In relative terms, all three Portfolios underperformed their respective benchmark indices.1 |
| | Long-term strategic asset allocation produced mixed results for the Portfolios. Medium-term dynamic decisions detracted from the Portfolios’ performance, and the contribution of short-term dynamic decisions was rather flat. Security selection within the Underlying Funds was broadly positive. |
| | Regarding long-term strategic asset allocation, it added to the performance of the Goldman Sachs Balanced Strategy Portfolio and had a neutral impact on the performance of the Goldman Sachs Growth and Income Strategy Portfolio. Long-term strategic asset allocation detracted slightly from the performance of the Goldman Sachs Growth Portfolio, largely because of that Portfolio’s greater exposure to alternative risk premia and its use of an interest rate options strategy. |
| | Our medium-term dynamic views, which seek to respond to changes in the business or economic cycle, detracted from the performance of all three Portfolios during the Reporting Period overall. During the first half of the Reporting Period, the Portfolios were hurt by our medium-term dynamic view that they have lower exposure to equity beta, or less sensitivity to equity market volatility, which held back their performance as equities rallied. These results were offset somewhat by our medium-term dynamic decision to increase |
| | equity beta during the second half of the Reporting Period, which contributed positively. Finally, during the Reporting Period overall, our medium-term dynamic view that the Portfolios have increased exposure to 10-year U.S. Treasuries, accomplished through the use of U.S. Treasury futures, detracted from the Portfolios’ returns in the rising interest rate environment. |
| | Short-term dynamic views, which seek to take advantage of what we consider short-term market mispricings, had a rather neutral impact on the performance of all three Portfolios during the Reporting Period. Overall, the Portfolios benefited from our decision to use S&P 500® Index options to express our short-term dynamic views on U.S. large-cap equities and to use Eurozone bank futures to gain exposure to Eurozone banks. However, these positive results were offset by our short-term dynamic view that the Portfolios hold small tactical positions in specific U.S. equity sectors, such as energy, which dampened results. |
| | Security selection within the Underlying Funds contributed positively overall to the performance of all three Portfolios during the Reporting Period. |
| 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 Global Real Estate Securities Fund, Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs International Equity Insights Fund, Goldman Sachs International Small Cap Insights Fund and Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs Large Cap Growth Insights Fund and Goldman Sachs Large Cap Value Insights Funds underperformed their respective benchmark indices during the Reporting Period. |
| | Among Underlying Fixed Income Funds, the Goldman Sachs Global Core Fixed Income Fund and Goldman Sachs Emerging Markets Debt Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs High Yield Fund and Goldman Sachs Inflation Protected Securities Fund underperformed their respective benchmark indices during the Reporting Period. The performance of the Goldman Sachs Local Emerging Markets Debt Fund was rather flat during the Reporting Period. |
1 As measured by Institutional Shares.
PORTFOLIO RESULTS
| | As for Underlying Dynamic Funds, the Goldman Sachs Managed Futures Strategy Fund underperformed 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). For short-term dynamic views, the Portfolios utilized equity index futures to gain exposure to Eurozone banks (positive impact). They employed equity index options on U.S. large-cap equities (positive impact) and equity index options on Brazilian equities (neutral impact). In addition, the Portfolios used total return swaps to gain exposure to stocks in the U.S. commercial and professional services industry (neutral 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 that the Portfolios have increased exposure to U.S. Treasuries and to adjust the U.S. Treasury yield curve positioning of the Portfolios (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 (slightly positive impact), which seeks to manage the risk associated with investing in non-U.S. currencies. |
| | During the Reporting Period, some of the Portfolios’ 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 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 | During the Reporting Period, we changed the way we implemented the Portfolios’ long-term strategic asset allocations. Specifically, in October and November 2023, we shifted the Portfolios toward passive implementation of their equity exposures. To do so, we reduced their investments in |
| | the Goldman Sachs International Equity Insights Fund and Goldman Sachs Emerging Markets Equity Insights Fund. We increased their investments in the Goldman Sachs MarketBeta® U.S. Equity ETF, Goldman Sachs MarketBeta® International Equity ETF and Goldman Sachs MarketBeta® Emerging Markets Equity ETF. |
| | As for medium-term dynamic allocations, in January 2023, we moved the Portfolios’ duration positions closer to our neutral view by increasing their exposures to U.S. dollar-denominated emerging markets debt and by investing in 10-year U.S. Treasury futures. During February, we continued to move the Portfolios’ duration positions closer to our neutral view by increasing their holdings of U.S. dollar-denominated emerging markets debt. In May, we expressed the medium-term dynamic view that the Portfolios have more exposure to interest rates, which we accomplished through investments in 10-year U.S. Treasury futures. During June, we adopted the medium-term dynamic view that the Portfolios have greater exposure to equity beta, which we accomplished by increasing their exposures to U.S. large-cap growth equities and U.S. large-cap equity futures. In August, we expressed the medium-term dynamic view that the Portfolios hold fewer two-year U.S. Treasury futures. In November, we extended the Portfolios’ duration positions. In December, we increased the Portfolios’ equity beta, primarily by adding back allocations to small-cap equities. In addition, we reduced the Portfolios’ exposure to interest rates by reducing their holdings of 10-year U.S. Treasury futures. Finally, we increased the Portfolios’ allocations to high yield corporate bonds. |
| | During the Reporting Period, we continued to express our short-term dynamic views primarily through the use of ETFs and derivatives. Among notable short-term tactical allocations were investments in two-year Treasury futures, currency swaps on the U.K. pound, Eurozone bank futures, energy master limited partnerships, and crude oil and natural gas options. In October 2023, we expressed the short-term dynamic view that the Portfolios have slightly greater allocations to non-U.S. developed markets equities. |
FUND BASICS
Balanced Strategy
as of December 31, 2023
The Portfolio seeks current STRATEGIC MODELDYNAMIC FUNDWEIGHTINGS‡ income and long-term capital PORTFOLIOWEIGHTINGS† appreciation. Under normal conditions, the Portfolio seeks to achieve its investment objective by investing approximately 50% (which allocation could be increased by 30% or decreased by 25%) of its assets in Underlying Fixed 36.1%GS Global Core Fixed Income36.1%GS Global Core Fixed Income Income Funds, approximately FundFund 15% (which allocation could 9.4%GS Inv Grade Bond ETF9.4%GS Inv Grade Bond ETF be increased by 5% or decreased by 15%) of its 8.9%GS MarketBeta US Equity ETF8.9%GS MarketBeta US Equity ETF assets in the Underlying (GSUS)(GSUS) Dynamic Funds, and 6.3%GS ActiveBeta Large Cap6.3%GS ActiveBeta Large Cap approximately 35% (which allocation could be increased Equity ETFEquity ETF by 25% or decreased by 5.4%GS MarketBeta International5.6%GS MarketBeta International 30%) of its assets in Equity (GSID)Equity (GSID) Underlying Equity Funds. 5.0% Tactical Tilts 4.1% US Large Cap Equity futures 3.6% US Large Cap Equity futures 3.1% GS Large Cap Growth Insights Fund 3.1% GS Large Cap Growth Insights Fund3.1%GS Large Cap Value Insights Fund 3.1% GS Large Cap Value Insights Fund2.7%GS International Equity Insights Fund 2.7% GS International Equity Insights Fund2.6%GS ActiveBeta International Equity ETF 2.6% GS ActiveBeta International Equity ETF2.3%GS MarketBeta Emerging Markets Equity ETF (GSEE) 2.3% GS MarketBeta Emerging Markets Equity ETF (GSEE)2.2%US 10y Treasury Futures 15.5% Other 16.0% Other
| † | 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. |
| ‡ | 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, 2023. 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. |
FUND BASICS
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OVERALL UNDERLYING FUND WEIGHTINGS * |
Percentage of Net Assets
| * | 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 Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Performance Summary
December 31, 2023
The following graph shows the value, as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 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.
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| Balanced Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
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| | | Average Annual Total Return through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | | Since Inception | | | |
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| | Class A | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | 12.07% | | | | 5.73% | | | | 3.84% | | | | — | | | |
| | Including sales charges | | | 5.91% | | | | 4.54% | | | | 3.25% | | | | — | | | |
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| | Class C | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | 11.24% | | | | 4.94% | | | | 3.07% | | | | — | | | |
| | Including contingent deferred sales charges | | | 10.23% | | | | 4.94% | | | | 3.07% | | | | — | | | |
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| | Institutional | | | 12.48% | | | | 6.13% | | | | 4.25% | | | | — | | | |
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| | Service | | | 11.94% | | | | 5.58% | | | | 3.80% | | | | — | | | |
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| | Investor | | | 12.32% | | | | 5.99% | | | | 4.10% | | | | — | | | |
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| | Class R6 (Commenced July 31, 2015) | | | 12.38% | | | | 6.13% | | | | N/A | | | | 4.52% | | | |
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| | Class R | | | 11.77% | | | | 5.46% | | | | 3.60% | | | | — | | | |
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| | Class P (Commenced April 17, 2018) | | | 12.49% | | | | 6.13% | | | | N/A | | | | 4.09% | | | |
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| | * 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 the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.
#Source: MSCI
FUND BASICS
Growth and Income Strategy
as of December 31, 2023
| † | 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. |
| ‡ | 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, 2023. 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. |
FUND BASICS
Goldman Sachs Fund of Funds Portfolios – Asset Allocation
as of December 31, 2023
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OVERALL UNDERLYING FUND WEIGHTINGS * |
Percentage of Net Assets
| * | 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 Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Performance Summary
December 31, 2023
The following graph shows the value, as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 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.
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| Growth and Income Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
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| | | Average Annual Total Return through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | | Since Inception | | | |
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| | Class A | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | 14.70% | | | | 7.71% | | | | 5.13% | | | | — | | | |
| | Including sales charges | | | 8.41% | | | | 6.50% | | | | 4.53% | | | | — | | | |
| | | | | |
| | | | | | |
| | Class C | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | 13.88% | | | | 6.91% | | | | 4.34% | | | | — | | | |
| | Including contingent deferred sales charges | | | 12.87% | | | | 6.91% | | | | 4.34% | | | | — | | | |
| | | | | |
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| | Institutional | | | 15.14% | | | | 8.12% | | | | 5.52% | | | | — | | | |
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| | Service | | | 14.58% | | | | 7.57% | | | | 5.01% | | | | — | | | |
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| | Investor | | | 15.01% | | | | 7.98% | | | | 5.39% | | | | — | | | |
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| | Class R6 (Commenced July 31, 2015) | | | 15.08% | | | | 8.11% | | | | N/A | | | | 5.92% | | | |
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| | Class R | | | 14.39% | | | | 7.42% | | | | 4.86% | | | | — | | | |
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| | Class P (Commenced April 17, 2018) | | | 15.17% | | | | 8.12% | | | | N/A | | | | 5.26% | | | |
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| | * 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 the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
FUND BASICS
Growth Strategy
as of December 31, 2023
| † | 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. |
| ‡ | 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, 2023. 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. |
FUND BASICS
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OVERALL UNDERLYING FUND WEIGHTINGS * |
Percentage of Net Assets
| * | 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 Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Performance Summary
December 31, 2023
The following graph shows the value, as of December 31, 2023, of a $10,000 investment made on January 1, 2014 in Class A Shares (with the maximum sales charge of 5.50%). 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.
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| Growth Strategy Portfolio’s 10 Year Performance |
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
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| | | Average Annual Total Return through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | | Since Inception | | | |
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| | Class A | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | 17.33% | | | | 9.56% | | | | 6.35% | | | | — | | | |
| | Including sales charges | | | 10.87% | | | | 8.33% | | | | 5.75% | | | | — | | | |
| | | | | |
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| | Class C | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | 16.47% | | | | 8.74% | | | | 5.56% | | | | — | | | |
| | Including contingent deferred sales charges | | | 15.47% | | | | 8.74% | | | | 5.56% | | | | — | | | |
| | | | | |
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| | Institutional | | | 17.83% | | | | 9.98% | | | | 6.76% | | | | — | | | |
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| | Service | | | 17.23% | | | | 9.43% | | | | 6.24% | | | | — | | | |
| | | | | |
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| | Investor | | | 17.67% | | | | 9.84% | | | | 6.62% | | | | — | | | |
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| | Class R6 (Commenced July 31, 2015) | | | 17.76% | | | | 9.97% | | | | N/A | | | | 7.21% | | | |
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| | Class R | | | 17.07% | | | | 9.29% | | | | 6.08% | | | | — | | | |
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| | Class P (Commenced April 17, 2018) | | | 17.83% | | | | 9.99% | | | | N/A | | | | 6.42% | | | |
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| | * 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 the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
PORTFOLIO RESULTS
Goldman Sachs Fund of Funds Portfolios – Satellite Strategies Portfolio
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Investment Objective The Portfolio seeks long-term capital appreciation. |
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 – Satellite Strategies Portfolio (the “Portfolio”) for the 12-month period ended December 31, 2023 (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 9.96%, 9.26%, 10.55%, 9.98%, 10.42%, 10.54%, 9.85% and 10.39%, respectively. This compares to the 15.40% 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 5.53%, 26.29% and 18.24%, 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 broadly produced positive returns, but underperformed traditional equity and fixed income asset classes. |
| | Among equity satellite asset classes, those with comparatively more exposure to beta risk, such as small-cap equities and emerging markets equities, lagged large-cap developed markets equities despite the broad equity rally during the Reporting Period. (Beta risk generally refers to a stock’s sensitivity to equity market volatility.) Among fixed income satellite asset classes, those with lesser interest rate sensitivity and greater exposure to corporate credit held up best. High yield floating rate loans, for example, significantly outperformed core fixed income. High yield corporate bonds, which have less interest rate sensitivity but also carry credit risk, outpaced core fixed income as well. Meanwhile, U.S. dollar-denominated emerging markets debt securities |
| | outperformed developed markets bonds. Local emerging markets debt outperformed developed markets bonds by an even larger margin. Within real asset classes, U.S. energy master limited partnerships (“MLPs”) generated double-digit gains, slightly outperforming U.S. large-cap equities. On the other hand, global infrastructure securities, though delivering positive returns, was the weakest performing satellite asset class of the Reporting Period. |
| 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 “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 strategic asset allocation focuses on broad satellite asset classes, such as emerging markets, high yield credit and real assets. We then incorporate our medium-term dynamic views into the Portfolio to adapt to changes in the markets, economic cycle and macroeconomic environment. The Portfolio’s positioning may therefore change over time based on our medium-term dynamic views |
*Source: MSCI
PORTFOLIO RESULTS
| | of dislocations and attractive investment opportunities. These views may impact relative weighting across asset classes, allocations to geographic regions, sectors and industries, and 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, long-term strategic asset allocation generated positive absolute returns but underperformed the Portfolio’s blended benchmark of core asset classes. Medium-term dynamic allocation detracted slightly from the Portfolio’s relative performance. Security selection within the Underlying Funds added to the Portfolio’s returns during the Reporting Period, with outperformance concentrated in Underlying Equity Funds. |
| | Long-term strategic asset allocation detracted from the Portfolio’s relative performance. The Portfolio was hindered by its strategic allocations to international small-cap equities and global infrastructure securities during the Reporting Period. Although international small-cap stocks broadly produced double-digit gains, they lagged the equity component of the blended benchmark, which is composed of large-cap stocks. Global infrastructure securities recorded positive returns during the Reporting Period but underperformed the broad equity market, which posted strong returns, driven by mega-cap information technology equities. In addition, the Portfolio was hurt by its strategic allocation to emerging markets equities, which underperformed developed markets equities amid declining economic growth expectations in China. |
| | Medium-term dynamic asset allocation detracted slightly from the Portfolio’s relative performance during the Reporting Period. Specifically, the Fund was hampered by our decision to take profits on holdings in strongly returning satellite asset classes and reallocate the proceeds to those we thought had more forward-looking return potential. |
| 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 contributed positively to the Portfolio’s returns. Among Underlying Equity Funds, the Goldman Sachs Real Estate Securities Fund, Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs International Small Cap Insights Fund and Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs MLP Energy Infrastructure Fund and |
| | Goldman Sachs Emerging Markets Equity Fund underperformed their respective benchmark indices during the Reporting Period. |
| | Among Underlying Fixed Income Funds, the Goldman Sachs Emerging Markets Debt Fund outperformed its benchmark index during the Reporting Period. The Goldman Sachs Local Emerging Markets Debt Fund, Goldman Sachs High Yield Fund, Goldman Sachs High Yield Floating Rate Fund and Goldman Sachs Inflation Protected Securities underperformed their respective benchmark indices during the Reporting Period. |
| 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, which provide versatility and potentially greater risk management precision, to express active investment views. 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 | In July 2023, during our annual review of the Portfolio’s long-term strategic asset allocation, we increased the Portfolio’s exposure to inflation-protected securities and decreased its exposures to high yield floating rate loans, global infrastructure securities and emerging markets equities. |
| | Within medium-term dynamic allocations, we increased the Portfolio’s exposures to energy MLPs and emerging markets debt during July. |
| | In November, we changed how the Portfolio gained exposure to local emerging markets debt, shifting it to the iShares® J.P. Morgan EM Local Currency Bond ETF from the Goldman Sachs Local Emerging Markets Debt Fund, which changed its name, investment objective, principal investment strategy and benchmark index on October 31, 2023. In December 2023, we increased the Portfolio’s medium-term dynamic exposure to high yield corporate bonds by reducing its cash position. |
PORTFOLIO RESULTS
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At a meeting held on December 12-13, 2023, upon the recommendation of Goldman Sachs Asset Management, L.P., the Board of Trustees (the “Board”) of the Goldman Sachs Trust approved a proposal to liquidate the Portfolio. After careful consideration of a number of factors, the Board concluded that it was advisable and in the best interest of the Portfolio and its shareholders to liquidate the Portfolio. The Portfolio liquidated on February 13, 2024, pursuant to a Plan of Liquidation approved by the Board. | | |
PORTFOLIO RESULTS
Satellite Strategies
as of December 31, 2023
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TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO d AS OF 12/31/23 |
Percentage of Investment Portfolio
| d | 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, 2023. 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 Underlying Fund assets and liabilities. |
PORTFOLIO RESULTS
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OVERALL UNDERLYING FUND WEIGHTINGS * |
Percentage of Net Assets
| * | 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 Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Performance Summary
December 31, 2023
The following graph shows the value, as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 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 Net Total Return Index (the “MSCI EAFE Index”), the S&P 500® Index, the Bloomberg U.S. Aggregate Bond Index and the MSCI EAFE Index (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.
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| Satellite Strategies Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
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| | | Average Annual Total Return through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | | Since Inception | | | |
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| | Class A | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | 9.96% | | | | 4.31% | | | | 2.60% | | | | — | | | |
| | Including sales charges | | | 3.86% | | | | 3.14% | | | | 2.03% | | | | — | | | |
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| | Class C | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | 9.26% | | | | 3.56% | | | | 1.84% | | | | — | | | |
| | Including contingent deferred sales charges | | | 8.24% | | | | 3.56% | | | | 1.84% | | | | — | | | |
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| | Institutional | | | 10.55% | | | | 4.72% | | | | 3.01% | | | | — | | | |
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| | Service | | | 9.98% | | | | 4.19% | | | | 2.50% | | | | — | | | |
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| | Investor | | | 10.42% | | | | 4.59% | | | | 2.86% | | | | — | | | |
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| | Class R6 (Commenced July 31, 2015) | | | 10.54% | | | | 4.74% | | | | N/A | | | | 3.38% | | | |
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| | Class R | | | 9.85% | | | | 4.07% | | | | 2.36% | | | | — | | | |
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| | Class P (Commenced April 17, 2018) | | | 10.39% | | | | 4.72% | | | | N/A | | | | 2.27% | | | |
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| | * 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 the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance. |
FUND BASICS
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).
MSCI* All Country 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 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 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.
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.
*Source: MSCI
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
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Schedule of Investments December 31, 2023 |
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| | | Shares | | | Description | | Value | |
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| | | Underlying Funds – 93.8% | |
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| | | Dynamic(a) – 1.9% | |
| | | 1,043,718 | | | Goldman Sachs Managed Futures | | | | |
| | | | | | Strategy Fund — Class R6 | | | $ 10,259,750 | |
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| | | Equity(a) – 14.8% | |
| | | 750,709 | | | Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 16,905,966 | |
| | | 592,071 | | | Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 16,412,219 | |
| | | 1,076,389 | | | Goldman Sachs International Equity Insights Fund — Class R6 | | | 14,907,987 | |
| | | 321,244 | | | Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 8,426,235 | |
| | | 910,193 | | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 7,372,566 | |
| | | 447,374 | | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 5,457,966 | |
| | | 424,008 | | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,283,135 | |
| | | 497,836 | | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 4,893,723 | |
| | | | | | | | | | |
| | | | | | | | | 79,659,797 | |
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| | | Exchange Traded Funds – 36.6% | |
| | | 1,151,350 | | | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | | | 53,319,249 | |
| | | 745,804 | | | Goldman Sachs MarketBeta U.S. Equity ETF(a) | | | 48,738,292 | |
| | | 357,630 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | | | 33,549,270 | |
| | | 562,158 | | | Goldman Sachs MarketBeta International Equity ETF(a) | | | 30,204,749 | |
| | | 444,738 | | | Goldman Sachs ActiveBeta International Equity ETF(a) | | | 14,525,143 | |
| | | 265,217 | | | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | | | 11,237,430 | |
| | | 182,801 | | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | | | 5,610,163 | |
| | | 9,054 | | | iShares 7-10 Year Treasury Bond ETF | | | 872,715 | |
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| | | | | | | | | 198,057,011 | |
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| | | Shares | | | Description | | Value | |
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| | | Underlying Funds – (continued) | |
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| | | Fixed Income(a) – 40.5% | |
| | | 16,690,129 | | | Goldman Sachs Global Core Fixed Income Fund — Class R6 | | | $191,268,873 | |
| | | 1,208,197 | | | Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | 11,622,857 | |
| | | 586,152 | | | Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 5,568,443 | |
| | | 960,536 | | | Goldman Sachs High Yield Fund — Class R6 | | | 5,398,214 | |
| | | 563,873 | | | Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 5,018,472 | |
| | | 19,622 | | | Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 216,427 | |
| | | | | | | | | | |
| | | | | | 219,093,286 | |
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| TOTAL UNDERLYING FUNDS – 93.8%
(Cost $492,471,537) | | | $507,069,844 | |
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| | | Shares | | | Dividend Rate | | Value | |
| |
| | | Investment Company(a) – 3.7% | |
| |
| |
| Goldman Sachs Financial Square Government Fund — Institutional
Shares |
|
| | | 20,126,549 | | | 5.248% | | | $ 20,126,549 | |
| |
| | | (Cost $20,126,549) | |
| | | | |
| | |
| |
| TOTAL INVESTMENTS – 97.5%
(Cost $512,598,086) | | | $527,196,393 | |
| | | | |
| | |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.5% | | | 13,579,092 | |
| | | | |
| | |
| | | NET ASSETS – 100.0% | | | $540,775,485 | |
| | | | |
| |
| |
| The percentage shown for each investment category reflects
the value of investments in that category as a percentage of
net assets. |
|
| | | (a) Represents an affiliated Issuer. | |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | | | | Currency Sold | | | | | | Settlement Date | | | | | | Unrealized
Loss | |
| |
| | | | | | | | | |
MS & Co. Int. PLC | | USD | | | 1,191,525 | | | | | | | AUD | | | 1,800,000 | | | | | | | | 03/20/24 | | | | | | | $ | (38,055 | ) |
| | USD | | | 1,580,350 | | | | | | | CHF | | | 1,370,000 | | | | | | | | 03/20/24 | | | | | | | | (62,163 | ) |
| | USD | | | 522,137 | | | | | | | DKK | | | 3,590,000 | | | | | | | | 03/20/24 | | | | | | | | (11,707 | ) |
| | USD | | | 5,369,392 | | | | | | | EUR | | | 4,950,000 | | | | | | | | 03/20/24 | | | | | | | | (112,875 | ) |
| | USD | | | 2,346,702 | | | | | | | GBP | | | 1,865,000 | | | | | | | | 03/20/24 | | | | | | | | (31,454 | ) |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | | | | Currency Sold | | | | | | Settlement Date | | | | | | Unrealized
Loss | |
| |
| | | | | | | | | |
MS & Co. Int. PLC (continued) | | USD | | | 330,687 | | | | | | | HKD | | | 2,580,000 | | | | | | | | 03/20/24 | | | | | | | $ | (329 | ) |
| | USD | | | 65,310 | | | | | | | ILS | | | 240,000 | | | | | | | | 03/20/24 | | | | | | | | (1,142 | ) |
| | USD | | | 3,590,909 | | | | | | | JPY | | | 511,000,000 | | | | | | | | 03/21/24 | | | | | | | | (79,792 | ) |
| | USD | | | 101,296 | | | | | | | NOK | | | 1,100,000 | | | | | | | | 03/20/24 | | | | | | | | (7,165 | ) |
| | USD | | | 30,860 | | | | | | | NZD | | | 50,000 | | | | | | | | 03/20/24 | | | | | | | | (754 | ) |
| | USD | | | 505,856 | | | | | | | SEK | | | 5,250,000 | | | | | | | | 03/20/24 | | | | | | | | (16,319 | ) |
| | USD | | | 195,104 | | | | | | | SGD | | | 260,000 | | | | | | | | 03/20/24 | | | | | | | | (2,636 | ) |
| |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (364,391 | ) |
| |
FUTURES CONTRACTS — At December 31, 2023, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | | | | Expiration Date | | | | | | Notional Amount | | | | | | Unrealized Appreciation/ (Depreciation) | |
| |
| | | | | | | |
Long position contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 129 | | | | | | | | 03/19/24 | | | | | | | $ | 14,562,891 | | | | | | | $ | 459,517 | |
S&P 500 E-Mini Index | | | 93 | | | | | | | | 03/15/24 | | | | | | | | 22,413,000 | | | | | | | | 656,626 | |
| |
| | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,116,143 | |
| |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | |
| Payments Made by the Fund(a) | | Payments
Received
by Fund(a) | | | Termination
Date | | | Notional
Amount
(000s) | | | Unrealized
Appreciation/
(Depreciation)* |
|
| | | | |
6M GBP | | | 4.403 | % | | | 09/12/33 | | | | GBP 380 | | | $50,635 |
|
(a) Payments made annually.
* There is no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | Exercise Price | | | Expiration Date | | | Number of Contracts | | | Notional
Amount | | | Market Value | | | Premiums Paid (Received) by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
Purchased option contract | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BVSP Index | | | MS & Co. Int. PLC | | | $ | 130,847.400 | | | | 02/14/2024 | | | | 30 | | | $ | 392,542,200 | | | $ | 38,236 | | | | $18,800 | | | | $19,436 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | | 30 | | | $ | 392,542,200 | | | $ | 38,236 | | | | $18,800 | | | | $19,436 | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
Schedule of Investments (continued) December 31, 2023 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid (Received) by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $ | 4,670.000 | | | | 01/03/2024 | | | | (3) | | | $ | (1,401,000) | | | $ | (31,245) | | | | $ (6,667) | | | | $(24,578) | |
S&P 500 Index | | | 4,750.000 | | | | 01/10/2024 | | | | (3) | | | | (1,425,000) | | | | (14,565) | | | | (5,155) | | | | (9,410) | |
S&P 500 Index | | | 4,900.000 | | | | 01/17/2024 | | | | (3) | | | | (1,470,000) | | | | (1,875) | | | | (4,767) | | | | 2,892 | |
S&P 500 Index | | | 4,900.000 | | | | 01/24/2024 | | | | (3) | | | | (1,470,000) | | | | (3,495) | | | | (5,097) | | | | 1,602 | |
S&P 500 Index | | | 4,710.000 | | | | 01/31/2024 | | | | (1) | | | | (471,000) | | | | (11,495) | | | | (3,883) | | | | (7,612) | |
S&P 500 Index | | | 4,715.000 | | | | 01/31/2024 | | | | (1) | | | | (471,500) | | | | (11,055) | | | | (3,550) | | | | (7,505) | |
S&P 500 Index | | | 4,725.000 | | | | 01/31/2024 | | | | (1) | | | | (472,500) | | | | (10,395) | | | | (3,399) | | | | (6,996) | |
S&P 500 Index | | | 4,895.000 | | | | 01/31/2024 | | | | (2) | | | | (979,000) | | | | (3,810) | | | | (4,438) | | | | 628 | |
S&P 500 Index | | | 4,900.000 | | | | 01/31/2024 | | | | (2) | | | | (980,000) | | | | (3,580) | | | | (4,198) | | | | 618 | |
S&P 500 Index | | | 4,905.000 | | | | 01/31/2024 | | | | (2) | | | | (981,000) | | | | (3,500) | | | | (3,958) | | | | 458 | |
S&P 500 Index | | | 4,910.000 | | | | 01/31/2024 | | | | (2) | | | | (982,000) | | | | (3,270) | | | | (3,718) | | | | 448 | |
S&P 500 Index | | | 4,915.000 | | | | 01/31/2024 | | | | (2) | | | | (983,000) | | | | (2,920) | | | | (3,498) | | | | 578 | |
S&P 500 Index | | | 4,965.000 | | | | 02/29/2024 | | | | (1) | | | | (496,500) | | | | (2,590) | | | | (3,749) | | | | 1,159 | |
| |
| | | | | | | |
| | | | | | | | | | | (26) | | | $ | (12,582,500) | | | $ | (103,795) | | | | $ (56,077) | | | | $(47,718) | |
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 4,520.000 | | | | 01/03/2024 | | | | (3) | | | | (1,356,000) | | | | (45) | | | | (8,669) | | | | 8,624 | |
S&P 500 Index | | | 4,600.000 | | | | 01/10/2024 | | | | (3) | | | | (1,380,000) | | | | (615) | | | | (8,620) | | | | 8,005 | |
S&P 500 Index | | | 4,730.000 | | | | 01/17/2024 | | | | (3) | | | | (1,419,000) | | | | (6,885) | | | | (9,387) | | | | 2,502 | |
S&P 500 Index | | | 4,730.000 | | | | 01/24/2024 | | | | (3) | | | | (1,419,000) | | | | (9,030) | | | | (9,057) | | | | 27 | |
S&P 500 Index | | | 4,465.000 | | | | 01/31/2024 | | | | (1) | | | | (446,500) | | | | (660) | | | | (5,030) | | | | 4,370 | |
S&P 500 Index | | | 4,490.000 | | | | 01/31/2024 | | | | (1) | | | | (449,000) | | | | (755) | | | | (5,034) | | | | 4,279 | |
S&P 500 Index | | | 4,505.000 | | | | 01/31/2024 | | | | (1) | | | | (450,500) | | | | (825) | | | | (4,905) | | | | 4,080 | |
S&P 500 Index | | | 4,730.000 | | | | 01/31/2024 | | | | (2) | | | | (946,000) | | | | (7,600) | | | | (7,958) | | | | 358 | |
S&P 500 Index | | | 4,735.000 | | | | 01/31/2024 | | | | (2) | | | | (947,000) | | | | (8,060) | | | | (8,238) | | | | 178 | |
S&P 500 Index | | | 4,740.000 | | | | 01/31/2024 | | | | (2) | | | | (948,000) | | | | (8,360) | | | | (8,538) | | | | 178 | |
S&P 500 Index | | | 4,745.000 | | | | 01/31/2024 | | | | (2) | | | | (949,000) | | | | (8,680) | | | | (8,858) | | | | 178 | |
S&P 500 Index | | | 4,750.000 | | | | 01/31/2024 | | | | (2) | | | | (950,000) | | | | (9,010) | | | | (9,198) | | | | 188 | |
S&P 500 Index | | | 4,705.000 | | | | 02/29/2024 | | | | (1) | | | | (470,500) | | | | (5,490) | | | | (6,149) | | | | 659 | |
S&P 500 Index | | | 4,715.000 | | | | 02/29/2024 | | | | (1) | | | | (471,500) | | | | (5,740) | | | | (5,659) | | | | (81) | |
| |
| | | | | | | |
| | | | | | | | | | | (27) | | | $ | (12,602,000) | | | $ | (71,755) | | | | $(105,300) | | | | $ 33,545 | |
| |
| | | | | | | |
Total written option contracts | | | | | | | | | | | (53) | | | $ | (25,184,500) | | | $ | (175,550) | | | | $(161,377) | | | | $(14,173) | |
| |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | 96.625 | | | | 06/13/2025 | | | | 54 | | | $ | 135,000 | | | $ | 94,500 | | | $ | 93,046 | | | $ | 1,454 | |
3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 162 | | | | 405,000 | | | | 132,637 | | | | 296,628 | | | | (163,991 | ) |
3 Month SOFR | | | 95.250 | | | | 09/13/2024 | | | | 32 | | | | 80,000 | | | | 62,800 | | | | 129,170 | | | | (66,370 | ) |
3 Month SOFR | | | 95.125 | | | | 06/14/2024 | | | | 35 | | | | 87,500 | | | | 41,344 | | | | 124,200 | | | | (82,856 | ) |
3 Month SOFR | | | 97.750 | | | | 06/14/2024 | | | | 214 | | | | 535,000 | | | | 14,713 | | | | 324,377 | | | | (309,664 | ) |
3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 181 | | | | 452,500 | | | | 99,550 | | | | 291,998 | | | | (192,448 | ) |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 99 | | | | 247,500 | | | | 27,225 | | | | 132,569 | | | | (105,344 | ) |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
|
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 Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
3 Month SOFR | | $ | 97.250 | | | | 06/14/2024 | | | | 66 | | | $ | 165,000 | | | $ | 6,600 | | | | $ 63,855 | | | | $ (57,255 | ) |
3 Month SOFR | | | 95.000 | | | | 03/15/2024 | | | | 64 | | | | 160,000 | | | | 21,200 | | | | 188,846 | | | | (167,646 | ) |
3 Month SOFR | | | 97.750 | | | | 03/15/2024 | | | | 243 | | | | 607,500 | | | | 4,556 | | | | 337,123 | | | | (332,567 | ) |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 53 | | | | 132,500 | | | | 81,487 | | | | 89,746 | | | | (8,259 | ) |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 50 | | | | 125,000 | | | | 66,875 | | | | 78,717 | | | | (11,842 | ) |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 46 | | | | 115,000 | | | | 44,850 | | | | 65,358 | | | | (20,508 | ) |
3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 51 | | | | 127,500 | | | | 100,406 | | | | 94,864 | | | | 5,542 | |
3 Month SOFR | | | 95.375 | | | | 06/14/2024 | | | | 12 | | | | 30,000 | | | | 9,825 | | | | 44,101 | | | | (34,276 | ) |
3 Month SOFR | | | 95.375 | | | | 09/13/2024 | | | | 12 | | | | 30,000 | | | | 21,075 | | | | 48,937 | | | | (27,862 | ) |
3 Month SOFR | | | 95.375 | | | | 03/15/2024 | | | | 12 | | | | 30,000 | | | | 1,725 | | | | 38,209 | | | | (36,484 | ) |
3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 126 | | | | 315,000 | | | | 136,237 | | | | 155,988 | | | | (19,751 | ) |
3 Month SOFR | | | 97.000 | | | | 03/14/2025 | | | | 97 | | | | 242,500 | | | | 99,425 | | | | 128,750 | | | | (29,325 | ) |
3 Month SOFR | | | 97.500 | | | | 09/12/2025 | | | | 145 | | | | 362,500 | | | | 145,000 | | | | 163,461 | | | | (18,461 | ) |
3 Month SOFR | | | 97.500 | | | | 12/12/2025 | | | | 134 | | | | 335,000 | | | | 141,537 | | | | 161,111 | | | | (19,574 | ) |
3 Month SOFR | | | 98.500 | | | | 06/14/2024 | | | | 226 | | | | 565,000 | | | | 9,888 | | | | 33,774 | | | | (23,886 | ) |
3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 111 | | | | 277,500 | | | | 30,525 | | | | 22,458 | | | | 8,067 | |
3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 73 | | | | 182,500 | | | | 30,113 | | | | 22,982 | | | | 7,131 | |
3 Month SOFR | | | 96.750 | | | | 03/13/2026 | | | | 32 | | | | 80,000 | | | | 62,200 | | | | 52,074 | | | | 10,126 | |
3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 26 | | | | 65,000 | | | | 59,150 | | | | 47,835 | | | | 11,315 | |
3 Month SOFR | | | 96.500 | | | | 12/12/2025 | | | | 27 | | | | 67,500 | | | | 60,919 | | | | 48,725 | | | | 12,194 | |
3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 29 | | | | 72,500 | | | | 62,169 | | | | 49,367 | | | | 12,802 | |
3 Month SOFR | | | 96.750 | | | | 06/12/2026 | | | | 33 | | | | 82,500 | | | | 65,175 | | | | 51,227 | | | | 13,948 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | 2,445 | | | $ | 6,112,500 | | | $ | 1,733,706 | | | | $3,379,496 | | | | $(1,645,790 | ) |
| |
| | |
| | |
| Currency Abbreviations: | | |
AUD —Australian Dollar | | |
CHF —Swiss Franc | | |
DKK —Denmark 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 Abbreviations: | | |
ETF —Exchange Traded Fund | | |
| | | |
| | | |
| | |
| Abbreviation: | | |
| MS & Co. Int. PLC —Morgan Stanley & Co. International PLC | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – 93.7% | |
| | Dynamic(a) – 1.9% | |
| | 1,630,144 | | Goldman Sachs Managed Futures Strategy Fund — Class R6 | | $ | 16,024,317 | |
| | | |
| |
| | Equity(a) – 19.2% | |
| | 1,766,066 | | Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 39,771,810 | |
| | 1,420,390 | | Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 39,373,199 | |
| | 2,450,127 | | Goldman Sachs International Equity Insights Fund — Class R6 | | | 33,934,262 | |
| | 1,972,207 | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 15,974,879 | |
| | 506,295 | | Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 13,280,113 | |
| | 708,906 | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 8,648,651 | |
| | 530,303 | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 5,212,879 | |
| | 418,061 | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,209,040 | |
| | | | | | | | |
| | | | | | | 161,404,833 | |
| | | |
| |
| | Exchange Traded Funds – 52.0% | |
| | 2,137,149 | | Goldman Sachs MarketBeta U.S. Equity ETF(a) | | | 139,662,687 | |
| | 835,994 | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | | | 78,424,597 | |
| | 1,302,556 | | Goldman Sachs MarketBeta International Equity ETF(a) | | | 69,986,334 | |
| | 1,451,329 | | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | | | 67,211,336 | |
| | 1,053,948 | | Goldman Sachs ActiveBeta International Equity ETF(a) | | | 34,421,942 | |
| | 724,513 | | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | | | 30,698,123 | |
| | 514,700 | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | | | 15,796,143 | |
| | 11,781 | | iShares 7-10 Year Treasury Bond ETF | | | 1,135,571 | |
| | | | | | | | |
| | | | | | | 437,336,733 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – (continued) | |
| |
| | Fixed Income(a) – 20.6% | |
| | 12,126,340 | | Goldman Sachs Global Core Fixed Income Fund — Class R6 | | $ | 138,967,857 | |
| | 932,378 | | Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 8,857,594 | |
| | 907,571 | | Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | 8,730,833 | |
| | 1,494,168 | | Goldman Sachs High Yield Fund — Class R6 | | | 8,397,221 | |
| | 896,758 | | Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 7,981,147 | |
| | 22,819 | | Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 251,691 | |
| | | | | | | | |
| | | | | | | 173,186,343 | |
| | | |
| | TOTAL UNDERLYING FUNDS – 93.7% (Cost $731,296,176) | | $ | 787,952,226 | |
| | | |
| | | | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(a) – 3.6% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | | | 30,119,753 | | 5.248% | | | $30,119,753 | |
| | (Cost $30,119,753) | | | | |
| | | |
| | TOTAL INVESTMENTS – 97.3% (Cost $761,415,929) | | $ | 818,071,979 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.7% | | | 23,049,341 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 841,121,320 | |
| | | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
| (a) | | Represents an affiliated Issuer. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | Unrealized
Loss | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | USD | | | 2,110,858 | | | AUD | | | 3,190,000 | | | 03/20/24 | | $ | (68,231 | ) |
| | | | | | |
| | USD | | | 2,814,078 | | | CHF | | | 2,440,000 | | | 03/20/24 | | | (111,275 | ) |
| | | | | | |
| | USD | | | 926,221 | | | DKK | | | 6,370,000 | | | 03/20/24 | | | (21,016 | ) |
| | | | | | |
| | USD | | | 9,499,379 | | | EUR | | | 8,760,000 | | | 03/20/24 | | | (202,572 | ) |
| | | | | | |
| | USD | | | 4,158,128 | | | GBP | | | 3,305,000 | | | 03/20/24 | | | (56,248 | ) |
| | | | | | |
| | USD | | | 587,026 | | | HKD | | | 4,580,000 | | | 03/20/24 | | | (591 | ) |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | | | | | | Currency
Sold | | | | | | Settlement
Date | | | | | | Unrealized
Loss | |
| |
| | | | | | | | | |
MS & Co. Int. PLC (continued) | | USD | | | 108,744 | | | | | | | ILS | | | 400,000 | | | | | | | | 03/20/24 | | | | | | | $ | (2,010 | ) |
| | USD | | | 6,359,207 | | | | | | | JPY | | | 905,000,000 | | | | | | | | 03/21/24 | | | | | | | | (141,741 | ) |
| | USD | | | 183,963 | | | | | | | NOK | | | 2,000,000 | | | | | | | | 03/20/24 | | | | | | | | (13,240 | ) |
| | USD | | | 55,446 | | | | | | | NZD | | | 90,000 | | | | | | | | 03/20/24 | | | | | | | | (1,459 | ) |
| | USD | | | 895,802 | | | | | | | SEK | | | 9,300,000 | | | | | | | | 03/20/24 | | | | | | | | (29,193 | ) |
| | USD | | | 345,117 | | | | | | | SGD | | | 460,000 | | | | | | | | 03/20/24 | | | | | | | | (4,731 | ) |
| |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (652,307 | ) |
| |
FUTURES CONTRACTS — At December 31, 2023, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | | | | Expiration
Date | | | | | | Notional
Amount | | | | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
Long position contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 201 | | | | | | | | 03/19/24 | | | | | | | $ | 22,691,016 | | | | | | | $ | 715,972 | |
S&P 500 E-Mini Index | | | 92 | | | | | | | | 03/15/24 | | | | | | | | 22,172,000 | | | | | | | | 593,124 | |
| |
| | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,309,096 | |
| |
SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | |
| Payments Made by the Fund(a) | | Payments
Received
by Fund(a) | | Termination
Date | | Notional
Amount
(000s) | | Unrealized
Appreciation/
(Depreciation)* |
|
| | | | |
12M SONIA | | 4.403% | | 09/12/33 | | GBP 490 | | $65,292 |
|
(a) Payments made annually.
* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | | |
Purchased option contract | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BOVESPA Index MS & Co. Int. PLC | | | $ | 130,847.400 | | | | 02/14/2024 | | | | 38 | | | $ | 497,220,120 | | | $ | 48,431 | | | | $23,813 | | | | $24,618 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | | 38 | | | $ | 497,220,120 | | | $ | 48,431 | | | | $23,813 | | | | $24,618 | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments (continued) December 31, 2023 |
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Portfolio | | | Unrealized Appreciation/ (Depreciation) | |
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $ | 4,670.000 | | | | 01/03/2024 | | | | (7) | | | $ | (3,269,000 | ) | | $ | (72,905 | ) | | | $(15,557) | | | | $ (57,348) | |
S&P 500 Index | | | 4,750.000 | | | | 01/10/2024 | | | | (7) | | | | (3,325,000 | ) | | | (33,985 | ) | | | (12,028) | | | | (21,957) | |
S&P 500 Index | | | 4,900.000 | | | | 01/17/2024 | | | | (6) | | | | (2,940,000 | ) | | | (3,750 | ) | | | (9,534) | | | | 5,784 | |
S&P 500 Index | | | 4,900.000 | | | | 01/24/2024 | | | | (6) | | | | (2,940,000 | ) | | | (6,990 | ) | | | (10,194) | | | | 3,204 | |
S&P 500 Index | | | 4,565.000 | | | | 01/31/2024 | | | | (1) | | | | (456,500 | ) | | | (23,850 | ) | | | (4,099) | | | | (19,751) | |
S&P 500 Index | | | 4,675.000 | | | | 01/31/2024 | | | | (1) | | | | (467,500 | ) | | | (14,215 | ) | | | (4,479) | | | | (9,736) | |
S&P 500 Index | | | 4,710.000 | | | | 01/31/2024 | | | | (1) | | | | (471,000 | ) | | | (11,495 | ) | | | (3,883) | | | | (7,612) | |
S&P 500 Index | | | 4,715.000 | | | | 01/31/2024 | | | | (2) | | | | (943,000 | ) | | | (22,110 | ) | | | (7,100) | | | | (15,010) | |
S&P 500 Index | | | 4,725.000 | | | | 01/31/2024 | | | | (2) | | | | (945,000 | ) | | | (20,790 | ) | | | (6,798) | | | | (13,992) | |
S&P 500 Index | | | 4,785.000 | | | | 01/31/2024 | | | | (1) | | | | (478,500 | ) | | | (6,465 | ) | | | (2,759) | | | | (3,706) | |
S&P 500 Index | | | 4,895.000 | | | | 01/31/2024 | | | | (5) | | | | (2,447,500 | ) | | | (9,525 | ) | | | (11,095) | | | | 1,570 | |
S&P 500 Index | | | 4,900.000 | | | | 01/31/2024 | | | | (5) | | | | (2,450,000 | ) | | | (8,950 | ) | | | (10,495) | | | | 1,545 | |
S&P 500 Index | | | 4,905.000 | | | | 01/31/2024 | | | | (5) | | | | (2,452,500 | ) | | | (8,750 | ) | | | (9,895) | | | | 1,145 | |
S&P 500 Index | | | 4,910.000 | | | | 01/31/2024 | | | | (6) | | | | (2,946,000 | ) | | | (9,810 | ) | | | (12,004) | | | | 2,194 | |
S&P 500 Index | | | 4,915.000 | | | | 01/31/2024 | | | | (5) | | | | (2,457,500 | ) | | | (7,300 | ) | | | (8,715) | | | | 1,415 | |
S&P 500 Index | | | 4,835.000 | | | | 02/29/2024 | | | | (1) | | | | (483,500 | ) | | | (7,465 | ) | | | (3,634) | | | | (3,831) | |
S&P 500 Index | | | 4,965.000 | | | | 02/29/2024 | | | | (3) | | | | (1,489,500 | ) | | | (7,770 | ) | | | (10,167) | | | | 2,397 | |
| |
| | | | | | | |
| | | | | | | | | | | (64) | | | $ | (30,962,000 | ) | | $ | (276,125 | ) | | | $(142,436) | | | | $(133,689) | |
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 4,520.000 | | | | 01/03/2024 | | | | (7) | | | | (3,164,000 | ) | | | (105 | ) | | | (20,227) | | | | 20,122 | |
S&P 500 Index | | | 4,600.000 | | | | 01/10/2024 | | | | (7) | | | | (3,220,000 | ) | | | (1,435 | ) | | | (20,113) | | | | 18,678 | |
S&P 500 Index | | | 4,730.000 | | | | 01/17/2024 | | | | (6) | | | | (2,838,000 | ) | | | (13,770 | ) | | | (18,774) | | | | 5,004 | |
S&P 500 Index | | | 4,730.000 | | | | 01/24/2024 | | | | (6) | | | | (2,838,000 | ) | | | (18,060 | ) | | | (18,114) | | | | 54 | |
S&P 500 Index | | | 4,265.000 | | | | 01/31/2024 | | | | (1) | | | | (426,500 | ) | | | (285 | ) | | | (6,789) | | | | 6,504 | |
S&P 500 Index | | | 4,405.000 | | | | 01/31/2024 | | | | (1) | | | | (440,500 | ) | | | (485 | ) | | | (5,638) | | | | 5,153 | |
S&P 500 Index | | | 4,465.000 | | | | 01/31/2024 | | | | (1) | | | | (446,500 | ) | | | (660 | ) | | | (5,030) | | | | 4,370 | |
S&P 500 Index | | | 4,490.000 | | | | 01/31/2024 | | | | (2) | | | | (898,000 | ) | | | (1,510 | ) | | | (10,069) | | | | 8,559 | |
S&P 500 Index | | | 4,505.000 | | | | 01/31/2024 | | | | (2) | | | | (901,000 | ) | | | (1,650 | ) | | | (9,810) | | | | 8,160 | |
S&P 500 Index | | | 4,595.000 | | | | 01/31/2024 | | | | (1) | | | | (459,500 | ) | | | (1,450 | ) | | | (4,529) | | | | 3,079 | |
S&P 500 Index | | | 4,720.000 | | | | 01/31/2024 | | | | (1) | | | | (472,000 | ) | | | (3,540 | ) | | | (4,249) | | | | 709 | |
S&P 500 Index | | | 4,730.000 | | | | 01/31/2024 | | | | (5) | | | | (2,365,000 | ) | | | (19,000 | ) | | | (19,895) | | | | 895 | |
S&P 500 Index | | | 4,735.000 | | | | 01/31/2024 | | | | (5) | | | | (2,367,500 | ) | | | (20,150 | ) | | | (20,595) | | | | 445 | |
S&P 500 Index | | | 4,740.000 | | | | 01/31/2024 | | | | (5) | | | | (2,370,000 | ) | | | (20,900 | ) | | | (21,415) | | | | 515 | |
S&P 500 Index | | | 4,745.000 | | | | 01/31/2024 | | | | (5) | | | | (2,372,500 | ) | | | (21,700 | ) | | | (22,145) | | | | 445 | |
S&P 500 Index | | | 4,750.000 | | | | 01/31/2024 | | | | (5) | | | | (2,375,000 | ) | | | (22,525 | ) | | | (22,945) | | | | 420 | |
S&P 500 Index | | | 4,580.000 | | | | 02/29/2024 | | | | (1) | | | | (458,000 | ) | | | (3,180 | ) | | | (6,159) | | | | 2,979 | |
S&P 500 Index | | | 4,705.000 | | | | 02/29/2024 | | | | (1) | | | | (470,500 | ) | | | (5,490 | ) | | | (6,149) | | | | 659 | |
S&P 500 Index | | | 4,715.000 | | | | 02/29/2024 | | | | (2) | | | | (943,000 | ) | | | (11,480 | ) | | | (11,318) | | | | (162) | |
| |
| | | | | | | |
| | | | | | | | | | | (64) | | | $ | (29,825,500 | ) | | $ | (167,375 | ) | | | $(253,963) | | | | $ 86,588 | |
| |
| | | | | | | |
Total written option contracts | | | | | | | | | | | (128) | | | $ | (60,787,500 | ) | | $ | (443,500 | ) | | | $(396,399) | | | | $ (47,101) | |
| |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | 96.625 | | | | 06/13/2025 | | | | 94 | | | $ | 235,000 | | | $ | 164,500 | | | | $ 161,969 | | | | $ 2,531 | |
3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 222 | | | | 555,000 | | | | 181,762 | | | | 408,508 | | | | (226,746 | ) |
3 Month SOFR | | | 95.250 | | | | 09/13/2024 | | | | 41 | | | | 102,500 | | | | 80,463 | | | | 166,212 | | | | (85,749 | ) |
3 Month SOFR | | | 95.125 | | | | 06/14/2024 | | | | 45 | | | | 112,500 | | | | 53,156 | | | | 160,811 | | | | (107,655 | ) |
3 Month SOFR | | | 97.750 | | | | 06/14/2024 | | | | 376 | | | | 940,000 | | | | 25,850 | | | | 570,422 | | | | (544,572 | ) |
3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 247 | | | | 617,500 | | | | 135,850 | | | | 401,161 | | | | (265,311 | ) |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 130 | | | | 325,000 | | | | 35,750 | | | | 175,117 | | | | (139,367 | ) |
3 Month SOFR | | | 97.250 | | | | 06/14/2024 | | | | 87 | | | | 217,500 | | | | 8,700 | | | | 84,799 | | | | (76,099 | ) |
3 Month SOFR | | | 95.000 | | | | 03/15/2024 | | | | 83 | | | | 207,500 | | | | 27,494 | | | | 246,536 | | | | (219,042 | ) |
3 Month SOFR | | | 97.750 | | | | 03/15/2024 | | | | 426 | | | | 1,065,000 | | | | 7,988 | | | | 591,405 | | | | (583,417 | ) |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 93 | | | | 232,500 | | | | 142,987 | | | | 157,479 | | | | (14,492 | ) |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 88 | | | | 220,000 | | | | 117,700 | | | | 138,541 | | | | (20,841 | ) |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 77 | | | | 192,500 | | | | 75,075 | | | | 109,403 | | | | (34,328 | ) |
3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 88 | | | | 220,000 | | | | 173,250 | | | | 163,686 | | | | 9,564 | |
3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 231 | | | | 577,500 | | | | 249,769 | | | | 285,979 | | | | (36,210 | ) |
3 Month SOFR | | | 97.000 | | | | 03/14/2025 | | | | 177 | | | | 442,500 | | | | 181,425 | | | | 234,936 | | | | (53,511 | ) |
3 Month SOFR | | | 97.500 | | | | 09/12/2025 | | | | 265 | | | | 662,500 | | | | 265,000 | | | | 298,740 | | | | (33,740 | ) |
3 Month SOFR | | | 97.500 | | | | 12/12/2025 | | | | 245 | | | | 612,500 | | | | 258,781 | | | | 294,568 | | | | (35,787 | ) |
3 Month SOFR | | | 98.500 | | | | 06/14/2024 | | | | 399 | | | | 997,500 | | | | 17,456 | | | | 59,588 | | | | (42,132 | ) |
3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 126 | | | | 315,000 | | | | 34,650 | | | | 25,492 | | | | 9,158 | |
3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 84 | | | | 210,000 | | | | 34,650 | | | | 26,445 | | | | 8,205 | |
3 Month SOFR | | | 96.750 | | | | 03/13/2026 | | | | 37 | | | | 92,500 | | | | 71,919 | | | | 60,211 | | | | 11,708 | |
3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 30 | | | | 75,000 | | | | 68,250 | | | | 55,195 | | | | 13,055 | |
3 Month SOFR | | | 96.500 | | | | 12/12/2025 | | | | 31 | | | | 77,500 | | | | 69,944 | | | | 55,934 | | | | 14,010 | |
3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 33 | | | | 82,500 | | | | 70,744 | | | | 56,176 | | | | 14,568 | |
3 Month SOFR | | | 96.750 | | | | 06/12/2026 | | | | 38 | | | | 95,000 | | | | 75,050 | | | | 58,988 | | | | 16,062 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | 3,793 | | | $ | 9,482,500 | | | $ | 2,628,163 | | | | $5,048,301 | | | | $(2,420,138 | ) |
| |
|
| |
| Currency Abbreviations: |
AUD —Australian Dollar |
CHF —Swiss Franc |
DKK —Denmark 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 Abbreviations: |
ETF —Exchange Traded Fund |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments (continued) December 31, 2023 |
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
|
Abbreviations: |
| MS & Co. Int. PLC —Morgan Stanley & Co. International PLC |
SONIA —Sterling Overnight Index Average |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments December 31, 2023 |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Underlying Funds – 94.0% | |
| |
| | | | Dynamic(a) – 1.9% | |
| | | 1,653,321 | | | Goldman Sachs Managed Futures Strategy Fund — Class R6 | | $ | 16,252,144 | |
| | | | |
| |
| | | Equity(a) – 24.5% | |
| | | 2,399,289 | | | Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 54,031,992 | |
| | | 1,930,792 | | | Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 53,521,556 | |
| | | 3,348,235 | | | Goldman Sachs International Equity Insights Fund — Class R6 | | | 46,373,054 | |
| | | 2,599,604 | | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 21,056,794 | |
| | | 513,431 | | | Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 13,467,278 | |
| | | 700,722 | | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 8,548,810 | |
| | | 541,126 | | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 5,319,264 | |
| | | 414,784 | | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,168,212 | |
| | | | | | | | | | |
| | | | | | | | | 207,486,960 | |
| | | | |
| |
| | | Exchange Traded Funds – 64.4% | |
| | | 3,025,710 | | | Goldman Sachs MarketBeta U.S. Equity ETF(a) | | | 197,730,149 | |
| | | 1,134,079 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | | | 106,387,951 | |
| | | 1,755,728 | | | Goldman Sachs MarketBeta International Equity ETF(a) | | | 94,335,265 | |
| | | 1,423,621 | | | Goldman Sachs ActiveBeta International Equity ETF(a) | | | 46,495,462 | |
| | | 915,435 | | | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | | | 42,393,978 | |
| | | 933,780 | | | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | | | 39,564,912 | |
| | | 624,018 | | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | | | 19,151,112 | |
| | | 8,390 | | | iShares 7-10 Year Treasury Bond ETF | | | 808,712 | |
| | | | | | | | | | |
| | | | | | | | | 546,867,541 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Underlying Funds – (continued) | |
| |
| | | Fixed Income(a) – 3.2% | |
| | | 1,088,759 | | | Goldman Sachs Emerging Markets Debt Fund — Class R6 | | $ | 10,343,207 | |
| | | 1,511,969 | | | Goldman Sachs High Yield Fund — Class R6 | | | 8,497,269 | |
| | | 921,314 | | | Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 8,199,694 | |
| | | 19,694 | | | Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 217,229 | |
| | | 2,628 | | | Goldman Sachs Short Duration Bond Fund — Class R6 | | | 25,255 | |
| | | | | | | | | | |
| | | | | | | | | 27,282,654 | |
| | | | |
| | |
| |
| TOTAL UNDERLYING FUNDS – 94.0%
(Cost $707,956,368) | | $ | 797,889,299 | |
| | | | |
| | | |
| | | Shares | | | Dividend Rate | | Value | |
| |
| | | | Investment Company(a) – 3.1% | |
| |
| |
| Goldman Sachs Financial Square Government Fund — Institutional
Shares |
|
| | | 26,040,624 | | | 5.248% | | $ | 26,040,624 | |
| |
| | | (Cost $26,040,624) | |
| | | | |
| | |
| |
| TOTAL INVESTMENTS – 97.1%
(Cost $733,996,992) | | $ | 823,929,923 | |
| | | | |
| | |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.9% | | | 24,966,693 | |
| | | | |
| | |
| | | NET ASSETS – 100.0% | | $ | 848,896,616 | |
| | | | |
| |
| |
| The percentage shown for each investment category reflects
the value of investments in that category as a percentage of
net assets. |
|
| | | (a) Represents an affiliated Issuer. | |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | | | | Currency Sold | | | | | | Settlement
Date | | | | | | Unrealized
Loss | |
| |
| | | | | | | | | |
MS & Co. Int. PLC | | USD | | | 1,892,830 | | | | | | | AUD | | | 2,860,000 | | | | | | | | 03/20/24 | | | | | | | $ | (60,836 | ) |
| | | | | | | | | |
| | USD | | | 2,526,561 | | | | | | | CHF | | | 2,190,000 | | | | | | | | 03/20/24 | | | | | | | | (99,061 | ) |
| | | | | | | | | |
| | USD | | | 832,212 | | | | | | | DKK | | | 5,720,000 | | | | | | | | 03/20/24 | | | | | | | | (18,369 | ) |
| | USD | | | 8,546,733 | | | | | | | EUR | | | 7,880,000 | | | | | | | | 03/20/24 | | | | | | | | (180,594 | ) |
| | USD | | | 3,737,284 | | | | | | | GBP | | | 2,970,000 | | | | | | | | 03/20/24 | | | | | | | | (49,915 | ) |
| | USD | | | 526,780 | | | | | | | HKD | | | 4,110,000 | | | | | | | | 03/20/24 | | | | | | | | (536 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments (continued) December 31, 2023 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | | | | Currency Sold | | | Settlement Date | | | | | | Unrealized Loss | |
| |
| | | | | | | | | |
MS & Co. Int. PLC (continued) | | USD | | | 97,885 | | | | | | | ILS | | | 360,000 | | | | | | | | 03/20/24 | | | | | | | $ | (1,793 | ) |
| | USD | | | 5,713,044 | | | | | | | JPY | | | 813,000,000 | | | | | | | | 03/21/24 | | | | | | | | (127,035 | ) |
| | USD | | | 161,259 | | | | | | | NOK | | | 1,750,000 | | | | | | | | 03/20/24 | | | | | | | | (11,293 | ) |
| | USD | | | 49,300 | | | | | | | NZD | | | 80,000 | | | | | | | | 03/20/24 | | | | | | | | (1,283 | ) |
| | USD | | | 809,124 | | | | | | | SEK | | | 8,400,000 | | | | | | | | 03/20/24 | | | | | | | | (26,355 | ) |
| | USD | | | 307,658 | | | | | | | SGD | | | 410,000 | | | | | | | | 03/20/24 | | | | | | | | (4,163 | ) |
| |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (581,233 | ) |
| |
FUTURES CONTRACTS — At December 31, 2023, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | | | | Expiration Date | | | | | | Notional Amount | | | | | | Unrealized Appreciation/ (Depreciation) | |
| |
| | | | | | | |
Long position contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 203 | | | | | | | | 03/19/24 | | | | | | | $ | 22,916,797 | | | | | | | $ | 723,095 | |
S&P 500 E-Mini Index | | | 82 | | | | | | | | 03/15/24 | | | | | | | | 19,762,000 | | | | | | | | 594,963 | |
| |
| | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,318,058 | |
| |
SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Payments Made by the Fund | | Payments Received by Fund | | | | | | Termination Date | | | | | | Notional Amount (000s)(a) | | | | | | Unrealized Appreciation/ (Depreciation)* |
|
| | | | | | | |
12M GBP(b) | | | 4.404 | %(b) | | | | | | | 09/12/33 | | | | | | | | GBP 370 | | | | | | | $49,302 |
|
(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2023.
(b) Payments made annually.
* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | Exercise Price | | | Expiration Date | | | Number of Contracts | | | Notional
Amount | | | Market Value | | | Premiums Paid (Received) by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | | |
Purchased option contract | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BOVESPA Index MS & Co. Int. PLC | | | $ | 130,847.400 | | | | 02/14/2024 | | | | 29 | | | $ | 379,457,460 | | | $ | 36,961 | | | | $18,173 | | | | $18,788 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | | 29 | | | $ | 379,457,460 | | | $ | 36,961 | | | | $18,173 | | | | $18,788 | |
| |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid (Received) by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $ | 4,670.000 | | | | 01/03/2024 | | | | (9) | | | $ | (4,203,000 | ) | | $ | (93,735 | ) | | | $(20,001) | | | | $ (73,734) | |
S&P 500 Index | | | 4,750.000 | | | | 01/10/2024 | | | | (9) | | | | (4,275,000 | ) | | | (43,695 | ) | | | (15,465) | | | | (28,230) | |
S&P 500 Index | | | 4,900.000 | | | | 01/17/2024 | | | | (8) | | | | (3,920,000 | ) | | | (5,000 | ) | | | (12,712) | | | | 7,712 | |
S&P 500 Index | | | 4,900.000 | | | | 01/24/2024 | | | | (8) | | | | (3,920,000 | ) | | | (9,320 | ) | | | (13,592) | | | | 4,272 | |
S&P 500 Index | | | 4,565.000 | | | | 01/31/2024 | | | | (1) | | | | (456,500 | ) | | | (23,850 | ) | | | (4,099) | | | | (19,751) | |
S&P 500 Index | | | 4,675.000 | | | | 01/31/2024 | | | | (1) | | | | (467,500 | ) | | | (14,215 | ) | | | (4,479) | | | | (9,736) | |
S&P 500 Index | | | 4,710.000 | | | | 01/31/2024 | | | | (2) | | | | (942,000 | ) | | | (22,990 | ) | | | (7,765) | | | | (15,225) | |
S&P 500 Index | | | 4,715.000 | | | | 01/31/2024 | | | | (2) | | | | (943,000 | ) | | | (22,110 | ) | | | (7,100) | | | | (15,010) | |
S&P 500 Index | | | 4,725.000 | | | | 01/31/2024 | | | | (2) | | | | (945,000 | ) | | | (20,790 | ) | | | (6,799) | | | | (13,991) | |
S&P 500 Index | | | 4,785.000 | | | | 01/31/2024 | | | | (1) | | | | (478,500 | ) | | | (6,465 | ) | | | (2,759) | | | | (3,706) | |
S&P 500 Index | | | 4,895.000 | | | | 01/31/2024 | | | | (7) | | | | (3,426,500 | ) | | | (13,335 | ) | | | (15,603) | | | | 2,268 | |
S&P 500 Index | | | 4,900.000 | | | | 01/31/2024 | | | | (7) | | | | (3,430,000 | ) | | | (12,530 | ) | | | (14,693) | | | | 2,163 | |
S&P 500 Index | | | 4,905.000 | | | | 01/31/2024 | | | | (7) | | | | (3,433,500 | ) | | | (12,250 | ) | | | (13,853) | | | | 1,603 | |
S&P 500 Index | | | 4,910.000 | | | | 01/31/2024 | | | | (8) | | | | (3,928,000 | ) | | | (13,080 | ) | | | (15,772) | | | | 2,692 | |
S&P 500 Index | | | 4,915.000 | | | | 01/31/2024 | | | | (7) | | | | (3,440,500 | ) | | | (10,220 | ) | | | (12,243) | | | | 2,023 | |
S&P 500 Index | | | 4,775.000 | | | | 02/29/2024 | | | | (1) | | | | (477,500 | ) | | | (10,935 | ) | | | (4,199) | | | | (6,736) | |
S&P 500 Index | | | 4,835.000 | | | | 02/29/2024 | | | | (1) | | | | (483,500 | ) | | | (7,465 | ) | | | (3,634) | | | | (3,831) | |
S&P 500 Index | | | 4,965.000 | | | | 02/29/2024 | | | | (4) | | | | (1,986,000 | ) | | | (10,360 | ) | | | (13,916) | | | | 3,556 | |
| |
| | | | | | | |
| | | | | | | | | | | (85) | | | $ | (41,156,000 | ) | | $ | (352,345 | ) | | | $(188,684) | | | | $(163,661) | |
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 4,520.000 | | | | 01/03/2024 | | | | (9) | | | | (4,068,000 | ) | | | (135 | ) | | | (26,006) | | | | 25,871 | |
S&P 500 Index | | | 4,600.000 | | | | 01/10/2024 | | | | (9) | | | | (4,140,000 | ) | | | (1,845 | ) | | | (25,860) | | | | 24,015 | |
S&P 500 Index | | | 4,730.000 | | | | 01/17/2024 | | | | (8) | | | | (3,784,000 | ) | | | (18,360 | ) | | | (25,032) | | | | 6,672 | |
S&P 500 Index | | | 4,730.000 | | | | 01/24/2024 | | | | (8) | | | | (3,784,000 | ) | | | (24,080 | ) | | | (24,152) | | | | 72 | |
S&P 500 Index | | | 4,265.000 | | | | 01/31/2024 | | | | (1) | | | | (426,500 | ) | | | (285 | ) | | | (6,789) | | | | 6,504 | |
S&P 500 Index | | | 4,405.000 | | | | 01/31/2024 | | | | (1) | | | | (440,500 | ) | | | (485 | ) | | | (5,638) | | | | 5,153 | |
S&P 500 Index | | | 4,465.000 | | | | 01/31/2024 | | | | (2) | | | | (893,000 | ) | | | (1,320 | ) | | | (10,060) | | | | 8,740 | |
S&P 500 Index | | | 4,490.000 | | | | 01/31/2024 | | | | (2) | | | | (898,000 | ) | | | (1,510 | ) | | | (10,069) | | | | 8,559 | |
S&P 500 Index | | | 4,505.000 | | | | 01/31/2024 | | | | (2) | | | | (901,000 | ) | | | (1,650 | ) | | | (9,810) | | | | 8,160 | |
S&P 500 Index | | | 4,595.000 | | | | 01/31/2024 | | | | (1) | | | | (459,500 | ) | | | (1,450 | ) | | | (4,529) | | | | 3,079 | |
S&P 500 Index | | | 4,720.000 | | | | 01/31/2024 | | | | (1) | | | | (472,000 | ) | | | (3,540 | ) | | | (4,249) | | | | 709 | |
S&P 500 Index | | | 4,730.000 | | | | 01/31/2024 | | | | (7) | | | | (3,311,000 | ) | | | (26,600 | ) | | | (27,853) | | | | 1,253 | |
S&P 500 Index | | | 4,735.000 | | | | 01/31/2024 | | | | (7) | | | | (3,314,500 | ) | | | (28,210 | ) | | | (28,833) | | | | 623 | |
S&P 500 Index | | | 4,740.000 | | | | 01/31/2024 | | | | (7) | | | | (3,318,000 | ) | | | (29,260 | ) | | | (29,953) | | | | 693 | |
S&P 500 Index | | | 4,745.000 | | | | 01/31/2024 | | | | (7) | | | | (3,321,500 | ) | | | (30,380 | ) | | | (31,003) | | | | 623 | |
S&P 500 Index | | | 4,750.000 | | | | 01/31/2024 | | | | (7) | | | | (3,325,000 | ) | | | (31,535 | ) | | | (32,123) | | | | 588 | |
S&P 500 Index | | | 4,490.000 | | | | 02/29/2024 | | | | (1) | | | | (449,000 | ) | | | (2,215 | ) | | | (6,509) | | | | 4,294 | |
S&P 500 Index | | | 4,580.000 | | | | 02/29/2024 | | | | (1) | | | | (458,000 | ) | | | (3,180 | ) | | | (6,159) | | | | 2,979 | |
S&P 500 Index | | | 4,705.000 | | | | 02/29/2024 | | | | (2) | | | | (941,000 | ) | | | (10,980 | ) | | | (12,298) | | | | 1,318 | |
S&P 500 Index | | | 4,715.000 | | | | 02/29/2024 | | | | (2) | | | | (943,000 | ) | | | (11,480 | ) | | | (11,298) | | | | (182) | |
| |
| | | | | | | |
| | | | | | | | | | | (85) | | | $ | (39,647,500 | ) | | $ | (228,500 | ) | | | $(338,223) | | | | $ 109,723 | |
|
| |
| | | | | | | |
Total written option contracts | | | | | | | | | | | (170) | | | $ | (80,803,500 | ) | | $ | (580,845 | ) | | | $(526,907) | | | | $ (53,938) | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments (continued) December 31, 2023 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | 96.625 | | | | 06/13/2025 | | | | 112 | | | $ | 280,000 | | | $ | 196,000 | | | | $192,984 | | | | $ 3,016 | |
3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 271 | | | | 677,500 | | | | 221,881 | | | | 496,253 | | | | (274,372 | ) |
3 Month SOFR | | | 95.250 | | | | 09/13/2024 | | | | 50 | | | | 125,000 | | | | 98,125 | | | | 200,253 | | | | (102,128 | ) |
3 Month SOFR | | | 95.125 | | | | 06/14/2024 | | | | 55 | | | | 137,500 | | | | 64,969 | | | | 194,271 | | | | (129,302 | ) |
3 Month SOFR | | | 97.750 | | | | 06/14/2024 | | | | 428 | | | | 1,070,000 | | | | 29,425 | | | | 645,054 | | | | (615,629 | ) |
3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 301 | | | | 752,500 | | | | 165,550 | | | | 485,571 | | | | (320,021 | ) |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 156 | | | | 390,000 | | | | 42,900 | | | | 207,725 | | | | (164,825 | ) |
3 Month SOFR | | | 97.250 | | | | 06/14/2024 | | | | 105 | | | | 262,500 | | | | 10,500 | | | | 100,930 | | | | (90,430 | ) |
3 Month SOFR | | | 95.000 | | | | 03/15/2024 | | | | 100 | | | | 250,000 | | | | 33,125 | | | | 292,804 | | | | (259,679 | ) |
3 Month SOFR | | | 97.750 | | | | 03/15/2024 | | | | 484 | | | | 1,210,000 | | | | 9,075 | | | | 666,821 | | | | (657,746 | ) |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 110 | | | | 275,000 | | | | 169,125 | | | | 186,265 | | | | (17,140 | ) |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 104 | | | | 260,000 | | | | 139,100 | | | | 163,731 | | | | (24,631 | ) |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 90 | | | | 225,000 | | | | 87,750 | | | | 127,874 | | | | (40,124 | ) |
3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 105 | | | | 262,500 | | | | 206,719 | | | | 195,307 | | | | 11,412 | |
3 Month SOFR | | | 95.375 | | | | 06/14/2024 | | | | 12 | | | | 30,000 | | | | 9,825 | | | | 44,101 | | | | (34,276 | ) |
3 Month SOFR | | | 95.375 | | | | 09/13/2024 | | | | 12 | | | | 30,000 | | | | 21,075 | | | | 48,937 | | | | (27,862 | ) |
3 Month SOFR | | | 95.375 | | | | 03/15/2024 | | | | 12 | | | | 30,000 | | | | 1,725 | | | | 38,209 | | | | (36,484 | ) |
3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 232 | | | | 580,000 | | | | 250,850 | | | | 287,217 | | | | (36,367 | ) |
3 Month SOFR | | | 97.000 | | | | 03/14/2025 | | | | 178 | | | | 445,000 | | | | 182,450 | | | | 236,263 | | | | (53,813 | ) |
3 Month SOFR | | | 97.500 | | | | 09/12/2025 | | | | 266 | | | | 665,000 | | | | 266,000 | | | | 299,867 | | | | (33,867 | ) |
3 Month SOFR | | | 97.500 | | | | 12/12/2025 | | | | 246 | | | | 615,000 | | | | 259,837 | | | | 295,771 | | | | (35,934 | ) |
3 Month SOFR | | | 98.500 | | | | 06/14/2024 | | | | 394 | | | | 985,000 | | | | 17,238 | | | | 58,827 | | | | (41,589 | ) |
3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 198 | | | | 495,000 | | | | 54,450 | | | | 40,059 | | | | 14,391 | |
3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 131 | | | | 327,500 | | | | 54,038 | | | | 41,241 | | | | 12,797 | |
3 Month SOFR | | | 96.750 | | | | 03/13/2026 | | | | 58 | | | | 145,000 | | | | 112,737 | | | | 94,385 | | | | 18,352 | |
3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 47 | | | | 117,500 | | | | 106,925 | | | | 86,471 | | | | 20,454 | |
3 Month SOFR | | | 96.500 | | | | 12/12/2025 | | | | 49 | | | | 122,500 | | | | 110,556 | | | | 88,414 | | | | 22,142 | |
3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 52 | | | | 130,000 | | | | 111,475 | | | | 88,521 | | | | 22,954 | |
3 Month SOFR | | | 96.750 | | | | 06/12/2026 | | | | 60 | | | | 150,000 | | | | 118,500 | | | | 93,139 | | | | 25,361 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | 4,418 | | | $ | 11,045,000 | | | $ | 3,151,925 | | | | $5,997,265 | | | | $(2,845,340 | ) |
| |
| | |
| | |
| Currency Abbreviations: | | |
AUD —Australian Dollar | | |
CHF —Swiss Franc | | |
DKK —Denmark 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 Abbreviations: | | |
ETF —Exchange Traded Fund | | |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | |
| | |
| Abbreviation: | | |
| MS & Co. Int. PLC —Morgan Stanley & Co. International PLC | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
|
Schedule of Investments December 31, 2023 |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | | Underlying Funds – 99.8% | |
| |
| | | Equity(a) – 59.5% | |
| | | 1,132,232 | | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | $ | 13,813,223 | |
| | | 954,672 | | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 11,895,211 | |
| | | 506,321 | | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 4,101,202 | |
| | | 392,560 | | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 3,858,868 | |
| | | 99,554 | | | Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | | | 3,221,575 | |
| | | 102,148 | | | Goldman Sachs Emerging Markets Equity Fund — Class R6 | | | 2,198,225 | |
| | | | | | | | | | |
| | | | | | | | | 39,088,304 | |
| | | | |
| |
| | | Exchange Traded Funds – 7.0% | |
| | | 79,015 | | | iShares J.P. Morgan EM Local Currency Bond ETF | | | 2,901,431 | |
| | | 54,413 | | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | | | 1,669,935 | |
| | | | | | | | | | |
| | | | | | | | | 4,571,366 | |
| | | | |
| |
| | | Fixed Income(a) – 33.3% | |
| | | 844,918 | | | Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 8,026,721 | |
| | | 825,912 | | | Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | 7,945,276 | |
| | | 699,848 | | | Goldman Sachs High Yield Fund — Class R6 | | | 3,933,145 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| | |
| | | | Underlying Funds – (continued) | | | | |
| |
| | | Fixed Income(a) – (continued) | |
| | | 218,499 | | | Goldman Sachs High Yield Floating Rate Fund — Class R6 | | $ | 1,944,636 | |
| | | | | | | | | | |
| | | | | | | | | 21,849,778 | |
| | | | |
| | |
| |
| TOTAL UNDERLYING FUNDS – 99.8%
(Cost $54,053,513) | | $ | 65,509,448 | |
| | | | |
| | |
| |
| TOTAL INVESTMENTS – 99.8%
(Cost $54,053,513) | | $ | 65,509,448 | |
| | | | |
| | |
| |
| OTHER ASSETS IN EXCESS OF LIABILITIES
– 0.2% | | | 161,534 | |
| | | | |
| | |
| | | NET ASSETS – 100.0% | | $ | 65,670,982 | |
| | | | |
| |
| |
| 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: | | |
ETF —Exchange Traded Fund | | |
MLP —Master Limited Partnership | | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Statements of Assets and Liabilities December 31, 2023 |
| | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | | Growth and Income Strategy Portfolio | |
| | | |
| | Assets: | | | | | | | | |
| | | |
| | Investments in affiliated issuers, at value (cost $511,698,426 and $760,288,442, respectively) | | | $526,323,678 | | | | $816,936,408 | |
| | Investments in unaffiliated issuers, at value (cost $899,660 and $1,127,487, respectively) | | | 872,715 | | | | 1,135,571 | |
| | Purchased options, at value (premium paid $3,398,296 and $5,072,114, respectively) | | | 1,771,942 | | | | 2,676,594 | |
| | Cash | | | 8,432,523 | | | | 12,270,506 | |
| | Foreign currencies, at value (cost $0 and $12,318, respectively) | | | 9,678 | | | | 14,767 | |
| | Variation margin on swaps contracts | | | 5,080 | | | | 6,551 | |
| | Receivables: | | | | | | | | |
| | Collateral on certain derivative contracts(a) | | | 4,083,604 | | | | 8,343,305 | |
| | Interest and dividends | | | 1,368,215 | | | | 2,323,670 | |
| | Portfolio shares sold | | | 220,384 | | | | 351,121 | |
| | Investments sold | | | 62,600 | | | | 156,440 | |
| | Reimbursement from investment adviser | | | 33,810 | | | | 35,105 | |
| | Other assets | | | 63,382 | | | | 67,456 | |
| | | |
| | Total assets | | | 543,247,611 | | | | 844,317,494 | |
| | | |
| | | | | | | | | | |
| | | |
| | Liabilities: | | | | | | | | |
| | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 364,391 | | | | 652,307 | |
| | Written option contracts, at value (premium received $161,377 and $396,399, respectively) | | | 175,550 | | | | 443,500 | |
| | Variation margin on futures contracts | | | 25,728 | | | | 9,419 | |
| | Payables: | | | | | | | | |
| | Portfolio shares redeemed | | | 798,968 | | | | 500,549 | |
| | Investments purchased | | | 562,192 | | | | 574,389 | |
| | Due to broker | | | 288,872 | | | | 663,351 | |
| | Management fees | | | 67,082 | | | | 104,866 | |
| | Distribution and Service fees and Transfer Agency fees | | | 52,347 | | | | 107,885 | |
| | Accrued expenses | | | 136,996 | | | | 139,908 | |
| | | |
| | Total liabilities | | | 2,472,126 | | | | 3,196,174 | |
| | | |
| | | | | | | | | | |
| | | |
| | Net Assets: | | | | | | | | |
| | | |
| | Paid-in capital | | | 541,624,799 | | | | 768,968,482 | |
| | Total distributable earnings (loss) | | | (849,314) | | | | 72,152,838 | |
| | | |
| | NET ASSETS | | | $540,775,485 | | | | $841,121,320 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | | $ 88,066,077 | | | | $242,238,949 | |
| | | Class C | | | 2,801,248 | | | | 5,856,945 | |
| | | Institutional | | | 381,220,427 | | | | 333,697,262 | |
| | | Service | | | 350,672 | | | | 1,723,065 | |
| | | Investor | | | 2,966,555 | | | | 13,017,139 | |
| | | Class R6 | | | 2,216,795 | | | | 2,201,315 | |
| | | Class R | | | 10,544,360 | | | | 4,229,761 | |
| | | Class P | | | 52,609,351 | | | | 238,156,884 | |
| | | Total Net Assets | | | $540,775,485 | | | | $841,121,320 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 7,630,567 | | | | 16,403,592 | |
| | | Class C | | | 242,091 | | | | 409,107 | |
| | | Institutional | | | 33,046,852 | | | | 22,519,947 | |
| | | Service | | | 29,949 | | | | 116,985 | |
| | | Investor | | | 258,346 | | | | 886,815 | |
| | | Class R6 | | | 192,059 | | | | 148,632 | |
| | | Class R | | | 918,352 | | | | 289,221 | |
| | | Class P | | | 4,558,743 | | | | 16,083,509 | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | |
| | | Class A | | | $11.54 | | | | $14.77 | |
| | | Class C | | | 11.57 | | | | 14.32 | |
| | | Institutional | | | 11.54 | | | | 14.82 | |
| | | Service | | | 11.71 | | | | 14.73 | |
| | | Investor | | | 11.48 | | | | 14.68 | |
| | | Class R6 | | | 11.54 | | | | 14.81 | |
| | | Class R | | | 11.48 | | | | 14.62 | |
| | | Class P | | | 11.54 | | | | 14.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
(a) | | Segregated for initial margin and/or collateral as follows: | | | |
| | | Portfolio | | Futures | | | Swaps | | | Forwards | | | Options | | | |
| | | | | |
| | Balanced Strategy | | | $936,567 | | | | $41,590 | | | | $480,000 | | | | $2,625,447 | | | |
| | Growth and Income Strategy | | | 812,809 | | | | 53,631 | | | | 1,200,000 | | | | 6,276,865 | | | |
| | | | | |
| |
(b) | | Maximum public offering price per share for Class A Shares of the Balanced Strategy and Growth and Income Strategy Portfolios is $12.21 and $15.63, 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. | | 37 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Statements of Assets and Liabilities (continued) December 31, 2023 |
| | | | | | | | | | |
| | | | | Growth
Strategy Portfolio | | | Satellite
Strategies Portfolio | |
| | | |
| | Assets: | | | | | | | | |
| | Investments in affiliated issuers, at value (cost $733,183,529 and $51,137,696, respectively) | | | $823,121,211 | | | | $ 62,608,017 | |
| | Investments in unaffiliated issuers, at value (cost $813,463 and $2,915,817, respectively) | | | 808,712 | | | | 2,901,431 | |
| | Purchased options, at value (premium paid $6,015,438 and $0, respectively) | | | 3,188,886 | | | | — | |
| | Cash | | | 11,974,038 | | | | 176,466 | |
| | Foreign currencies, at value (cost $28,903 and $0, respectively) | | | 30,564 | | | | — | |
| | Variation margin on futures contracts | | | 5,440 | | | | — | |
| | Variation margin on swaps contracts | | | 4,975 | | | | — | |
| | Receivables: | | | | | | | | |
| | Collateral on certain derivative contracts(a) | | | 10,202,306 | | | | — | |
| | Interest and dividends | | | 2,471,346 | | | | 76,378 | |
| | Portfolio shares sold | | | 248,691 | | | | 2,082 | |
| | Investments sold | | | 219,170 | | | | 150,000 | |
| | Reimbursement from investment adviser | | | 36,559 | | | | 30,830 | |
| | Other assets | | | 65,139 | | | | 42,198 | |
| | | |
| | Total assets | | | 852,377,037 | | | | 65,987,402 | |
| | | |
| | | | | | | | | | |
| | | |
| | Liabilities: | | | | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 581,233 | | | | — | |
| | Written option contracts, at value (premium received $526,907 and $0, respectively) | | | 580,845 | | | | — | |
| | Payables: | | | | | | | | |
| | Due to broker | | | 918,531 | | | | — | |
| | Portfolio shares redeemed | | | 700,612 | | | | 112,094 | |
| | Investments purchased | | | 297,672 | | | | 66,855 | |
| | Distribution and Service fees and Transfer Agency fees | | | 139,726 | | | | 12,221 | |
| | Management fees | | | 106,282 | | | | 6,920 | |
| | Accrued expenses | | | 155,520 | | | | 118,330 | |
| | | |
| | Total liabilities | | | 3,480,421 | | | | 316,420 | |
| | | |
| | | | | | | | | | |
| | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 723,796,847 | | | | 75,873,253 | |
| | Total distributable earnings (loss) | | | 125,099,769 | | | | (10,202,271) | |
| | | |
| | | |
| | NET ASSETS | | | $848,896,616 | | | | $ 65,670,982 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | | $325,375,858 | | | | $ 27,810,663 | |
| | | Class C | | | 12,068,176 | | | | 515,283 | |
| | | Institutional | | | 211,831,163 | | | | 26,626,521 | |
| | | Service | | | 2,276,912 | | | | 123,140 | |
| | | Investor | | | 12,555,627 | | | | 8,014,361 | |
| | | Class R6 | | | 8,210,928 | | | | 606,276 | |
| | | Class R | | | 6,350,468 | | | | 469,140 | |
| | | Class P | | | 270,227,484 | | | | 1,505,598 | |
| | | Total Net Assets | | | $848,896,616 | | | | $ 65,670,982 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 18,205,280 | | | | 3,577,099 | |
| | | Class C | | | 656,565 | | | | 66,068 | |
| | | Institutional | | | 11,859,967 | | | | 3,436,927 | |
| | | Service | | | 127,797 | | | | 15,849 | |
| | | Investor | | | 714,301 | | | | 1,034,330 | |
| | | Class R6 | | | 459,591 | | | | 78,158 | |
| | | Class R | | | 367,674 | | | | 60,537 | |
| | | Class P | | | 15,122,749 | | | | 193,958 | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | |
| | | Class A | | | $17.87 | | | | $7.77 | |
| | | Class C | | | 18.38 | | | | 7.80 | |
| | | Institutional | | | 17.86 | | | | 7.75 | |
| | | Service | | | 17.82 | | | | 7.77 | |
| | | Investor | | | 17.58 | | | | 7.75 | |
| | | Class R6 | | | 17.87 | | | | 7.76 | |
| | | Class R | | | 17.27 | | | | 7.75 | |
| | | Class P | | | 17.87 | | | | 7.76 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
(a) | | Segregated for initial margin and/or collateral as follows: | | | |
| | | Portfolio | | Futures | | | Swaps | | | Forwards | | | Options | | | |
| | | | | |
| | Growth Strategy | | | $487,907 | | | | $40,490 | | | | $1,080,000 | | | | $8,593,909 | | | |
| | | | | |
| |
(b) | | Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $18.91 and $8.22, 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. |
| | |
| 38 | | 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, 2023 |
| | | | | | | | | | | | |
| | | | | Balanced
Strategy Portfolio | | | Growth and Income
Strategy Portfolio | | | |
| | | | |
| | | Investment Income: | | | | | | | | | | |
| | | | |
| | Dividends — affiliated issuers | | | $13,709,849 | | | | $ 19,441,424 | | | |
| | Interest | | | 93,526 | | | | 162,691 | | | |
| | Dividends — unaffiliated issuers | | | 9,358 | | | | 12,252 | | | |
| | |
| | | | |
| | Total investment income | | | 13,812,733 | | | | 19,616,367 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | |
| | | | |
| | Management fees | | | 771,563 | | | | 1,223,477 | | | |
| | Transfer Agency fees(a) | | | 319,928 | | | | 594,368 | | | |
| | Distribution and Service (12b-1) fees(a) | | | 292,587 | | | | 659,167 | | | |
| | Registration fees | | | 126,151 | | | | 126,488 | | | |
| | Professional fees | | | 102,542 | | | | 102,125 | | | |
| | Custody, accounting and administrative services | | | 67,989 | | | | 69,238 | | | |
| | Printing and mailing costs | | | 67,432 | | | | 87,096 | | | |
| | Trustee fees | | | 22,092 | | | | 22,502 | | | |
| | Service fees — Class C | | | 8,115 | | | | 15,944 | | | |
| | Shareholder meeting expense | | | 3,785 | | | | 9,740 | | | |
| | Shareholder Administration fees — Service Class | | | 829 | | | | 4,538 | | | |
| | Other | | | 20,425 | | | | 23,723 | | | |
| | |
| | | | |
| | Total expenses | | | 1,803,438 | | | | 2,938,406 | | | |
| | |
| | | | |
| | Less — expense reductions | | | (385,574) | | | | (397,913) | | | |
| | |
| | | | |
| | Net expenses | | | 1,417,864 | | | | 2,540,493 | | | |
| | |
| | | | |
| | NET INVESTMENT INCOME | | | 12,394,869 | | | | 17,075,874 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | |
| | | | |
| | Capital Gains Distributions | | | 1,470,940 | | | | 3,495,556 | | | |
| | Net realized gain (loss) from: | | | | | | | | | | |
| | Investments — unaffiliated issuers | | | 417,419 | | | | 412,350 | | | |
| | Investments — affiliated issuers | | | (7,966,879) | | | | 25,721,613 | | | |
| | Purchased options | | | (1,873,438) | | | | (3,230,296) | | | |
| | Futures contracts | | | 2,489,290 | | | | 4,034,942 | | | |
| | Written options | | | (576,090) | | | | (1,286,587) | | | |
| | Swap contracts | | | 25,704 | | | | 28,074 | | | |
| | Forward foreign currency exchange contracts | | | (20,413) | | | | 251,858 | | | |
| | Foreign currency transactions | | | 1,320 | | | | 1,998 | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | |
| | Investments — affiliated issuers | | | 50,655,631 | | | | 61,841,135 | | | |
| | Investments — unaffiliated issuers | | | (26,945) | | | | 8,084 | | | |
| | Purchased options | | | 696,486 | | | | 1,541,844 | | | |
| | Futures contracts | | | 2,361,986 | | | | 3,532,807 | | | |
| | Written options | | | 9,034 | | | | (16,135) | | | |
| | Swap contracts | | | 50,635 | | | | 65,292 | | | |
| | Forward foreign currency exchange contracts | | | 262,028 | | | | 368,448 | | | |
| | Foreign currency translation | | | (5,022) | | | | (6,004) | | | |
| | |
| | | | |
| | Net realized and unrealized gain | | | 47,971,686 | | | | 96,764,979 | | | |
| | |
| | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $60,366,555 | | | | $113,840,853 | | | |
| | |
| | (a) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agency Fees | |
Portfolio | | Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Balanced Strategy | | $ | 219,285 | | | $ | 24,344 | | | $ | 829 | | | $ | 48,129 | | | $ | 136,006 | | | $ | 5,033 | | | $ | 144,242 | | | $ | 133 | | | $ | 4,659 | | | $ | 650 | | | $ | 14,901 | | | $ | 14,304 | |
Growth and Income Strategy | | | 585,453 | | | | 47,832 | | | | 4,538 | | | | 21,344 | | | | 362,911 | | | | 9,899 | | | | 131,948 | | | | 726 | | | | 13,049 | | | | 647 | | | | 6,626 | | | | 68,562 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Statements of Operations (continued) For the Fiscal Year Ended December 31, 2023 |
| | | | | | | | | | | | |
| | | | | Growth
Strategy Portfolio | | | Satellite
Strategies Portfolio | | | |
| | | | |
| | | Investment Income: | | | | | | | | | | |
| | | | |
| | Dividends — affiliated issuers | | | $ 16,766,931 | | | | $2,673,347 | | | |
| | Interest | | | 186,370 | | | | — | | | |
| | Dividends — unaffiliated issuers | | | 8,841 | | | | 38,841 | | | |
| | |
| | | | |
| | Total investment income | | | 16,962,142 | | | | 2,712,188 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | |
| | | | |
| | Management fees | | | 1,209,427 | | | | 92,685 | | | |
| | Distribution and Service (12b-1) fees | | | 908,543 | | | | 83,148 | | | |
| | Transfer Agency fees | | | 692,066 | | | | 75,624 | | | |
| | Registration fees | | | 122,113 | | | | 108,759 | | | |
| | Professional fees | | | 102,240 | | | | 94,509 | | | |
| | Printing and mailing costs | | | 101,403 | | | | 54,940 | | | |
| | Custody, accounting and administrative services | | | 65,491 | | | | 64,540 | | | |
| | Service fees — Class C | | | 33,270 | | | | 1,975 | | | |
| | Trustee fees | | | 22,491 | | | | 21,502 | | | |
| | Shareholder meeting expense | | | 15,916 | | | | 2,831 | | | |
| | Shareholder Administration fees — Service Class | | | 5,522 | | | | 293 | | | |
| | Other | | | 23,214 | | | | 4,361 | | | |
| | |
| | | | |
| | Total expenses | | | 3,301,696 | | | | 605,167 | | | |
| | |
| | | | |
| | Less — expense reductions | | | (404,831) | | | | (341,309) | | | |
| | |
| | | | |
| | Net expenses | | | 2,896,865 | | | | 263,858 | | | |
| | |
| | | | |
| | NET INVESTMENT INCOME | | | 14,065,277 | | | | 2,448,330 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | |
| | | | |
| | Capital Gains Distributions | | | 4,743,788 | | | | — | | | |
| | Net realized gain (loss) from: | | | | | | | | | | |
| | Investments — unaffiliated issuers | | | 395,175 | | | | 151,452 | | | |
| | Investments — affiliated issuers | | | 40,744,824 | | | | 1,378,787 | | | |
| | Purchased options | | | (3,593,222) | | | | — | | | |
| | Futures contracts | | | 3,122,578 | | | | — | | | |
| | Written options | | | (1,764,818) | | | | — | | | |
| | Swap contracts | | | 19,898 | | | | — | | | |
| | Forward foreign currency exchange contracts | | | 810,119 | | | | — | | | |
| | Foreign currency transactions | | | 1,227 | | | | — | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | |
| | Investments — affiliated issuers | | | 66,582,609 | | | | 3,114,190 | | | |
| | Investments — unaffiliated issuers | | | (4,751) | | | | (14,386) | | | |
| | Purchased options | | | 1,581,466 | | | | — | | | |
| | Futures contracts | | | 3,875,623 | | | | — | | | |
| | Written options | | | (32,485) | | | | — | | | |
| | Swap contracts | | | 49,302 | | | | — | | | |
| | Forward foreign currency exchange contracts | | | 288,068 | | | | — | | | |
| | Foreign currency translation | | | (3,845) | | | | — | | | |
| | |
| | | | |
| | Net realized and unrealized gain | | | 116,815,556 | | | | 4,630,043 | | | |
| | |
| | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $130,880,833 | | | | $7,078,373 | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agency Fees | |
Portfolio | | Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Growth Strategy | | $ | 773,624 | | | $ | 99,809 | | | $ | 5,522 | | | $ | 29,588 | | | $ | 479,418 | | | $ | 20,642 | | | $ | 81,316 | | | $ | 884 | | | $ | 23,558 | | | $ | 2,295 | | | $ | 9,169 | | | $ | 74,784 | |
Satellite Strategies | | | 74,762 | | | | 5,924 | | | | 293 | | | | 2,169 | | | | 46,424 | | | | 1,231 | | | | 12,758 | | | | 47 | | | | 13,646 | | | | 420 | | | | 673 | | | | 425 | |
| | |
| 40 | | 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, 2023 | | For the Fiscal Year Ended December 31, 2022 | | For the Fiscal Year Ended December 31, 2023 | | For the Fiscal Year Ended December 31, 2022 | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 12,394,869 | | | | $ 12,153,046 | | | | $ 17,075,874 | | | | $ 19,216,372 | | | |
| | | | | | |
| | Net realized gain (loss) | | | (6,032,147 | ) | | | (862,926 | ) | | | 29,429,508 | | | | 4,163,684 | | | |
| | Net change in unrealized gain (loss) | | | 54,003,833 | | | | (95,337,735 | ) | | | 67,335,471 | | | | (178,489,949 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 60,366,555 | | | | (84,047,615 | ) | | | 113,840,853 | | | | (155,109,893 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (1,613,472 | ) | | | (4,400,604 | ) | | | (4,013,808 | ) | | | (12,343,223 | ) | | |
| | Class C Shares | | | (32,788 | ) | | | (158,372 | ) | | | (60,972 | ) | | | (324,426 | ) | | |
| | Institutional Shares | | | (8,025,319 | ) | | | (18,338,640 | ) | | | (6,792,467 | ) | | | (18,820,149 | ) | | |
| | Service Shares | | | (5,646 | ) | | | (15,352 | ) | | | (28,117 | ) | | | (100,257 | ) | | |
| | Investor Shares | | | (63,769 | ) | | | (167,144 | ) | | | (177,199 | ) | | | (418,773 | ) | | |
| | Class R6 Shares | | | (48,212 | ) | | | (88,959 | ) | | | (44,882 | ) | | | (103,053 | ) | | |
| | Class R Shares | | | (159,345 | ) | | | (410,355 | ) | | | (61,789 | ) | | | (246,281 | ) | | |
| | Class P Shares | | | (1,056,728 | ) | | | (2,835,170 | ) | | | (4,779,236 | ) | | | (12,522,135 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (11,005,279 | ) | | | (26,414,596 | ) | | | (15,958,470 | ) | | | (44,878,297 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 97,664,775 | | | | 170,273,887 | | | | 76,142,659 | | | | 95,930,879 | | | |
| | | | | | |
| | Reinvestment of distributions | | | 10,906,522 | | | | 26,137,542 | | | | 15,672,675 | | | | 43,940,192 | | | |
| | Cost of shares redeemed | | | (138,801,761 | ) | | | (181,426,260 | ) | | | (150,223,039 | ) | | | (167,867,951 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (30,230,464 | ) | | | 14,985,169 | | | | (58,407,705 | ) | | | (27,996,880 | ) | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 19,130,812 | | | | (95,477,042 | ) | | | 39,474,678 | | | | (227,985,070 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 521,644,673 | | | | 617,121,715 | | | | 801,646,642 | | | | 1,029,631,712 | | | |
| | |
| | | | | | |
| | End of year | | | $ 540,775,485 | | | | $ 521,644,673 | | | | $ 841,121,320 | | | | $ 801,646,642 | | | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
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, 2023 | | For the Fiscal Year Ended December 31, 2022 | | For the Fiscal Year Ended December 31, 2023 | | For the Fiscal Year Ended December 31, 2022 | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 14,065,277 | | | | $ 17,272,450 | | | | $ 2,448,330 | | | | $ 3,217,506 | | | |
| | | | | | |
| | Net realized gain (loss) | | | 44,479,569 | | | | 7,690,984 | | | | 1,530,239 | | | | (752,455 | ) | | |
| | Net change in unrealized gain (loss) | | | 72,335,987 | | | | (188,907,020 | ) | | | 3,099,804 | | | | (20,810,185 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 130,880,833 | | | | (163,943,586 | ) | | | 7,078,373 | | | | (18,345,134 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (4,434,221 | ) | | | (15,373,283 | ) | | | (971,796 | ) | | | (1,170,343 | ) | | |
| | Class C Shares | | | (53,034 | ) | | | (567,562 | ) | | | (16,043 | ) | | | (29,229 | ) | | |
| | Institutional Shares | | | (3,637,458 | ) | | | (10,734,735 | ) | | | (1,093,310 | ) | | | (1,582,785 | ) | | |
| | Service Shares | | | (28,354 | ) | | | (91,284 | ) | | | (3,908 | ) | | | (3,832 | ) | | |
| | Investor Shares | | | (198,980 | ) | | | (615,276 | ) | | | (307,274 | ) | | | (391,446 | ) | | |
| | Class R6 Shares | | | (139,776 | ) | | | (401,167 | ) | | | (37,745 | ) | | | (70,564 | ) | | |
| | Class R Shares | | | (76,107 | ) | | | (286,460 | ) | | | (13,505 | ) | | | (14,936 | ) | | |
| | Class P Shares | | | (4,636,157 | ) | | | (12,785,087 | ) | | | (54,349 | ) | | | (52,508 | ) | | |
| | Return of capital: | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | — | | | | — | | | | (35,076 | ) | | | (67,092 | ) | | |
| | Class C Shares | | | — | | | | — | | | | (579 | ) | | | (1,676 | ) | | |
| | Institutional Shares | | | — | | | | — | | | | (39,463 | ) | | | (90,736 | ) | | |
| | Service Shares | | | — | | | | — | | | | (141 | ) | | | (220 | ) | | |
| | Investor Shares | | | — | | | | — | | | | (11,091 | ) | | | (22,440 | ) | | |
| | Class R6 Shares | | | — | | | | — | | | | (1,362 | ) | | | (4,045 | ) | | |
| | Class R Shares | | | — | | | | — | | | | (487 | ) | | | (856 | ) | | |
| | Class P Shares | | | — | | | | — | | | | (1,962 | ) | | | (3,010 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (13,204,087 | ) | | | (40,854,854 | ) | | | (2,588,091 | ) | | | (3,505,718 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 76,297,975 | | | | 114,987,141 | | | | 2,733,084 | | | | 6,516,757 | | | |
| | Reinvestment of distributions | | | 12,846,013 | | | | 39,590,085 | | | | 2,397,886 | | | | 3,230,183 | | | |
| | Cost of shares redeemed | | | (120,204,973 | ) | | | (151,112,511 | ) | | | (28,351,552 | ) | | | (30,497,924 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (31,060,985 | ) | | | 3,464,715 | | | | (23,220,582 | ) | | | (20,750,984 | ) | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 86,615,761 | | | | (201,333,725 | ) | | | (18,730,300 | ) | | | (42,601,836 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 762,280,855 | | | | 963,614,580 | | | | 84,401,282 | | | | 127,003,118 | | | |
| | |
| | | | | | |
| | End of year | | | $ 848,896,616 | | | | $ 762,280,855 | | | | $ 65,670,982 | | | | $ 84,401,282 | | | |
| | |
| | |
| 42 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.23 | | | | | 0.22 | | | | | 0.24 | | | | | 0.20 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.02 | | | | | (2.02 | ) | | | | 0.71 | | | | | 1.04 | | | | | 1.37 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.25 | | | | | (1.80 | ) | | | | 0.95 | | | | | 1.24 | | | | | 1.57 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.20 | ) | | | | (0.39 | ) | | | | (0.34 | ) | | | | (0.24 | ) | | | | (0.25 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.20 | ) | | | | (0.53 | ) | | | | (0.77 | ) | | | | (0.24 | ) | | | | (0.25 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 12.07 | % | | | | (14.09 | )% | | | | 7.53 | % | | | | 10.71 | % | | | | 15.24 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 88,066 | | | | $ | 88,939 | | | | $ | 113,820 | | | | $ | 110,057 | | | | $ | 106,285 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.63 | % | | | | 0.63 | % | | | | 0.61 | % | | | | 0.64 | % | | | | 0.67 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.12 | % | | | | 1.91 | % | | | | 1.84 | % | | | | 1.71 | % | | | | 1.76 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.51 | | | | $ | 12.83 | | | | $ | 12.67 | | | | $ | 11.66 | | | | $ | 10.34 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.11 | | | | | 0.12 | | | | | 0.10 | | | | | 0.10 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.03 | | | | | (1.99 | ) | | | | 0.73 | | | | | 1.06 | | | | | 1.38 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.17 | | | | | (1.88 | ) | | | | 0.85 | | | | | 1.16 | | | | | 1.48 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (0.30 | ) | | | | (0.26 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.11 | ) | | | | (0.44 | ) | | | | (0.69 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.57 | | | | $ | 10.51 | | | | $ | 12.83 | | | | $ | 12.67 | | | | $ | 11.66 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 11.24 | % | | | | (14.70 | )% | | | | 6.73 | % | | | | 9.90 | % | | | | 14.30 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 2,801 | | | | $ | 3,740 | | | | $ | 6,678 | | | | $ | 9,575 | | | | $ | 10,978 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.38 | % | | | | 1.38 | % | | | | 1.36 | % | | | | 1.39 | % | | | | 1.42 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.31 | % | | | | 0.98 | % | | | | 0.91 | % | | | | 0.86 | % | | | | 0.93 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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. |
| | |
| 44 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.49 | | | | $ | 12.81 | | | | $ | 12.63 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.27 | | | | | 0.27 | | | | | 0.29 | | | | | 0.25 | | | | | 0.25 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.02 | | | | | (2.02 | ) | | | | 0.71 | | | | | 1.02 | | | | | 1.36 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.29 | | | | | (1.75 | ) | | | | 1.00 | | | | | 1.27 | | | | | 1.61 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.24 | ) | | | | (0.43 | ) | | | | (0.39 | ) | | | | (0.28 | ) | | | | (0.29 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.24 | ) | | | | (0.57 | ) | | | | (0.82 | ) | | | | (0.28 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.81 | | | | $ | 12.63 | | | | $ | 11.64 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 12.48 | % | | | | (13.69 | )% | | | | 7.93 | % | | | | 11.05 | % | | | | 15.68 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 381,220 | | | | $ | 355,310 | | | | $ | 426,392 | | | | $ | 388,941 | | | | $ | 351,189 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.27 | % | | | | 0.27 | % | | | | 0.25 | % | | | | 0.26 | % | | | | 0.28 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.49 | % | | | | 2.31 | % | | | | 2.23 | % | | | | 2.12 | % | | | | 2.19 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.64 | | | | $ | 12.99 | | | | $ | 12.79 | | | | $ | 11.78 | | | | $ | 10.45 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.22 | | | | | 0.21 | | | | | 0.22 | | | | | 0.16 | | | | | 0.17 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.04 | | | | | (2.05 | ) | | | | 0.73 | | | | | 1.07 | | | | | 1.39 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.26 | | | | | (1.84 | ) | | | | 0.95 | | | | | 1.23 | | | | | 1.56 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.37 | ) | | | | (0.32 | ) | | | | (0.22 | ) | | | | (0.23 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.19 | ) | | | | (0.51 | ) | | | | (0.75 | ) | | | | (0.22 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.71 | | | | $ | 10.64 | | | | $ | 12.99 | | | | $ | 12.79 | | | | $ | 11.78 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 11.94 | % | | | | (14.18 | )% | | | | 7.44 | % | | | | 10.52 | % | | | | 14.99 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 351 | | | | $ | 319 | | | | $ | 388 | | | | $ | 421 | | | | $ | 532 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.77 | % | | | | 0.77 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 0.78 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.00 | % | | | | 1.82 | % | | | | 1.67 | % | | | | 1.38 | % | | | | 1.47 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | | $ | 10.28 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.26 | | | | | 0.23 | | | | | 0.28 | | | | | 0.33 | | | | | 0.23 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.01 | | | | | (1.99 | ) | | | | 0.70 | | | | | 0.93 | | | | | 1.36 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.27 | | | | | (1.76 | ) | | | | 0.98 | | | | | 1.26 | | | | | 1.59 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.23 | ) | | | | (0.42 | ) | | | | (0.37 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.23 | ) | | | | (0.56 | ) | | | | (0.80 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.48 | | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 12.32 | % | | | | (13.79 | )% | | | | 7.75 | % | | | | 10.97 | % | | | | 15.49 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 2,967 | | | | $ | 3,110 | | | | $ | 5,430 | | | | $ | 7,594 | | | | $ | 3,663 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.38 | % | | | | 0.38 | % | | | | 0.36 | % | | | | 0.39 | % | | | | 0.42 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.36 | % | | | | 2.01 | % | | | | 2.13 | % | | | | 2.78 | % | | | | 2.07 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.50 | | | | $ | 12.82 | | | | $ | 12.63 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.27 | | | | | 0.37 | | | | | 0.21 | | | | | 0.23 | | | | | 0.23 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.02 | | | | | (2.12 | ) | | | | 0.79 | | | | | 1.05 | | | | | 1.38 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.29 | | | | | (1.75 | ) | | | | 1.00 | | | | | 1.28 | | | | | 1.61 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.43 | ) | | | | (0.38 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.57 | ) | | | | (0.81 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.54 | | | | $ | 10.50 | | | | $ | 12.82 | | | | $ | 12.63 | | | | $ | 11.64 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 12.38 | % | | | | (13.66 | )% | | | | 8.00 | % | | | | 11.06 | % | | | | 15.70 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 2,217 | | | | $ | 2,061 | | | | $ | 277 | | | | $ | 1,449 | | | | $ | 1,766 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.26 | % | | | | 0.26 | % | | | | 0.24 | % | | | | 0.26 | % | | | | 0.27 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.50 | % | | | | 3.28 | % | | | | 1.64 | % | | | | 1.89 | % | | | | 2.04 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | | $ | 10.28 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.21 | | | | | 0.19 | | | | | 0.22 | | | | | 0.16 | | | | | 0.18 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.01 | | | | | (2.01 | ) | | | | 0.70 | | | | | 1.04 | | | | | 1.35 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.22 | | | | | (1.82 | ) | | | | 0.92 | | | | | 1.20 | | | | | 1.53 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.18 | ) | | | | (0.36 | ) | | | | (0.31 | ) | | | | (0.21 | ) | | | | (0.22 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.18 | ) | | | | (0.50 | ) | | | | (0.74 | ) | | | | (0.21 | ) | | | | (0.22 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.48 | | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 11.77 | % | | | | (14.30 | )% | | | | 7.32 | % | | | | 10.39 | % | | | | 14.94 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 10,544 | | | | $ | 8,693 | | | | $ | 10,837 | | | | $ | 9,435 | | | | $ | 10,241 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.88 | % | | | | 0.88 | % | | | | 0.86 | % | | | | 0.90 | % | | | | 0.92 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.90 | % | | | | 1.67 | % | | | | 1.65 | % | | | | 1.40 | % | | | | 1.61 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 BALANCED STRATEGY PORTFOLIO
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Balanced Strategy Portfolio | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.27 | | | | | 0.28 | | | | | 0.29 | | | | | 0.25 | | | | | 0.24 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.03 | | | | | (2.04 | ) | | | | 0.71 | | | | | 1.04 | | | | | 1.37 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.30 | | | | | (1.76 | ) | | | | 1.00 | | | | | 1.29 | | | | | 1.61 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.43 | ) | | | | (0.39 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.57 | ) | | | | (0.82 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 12.49 | % | | | | (13.75 | )% | | | | 7.94 | % | | | | 11.15 | % | | | | 15.69 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 52,609 | | | | $ | 59,472 | | | | $ | 53,299 | | | | $ | 41,545 | | | | $ | 42,118 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.26 | % | | | | 0.26 | % | | | | 0.24 | % | | | | 0.25 | % | | | | 0.27 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.50 | % | | | | 2.46 | % | | | | 2.24 | % | | | | 2.10 | % | | | | 2.17 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 40 | % | | | | 30 | % | | | | 9 | % | | | | 19 | % | | | | 55 | % | | |
| | |
| | (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 A Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 13.10 | | | | $ | 16.35 | | | | $ | 15.51 | | | | $ | 14.26 | | | | $ | 12.26 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.26 | | | | | 0.28 | | | | | 0.36 | | | | | 0.20 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.65 | | | | | (2.80 | ) | | | | 1.53 | | | | | 1.54 | | | | | 2.06 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.91 | | | | | (2.52 | ) | | | | 1.89 | | | | | 1.74 | | | | | 2.28 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.24 | ) | | | | (0.50 | ) | | | | (0.53 | ) | | | | (0.23 | ) | | | | (0.28 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.24 | ) | | | | (0.73 | ) | | | | (1.05 | ) | | | | (0.49 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.77 | | | | $ | 13.10 | | | | $ | 16.35 | | | | $ | 15.51 | | | | $ | 14.26 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 14.70 | % | | | | (15.50 | )% | | | | 12.27 | % | | | | 12.29 | % | | | | 18.60 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 242,239 | | | | $ | 228,850 | | | | $ | 297,996 | | | | $ | 293,868 | | | | $ | 286,721 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.61 | % | | | | 0.61 | % | | | | 0.59 | % | | | | 0.62 | % | | | | 0.64 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.85 | % | | | | 1.94 | % | | | | 2.15 | % | | | | 1.38 | % | | | | 1.65 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 12.70 | | | | $ | 15.88 | | | | $ | 15.12 | | | | $ | 13.92 | | | | $ | 11.98 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.15 | | | | | 0.20 | | | | | 0.06 | | | | | 0.09 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.61 | | | | | (2.71 | ) | | | | 1.53 | | | | | 1.53 | | | | | 2.04 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.75 | | | | | (2.56 | ) | | | | 1.73 | | | | | 1.59 | | | | | 2.13 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.13 | ) | | | | (0.39 | ) | | | | (0.45 | ) | | | | (0.13 | ) | | | | (0.19 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.13 | ) | | | | (0.62 | ) | | | | (0.97 | ) | | | | (0.39 | ) | | | | (0.19 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.32 | | | | $ | 12.70 | | | | $ | 15.88 | | | | $ | 15.12 | | | | $ | 13.92 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 13.88 | % | | | | (16.16 | )% | | | | 11.44 | % | | | | 11.44 | % | | | | 17.78 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 5,857 | | | | $ | 6,766 | | | | $ | 10,130 | | | | $ | 13,454 | | | | $ | 19,069 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.36 | % | | | | 1.36 | % | | | | 1.34 | % | | | | 1.37 | % | | | | 1.39 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.04 | % | | | | 1.08 | % | | | | 1.23 | % | | | | 0.45 | % | | | | 0.66 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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. |
| | |
| 52 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.56 | | | | $ | 14.31 | | | | $ | 12.29 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.31 | | | | | 0.33 | | | | | 0.44 | | | | | 0.25 | | | | | 0.27 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.66 | | | | | (2.81 | ) | | | | 1.52 | | | | | 1.54 | | | | | 2.08 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.97 | | | | | (2.48 | ) | | | | 1.96 | | | | | 1.79 | | | | | 2.35 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.55 | ) | | | | (0.60 | ) | | | | (0.28 | ) | | | | (0.33 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.29 | ) | | | | (0.78 | ) | | | | (1.12 | ) | | | | (0.54 | ) | | | | (0.33 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.82 | | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.56 | | | | $ | 14.31 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 15.14 | % | | | | (15.19 | )% | | | | 12.64 | % | | | | 12.68 | % | | | | 19.17 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 333,697 | | | | $ | 331,731 | | | | $ | 443,099 | | | | $ | 364,206 | | | | $ | 371,610 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.20 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.24 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.24 | % | | | | 0.25 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.20 | % | | | | 2.29 | % | | | | 2.65 | % | | | | 1.77 | % | | | | 2.01 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 13.06 | | | | $ | 16.30 | | | | $ | 15.48 | | | | $ | 14.23 | | | | $ | 12.23 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.23 | | | | | 0.25 | | | | | 0.34 | | | | | 0.16 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.66 | | | | | (2.78 | ) | | | | 1.51 | | | | | 1.56 | | | | | 2.05 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.89 | | | | | (2.53 | ) | | | | 1.85 | | | | | 1.72 | | | | | 2.26 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.22 | ) | | | | (0.48 | ) | | | | (0.51 | ) | | | | (0.21 | ) | | | | (0.26 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.22 | ) | | | | (0.71 | ) | | | | (1.03 | ) | | | | (0.47 | ) | | | | (0.26 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.73 | | | | $ | 13.06 | | | | $ | 16.30 | | | | $ | 15.48 | | | | $ | 14.23 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 14.58 | % | | | | (15.61 | )% | | | | 12.03 | % | | | | 12.18 | % | | | | 18.51 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 1,723 | | | | $ | 1,851 | | | | $ | 2,755 | | | | $ | 2,669 | | | | $ | 2,920 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.70 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.74 | % | | | | 0.74 | % | | | | 0.73 | % | | | | 0.74 | % | | | | 0.75 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.69 | % | | | | 1.75 | % | | | | 2.07 | % | | | | 1.17 | % | | | | 1.53 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 13.02 | | | | $ | 16.26 | | | | $ | 15.44 | | | | $ | 14.19 | | | | $ | 12.20 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.32 | | | | | 0.32 | | | | | 0.41 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.62 | | | | | (2.80 | ) | | | | 1.51 | | | | | 1.54 | | | | | 2.04 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.94 | | | | | (2.48 | ) | | | | 1.92 | | | | | 1.77 | | | | | 2.30 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.28 | ) | | | | (0.53 | ) | | | | (0.58 | ) | | | | (0.26 | ) | | | | (0.31 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.28 | ) | | | | (0.76 | ) | | | | (1.10 | ) | | | | (0.52 | ) | | | | (0.31 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.68 | | | | $ | 13.02 | | | | $ | 16.26 | | | | $ | 15.44 | | | | $ | 14.19 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 15.01 | % | | | | (15.30 | )% | | | | 12.48 | % | | | | 12.64 | % | | | | 18.91 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 13,017 | | | | $ | 7,459 | | | | $ | 8,948 | | | | $ | 7,997 | | | | $ | 7,670 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.36 | % | | | | 0.36 | % | | | | 0.34 | % | | | | 0.37 | % | | | | 0.39 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.28 | % | | | | 2.24 | % | | | | 2.50 | % | | | | 1.64 | % | | | | 1.92 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.55 | | | | $ | 14.30 | | | | $ | 12.29 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.31 | | | | | 0.43 | | | | | 0.32 | | | | | 0.22 | | | | | 0.26 | | | |
| | | | | | | |
| | | Net realized and unrealized gain (loss) | | | | 1.65 | | | | | (2.91 | ) | | | | 1.64 | | | | | 1.57 | | | | | 2.08 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.96 | | | | | (2.48 | ) | | | | 1.96 | | | | | 1.79 | | | | | 2.34 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.55 | ) | | | | (0.59 | ) | | | | (0.28 | ) | | | | (0.33 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.29 | ) | | | | (0.78 | ) | | | | (1.11 | ) | | | | (0.54 | ) | | | | (0.33 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.81 | | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.55 | | | | $ | 14.30 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 15.08 | % | | | | (15.17 | )% | | | | 12.69 | % | | | | 12.70 | % | | | | 19.10 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 2,201 | | | | $ | 2,162 | | | | $ | 923 | | | | $ | 4,694 | | | | $ | 6,300 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.23 | % | | | | 0.23 | % | | | | 0.22 | % | | | | 0.23 | % | | | | 0.24 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.23 | % | | | | 3.02 | % | | | | 1.94 | % | | | | 1.59 | % | | | | 1.92 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 12.97 | | | | $ | 16.20 | | | | $ | 15.39 | | | | $ | 14.15 | | | | $ | 12.17 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.21 | | | | | 0.25 | | | | | 0.31 | | | | | 0.16 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.64 | | | | | (2.79 | ) | | | | 1.52 | | | | | 1.53 | | | | | 2.02 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.85 | | | | | (2.54 | ) | | | | 1.83 | | | | | 1.69 | | | | | 2.22 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.20 | ) | | | | (0.46 | ) | | | | (0.50 | ) | | | | (0.19 | ) | | | | (0.24 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.20 | ) | | | | (0.69 | ) | | | | (1.02 | ) | | | | (0.45 | ) | | | | (0.24 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.62 | | | | $ | 12.97 | | | | $ | 16.20 | | | | $ | 15.39 | | | | $ | 14.15 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 14.39 | % | | | | (15.73 | )% | | | | 11.94 | % | | | | 12.05 | % | | | | 18.30 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 4,230 | | | | $ | 4,346 | | | | $ | 5,579 | | | | $ | 5,270 | | | | $ | 4,991 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.86 | % | | | | 0.86 | % | | | | 0.84 | % | | | | 0.87 | % | | | | 0.89 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.57 | % | | | | 1.75 | % | | | | 1.87 | % | | | | 1.15 | % | | | | 1.46 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 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 P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 13.13 | | | | $ | 16.39 | | | | $ | 15.55 | | | | $ | 14.30 | | | | $ | 12.29 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.31 | | | | | 0.34 | | | | | 0.44 | | | | | 0.26 | | | | | 0.29 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.66 | | | | | (2.82 | ) | | | | 1.52 | | | | | 1.53 | | | | | 2.05 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.97 | | | | | (2.48 | ) | | | | 1.96 | | | | | 1.79 | | | | | 2.34 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.55 | ) | | | | (0.60 | ) | | | | (0.28 | ) | | | | (0.33 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.23 | ) | | | | (0.52 | ) | | | | (0.26 | ) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.29 | ) | | | | (0.78 | ) | | | | (1.12 | ) | | | | (0.54 | ) | | | | (0.33 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 14.81 | | | | $ | 13.13 | | | | $ | 16.39 | | | | $ | 15.55 | | | | $ | 14.30 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 15.17 | % | | | | (15.19 | )% | | | | 12.66 | % | | | | 12.70 | % | | | | 19.10 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 238,157 | | | | $ | 218,480 | | | | $ | 260,202 | | | | $ | 228,953 | | | | $ | 212,702 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.23 | % | | | | 0.23 | % | | | | 0.22 | % | | | | 0.23 | % | | | | 0.24 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.23 | % | | | | 2.38 | % | | | | 2.62 | % | | | | 1.80 | % | | | | 2.12 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 48 | % | | | | 29 | % | | | | 8 | % | | | | 13 | % | | | | 61 | % | | |
| | |
| | (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 A Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.44 | | | | $ | 19.62 | | | | $ | 17.88 | | | | $ | 16.18 | | | | $ | 13.73 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.26 | | | | | 0.32 | | | | | 0.47 | | | | | 0.19 | | | | | 0.25 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.42 | | | | | (3.68 | ) | | | | 2.49 | | | | | 2.07 | | | | | 2.80 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.68 | | | | | (3.36 | ) | | | | 2.96 | | | | | 2.26 | | | | | 3.05 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.56 | ) | | | | (0.70 | ) | | | | (0.21 | ) | | | | (0.32 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.82 | ) | | | | (1.22 | ) | | | | (0.56 | ) | | | | (0.60 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.87 | | | | $ | 15.44 | | | | $ | 19.62 | | | | $ | 17.88 | | | | $ | 16.18 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.33 | % | | | | (17.14 | )% | | | | 16.54 | % | | | | 13.96 | % | | | | 22.24 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 325,376 | | | | $ | 297,896 | | | | $ | 387,436 | | | | $ | 353,363 | | | | $ | 338,384 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.61 | % | | | | 0.61 | % | | | | 0.60 | % | | | | 0.64 | % | | | | 0.65 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.54 | % | | | | 1.87 | % | | | | 2.40 | % | | | | 1.18 | % | | | | 1.61 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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 Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.85 | | | | $ | 20.09 | | | | $ | 18.27 | | | | $ | 16.51 | | | | $ | 13.98 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.12 | | | | | 0.18 | | | | | 0.29 | | | | | 0.05 | | | | | 0.10 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.49 | | | | | (3.74 | ) | | | | 2.57 | | | | | 2.11 | | | | | 2.87 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.61 | | | | | (3.56 | ) | | | | 2.86 | | | | | 2.16 | | | | | 2.97 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.08 | ) | | | | (0.42 | ) | | | | (0.52 | ) | | | | (0.05 | ) | | | | (0.16 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.08 | ) | | | | (0.68 | ) | | | | (1.04 | ) | | | | (0.40 | ) | | | | (0.44 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 18.38 | | | | $ | 15.85 | | | | $ | 20.09 | | | | $ | 18.27 | | | | $ | 16.51 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 16.47 | % | | | | (17.76 | )% | | | | 15.67 | % | | | | 13.10 | % | | | | 21.31 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 12,068 | | | | $ | 13,496 | | | | $ | 19,334 | | | | $ | 22,590 | | | | $ | 29,424 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.36 | % | | | | 1.36 | % | | | | 1.35 | % | | | | 1.39 | % | | | | 1.40 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.71 | % | | | | 1.03 | % | | | | 1.44 | % | | | | 0.28 | % | | | | 0.64 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. |
| | |
| 60 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.42 | | | | $ | 19.61 | | | | $ | 17.86 | | | | $ | 16.17 | | | | $ | 13.72 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.32 | | | | | 0.38 | | | | | 0.57 | | | | | 0.25 | | | | | 0.24 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.43 | | | | | (3.68 | ) | | | | 2.47 | | | | | 2.06 | | | | | 2.87 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.75 | | | | | (3.30 | ) | | | | 3.04 | | | | | 2.31 | | | | | 3.11 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.31 | ) | | | | (0.63 | ) | | | | (0.77 | ) | | | | (0.27 | ) | | | | (0.38 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.31 | ) | | | | (0.89 | ) | | | | (1.29 | ) | | | | (0.62 | ) | | | | (0.66 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.86 | | | | $ | 15.42 | | | | $ | 19.61 | | | | $ | 17.86 | | | | $ | 16.17 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.83 | % | | | | (16.87 | )% | | | | 17.03 | % | | | | 14.29 | % | | | | 22.77 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 211,831 | | | | $ | 195,963 | | | | $ | 249,377 | | | | $ | 169,166 | | | | $ | 147,389 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.20 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.25 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.26 | % | | | | 0.26 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.91 | % | | | | 2.24 | % | | | | 2.88 | % | | | | 1.58 | % | | | | 1.59 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. | | 61 |
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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.39 | | | | $ | 19.56 | | | | $ | 17.83 | | | | $ | 16.13 | | | | $ | 13.69 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.23 | | | | | 0.29 | | | | | 0.46 | | | | | 0.15 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.42 | | | | | (3.66 | ) | | | | 2.46 | | | | | 2.08 | | | | | 2.80 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.65 | | | | | (3.37 | ) | | | | 2.92 | | | | | 2.23 | | | | | 3.02 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.22 | ) | | | | (0.54 | ) | | | | (0.67 | ) | | | | (0.18 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.22 | ) | | | | (0.80 | ) | | | | (1.19 | ) | | | | (0.53 | ) | | | | (0.58 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.82 | | | | $ | 15.39 | | | | $ | 19.56 | | | | $ | 17.83 | | | | $ | 16.13 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.23 | % | | | | (17.27 | )% | | | | 16.41 | % | | | | 13.81 | % | | | | 22.10 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 2,277 | | | | $ | 1,764 | | | | $ | 2,413 | | | | $ | 2,120 | | | | $ | 2,266 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.70 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.75 | % | | | | 0.74 | % | | | | 0.73 | % | | | | 0.76 | % | | | | 0.77 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.41 | % | | | | 1.70 | % | | | | 2.36 | % | | | | 0.94 | % | | | | 1.47 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. |
| | |
| 62 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.18 | | | | $ | 19.29 | | | | $ | 17.60 | | | | $ | 15.93 | | | | $ | 13.53 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.28 | | | | | 0.34 | | | | | 0.75 | | | | | 0.22 | | | | | 0.28 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.40 | | | | | (3.60 | ) | | | | 2.21 | | | | | 2.05 | | | | | 2.76 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.68 | | | | | (3.26 | ) | | | | 2.96 | | | | | 2.27 | | | | | 3.04 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.28 | ) | | | | (0.59 | ) | | | | (0.75 | ) | | | | (0.25 | ) | | | | (0.36 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.28 | ) | | | | (0.85 | ) | | | | (1.27 | ) | | | | (0.60 | ) | | | | (0.64 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.58 | | | | $ | 15.18 | | | | $ | 19.29 | | | | $ | 17.60 | | | | $ | 15.93 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.67 | % | | | | (16.92 | )% | | | | 16.86 | % | | | | 14.24 | % | | | | 22.50 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 12,556 | | | | $ | 10,006 | | | | $ | 13,836 | | | | $ | 7,004 | | | | $ | 7,204 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.36 | % | | | | 0.36 | % | | | | 0.35 | % | | | | 0.39 | % | | | | 0.40 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.73 | % | | | | 2.02 | % | | | | 3.83 | % | | | | 1.38 | % | | | | 1.85 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. | | 63 |
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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | | $ | 13.72 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.32 | | | | | 0.42 | | | | | 0.55 | | | | | 0.21 | | | | | 0.31 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.43 | | | | | (3.72 | ) | | | | 2.49 | | | | | 2.11 | | | | | 2.80 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.75 | | | | | (3.30 | ) | | | | 3.04 | | | | | 2.32 | | | | | 3.11 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.31 | ) | | | | (0.63 | ) | | | | (0.77 | ) | | | | (0.27 | ) | | | | (0.38 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.31 | ) | | | | (0.89 | ) | | | | (1.29 | ) | | | | (0.62 | ) | | | | (0.66 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.87 | | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.76 | % | | | | (16.85 | )% | | | | 17.02 | % | | | | 14.35 | % | | | | 22.72 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 8,211 | | | | $ | 7,255 | | | | $ | 6,263 | | | | $ | 6,792 | | | | $ | 7,554 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.24 | % | | | | 0.24 | % | | | | 0.22 | % | | | | 0.25 | % | | | | 0.26 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.92 | % | | | | 2.48 | % | | | | 2.79 | % | | | | 1.31 | % | | | | 2.00 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. |
| | |
| 64 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 14.93 | | | | $ | 19.01 | | | | $ | 17.36 | | | | $ | 15.74 | | | | $ | 13.37 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.21 | | | | | 0.26 | | | | | 0.44 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.34 | | | | | (3.56 | ) | | | | 2.39 | | | | | 1.99 | | | | | 2.73 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.55 | | | | | (3.30 | ) | | | | 2.83 | | | | | 2.14 | | | | | 2.93 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.21 | ) | | | | (0.52 | ) | | | | (0.66 | ) | | | | (0.17 | ) | | | | (0.28 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.21 | ) | | | | (0.78 | ) | | | | (1.18 | ) | | | | (0.52 | ) | | | | (0.56 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.27 | | | | $ | 14.93 | | | | $ | 19.01 | | | | $ | 17.36 | | | | $ | 15.74 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.07 | % | | | | (17.38 | )% | | | | 16.31 | % | | | | 13.61 | % | | | | 21.98 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 6,350 | | | | $ | 5,492 | | | | $ | 7,788 | | | | $ | 6,353 | | | | $ | 6,400 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.86 | % | | | | 0.86 | % | | | | 0.85 | % | | | | 0.89 | % | | | | 0.90 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.31 | % | | | | 1.58 | % | | | | 2.31 | % | | | | 0.94 | % | | | | 1.36 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. | | 65 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Growth Strategy Portfolio | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | | $ | 13.72 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.32 | | | | | 0.39 | | | | | 0.59 | | | | | 0.26 | | | | | 0.32 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.43 | | | | | (3.69 | ) | | | | 2.45 | | | | | 2.06 | | | | | 2.79 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.75 | | | | | (3.30 | ) | | | | 3.04 | | | | | 2.32 | | | | | 3.11 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.31 | ) | | | | (0.63 | ) | | | | (0.77 | ) | | | | (0.27 | ) | | | | (0.38 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.26 | ) | | | | (0.52 | ) | | | | (0.35 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.31 | ) | | | | (0.89 | ) | | | | (1.29 | ) | | | | (0.62 | ) | | | | (0.66 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 17.87 | | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 17.83 | % | | | | (16.85 | )% | | | | 17.03 | % | | | | 14.36 | % | | | | 22.72 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 270,227 | | | | $ | 230,411 | | | | $ | 277,169 | | | | $ | 207,786 | | | | $ | 183,763 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.24 | % | | | | 0.23 | % | | | | 0.22 | % | | | | 0.25 | % | | | | 0.26 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.93 | % | | | | 2.26 | % | | | | 2.98 | % | | | | 1.62 | % | | | | 2.08 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 67 | % | | | | 27 | % | | | | 5 | % | | | | 8 | % | | | | 69 | % | | |
| | |
| | (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. |
| | |
| 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 A Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.32 | | | | $ | 8.95 | | | | $ | 8.56 | | | | $ | 8.45 | | | | $ | 7.38 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.24 | | | | | 0.23 | | | | | 0.22 | | | | | 0.15 | | | | | 0.27 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.48 | | | | | (1.59 | ) | | | | 0.48 | | | | | 0.11 | | | | | 1.08 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.72 | | | | | (1.36 | ) | | | | 0.70 | | | | | 0.26 | | | | | 1.35 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.31 | ) | | | | (0.15 | ) | | | | (0.28 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.27 | ) | | | | (0.27 | ) | | | | (0.31 | ) | | | | (0.15 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.77 | | | | $ | 7.32 | | | | $ | 8.95 | | | | $ | 8.56 | | | | $ | 8.45 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 9.96 | % | | | | (15.19 | )% | | | | 8.20 | % | | | | 3.40 | % | | | | 18.38 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 27,811 | | | | $ | 32,203 | | | | $ | 46,066 | | | | $ | 46,265 | | | | $ | 46,921 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.54 | % | | | | 0.54 | % | | | | 0.54 | % | | | | 0.55 | % | | | | 0.56 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 1.00 | % | | | | 0.88 | % | | | | 0.75 | % | | | | 0.75 | % | | | | 0.66 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 3.15 | % | | | | 2.95 | % | | | | 2.42 | % | | | | 1.90 | % | | | | 3.30 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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 Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.33 | | | | $ | 8.95 | | | | $ | 8.54 | | | | $ | 8.42 | | | | $ | 7.34 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.15 | | | | | 0.15 | | | | | 0.12 | | | | | 0.07 | | | | | 0.16 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.52 | | | | | (1.57 | ) | | | | 0.51 | | | | | 0.13 | | | | | 1.12 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.67 | | | | | (1.42 | ) | | | | 0.63 | | | | | 0.20 | | | | | 1.28 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.19 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | (0.20 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.20 | ) | | | | (0.20 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | (0.20 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.80 | | | | $ | 7.33 | | | | $ | 8.95 | | | | $ | 8.54 | | | | $ | 8.42 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 9.26 | % | | | | (15.83 | )% | | | | 7.39 | % | | | | 2.59 | % | | | | 17.55 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 515 | | | | $ | 1,014 | | | | $ | 2,209 | | | | $ | 5,772 | | | | $ | 16,235 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 1.29 | % | | | | 1.29 | % | | | | 1.28 | % | | | | 1.30 | % | | | | 1.31 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 1.74 | % | | | | 1.62 | % | | | | 1.49 | % | | | | 1.49 | % | | | | 1.40 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.02 | % | | | | 1.87 | % | | | | 1.33 | % | | | | 0.95 | % | | | | 2.01 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. |
| | |
| 68 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.29 | | | | $ | 8.92 | | | | $ | 8.54 | | | | $ | 8.43 | | | | $ | 7.36 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.25 | | | | | 0.26 | | | | | 0.23 | | | | | 0.17 | | | | | 0.27 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.51 | | | | | (1.59 | ) | | | | 0.49 | | | | | 0.12 | | | | | 1.11 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.76 | | | | | (1.33 | ) | | | | 0.72 | | | | | 0.29 | | | | | 1.38 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.28 | ) | | | | (0.34 | ) | | | | (0.18 | ) | | | | (0.31 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.02 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.30 | ) | | | | (0.30 | ) | | | | (0.34 | ) | | | | (0.18 | ) | | | | (0.31 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.75 | | | | $ | 7.29 | | | | $ | 8.92 | | | | $ | 8.54 | | | | $ | 8.43 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 10.55 | % | | | | (14.92 | )% | | | | 8.49 | % | | | | 3.81 | % | | | | 18.86 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 26,627 | | | | $ | 37,888 | | | | $ | 58,742 | | | | $ | 99,006 | | | | $ | 194,783 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.18 | % | | | | 0.17 | % | | | | 0.17 | % | | | | 0.17 | % | | | | 0.18 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 0.63 | % | | | | 0.51 | % | | | | 0.38 | % | | | | 0.36 | % | | | | 0.27 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 3.39 | % | | | | 3.24 | % | | | | 2.62 | % | | | | 2.19 | % | | | | 3.38 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. | | 69 |
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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.31 | | | | $ | 8.94 | | | | $ | 8.56 | | | | $ | 8.44 | | | | $ | 7.37 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.24 | | | | | 0.23 | | | | | 0.21 | | | | | 0.13 | | | | | 0.25 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.48 | | | | | (1.60 | ) | | | | 0.47 | | | | | 0.13 | | | | | 1.09 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.72 | | | | | (1.37 | ) | | | | 0.68 | | | | | 0.26 | | | | | 1.34 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.25 | ) | | | | (0.30 | ) | | | | (0.14 | ) | | | | (0.27 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.30 | ) | | | | (0.14 | ) | | | | (0.27 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.77 | | | | $ | 7.31 | | | | $ | 8.94 | | | | $ | 8.56 | | | | $ | 8.44 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 9.98 | % | | | | (15.32 | )% | | | | 7.94 | % | | | | 3.32 | % | | | | 18.25 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 123 | | | | $ | 116 | | | | $ | 137 | | | | $ | 128 | | | | $ | 258 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.68 | % | | | | 0.67 | % | | | | 0.67 | % | | | | 0.67 | % | | | | 0.68 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 1.14 | % | | | | 1.01 | % | | | | 0.88 | % | | | | 0.86 | % | | | | 0.78 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 3.17 | % | | | | 2.96 | % | | | | 2.34 | % | | | | 1.62 | % | | | | 3.13 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. |
| | |
| 70 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.29 | | | | $ | 8.92 | | | | $ | 8.53 | | | | $ | 8.43 | | | | $ | 7.36 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.25 | | | | | 0.24 | | | | | 0.23 | | | | | 0.16 | | | | | 0.27 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.50 | | | | | (1.58 | ) | | | | 0.49 | | | | | 0.11 | | | | | 1.10 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.75 | | | | | (1.34 | ) | | | | 0.72 | | | | | 0.27 | | | | | 1.37 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.28 | ) | | | | (0.27 | ) | | | | (0.33 | ) | | | | (0.17 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.02 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.29 | ) | | | | (0.29 | ) | | | | (0.33 | ) | | | | (0.17 | ) | | | | (0.30 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.75 | | | | $ | 7.29 | | | | $ | 8.92 | | | | $ | 8.53 | | | | $ | 8.43 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 10.42 | % | | | | (15.03 | )% | | | | 8.50 | % | | | | 3.55 | % | | | | 18.71 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 8,014 | | | | $ | 9,424 | | | | $ | 15,372 | | | | $ | 18,816 | | | | $ | 22,706 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.29 | % | | | | 0.29 | % | | | | 0.29 | % | | | | 0.30 | % | | | | 0.32 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 0.75 | % | | | | 0.63 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.41 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 3.39 | % | | | | 3.08 | % | | | | 2.62 | % | | | | 2.12 | % | | | | 3.39 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. | | 71 |
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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.30 | | | | $ | 8.93 | | | | $ | 8.55 | | | | $ | 8.44 | | | | $ | 7.36 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.22 | | | | | 0.30 | | | | | 0.25 | | | | | 0.14 | | | | | 0.29 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.54 | | | | | (1.63 | ) | | | | 0.47 | | | | | 0.15 | | | | | 1.10 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.76 | | | | | (1.33 | ) | | | | 0.72 | | | | | 0.29 | | | | | 1.39 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.28 | ) | | | | (0.34 | ) | | | | (0.18 | ) | | | | (0.31 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.02 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.30 | ) | | | | (0.30 | ) | | | | (0.34 | ) | | | | (0.18 | ) | | | | (0.31 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.76 | | | | $ | 7.30 | | | | $ | 8.93 | | | | $ | 8.55 | | | | $ | 8.44 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 10.54 | % | | | | (14.89 | )% | | | | 8.50 | % | | | | 3.79 | % | | | | 19.02 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 606 | | | | $ | 1,900 | | | | $ | 812 | | | | $ | 815 | | | | $ | 45,956 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.17 | % | | | | 0.16 | % | | | | 0.16 | % | | | | 0.16 | % | | | | 0.17 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 0.61 | % | | | | 0.51 | % | | | | 0.37 | % | | | | 0.33 | % | | | | 0.26 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.92 | % | | | | 3.93 | % | | | | 2.76 | % | | | | 1.79 | % | | | | 3.59 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. |
| | |
| 72 | | 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 7.29 | | | | $ | 8.92 | | | | $ | 8.53 | | | | $ | 8.42 | | | | $ | 7.35 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.23 | | | | | 0.23 | | | | | 0.19 | | | | | 0.12 | | | | | 0.23 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.48 | | | | | (1.61 | ) | | | | 0.48 | | | | | 0.12 | | | | | 1.09 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.71 | | | | | (1.38 | ) | | | | 0.67 | | | | | 0.24 | | | | | 1.32 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.24 | ) | | | | (0.24 | ) | | | | (0.28 | ) | | | | (0.13 | ) | | | | (0.25 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.25 | ) | | | | (0.28 | ) | | | | (0.13 | ) | | | | (0.25 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 7.75 | | | | $ | 7.29 | | | | $ | 8.92 | | | | $ | 8.53 | | | | $ | 8.42 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 9.85 | % | | | | (15.46 | )% | | | | 7.93 | % | | | | 3.09 | % | | | | 18.12 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 469 | | | | $ | 476 | | | | $ | 554 | | | | $ | 724 | | | | $ | 1,140 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.79 | % | | | | 0.79 | % | | | | 0.79 | % | | | | 0.80 | % | | | | 0.81 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 1.25 | % | | | | 1.13 | % | | | | 1.00 | % | | | | 0.99 | % | | | | 0.91 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 3.05 | % | | | | 2.87 | % | | | | 2.08 | % | | | | 1.56 | % | | | | 2.88 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. | | 73 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Satellite Strategies Portfolio | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.31 | | | | $ | 8.93 | | | | $ | 8.55 | | | | $ | 8.44 | | | | $ | 7.37 | | | |
| | |
| | | | | | | |
| | Net investment income(a)(b) | | | | 0.28 | | | | | 0.25 | | | | | 0.25 | | | | | 0.18 | | | | | 0.30 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.47 | | | | | (1.57 | ) | | | | 0.47 | | | | | 0.11 | | | | | 1.08 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.75 | | | | | (1.32 | ) | | | | 0.72 | | | | | 0.29 | | | | | 1.38 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.29 | ) | | | | (0.34 | ) | | | | (0.18 | ) | | | | (0.31 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.01 | ) | | | | — | (c) | | | | — | | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.30 | ) | | | | (0.30 | ) | | | | (0.34 | ) | | | | (0.18 | ) | | | | (0.31 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.76 | | | | $ | 7.31 | | | | $ | 8.93 | | | | $ | 8.55 | | | | $ | 8.44 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 10.39 | % | | | | (14.78 | )% | | | | 8.49 | % | | | | 3.82 | % | | | | 18.85 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,506 | | | | $ | 1,380 | | | | $ | 3,111 | | | | $ | 3,743 | | | | $ | 3,722 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(e) | | | | 0.17 | % | | | | 0.16 | % | | | | 0.16 | % | | | | 0.16 | % | | | | 0.17 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(e) | | | | 0.63 | % | | | | 0.50 | % | | | | 0.37 | % | | | | 0.36 | % | | | | 0.27 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 3.69 | % | | | | 3.17 | % | | | | 2.80 | % | | | | 2.31 | % | | | | 3.70 | % | | |
| | | | | | | |
| | Portfolio turnover rate(f) | | | | 18 | % | | | | 25 | % | | | | 33 | % | | | | 5 | % | | | | 6 | % | | |
| | |
| | (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. |
| | |
| 74 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements December 31, 2023 |
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 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 Portfolios and Underlying Funds is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
| 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).
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. With respect to the Portfolios’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has 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 (except ETFs) 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 either due to broker/receivable for collateral on certain derivative 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 the 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.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
| 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.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Portfolio 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 Portfolio 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 Portfolio 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.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| | | | | | |
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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, 2023:
BALANCED STRATEGY
| | | | | | | | | | | | | | | | | | | | |
| Investment Type | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Underlying Funds | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Dynamic | | $ | 10,259,750 | | | | | | | $ | — | | | | | | | $ | — | |
| | | | | |
Equity | | | 79,659,797 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Exchange Traded Funds | | | 198,057,011 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Fixed Income | | | 219,093,286 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Investment Company | | | 20,126,549 | | | | | | | | — | | | | | | | | — | |
| |
| | | | | |
Total | | $ | 527,196,393 | | | | | | | $ | — | | | | | | | $ | — | |
| |
| | | | | |
| Derivative Type | | | | | | | | | | | | | | | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Centrally Cleared Interest Rate Swap Contracts(a) | | $ | — | | | | | | | $ | 50,635 | | | | | | | $ | — | |
| | | | | |
Futures Contracts(a) | | | 1,116,143 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Purchased option contracts | | | 1,733,706 | | | | | | | | 38,236 | | | | | | | | — | |
|
| |
| | | | | |
Total | | $ | 2,849,849 | | | | | | | $ | 88,871 | | | | | | | $ | — | |
|
| |
| | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | | | | | $ | (364,391 | ) | | | | | | $ | — | |
| | | | | |
Written option contracts | | | (175,550 | ) | | | | | | | — | | | | | | | | — | |
| |
| | | | | |
Total | | $ | (175,550 | ) | | | | | | $ | (364,391 | ) | | | | | | $ | — | |
| |
|
(a) Amount shown represents unrealized gain (loss) at period end. | |
| | | | | |
GROWTH AND INCOME STRATEGY | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Investment Type | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Underlying Funds | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Dynamic | | $ | 16,024,317 | | | | | | | $ | — | | | | | | | $ | — | |
| | | | | |
Equity | | | 161,404,833 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Exchange Traded Funds | | | 437,336,733 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Fixed Income | | | 173,186,343 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Investment Company | | | 30,119,753 | | | | | | | | — | | | | | | | | — | |
|
| |
| | | | | |
Total | | $ | 818,071,979 | | | | | | | $ | — | | | | | | | $ | — | |
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
| | | | | | |
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
GROWTH AND INCOME STRATEGY (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Derivative Type | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Centrally Cleared Interest Rate Swap Contracts(a) | | $ | — | | | | | | | $ | 65,292 | | | | | | | $ | — | |
| | | | | |
Futures Contracts(a) | | | 1,309,096 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Purchased option contracts | | | 2,628,163 | | | | | | | | 48,431 | | | | | | | | — | |
|
| |
| | | | | |
Total | | $ | 3,937,259 | | | | | | | $ | 113,723 | | | | | | | $ | — | |
| |
| | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | | | | | $ | (652,307 | ) | | | | | | $ | — | |
| | | | | |
Written option contracts | | | (443,500 | ) | | | | | | | — | | | | | | | | — | |
| |
| | | | | |
Total | | $ | (443,500 | ) | | | | | | $ | (652,307 | ) | | | | | | $ | — | |
| |
| | | | | |
(a) Amount shown represents unrealized gain (loss) at period end. | | | | | | | | | | | | | | | | | | | | |
| | | | | |
GROWTH STRATEGY | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Investment Type | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Underlying Funds | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Dynamic | | $ | 16,252,144 | | | | | | | $ | — | | | | | | | $ | — | |
| | | | | |
Equity | | | 207,486,960 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Exchange Traded Funds | | | 546,867,541 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Fixed Income | | | 27,282,654 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Investment Company | | | 26,040,624 | | | | | | | | — | | | | | | | | — | |
|
| |
| | | | | |
Total | | $ | 823,929,923 | | | | | | | $ | — | | | | | | | $ | — | |
| |
| | | | | |
| Derivative Type | | | | | | | | | | | | | | | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Centrally Cleared Interest Rate Swap Contracts(a) | | $ | — | | | | | | | $ | 49,302 | | | | | | | $ | — | |
| | | | | |
Futures Contracts(a) | | | 1,318,058 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Purchased option contracts | | | 3,151,925 | | | | | | | | 36,961 | | | | | | | | — | |
|
| |
| | | | | |
Total | | $ | 4,469,983 | | | | | | | $ | 86,263 | | | | | | | $ | — | |
| |
| | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | | | | | $ | (581,233 | ) | | | | | | $ | — | |
| | | | | |
Written option contracts | | | (580,845 | ) | | | | | | | — | | | | | | | | — | |
| |
| | | | | |
Total | | $ | (580,845 | ) | | | | | | $ | (581,233 | ) | | | | | | $ | — | |
| |
|
| (a) Amount shown represents unrealized gain (loss) at period end. | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
SATELLITE STRATEGIES
| | | | | | | | | | | | | | | | | | | | |
| Investment Type | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Underlying Funds | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Equity | | | $39,088,304 | | | | | | | | $ — | | | | | | | | $ — | |
| | | | | |
Exchange Traded Funds | | | 4,571,366 | | | | | | | | — | | | | | | | | — | |
| | | | | |
Fixed Income | | | 21,849,778 | | | | | | | | — | | | | | | | | — | |
| |
| | | | | |
Total | | | $65,509,448 | | | | | | | | $ — | | | | | | | | $ — | |
| |
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, 2023. 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.
Balanced Strategy
| | | | | | | | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
Currency | | — | | $ — | | Payable for unrealized loss on forward foreign currency exchange contracts | | | $ (364,391 | ) |
| | | | |
Equity | | Variation margin on futures contracts; Purchased options, at value | | 694,862(a) | | Payable for unrealized loss on swap contracts; Written options, at value | | | (175,550 | ) |
| | | | |
Interest rate | | Variation margin on futures contracts; Variation margin on swap contracts; Purchased options, at value | | 2,243,858(a) | | — | | | — | |
| | | | |
Total | | | | $2,938,720 | | | | | $(539,941 | ) |
| | | | | | | | |
| Growth and Income Strategy | | | | | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
Currency | | — | | $ — | | Payable for unrealized loss on forward
foreign currency exchange contracts | | | $ (652,307 | ) |
| | | | |
Equity | | Variation margin on futures contracts; Purchased options, at value | | 641,555(a) | | Written options, at value | | | (443,500 | ) |
| | | | |
Interest rate | | Variation margin on futures contracts; Variation margin on swap contracts; Purchased options, at value | | 3,409,427(a) | | — | | | — | |
| | | | |
Total | | | | $4,050,982 | | | | | $(1,095,807 | ) |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
| | | | | | |
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
Growth Strategy
| | | | | | | | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
Currency | | — | | $ — | | Payable for unrealized loss on forward foreign currency exchange contracts | | | $ (581,233 | ) |
| | | | |
Equity | | Variation margin on futures contracts; Purchased options, at value | | 631,924(a) | | Written options, at value | | | (580,845 | ) |
| | | | |
Interest rate | | Receivable for unrealized gain on swap contracts; Variation margin on futures contracts | | 3,924,322(a) | | — | | | — | |
| | | | |
Total | | | | $4,556,246 | | | | | $(1,162,078 | ) |
| | (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, 2023 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, 2023. 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
| | | | | | | | | | | | |
| Risk | | Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
Currency | | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | | | | $ (23,188 | ) | | | | $ 264,803 | |
| | | |
Equity | | Net realized gain (loss) from futures contracts, purchased option and written option contracts/Net change in unrealized gain on swap contracts, futures contracts purchased option and written option contracts | | | | 3,246,851 | | | | | 1,910,471 | |
| | | |
Interest rate | | Net realized gain from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | | | | (3,178,610 | ) | | | | 1,204,895 | |
| | | |
Total | | | | | | $ 45,053 | | | | | $3,380,169 | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| | | | | | |
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
Growth and Income Strategy
| | | | | | | | | | | | |
| Risk | | Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
Currency | | Net realized gain from forward foreign currency exchange contracts and purchased options /Net change in unrealized gain on forward foreign currency exchange contracts, purchased options and written options | | | | $ 248,155 | | | | | $ 372,152 | |
| | | |
Equity | | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, Purchased options and written options | | | | 4,807,933 | | | | | 2,798,092 | |
| | | |
Interest rate | | 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 | | | | (5,258,097 | ) | | | | 2,322,012 | |
| | | |
Total | | | | | | $ (202,009 | ) | | | | $5,492,256 | |
Growth Strategy | | | | | | | | | | |
| Risk | | Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
Currency | | Net realized gain from forward foreign currency exchange contracts; purchased options /Net change in unrealized gain on forward foreign currency exchange contracts; purchased options and written options | | | | $ 808,770 | | | | | $ 290,634 | |
| | | |
Equity | | Net realized gain (loss) from swap contracts; futures contracts; purchased options and written options/Net change in unrealized gain on futures contracts; written options | | | | 4,436,543 | | | | | 2,861,897 | |
| | | |
Interest rate | | Net realized gain (loss) from swap contracts; futures contracts and purchased options, at value/Net change in unrealized gain on swap contracts; futures contracts; Purchased options, at value | | | | (6,644,620 | ) | | | | 2,609,443 | |
| | | |
Total | | | | | | $(1,399,307 | ) | | | | $5,761,974 | |
For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:
| | | | | | | | | | | | | | | | | | |
| | | Average Number of Contracts, Notional Amounts, or Shares/Units(a) | |
| | | | | |
| Portfolio | | Futures
Contracts | | Forward
Contracts | | | Swap
Agreements | | | Purchased
Options | | | Written
Options | |
| | | | | |
Balanced Strategy | | 385 | | | $30,331,265 | | | | $1,146,572 | | | | 5,600,943 | | | | 98,095 | |
| | | | | |
Growth and Income Strategy | | 622 | | | 49,905,751 | | | | 1,478,699 | | | | 8,949,990 | | | | 134,087 | |
| | | | | |
Growth Strategy | | 811 | | | 51,082,177 | | | | 1,108,589 | | | | 10,237,508 | | | | 98,288 | |
| | (a) | Amounts disclosed represent the average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of the volume for this derivative type, for the months that each Portfolio held such derivatives during the fiscal year ended December 31, 2023. |
| | | | | | |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolios, subject to the general supervision of the Trustees.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
| | | | | | |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 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 or Class R Shares of the Portfolios, 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 Portfolios, 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 compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Portfolios, as set forth below.
| | | | | | | | | | | | | | | | |
| | | Distribution and/or Service Plan Rates | |
| | | | |
| | | Class A* | | | Class C | | | Service | | | Class R* | |
| | | | |
Distribution and/or Service Plan | | | 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 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 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, 2023, Goldman Sachs retained the following amounts:
| | | | | | | | | | | | | | | |
| | | Front End
Sales Charge | | | | Contingent Deferred
Sales Charge |
| | | |
| Fund | | Class A | | | | Class C |
| | | |
Balanced Strategy | | | | $ 2,735 | | | | | | | | | | $208 | |
| | | |
Growth and Income Strategy | | | | 8,836 | | | | | | | | | | 647 | |
| | | |
Growth Strategy | | | | 10,977 | | | | | | | | | | 601 | |
| | | |
Satellite Strategies | | | | 101 | | | | | | | | | | — | |
D. Service and 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.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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: 0.15% 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. Prior to July 1, 2023, fees charged for such transfer agency services were 0.16% of the average daily net assets of 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 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 28, 2024 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.
For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | |
| Fund | | Transfer Agency
Waivers/Credits | | | Other Expense
Reimbursements | | Total
Expense
Reductions | |
| | | |
Balanced Strategy | | | $ 547 | | | $385,027 | | | $385,574 | |
| | | |
Growth and Income Strategy | | | 1,080 | | | 396,833 | | | 397,913 | |
| | | |
Growth Strategy | | | 1,783 | | | 403,048 | | | 404,831 | |
| | | |
Satellite Strategies | | | 172 | | | 341,137 | | | 341,309 | |
G. Line of Credit Facility — As of December 31, 2023, the Portfolios participated in a $1,110,000,000 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, 2023, the Portfolios did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
| | | | | | |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued) |
H. Other Transactions with Affiliates — The Portfolios invest primarily in 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, 2023 (in thousands):
Balanced Strategy Portfolio
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income | | Capital Gain Distributions |
| | | | | | | | | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | | $ | 50,861 | | | | $ | 6,255 | | | | $ | (5,958 | ) | | | $ | (1,137 | ) | | | $ | 3,298 | | | | $ | 53,319 | | | | | 1,151 | | | | $ | 1,922 | | | | $ | — | |
| | | | | | | | | |
Goldman Sachs Access Treasury 0-1 Year ETF | | | | 31,387 | | | | | — | | | | | (31,492 | ) | | | | 80 | | | | | 25 | | | | | — | | | | | — | | | | | 1,095 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | | 7,847 | | | | | — | | | | | (2,908 | ) | | | | (628 | ) | | | | 1,299 | | | | | 5,610 | | | | | 183 | | | | | 176 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | | | 12,800 | | | | | — | | | | | — | | | | | — | | | | | 1,725 | | | | | 14,525 | | | | | 445 | | | | | 417 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | | 72,026 | | | | | — | | | | | (48,399 | ) | | | | 5,118 | | | | | 4,804 | | | | | 33,549 | | | | | 358 | | | | | 911 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Core Fixed Income Fund — Class R6 | | | | 16,630 | | | | | 598 | | | | | (17,247 | ) | | | | (3,828 | ) | | | | 3,847 | | | | | — | | | | | — | | | | | 499 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | | 7,904 | | | | | 9,582 | | | | | (12,100 | ) | | | | (478 | ) | | | | 660 | | | | | 5,568 | | | | | 586 | | | | | 758 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | | 19,318 | | | | | 2,240 | | | | | (15,500 | ) | | | | (2,517 | ) | | | | 3,832 | | | | | 7,373 | | | | | 910 | | | | | 240 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | | | 571 | | | | | 29 | | | | | (420 | ) | | | | 44 | | | | | (7 | ) | | | | 217 | | | | | 20 | | | | | 16 | | | | | 13 | |
| | | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | | 24,883 | | | | | 161,845 | | | | | (166,601 | ) | | | | — | | | | | — | | | | | 20,127 | | | | | 20,127 | | | | | 701 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Core Fixed Income Fund — Class R6 | | | | 153,641 | | | | | 39,583 | | | | | (11,000 | ) | | | | (2,208 | ) | | | | 11,253 | | | | | 191,269 | | | | | 16,690 | | | | | 4,283 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | | 10,215 | | | | | 159 | | | | | (5,200 | ) | | | | 543 | | | | | (434 | ) | | | | 5,283 | | | | | 424 | | | | | 128 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | | — | | | | | 4,600 | | | | | — | | | | | — | | | | | 294 | | | | | 4,894 | | | | | 498 | | | | | — | | | | | — | |
| | | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | | 4,475 | | | | | 415 | | | | | — | | | | | — | | | | | 129 | | | | | 5,019 | | | | | 564 | | | | | 415 | | | | | — | |
| | | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | | — | | | | | 5,403 | | | | | — | | | | | — | | | | | (5 | ) | | | | 5,398 | | | | | 961 | | | | | 18 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | | — | | | | | 11,207 | | | | | — | | | | | — | | | | | 416 | | | | | 11,623 | | | | | 1,208 | | | | | 107 | | | | | — | |
| | | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | | 31,685 | | | | | 2,407 | | | | | (22,600 | ) | | | | (1,273 | ) | | | | 4,689 | | | | | 14,908 | | | | | 1,076 | | | | | 407 | | | | | — | |
| | | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | | 7,233 | | | | | 161 | | | | | (2,500 | ) | | | | (211 | ) | | | | 775 | | | | | 5,458 | | | | | 447 | | | | | 161 | | | | | — | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued) |
Balanced Strategy Portfolio (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income | | Capital Gain Distributions |
| | | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | $ | 984 | | | | $ | 15,005 | | | | $ | (1,017 | ) | | | $ | (49 | ) | | | $ | 1,489 | | | | $ | 16,412 | | | | | 592 | | | | $ | 16 | | | | $ | 1,072 | |
| | | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | | 5,740 | | | | | 10,536 | | | | | (700 | ) | | | | (83 | ) | | | | 1,413 | | | | | 16,906 | | | | | 751 | | | | | 149 | | | | | 386 | |
| | | | | | | | | |
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | | | | 5,512 | | | | | 319 | | | | | (5,878 | ) | | | | (202 | ) | | | | 249 | | | | | — | | | | | — | | | | | 325 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | | 15,416 | | | | | 1,015 | | | | | (5,800 | ) | | | | (418 | ) | | | | 47 | | | | | 10,260 | | | | | 1,044 | | | | | 15 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | | 2,304 | | | | | 8,461 | | | | | — | | | | | — | | | | | 472 | | | | | 11,237 | | | | | 265 | | | | | 108 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | | 5,161 | | | | | 23,268 | | | | | (1,982 | ) | | | | (209 | ) | | | | 3,967 | | | | | 30,205 | | | | | 562 | | | | | 243 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | | — | | | | | 43,837 | | | | | — | | | | | — | | | | | 4,901 | | | | | 48,738 | | | | | 746 | | | | | 188 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | | 19,125 | | | | | 523 | | | | | (19,892 | ) | | | | (511 | ) | | | | 755 | | | | | — | | | | | — | | | | | 347 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | | 1,598 | | | | | 6,065 | | | | | — | | | | | — | | | | | 763 | | | | | 8,426 | | | | | 321 | | | | | 65 | | | | | — | |
| | | | | | | | | |
Total | | | $ | 507,316 | | | | $ | 353,513 | | | | $ | (377,194 | ) | | | $ | (7,967 | ) | | | $ | 50,656 | | | | $ | 526,324 | | | | | | | | | $ | 13,710 | | | | $ | 1,471 | |
Growth and Income Strategy Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales
| | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income | | Capital Gain Distributions |
| | | | | | | | | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | | $ | 75,699 | | | | $ | 8,623 | | | | $ | (19,207 | ) | | | $ | (5,878 | ) | | | $ | 7,974 | | | | $ | 67,211 | | | | | 1,451 | | | | $ | 2,839 | | | | $ | — | |
| | | | | | | | | |
Goldman Sachs Access Treasury 0-1 Year ETF | | | | 49,447 | | | | | 399 | | | | | (49,991 | ) | | | | 109 | | | | | 36 | | | | | — | | | | | — | | | | | 1,756 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | | 10,835 | | | | | 5,125 | | | | | (1,261 | ) | | | | (243 | ) | | | | 1,340 | | | | | 15,796 | | | | | 515 | | | | | 377 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | | | 29,288 | | | | | 4,079 | | | | | (3,278 | ) | | | | (432 | ) | | | | 4,765 | | | | | 34,422 | | | | | 1,054 | | | | | 893 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | | 198,942 | | | | | — | | | | | (149,568 | ) | | | | 40,576 | | | | | (11,526 | ) | | | | 78,424 | | | | | 836 | | | | | 2,552 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund— Class R6 | | | | 14,326 | | | | | 17,029 | | | | | (22,800 | ) | | | | (839 | ) | | | | 1,142 | | | | | 8,858 | | | | | 932 | | | | | 1,382 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | | 43,593 | | | | | 2,702 | | | | | (33,900 | ) | | | | (5,514 | ) | | | | 9,094 | | | | | 15,975 | | | | | 1,972 | | | | | 602 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | | | 720 | | | | | 36 | | | | | (550 | ) | | | | 57 | | | | | (11 | ) | | | | 252 | | | | | 23 | | | | | 21 | | | | | 14 | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued) |
Growth and Income Strategy Portfolio (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income | | Capital Gain Distributions |
| | | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | $ | 23,894 | | | | $ | 250,790 | | | | $ | (244,564 | ) | | | $ | — | | | | $ | — | | | | $ | 30,120 | | | | | 30,120 | | | | $ | 690 | | | | $ | — | |
| | | | | | | | | |
Goldman Sachs Global Core Fixed Income Fund — Class R6 | | | | 115,501 | | | | | 27,172 | | | | | (10,801 | ) | | | | (1,929 | ) | | | | 9,025 | | | | | 138,968 | | | | | 12,126 | | | | | 3,272 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | | 16,071 | | | | | 228 | | | | | (10,900 | ) | | | | 1,083 | | | | | (1,273 | ) | | | | 5,209 | | | | | 418 | | | | | 176 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | | — | | | | | 4,900 | | | | | — | | | | | — | | | | | 313 | | | | | 5,213 | | | | | 530 | | | | | — | | | | | — | |
| | | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | | 7,058 | | | | | 1,713 | | | | | (1,000 | ) | | | | (59 | ) | | | | 269 | | | | | 7,981 | | | | | 897 | | | | | 714 | | | | | — | |
| | | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | | — | | | | | 8,404 | | | | | — | | | | | — | | | | | (7 | ) | | | | 8,397 | | | | | 1,494 | | | | | 29 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | | — | | | | | 8,380 | | | | | — | | | | | — | | | | | 351 | | | | | 8,731 | | | | | 908 | | | | | 80 | | | | | — | |
| | | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | | 84,478 | | | | | 1,925 | | | | | (62,100 | ) | | | | 1,731 | | | | | 7,900 | | | | | 33,934 | | | | | 2,450 | | | | | 925 | | | | | — | |
| | | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | | 17,575 | | | | | 255 | | | | | (10,000 | ) | | | | (931 | ) | | | | 1,750 | | | | | 8,649 | | | | | 709 | | | | | 254 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | | 2,230 | | | | | 35,911 | | | | | (2,000 | ) | | | | (96 | ) | | | | 3,328 | | | | | 39,373 | | | | | 1,420 | | | | | 39 | | | | | 2,573 | |
| | | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | | 11,391 | | | | | 26,251 | | | | | (1,000 | ) | | | | (54 | ) | | | | 3,184 | | | | | 39,772 | | | | | 1,766 | | | | | 342 | | | | | 909 | |
| | | | | | | | | |
Goldman Sachs Local Emerging- Markets Debt Fund — Class R6 | | | | 8,619 | | | | | 496 | | | | | (9,192 | ) | | | | (312 | ) | | | | 389 | | | | | — | | | | | — | | | | | 506 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | | 20,386 | | | | | 1,623 | | | | | (5,400 | ) | | | | (279 | ) | | | | (306 | ) | | | | 16,024 | | | | | 1,630 | | | | | 23 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | | 5,271 | | | | | 24,176 | | | | | — | | | | | — | | | | | 1,251 | | | | | 30,698 | | | | | 725 | | | | | 265 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | | 11,809 | | | | | 53,565 | | | | | (3,172 | ) | | | | (334 | ) | | | | 8,118 | | | | | 69,986 | | | | | 1,303 | | | | | 560 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | | — | | | | | 127,368 | | | | | — | | | | | — | | | | | 12,295 | | | | | 139,663 | | | | | 2,137 | | | | | 538 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | | 29,178 | | | | | 778 | | | | | (30,141 | ) | | | | (934 | ) | | | | 1,119 | | | | | — | | | | | — | | | | | 504 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | | 3,657 | | | | | 8,302 | | | | | — | | | | | — | | | | | 1,321 | | | | | 13,280 | | | | | 506 | | | | | 102 | | | | | — | |
| | | | | | | | | |
Total | | | $ | 779,968 | | | | $ | 620,230 | | | | $ | (670,825 | ) | | | $ | 25,722 | | | | $ | 61,841 | | | | $ | 816,936 | | | | | | | | | $ | 19,441 | | | | $ | 3,496 | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued) |
Growth Strategy Portfolio
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income | | Capital Gain Distributions |
| | | | | | | | | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | | $ | 9,128 | | | | $ | 30,190 | | | | $ | — | | | | $ | — | | | | $ | 3,076 | | | | $ | 42,394 | | | | | 915 | | | | $ | 685 | | | | $ | — | |
| | | | | | | | | |
Goldman Sachs Access Treasury 0-1 Year ETF | | | | 47,924 | | | | | — | | | | | (48,068 | ) | | | | 109 | | | | | 35 | | | | | — | | | | | — | | | | | 1,691 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | | 11,835 | | | | | 7,691 | | | | | (1,709 | ) | | | | (326 | ) | | | | 1,660 | | | | | 19,151 | | | | | 624 | | | | | 456 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | | | 31,990 | | | | | 8,961 | | | | | — | | | | | — | | | | | 5,545 | | | | | 46,496 | | | | | 1,424 | | | | | 1,088 | | | | | — | |
| | | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | | 267,497 | | | | | 3,975 | | | | | (206,007 | ) | | | | 54,663 | | | | | (13,740 | ) | | | | 106,388 | | | | | 1,134 | | | | | 3,493 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | | 15,808 | | | | | 19,614 | | | | | (25,400 | ) | | | | (994 | ) | | | | 1,315 | | | | | 10,343 | | | | | 1,089 | | | | | 1,560 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | | 61,969 | | | | | 4,448 | | | | | (49,900 | ) | | | | (11,890 | ) | | | | 16,430 | | | | | 21,057 | | | | | 2,600 | | | | | 748 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | | | 599 | | | | | 30 | | | | | (450 | ) | | | | 47 | | | | | (9 | ) | | | | 217 | | | | | 20 | | | | | 17 | | | | | 12 | |
| | | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | | 46,853 | | | | | 236,577 | | | | | (257,389 | ) | | | | — | | | | | — | | | | | 26,041 | | | | | 26,041 | | | | | 1,832 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | | 14,722 | | | | | 2,227 | | | | | (11,600 | ) | | | | 1,047 | | | | | (1,228 | ) | | | | 5,168 | | | | | 415 | | | | | 178 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | | — | | | | | 5,000 | | | | | — | | | | | — | | | | | 319 | | | | | 5,319 | | | | | 541 | | | | | — | | | | | — | |
| | | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | | — | | | | | 8,105 | | | | | — | | | | | — | | | | | 95 | | | | | 8,200 | | | | | 921 | | | | | 105 | | | | | — | |
| | | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | | — | | | | | 8,504 | | | | | — | | | | | — | | | | | (7 | ) | | | | 8,497 | | | | | 1,512 | | | | | 28 | | | | | — | |
| | | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | | 113,540 | | | | | 4,265 | | | | | (84,600 | ) | | | | 1,292 | | | | | 11,876 | | | | | 46,373 | | | | | 3,348 | | | | | 1,265 | | | | | — | |
| | | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | | 28,009 | | | | | 2,252 | | | | | (23,000 | ) | | | | (1,334 | ) | | | | 2,622 | | | | | 8,549 | | | | | 701 | | | | | 251 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | | 3,890 | | | | | 47,550 | | | | | (2,500 | ) | | | | (170 | ) | | | | 4,752 | | | | | 53,522 | | | | | 1,931 | | | | | 53 | | | | | 3,497 | |
| | | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | | 14,346 | | | | | 37,667 | | | | | (2,300 | ) | | | | (178 | ) | | | | 4,497 | | | | | 54,032 | | | | | 2,399 | | | | | 432 | | | | | 1,235 | |
| | | | | | | | | |
Goldman Sachs Local Emerging- Markets Debt Fund — Class R6 | | | | 8,519 | | | | | 491 | | | | | (9,085 | ) | | | | (310 | ) | | | | 385 | | | | | — | | | | | — | | | | | 501 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | | 15,216 | | | | | 1,623 | | | | | — | | | | | — | | | | | (587 | ) | | | | 16,252 | | | | | 1,653 | | | | | 23 | | | | | — | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS ( continued) |
Growth Strategy Portfolio (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income | | Capital Gain Distributions |
| | | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | $ | 5,757 | | | | $ | 32,236 | | | | $ | — | | | | $ | — | | | | $ | 1,572 | | | | $ | 39,565 | | | | | 934 | | | | $ | 312 | | | | $ | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | | 12,899 | | | | | 74,462 | | | | | (2,973 | ) | | | | (314 | ) | | | | 10,261 | | | | | 94,335 | | | | | 1,756 | | | | | 679 | | | | | — | |
| | | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | | — | | | | | 182,464 | | | | | — | | | | | — | | | | | 15,266 | | | | | 197,730 | | | | | 3,026 | | | | | 762 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | | 27,948 | | | | | 793 | | | | | (28,898 | ) | | | | (897 | ) | | | | 1,079 | | | | | 25 | | | | | 3 | | | | | 504 | | | | | — | |
| | | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | | 3,995 | | | | | 8,103 | | | | | — | | | | | — | | | | | 1,369 | | | | | 13,467 | | | | | 513 | | | | | 104 | | | | | — | |
| | | | | | | | | |
Total | | | $ | 742,444 | | | | $ | 727,228 | | | | $ | (753,879 | ) | | | $ | 40,745 | | | | $ | 66,583 | | | | $ | 823,121 | | | | | | | | | $ | 16,767 | | | | $ | 4,744 | |
Satellite Strategies Portfolio
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value as of
12/31/22 | | Purchases at Cost | | Proceeds from Sales
| | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Market Value as of
12/31/23 | | Shares as of 12/31/23 | | Dividend Income |
| | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | $ | 2,999 | | | | $ | — | | | | $ | (1,550 | ) | | | $ | (24 | ) | | | $ | 245 | | | | $ | 1,670 | | | | | 54 | | | | $ | 73 | |
| | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | | 10,212 | | | | | 509 | | | | | (3,220 | ) | | | | (266 | ) | | | | 792 | | | | | 8,027 | | | | | 845 | | | | | 509 | |
| | | | | | | | |
Goldman Sachs Emerging Markets Equity Fund — Class R6 | | | | 3,524 | | | | | 29 | | | | | (1,550 | ) | | | | 932 | | | | | (736 | ) | | | | 2,198 | | | | | 102 | | | | | 29 | |
| | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | | 5,302 | | | | | 155 | | | | | (1,790 | ) | | | | 36 | | | | | 398 | | | | | 4,101 | | | | | 506 | | | | | 154 | |
| | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | | 1,540 | | | | | 13,371 | | | | | (14,911 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | 28 | |
| | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | | 16,906 | | | | | 781 | | | | | (6,080 | ) | | | | 723 | | | | | (435 | ) | | | | 11,895 | | | | | 955 | | | | | 320 | |
| | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | | 5,038 | | | | | 385 | | | | | (2,050 | ) | | | | (206 | ) | | | | 692 | | | | | 3,859 | | | | | 393 | | | | | 78 | |
| | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | | 3,412 | | | | | 235 | | | | | (1,780 | ) | | | | (112 | ) | | | | 189 | | | | | 1,945 | | | | | 218 | | | | | 235 | |
| | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | | 4,255 | | | | | 936 | | | | | (1,450 | ) | | | | 54 | | | | | 139 | | | | | 3,933 | | | | | 700 | | | | | 215 | |
| | | | | | | | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | | 7,689 | | | | | 2,982 | | | | | (2,700 | ) | | | | (427 | ) | | | | 401 | | | | | 7,945 | | | | | 826 | | | | | 282 | |
| | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | | 18,418 | | | | | 923 | | | | | (7,430 | ) | | | | 918 | | | | | 984 | | | | | 13,813 | | | | | 1,132 | | | | | 423 | |
| | | | | | | | |
Goldman Sachs Local Emerging- Markets Debt Fund — Class R6 | | | | 1,737 | | | | | 1,915 | | | | | (3,506 | ) | | | | (346 | ) | | | | 201 | | | | | — | | | | | — | | | | | 126 | |
| | | | | | | | |
Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | | | | 2,480 | | | | | 1,601 | | | | | (1,200 | ) | | | | 97 | | | | | 244 | | | | | 3,222 | | | | | 100 | | | | | 201 | |
| | | | | | | | |
Total | | | $ | 83,512 | | | | $ | 23,822 | | | | $ | (49,217 | ) | | | $ | 1,379 | | | | $ | 3,114 | | | | $ | 62,608 | | | | | | | | | $ | 2,673 | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| | | | | | |
|
| 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, 2023, were as follows:
| | | | | | | | |
| Portfolio | | Purchases | | | Sales | |
| | |
Balanced Strategy | | $ | 196,800,884 | | | $ | 213,858,102 | |
| | |
Growth and Income Strategy | | | 377,132,950 | | | | 431,053,808 | |
| | |
Growth Strategy | | | 499,174,919 | | | | 502,218,201 | |
| | |
Satellite Strategies | | | 13,303,970 | | | | 34,305,888 | |
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | | | | Growth and
Income Strategy | | | | | | Growth
Strategy | | | | | | Satellite
Strategies | |
| | | | | | | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ordinary income | | | $11,005,279 | | | | | | | | $15,958,470 | | | | | | | | $13,204,087 | | | | | | | | $2,497,929 | |
| | | | | | | |
Total taxable distributions | | | $11,005,279 | | | | | | | | $15,958,470 | | | | | | | | $13,204,087 | | | | | | | | $2,497,929 | |
| | | | | | | |
Tax return of capital | | | $ — | | | | | | | | $ — | | | | | | | | $ — | | | | | | | | $ 90,162 | |
The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | | | | Growth and
Income Strategy | | | | | | Growth
Strategy | | | | | | Satellite
Strategies | |
| | | | | | | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ordinary income | | | $20,064,071 | | | | | | | | $31,708,913 | | | | | | | | $28,267,274 | | | | | | | | $3,315,643 | |
| | | | | | | |
Net long-term capital gains | | | 6,350,525 | | | | | | | | 13,169,384 | | | | | | | | 12,587,580 | | | | | | | | — | |
| | | | | | | |
Total taxable distributions | | | $26,414,596 | | | | | | | | $44,878,297 | | | | | | | | $40,854,854 | | | | | | | | $3,315,643 | |
| | | | | | | |
Tax return of capital | | | $ — | | | | | | | | $ — | | | | | | | | $ — | | | | | | | | $ 190,075 | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
| | |
| |
| 7. | | TAX INFORMATION (continued) |
As of December 31, 2023, the components of accumulated earnings (losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balanced
Strategy | | | | | | Growth and
Income Strategy | | | | | | Growth Strategy | | | | | | Satellite
Strategies | |
| |
| | | | | | | |
Undistributed ordinary income — net | | | $ 325,384 | | | | | | | | $ 371,028 | | | | | | | | $ 2,018,999 | | | | | | | | $ — | |
| | | | | | | |
Undistributed long-term capital gains | | | — | | | | | | | | 20,983,930 | | | | | | | | 37,529,694 | | | | | | | | — | |
| |
| | | | | | | |
Total Undistributed Earnings | | | $ 325,384 | | | | | | | | $21,354,958 | | | | | | | | $ 39,548,693 | | | | | | | | $ — | |
| |
| | | | | | | |
Capital loss carryforwards(1) : | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Perpetual Short-Term | | | (8,463,071 | ) | | | | | | | — | | | | | | | | — | | | | | | | | (403,601 | ) |
| | | | | | | |
Perpetual Long-Term | | | (2,635,033 | ) | | | | | | | — | | | | | | | | — | | | | | | | | (18,565,510 | ) |
| |
| | | | | | | |
Total capital loss carryforwards | | | (11,098,104 | ) | | | | | | | — | | | | | | | | — | | | | | | | | (18,969,111 | ) |
| |
| | | | | | | |
Timing differences (Qualified Late Year Loss Deferral and Post October Capital Loss Deferral) | | | $ (1,292,414 | ) | | | | | | | $ (1,555,657 | ) | | | | | | | $ (1,680,318 | ) | | | | | | | $ (78,808 | ) |
| | | | | | | |
Unrealized gains (loss) — net | | | 11,215,820 | | | | | | | | 52,353,537 | | | | | | | | 87,231,394 | | | | | | | | 8,845,648 | |
| |
| | | | | | | |
Total accumulated earnings (loss) net | | | $ (849,314 | ) | | | | | | | $72,152,838 | | | | | | | | $125,099,769 | | | | | | | | $(10,202,271 | ) |
| |
| | (1) | The Growth and Income Strategy, Growth Strategy and Satellite Strategies Portfolios utilized $8,255,847, $2,373,665 and 148,377, respectively, of capital losses in the current fiscal year. |
As of December 31, 2023, 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 | | $ | 518,544,625 | | | | | | | $ | 769,064,437 | | | | | | | $ | 740,615,202 | | | | | | | $ | 56,663,800 | |
| |
| | | | | | | |
Gross unrealized gain | | | 26,828,672 | | | | | | | | 66,379,912 | | | | | | | | 92,693,840 | | | | | | | | 9,240,312 | |
| | | | | | | |
Gross unrealized loss | | | (15,612,852 | ) | | | | | | | (14,026,375 | ) | | | | | | | (5,462,446 | ) | | | | | | | (394,664 | ) |
| |
| | | | | | | |
Net unrealized gain | | $ | 11,215,820 | | | | | | | $ | 52,353,537 | | | | | | | $ | 87,231,394 | | | | | | | $ | 8,845,648 | |
| |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts, net mark to market gains/(losses) on regulated options contracts, net mark to market gains/(losses) on foreign currency contracts, and differences in the tax treatment of swap transactions.
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:
Asset Allocation Risk — The Funds’ allocations to the various asset classes and to the Underlying Managers may cause the Funds to underperform other funds with a similar investment objective.
Derivatives Risk — The Portfolios’ use of derivatives and other similar instruments (collectively, referred to in this paragraph as (“derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
| 8. OTHER RISKS (continued) |
underlying assets or instruments may produce disproportionate losses to the Portfolios. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Portfolios will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Portfolios will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. 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.
Expenses Risk — By investing in the Underlying Funds indirectly through the Fund, the investor will incur not only a proportionate share of the expenses of the Underlying Funds held by the Fund (including operating costs and investment management fees), but also the expenses of the Fund.
Investments in the Underlying Funds Risk — The investments of a Portfolio 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 a Portfolio 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— 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 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 the Portfolio’s or the 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 expense ratio of the Portfolio or the Underlying Fund. 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.
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, 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.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
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.
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
At a meeting held on December 12-13, 2023, upon the recommendation of Goldman Sachs Asset Management, L.P., the Board of Trustees of the Goldman Sachs Trust (the “Trust”) approved a proposal to liquidate the Goldman Sachs Satellite Strategies Portfolio (the “Portfolio”), 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 Portfolio and its shareholders to liquidate the Portfolio. The Portfolio liquidated on February 13, 2024, pursuant to a Plan of Liquidation approved by the Board.
All other 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.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| | |
| |
12. | | SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced Strategy Portfolio | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 356,122 | | | $ | 3,907,507 | | | | 603,462 | | | $ | 6,961,258 | |
| | | | |
Reinvestment of distributions | | | 139,497 | | | | 1,525,575 | | | | 386,303 | | | | 4,156,467 | |
| | | | |
Shares redeemed | | | (1,340,030 | ) | | | (14,609,063 | ) | | | (1,395,598 | ) | | | (15,916,652 | ) |
|
| |
| | | | |
| | | (844,411 | ) | | | (9,175,981 | ) | | | (405,833 | ) | | | (4,798,927 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 44,501 | | | | 494,172 | | | | 59,973 | | | | 674,933 | |
| | | | |
Reinvestment of distributions | | | 3,013 | | | | 32,764 | | | | 14,742 | | | | 158,221 | |
| | | | |
Shares redeemed | | | (161,312 | ) | | | (1,771,942 | ) | | | (239,430 | ) | | | (2,702,276 | ) |
|
| |
| | | | |
| | | (113,798 | ) | | | (1,245,006 | ) | | | (164,715 | ) | | | (1,869,122 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 6,792,225 | | | | 75,019,718 | | | | 8,369,679 | | | | 95,772,780 | |
| | | | |
Reinvestment of distributions | | | 732,619 | | | | 8,020,129 | | | | 1,699,997 | | | | 18,321,277 | |
| | | | |
Shares redeemed | | | (8,350,282 | ) | | | (91,229,602 | ) | | | (9,476,217 | ) | | | (109,352,179 | ) |
|
| |
| | | | |
| | | (825,438 | ) | | | (8,189,755 | ) | | | 593,459 | | | | 4,741,878 | |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 20 | | | | 223 | | | | 53 | | | | 584 | |
|
| |
| | | | |
| | | 20 | | | | 223 | | | | 53 | | | | 584 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 68,665 | | | | 744,741 | | | | 56,404 | | | | 665,590 | |
| | | | |
Reinvestment of distributions | | | 5,857 | | | | 63,769 | | | | 15,547 | | | | 167,144 | |
| | | | |
Shares redeemed | | | (113,991 | ) | | | (1,233,012 | ) | | | (199,826 | ) | | | (2,290,183 | ) |
|
| |
| | | | |
| | | (39,469 | ) | | | (424,502 | ) | | | (127,875 | ) | | | (1,457,449 | ) |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 10,490 | | | | 114,657 | | | | 252,983 | | | | 2,854,714 | |
| | | | |
Reinvestment of distributions | | | 4,402 | | | | 48,212 | | | | 8,321 | | | | 88,908 | |
| | | | |
Shares redeemed | | | (19,185 | ) | | | (210,340 | ) | | | (86,588 | ) | | | (967,661 | ) |
|
| |
| | | | |
| | | (4,293 | ) | | | (47,471 | ) | | | 174,716 | | | | 1,975,961 | |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 99,662 | | | | 1,084,852 | | | | 84,335 | | | | 963,832 | |
| | | | |
Reinvestment of distributions | | | 14,654 | | | | 159,345 | | | | 38,381 | | | | 410,355 | |
| | | | |
Shares redeemed | | | (28,384 | ) | | | (312,262 | ) | | | (139,867 | ) | | | (1,546,266 | ) |
|
| |
| | | | |
| | | 85,932 | | | | 931,935 | | | | (17,151 | ) | | | (172,079 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,493,382 | | | | 16,298,905 | | | | 5,647,267 | | | | 62,380,196 | |
| | | | |
Reinvestment of distributions | | | 96,380 | | | | 1,056,728 | | | | 263,834 | | | | 2,835,170 | |
| | | | |
Shares redeemed | | | (2,698,580 | ) | | | (29,435,540 | ) | | | (4,401,940 | ) | | | (48,651,043 | ) |
|
| |
| | | | |
| | | (1,108,818 | ) | | | (12,079,907 | ) | | | 1,509,161 | | | | 16,564,323 | |
|
| |
| | | | |
NET INCREASE (DECREASE) | | | (2,850,275 | ) | | $ | (30,230,464 | ) | | | 1,561,815 | | | $ | 14,985,169 | |
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
| | |
| |
| 12. | | SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Growth and Income Strategy Portfolio | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 427,446 | | | $ | 5,946,082 | | | | 529,274 | | | $ | 7,590,807 | |
| | | | |
Reinvestment of distributions | | | 269,158 | | | | 3,758,983 | | | | 860,604 | | | | 11,559,230 | |
| | | | |
Shares redeemed | | | (1,764,651 | ) | | | (24,469,937 | ) | | | (2,146,090 | ) | | | (30,818,322 | ) |
| |
| | | | |
| | | (1,068,047 | ) | | | (14,764,872 | ) | | | (756,212 | ) | | | (11,668,285 | ) |
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 49,506 | | | | 660,902 | | | | 59,443 | | | | 838,699 | |
| | | | |
Reinvestment of distributions | | | 4,518 | | | | 60,954 | | | | 24,983 | | | | 324,307 | |
| | | | |
Shares redeemed | | | (177,570 | ) | | | (2,403,096 | ) | | | (189,823 | ) | | | (2,601,929 | ) |
| |
| | | | |
| | | (123,546 | ) | | | (1,681,240 | ) | | | (105,397 | ) | | | (1,438,923 | ) |
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,334,538 | | | | 46,992,629 | | | | 4,530,330 | | | | 64,093,167 | |
| | | | |
Reinvestment of distributions | | | 483,975 | | | | 6,785,524 | | | | 1,387,276 | | | | 18,750,924 | |
| | | | |
Shares redeemed | | | (6,540,479 | ) | | | (91,418,397 | ) | | | (7,691,416 | ) | | | (109,164,056 | ) |
| |
| | | | |
| | | (2,721,966 | ) | | | (37,640,244 | ) | | | (1,773,810 | ) | | | (26,319,965 | ) |
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 148 | | | | 2,097 | | | | 3,980 | | | | 58,963 | |
| | | | |
Reinvestment of distributions | | | 307 | | | | 4,260 | | | | 1,197 | | | | 16,013 | |
| | | | |
Shares redeemed | | | (25,182 | ) | | | (350,957 | ) | | | (32,452 | ) | | | (482,190 | ) |
| |
| | | | |
| | | (24,727 | ) | | | (344,600 | ) | | | (27,275 | ) | | | (407,214 | ) |
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 397,514 | | | | 5,465,964 | | | | 111,579 | | | | 1,611,680 | |
| | | | |
Reinvestment of distributions | | | 12,673 | | | | 177,199 | | | | 31,316 | | | | 418,773 | |
| | | | |
Shares redeemed | | | (96,201 | ) | | | (1,329,769 | ) | | | (120,429 | ) | | | (1,752,360 | ) |
| |
| | | | |
| | | 313,986 | | | | 4,313,394 | | | | 22,466 | | | | 278,093 | |
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 34,925 | | | | 479,838 | | | | 121,774 | | | | 1,774,210 | |
| | | | |
Reinvestment of distributions | | | 3,192 | | | | 44,730 | | | | 7,630 | | | | 102,529 | |
| | | | |
Shares redeemed | | | (54,084 | ) | | | (747,946 | ) | | | (21,065 | ) | | | (306,208 | ) |
| |
| | | | |
| | | (15,967 | ) | | | (223,378 | ) | | | 108,339 | | | | 1,570,531 | |
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 33,747 | | | | 460,626 | | | | 58,434 | | | | 840,946 | |
| | | | |
Reinvestment of distributions | | | 4,473 | | | | 61,789 | | | | 18,536 | | | | 246,281 | |
| | | | |
Shares redeemed | | | (84,001 | ) | | | (1,149,299 | ) | | | (86,348 | ) | | | (1,173,317 | ) |
| |
| | | | |
| | | (45,781 | ) | | | (626,884 | ) | | | (9,378 | ) | | | (86,090 | ) |
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,151,308 | | | | 16,134,521 | | | | 1,334,321 | | | | 19,122,407 | |
| | | | |
Reinvestment of distributions | | | 341,057 | | | | 4,779,236 | | | | 927,933 | | | | 12,522,135 | |
| | | | |
Shares redeemed | | | (2,044,701 | ) | | | (28,353,638 | ) | | | (1,500,417 | ) | | | (21,569,569 | ) |
| |
| | | | |
| | | (552,336 | ) | | | (7,439,881 | ) | | | 761,837 | | | | 10,074,973 | |
| |
| | | | |
NET DECREASE | | | (4,238,384 | ) | | $ | (58,407,705 | ) | | | (1,779,430 | ) | | $ | (27,996,880 | ) |
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Growth Strategy Portfolio | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 733,776 | | | $ | 12,308,989 | | | | 810,119 | | | $ | 13,831,137 | |
| | | | |
Reinvestment of distributions | | | 229,304 | | | | 4,104,540 | | | | 904,539 | | | | 14,222,585 | |
| | | | |
Shares redeemed | | | (2,055,329 | ) | | | (34,159,101 | ) | | | (2,161,725 | ) | | | (37,084,791 | ) |
| |
| | | | |
| | | (1,092,249 | ) | | | (17,745,572 | ) | | | (447,067 | ) | | | (9,031,069 | ) |
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 61,465 | | | | 1,060,400 | | | | 93,441 | | | | 1,661,622 | |
| | | | |
Reinvestment of distributions | | | 2,860 | | | | 52,650 | | | | 34,957 | | | | 564,337 | |
| | | | |
Shares redeemed | | | (259,357 | ) | | | (4,497,705 | ) | | | (239,017 | ) | | | (4,173,692 | ) |
| |
| | | | |
| | | (195,032 | ) | | | (3,384,655 | ) | | | (110,619 | ) | | | (1,947,733 | ) |
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,844,983 | | | | 31,275,809 | | | | 2,827,688 | | | | 49,296,522 | |
| | | | |
Reinvestment of distributions | | | 202,885 | | | | 3,627,575 | | | | 681,659 | | | | 10,702,609 | |
| | | | |
Shares redeemed | | | (2,892,648 | ) | | | (48,808,246 | ) | | | (3,519,805 | ) | | | (60,945,263 | ) |
| |
| | | | |
| | | (844,780 | ) | | | (13,904,862 | ) | | | (10,458 | ) | | | (946,132 | ) |
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 28,872 | | | | 477,880 | | | | 10,730 | | | | 181,558 | |
| | | | |
Reinvestment of distributions | | | 656 | | | | 11,700 | | | | 1,649 | | | | 25,848 | |
| | | | |
Shares redeemed | | | (16,339 | ) | | | (270,811 | ) | | | (21,131 | ) | | | (361,942 | ) |
| |
| | | | |
| | | 13,189 | | | | 218,769 | | | | (8,752 | ) | | | (154,536 | ) |
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 663,722 | | | | 10,572,179 | | | | 749,886 | | | | 13,133,835 | |
| | | | |
Reinvestment of distributions | | | 11,306 | | | | 198,980 | | | | 39,626 | | | | 615,276 | |
| | | | |
Shares redeemed | | | (619,975 | ) | | | (10,232,600 | ) | | | (847,416 | ) | | | (13,747,674 | ) |
| |
| | | | |
| | | 55,053 | | | | 538,559 | | | | (57,904 | ) | | | 1,437 | |
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 62,561 | | | | 1,050,120 | | | | 196,844 | | | | 3,396,109 | |
| | | | |
Reinvestment of distributions | | | 7,731 | | | | 138,304 | | | | 24,685 | | | | 387,883 | |
| | | | |
Shares redeemed | | | (80,947 | ) | | | (1,355,181 | ) | | | (70,569 | ) | | | (1,209,906 | ) |
| |
| | | | |
| | | (10,655 | ) | | | (166,757 | ) | | | 150,960 | | | | 2,574,086 | |
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 55,207 | | | | 893,163 | | | | 47,287 | | | | 791,398 | |
| | | | |
Reinvestment of distributions | | | 4,402 | | | | 76,107 | | | | 18,830 | | | | 286,460 | |
| | | | |
Shares redeemed | | | (59,748 | ) | | | (974,553 | ) | | | (107,987 | ) | | | (1,803,697 | ) |
| |
| | | | |
| | | (139 | ) | | | (5,283 | ) | | | (41,870 | ) | | | (725,839 | ) |
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,134,314 | | | | 18,659,435 | | | | 1,899,566 | | | | 32,694,960 | |
| | | | |
Reinvestment of distributions | | | 259,148 | | | | 4,636,157 | | | | 813,657 | | | | 12,785,087 | |
| | | | |
Shares redeemed | | | (1,202,254 | ) | | | (19,906,776 | ) | | | (1,908,252 | ) | | | (31,785,546 | ) |
| |
| | | | |
| | | 191,208 | | | | 3,388,816 | | | | 804,971 | | | | 13,694,501 | |
| |
| | | | |
NET INCREASE (DECREASE) | | | (1,883,405 | ) | | $ | (31,060,985 | ) | | | 279,261 | | | $ | 3,464,715 | |
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Satellite Strategies Portfolio | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 108,418 | | | $ | 816,504 | | | | 159,453 | | | $ | 1,262,505 | |
| | | | |
Reinvestment of distributions | | | 120,086 | | | | 909,098 | | | | 149,264 | | | | 1,105,954 | |
| | | | |
Shares redeemed | | | (1,052,411 | ) | | | (7,910,878 | ) | | | (1,057,436 | ) | | | (8,243,511 | ) |
| |
| | | | |
| | | (823,907 | ) | | | (6,185,276 | ) | | | (748,719 | ) | | | (5,875,052 | ) |
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,361 | | | | 25,433 | | | | 2,830 | | | | 22,625 | |
| | | | |
Reinvestment of distributions | | | 2,029 | | | | 15,418 | | | | 3,725 | | | | 27,596 | |
| | | | |
Shares redeemed | | | (77,568 | ) | | | (586,453 | ) | | | (115,122 | ) | | | (910,290 | ) |
| |
| | | | |
| | | (72,178 | ) | | | (545,602 | ) | | | (108,567 | ) | | | (860,069 | ) |
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 158,600 | | | | 1,200,573 | | | | 401,094 | | | | 3,260,212 | |
| | | | |
Reinvestment of distributions | | | 138,652 | | | | 1,044,039 | | | | 207,146 | | | | 1,535,182 | |
| | | | |
Shares redeemed | | | (2,055,558 | ) | | | (15,449,511 | ) | | | (1,999,412 | ) | | | (15,535,466 | ) |
| |
| | | | |
| | | (1,758,306 | ) | | | (13,204,899 | ) | | | (1,391,172 | ) | | | (10,740,072 | ) |
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 537 | | | | 4,019 | | | | 383 | | | | 2,987 | |
| | | | |
Reinvestment of distributions | | | 321 | | | | 2,433 | | | | 329 | | | | 2,431 | |
| | | | |
Shares redeemed | | | (825 | ) | | | (6,297 | ) | | | (261 | ) | | | (2,005 | ) |
| |
| | | | |
| | | 33 | | | | 155 | | | | 451 | | | | 3,413 | |
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 59,331 | | | | 444,027 | | | | 38,320 | | | | 303,462 | |
| | | | |
Reinvestment of distributions | | | 42,249 | | | | 318,365 | | | | 55,891 | | | | 413,886 | |
| | | | |
Shares redeemed | | | (359,347 | ) | | | (2,682,411 | ) | | | (525,757 | ) | | | (4,061,447 | ) |
| |
| | | | |
| | | (257,767 | ) | | | (1,920,019 | ) | | | (431,546 | ) | | | (3,344,099 | ) |
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 16,680 | | | | 125,688 | | | | 194,814 | | | | 1,620,055 | |
| | | | |
Reinvestment of distributions | | | 5,086 | | | | 38,230 | | | | 9,970 | | | | 73,824 | |
| | | | |
Shares redeemed | | | (203,808 | ) | | | (1,528,498 | ) | | | (35,511 | ) | | | (276,434 | ) |
| |
| | | | |
| | | (182,042 | ) | | | (1,364,580 | ) | | | 169,273 | | | | 1,417,445 | |
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 15,981 | | | | 116,840 | | | | 5,310 | | | | 40,411 | |
| | | | |
Reinvestment of distributions | | | 1,849 | | | | 13,992 | | | | 2,145 | | | | 15,792 | |
| | | | |
Shares redeemed | | | (22,588 | ) | | | (169,613 | ) | | | (4,244 | ) | | | (34,830 | ) |
| |
| | | | |
| | | (4,758 | ) | | | (38,781 | ) | | | 3,211 | | | | 21,373 | |
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | — | | | | — | | | | 612 | | | | 4,500 | |
| | | | |
Reinvestment of distributions | | | 7,447 | | | | 56,311 | | | | 7,491 | | | | 55,518 | |
| | | | |
Shares redeemed | | | (2,319 | ) | | | (17,891 | ) | | | (167,428 | ) | | | (1,433,941 | ) |
| |
| | | | |
| | | 5,128 | | | | 38,420 | | | | (159,325 | ) | | | (1,373,923 | ) |
| |
| | | | |
NET DECREASE | | | (3,093,797 | ) | | $ | (23,220,582 | ) | | | (2,666,394 | ) | | $ | (20,750,984 | ) |
| |
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, hereafter collectively referred to as the “Portfolios”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 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
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Fund Expenses — Six Month Period Ended December 31, 2023 (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 for certain Funds), contingent deferred sales charges on redemptions (generally 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, Class R and Service Shares); and other Portfolio 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 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 01, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year. This projection assumes that annualized expense ratios were in effect during the period.
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 Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the 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
7/1/23 | | | Ending
Account
Value
12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23* | | | Beginning
Account
Value
7/1/23 | | | Ending
Account
Value
12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23 | | | Beginning
Account
Value
7/1/23 | | | Ending
Account
Value
12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23 | | | Beginning
Account
Value
7/1/23 | | | Ending
Account
Value
12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23 | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,052.60 | | | $ | 2.87 | | | $ | 1,000.00 | | | $ | 1,056.10 | | | | $2.87 | | | $ | 1,000.00 | | | $ | 1,061.90 | | | | $2.89 | | | $ | 1,000.00 | | | $ | 1,056.40 | | | | $2.79 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.40 | + | | | 2.83 | | | | 1,000.00 | | | | 1,022.40 | + | | | 2.82 | | | | 1,000.00 | | | | 1,022.40 | + | | | 2.83 | | | | 1,000.00 | | | | 1,022.50 | + | | | 2.74 | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,048.90 | | | | 6.74 | | | | 1,000.00 | | | | 1,052.10 | | | | 6.74 | | | | 1,000.00 | | | | 1,057.90 | | | | 6.77 | | | | 1,000.00 | | | | 1,052.50 | | | | 6.66 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.60 | + | | | 6.64 | | | | 1,000.00 | | | | 1,018.60 | + | | | 6.63 | | | | 1,000.00 | | | | 1,018.60 | + | | | 6.65 | | | | 1,000.00 | | | | 1,018.70 | + | | | 6.56 | |
Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,054.60 | | | | 1.01 | | | | 1,000.00 | | | | 1,057.90 | | | | 1.01 | | | | 1,000.00 | | | | 1,063.80 | | | | 1.02 | | | | 1,000.00 | | | | 1,058.60 | | | | 0.92 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.20 | + | | | 0.99 | | | | 1,000.00 | | | | 1,024.20 | + | | | 0.99 | | | | 1,000.00 | | | | 1,024.20 | + | | | 1.00 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.91 | |
Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,052.00 | | | | 3.60 | | | | 1,000.00 | | | | 1,054.70 | | | | 3.59 | | | | 1,000.00 | | | | 1,061.30 | | | | 3.62 | | | | 1,000.00 | | | | 1,055.70 | | | | 3.53 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.70 | + | | | 3.54 | | | | 1,000.00 | | | | 1,021.70 | + | | | 3.54 | | | | 1,000.00 | | | | 1,021.70 | + | | | 3.55 | | | | 1,000.00 | | | | 1,021.70 | + | | | 3.47 | |
Investor | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,053.30 | | | | 1.58 | | | | 1,000.00 | | | | 1,057.20 | | | | 1.58 | | | | 1,000.00 | | | | 1,063.90 | | | | 1.59 | | | | 1,000.00 | | | | 1,058.00 | | | | 1.49 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,023.70 | + | | | 1.55 | | | | 1,000.00 | | | | 1,023.70 | + | | | 1.55 | | | | 1,000.00 | | | | 1,023.60 | + | | | 1.56 | | | | 1,000.00 | | | | 1,023.70 | + | | | 1.47 | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,054.70 | | | | 0.96 | | | | 1,000.00 | | | | 1,057.30 | | | | 0.95 | | | | 1,000.00 | | | | 1,063.80 | | | | 0.97 | | | | 1,000.00 | | | | 1,058.40 | | | | 0.88 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.94 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.94 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.95 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.87 | |
Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,051.60 | | | | 4.16 | | | | 1,000.00 | | | | 1,053.90 | | | | 4.16 | | | | 1,000.00 | | | | 1,060.60 | | | | 4.19 | | | | 1,000.00 | | | | 1,055.30 | | | | 4.08 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.10 | + | | | 4.10 | | | | 1,000.00 | | | | 1,021.10 | + | | | 4.10 | | | | 1,000.00 | | | | 1,021.10 | + | | | 4.11 | | | | 1,000.00 | | | | 1,021.20 | + | | | 4.01 | |
Class P | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,054.70 | | | | 0.96 | | | | 1,000.00 | | | | 1,058.00 | | | | 0.95 | | | | 1,000.00 | | | | 1,064.40 | | | | 0.97 | | | | 1,000.00 | | | | 1,058.50 | | | | 0.87 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.94 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.94 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.95 | | | | 1,000.00 | | | | 1,024.30 | + | | | 0.86 | |
| | * | 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, 2023. 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: | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | | | |
Balanced Strategy | | | 0.56 | % | | | 1.31 | % | | | 0.20 | % | | | 0.70 | % | | | 0.31 | % | | | 0.19 | % | | | 0.81 | % | | | 0.19 | % | | |
Growth and Income Strategy | | | 0.56 | | | | 1.31 | | | | 0.20 | | | | 0.70 | | | | 0.31 | | | | 0.19 | | | | 0.81 | | | | 0.19 | | | |
Growth Strategy | | | 0.56 | | | | 1.31 | | | | 0.20 | | | | 0.70 | | | | 0.31 | | | | 0.19 | | | | 0.81 | | | | 0.19 | | | |
Satellite Strategies | | | 0.54 | | | | 1.29 | | | | 0.18 | | | | 0.69 | | | | 0.29 | | | | 0.18 | | | | 0.79 | | | | 0.17 | | | |
| | + | 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. | |
100
GOLDMAN SACHS FUND OF FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:
| | | | | | | | |
Proposal Election of Trustees | | | For | | | | Withheld | |
| | |
Cheryl K. Beebe | | | 169,452,067,796 | | | | 5,900,273,020 | |
| | |
John G. Chou | | | 173,279,757,273 | | | | 2,072,583,543 | |
| | |
Eileen H. Dowling | | | 173,287,456,218 | | | | 2,064,884,598 | |
| | |
Lawrence Hughes | | | 173,486,691,901 | | | | 1,865,648,915 | |
| | |
John F. Killian | | | 173,511,167,174 | | | | 1,841,173,642 | |
| | |
Steven D. Kirchmar | | | 173,484,256,228 | | | | 1,868,084,588 | |
| | |
Michael Latham | | | 173,498,020,286 | | | | 1,854,320,530 | |
| | |
Lawrence W. Stranghoener | | | 173,455,949,165 | | | | 1,896,391,651 | |
| | |
Paul C. Wirth | | | 173,324,070,424 | | | | 2,028,270,391 | |
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 Occupations During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3
| | Other Directorships Held by Trustee4 |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications Inc. |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a data-driven, digital financial platform) |
Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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 Occupations During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
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: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. | |
| | 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, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and 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. | |
Information as of the date of this shareholder report. 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.
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 Occupations During Past 5 Years |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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 ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). |
| | | | | | |
| | * | 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, 2023. | |
| | 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 Fund of Funds Portfolios – Tax Information (unaudited) For the year ended December 31, 2023, 13.08%, 20.28%, 29.20% and 6.68% 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 year ended December 31, 2023 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 $0.0341, $0.0628, $0.0940, and $0.0776 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 10.78%, 16.38%, 22.35%, and 22.69%, 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 $0.0039, $0.0079, $0.0121, and $0.0093 per share, respectively. For the year ended December 31, 2023, 25.92%, 40.80%, 62.36%, and 43.54% 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. |
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 $2.54 trillion in assets under supervision as of December 31, 2023, Goldman Sachs Asset Management has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Goldman Sachs Asset Management leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | Financial Square Treasury Solutions Fund1 |
| ∎ | Financial Square Government Fund1 |
| ∎ | Financial Square Money Market Fund2 |
| ∎ | Financial Square Prime Obligations Fund2 |
| ∎ | Financial Square Treasury Instruments Fund1 |
| ∎ | Financial Square Treasury Obligations Fund1 |
| ∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ Investor Money Market Fund3
| ∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ Enhanced Income Fund
| ∎ | Short-Term Conservative Income Fund |
| ∎ | Short Duration Government Fund |
| ∎ | Short Duration Bond Fund |
| ∎ | Inflation Protected Securities Fund |
| ∎ | U.S. Mortgages 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Strategic Volatility Premium Fund |
| ∎ | 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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. |
Goldman Sachs Alternative Funds I
| | |
| ∎ | | MANAGED FUTURES STRATEGY |
TABLE OF CONTENTS
Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.
| | | | | | |
| | | | |
| 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
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, 2023 (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 -4.18%, -4.77%, -3.80%, -3.87%, -3.68%, -4.30% and -3.78%, respectively. These returns compare to the 5.01% average annual total return of the Fund’s benchmark, the ICE BofA Merrill Lynch Three-Month U.S. Treasury Bill Index (“the Index”), during the same time 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 negative performance. Exposures to developed markets equities contributed positively to performance. Conversely, short exposures to short-term fixed income and mixed exposure |
| | to commodities detracted the most from the Fund’s performance, attributable primarily to the last quarter of the Reporting Period. |
| | More specifically, developed markets equity trend signals overall remained long during the Reporting Period, despite varying magnitude. Positions in developed market equities contributed most positively to performance during the Reporting Period, especially equity spreads or differentials, such as large-cap/small-cap spreads and developed market/ emerging market spreads. Exposure to equity volatility also added significantly to Fund Performance. |
| | Trend signals for emerging market equities switched from long to short during the Reporting Period. Mixed positions across countries detracted from Fund performance during the Reporting Period. Trend signals for fixed income flipped from short to long as of the end of 2023, adapting to market movements. Short exposures to short-term fixed income in developed markets was the largest positive contributor to Fund returns in 2022 but was challenged in 2023, as trends were in the transitory phase from one market regime to another. Mixed exposure to commodities was challenged significantly during the Reporting Period, especially in agriculture and industrial metals. Various positions in both developed and emerging markets currencies ended the Reporting Period relatively flat. |
| 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 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 |
PORTFOLIO RESULTS
| | use of these instruments is integral to the Fund’s investment strategy, which, overall, realized negative 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 market equities and shifted from long positioning to short positioning in emerging market equities. We increased the Fund’s long positioning in long-term and medium-term fixed income and reduced its short positioning in short-term fixed income. Among currencies, the Fund started the Reporting Period with a long position in developed markets as well as emerging market currencies. During the Reporting Period, the Fund’s long positioning in developed market currencies was shifted to short positioning. The Fund’s long positioning in emerging market currencies was changed to short positioning during the second half of the Reporting Period and then back again to end the Reporting Period with long positioning overall. The Fund’s long positioning in commodities was shifted to short positioning 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 market equities, long-term fixed income, medium-term fixed income and emerging market currencies. The Fund was positioned short emerging market equities, short-term fixed income, developed market currencies and commodities 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 2024, 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. |
| | In our view, the financial markets may witness an elevated level of uncertainty going forward, driven by changing expectations around inflation and monetary policies as well as by geopolitical overhangs. While potential sharp reversals and range-bound markets could pose a challenge, we continue to believe there are ample opportunities for trends to emerge and to persist across multitudes of assets and investment windows, allowing the Fund’s strategy to gain advantage. Given the diversified nature of the Fund’s strategy as well as its ability to adapt to market conditions and benefit from both upward and downward market trajectories, we believe the strategy is well-suited to navigate future market environments. Indeed, 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. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Performance Summary
December 31, 2023
| | The following graph shows the value as of December 31, 2023, of a $10,000 investment made on January 1, 2014 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”), 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. |
|
|
Managed Futures Strategy Fund’s 10 Year Performance |
| | Performance of a $10,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023. |
| | | | | | | | |
| | | | |
Average Annual Total Returns through December 31, 2023* | | One Year | | Five Years | | Ten Years | | Since Inception |
| | | | |
Class A | | | | | | | | |
| | | | |
Excluding sales charges | | (4.18)% | | 5.60% | | 3.32% | | — |
| | | | |
Including sales charges | | (9.43)% | | 4.42% | | 2.74% | | — |
| | | | |
Class C | | | | | | | | |
| | | | |
Excluding contingent deferred sales charges | | (4.77)% | | 4.83% | | 2.56% | | — |
| | | | |
Including contingent deferred sales charges | | (5.72)% | | 4.83% | | 2.56% | | — |
| | | | |
Institutional | | (3.80)% | | 6.02% | | 3.72% | | — |
| | | | |
Investor | | (3.87)% | | 5.89% | | 3.58% | | — |
| | | | |
Class R6 (Commenced on April 30, 2018) | | (3.68)% | | 6.03% | | — | | 5.19% |
| | | | |
Class R | | (4.30)% | | 5.36% | | 3.07% | | — |
| | | | |
Class P (Commenced on April 17, 2018) | | (3.78)% | | 6.00% | | — | | 4.77% |
| | * | 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 sales charge, such a charge is not applied to their Average Annual Total Returns. |
FUND BASICS
Managed Futures Strategy Fund
as of December 31, 2023
| | 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. |
FUND BASICS
Index Definitions
| | ICE BofA 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. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated Schedule of Investments December 31, 2023 |
| | | | | | | | | | | | | | |
| | | Shares | | | Dividend Rate | | Value | |
| |
| | Investment Company – 67.3%(a) | |
| |
| | Goldman Sachs Financial Square Government Fund - Institutional Shares | |
| | | | | 193,710,943 | | | 5.248% | | $ | 193,710,943 | |
| | (Cost $193,710,943) | |
| | | |
| | TOTAL INVESTMENTS – 67.3%
(Cost $193,710,943) | | $ | 193,710,943 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 32.7% | | | 94,155,672 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 287,866,615 | |
| | | |
| | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
| (a) | | Represents an affiliated issuer. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | |
Long position contracts: | | | | | | | | | | | | |
100 oz Gold | | 25 | | 02/27/24 | | $ | 5,182,000 | | | $ | 154,361 | |
CAC 40 10 Euro Index | | 122 | | 01/19/24 | | | 10,175,219 | | | | (44,691) | |
Corn | | 30 | | 03/14/24 | | | 706,125 | | | | (9,086) | |
E-Mini Dow | | 33 | | 03/15/24 | | | 6,271,980 | | | | 245,799 | |
Euro-BTP | | 61 | | 03/07/24 | | | 8,029,736 | | | | 158,506 | |
Euro-OAT | | 33 | | 03/07/24 | | | 4,787,677 | | | | 39,354 | |
FTSE Taiwan Index Equity Index | | 104 | | 01/30/24 | | | 6,450,080 | | | | 122,405 | |
FTSE/MIB Index | | 119 | | 03/15/24 | | | 20,047,729 | | | | (29,103) | |
German Stock Index | | 2 | | 03/15/24 | | | 933,555 | | | | 2,094 | |
Hang Seng Index | | 45 | | 01/30/24 | | | 4,936,544 | | | | 97,428 | |
Hard Red Winter Wheat | | 4 | | 03/14/24 | | | 128,750 | | | | (563) | |
IBEX 35 Index | | 155 | | 01/19/24 | | | 17,258,726 | | | | (47,398) | |
KOSPI 200 Index | | 95 | | 03/14/24 | | | 6,688,505 | | | | 476,611 | |
LME Copper Base Metal | | 28 | | 01/15/24 | | | 5,941,950 | | | | 119,364 | |
LME Copper Base Metal | | 8 | | 02/19/24 | | | 1,705,700 | | | | 8,250 | |
LME Lead Base Metal | | 109 | | 02/19/24 | | | 5,620,312 | | | | 129,102 | |
LME Lead Base Metal | | 137 | | 01/15/24 | | | 7,001,556 | | | | (485,316) | |
LME Nickel Base Metal | | 31 | | 01/15/24 | | | 3,056,910 | | | | (127,535) | |
LME Nickel Base Metal | | 10 | | 02/19/24 | | | 991,230 | | | | (13,561) | |
LME Primary Aluminium | | 7 | | 02/19/24 | | | 414,575 | | | | 18,178 | |
LME Primary Aluminium | | 206 | | 01/15/24 | | | 12,110,225 | | | | 772,791 | |
LME Zinc Base Metal | | 8 | | 02/19/24 | | | 531,900 | | | | 20,075 | |
LME Zinc Base Metal | | 147 | | 01/15/24 | | | 9,713,025 | | | | 358,797 | |
Mini VSTOXX®Index | | 724 | | 01/17/24 | | | 1,186,901 | | | | (18,661) | |
NASDAQ 100 E-Mini Index | | 15 | | 03/15/24 | | | 5,107,050 | | | | 232,816 | |
Nikkei 225 Index | | 24 | | 03/07/24 | | | 5,693,617 | | | | 18,000 | |
OMXS30 Index | | 500 | | 01/19/24 | | | 11,903,818 | | | | 257,509 | |
RBOB Gasoline | | 7 | | 01/31/24 | | | 620,105 | | | | 17,854 | |
S&P 400 E-Mini MidCap Index | | 9 | | 03/15/24 | | | 2,528,550 | | | | 17,352 | |
S&P 500 E-Mini Index | | 307 | | 03/15/24 | | | 73,987,000 | | | | 2,051,017 | |
S&P/TSX 60 Index | | 78 | | 03/14/24 | | | 14,956,598 | | | | 169,836 | |
Silver | | 27 | | 03/26/24 | | | 3,244,725 | | | | (76,825) | |
Soybean | | 10 | | 03/14/24 | | | 648,750 | | | | (12,713) | |
Soybean Meal | | 27 | | 03/14/24 | | | 1,042,470 | | | | (37,749) | |
SPI 200 Index | | 70 | | 03/21/24 | | | 9,045,398 | | | | 166,066 | |
| | |
| 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) | | | | | | | | | | | | | | | | |
Sugar No. 11 | | | 43 | | | | 02/29/24 | | | $ | 991,133 | | | $ | (231,367) | |
TurkDEX ISE 30 | | | 1,261 | | | | 02/29/24 | | | | 3,647,192 | | | | 52,136 | |
WTI Crude Oil | | | 3 | | | | 01/22/24 | | | | 214,140 | | | | (4,568) | |
|
| |
| | | | |
| Total | | | | | | | | | | | | | | $ | 4,566,565 | |
|
| |
Short position contracts: | | | | | | | | | | | | | | | | |
Australian 10 year Bond | | | (122) | | | | 03/15/24 | | | | (9,699,227 | ) | | | (279,900) | |
Brent Crude Oil | | | (13) | | | | 01/31/24 | | | | (1,002,040 | ) | | | 14,404 | |
CBOE Volatality Index | | | (554) | | | | 01/17/24 | | | | (7,784,365 | ) | | | 225,867 | |
Cocoa | | | (19) | | | | 03/13/24 | | | | (798,000 | ) | | | 16,098 | |
Cotton No. 2 | | | (73) | | | | 03/06/24 | | | | (2,956,500 | ) | | | (31,744) | |
EURO STOXX 50 Index | | | (91) | | | | 03/15/24 | | | | (4,563,874 | ) | | | 37,244 | |
Feeder Cattle | | | (18) | | | | 03/28/24 | | | | (2,008,125 | ) | | | (89,391) | |
FTSE 100 Index | | | (26) | | | | 03/15/24 | | | | (2,570,576 | ) | | | (59,197) | |
FTSE China A50 Index | | | (809) | | | | 01/30/24 | | | | (9,299,455 | ) | | | (264,285) | |
FTSE/JSE Top 40 Index | | | (177) | | | | 03/20/24 | | | | (6,907,765 | ) | | | (205,595) | |
HSCEI | | | (176) | | | | 01/30/24 | | | | (6,531,959 | ) | | | (129,897) | |
Lean Hogs | | | (157) | | | | 02/14/24 | | | | (4,287,670 | ) | | | 8,421 | |
Live Cattle | | | (32) | | | | 02/29/24 | | | | (2,157,120 | ) | | | 163 | |
LME Copper Base Metal | | | (13) | | | | 02/19/24 | | | | (2,771,763 | ) | | | (74,953) | |
LME Copper Base Metal | | | (28) | | | | 01/15/24 | | | | (5,941,950 | ) | | | (224,774) | |
LME Lead Base Metal | | | (130) | | | | 02/19/24 | | | | (6,703,125 | ) | | | (111,363) | |
LME Lead Base Metal | | | (137) | | | | 01/15/24 | | | | (7,001,556 | ) | | | (19,103) | |
LME Nickel Base Metal | | | (20) | | | | 02/19/24 | | | | (1,982,460 | ) | | | (13,922) | |
LME Nickel Base Metal | | | (31) | | | | 01/15/24 | | | | (3,056,910 | ) | | | 168,421 | |
LME Primary Aluminium | | | (84) | | | | 02/19/24 | | | | (4,974,900 | ) | | | (490,609) | |
LME Primary Aluminium | | | (206) | | | | 01/15/24 | | | | (12,110,225 | ) | | | (534,709) | |
LME Zinc Base Metal | | | (147) | | | | 01/15/24 | | | | (9,713,025 | ) | | | (241,953) | |
LME Zinc Base Metal | | | (84) | | | | 02/19/24 | | | | (5,584,950 | ) | | | (546,984) | |
Low Sulphur Gasoil | | | (18) | | | | 02/12/24 | | | | (1,334,700 | ) | | | 47,239 | |
Milling Wheat | | | (75) | | | | 03/11/24 | | | | (921,108 | ) | | | 51,031 | |
Mini VSTOXX®Index | | | (1,154) | | | | 01/17/24 | | | | (1,891,828 | ) | | | 21,678 | |
MSCI EAFE E-Mini Index | | | (327) | | | | 03/15/24 | | | | (16,900,995 | ) | | | (712,366) | |
MSCI EAFE E-Mini Index | | | (144) | | | | 03/15/24 | | | | (16,217,280 | ) | | | (648,295) | |
Natural Gas | | | (157) | | | | 01/29/24 | | | | (3,937,560 | ) | | | (111,250) | |
NY Harbor USLD | | | (27) | | | | 01/31/24 | | | | (2,891,019 | ) | | | 61,619 | |
Palladium | | | (5) | | | | 03/26/24 | | | | (554,750 | ) | | | (44,108) | |
Platinum | | | (7) | | | | 04/26/24 | | | | (352,065 | ) | | | (29,454) | |
Russell 2000 E-Mini Index | | | (191) | | | | 03/15/24 | | | | (19,555,535 | ) | | | (1,390,852) | |
S&P 500 E-Mini Index | | | (79) | | | | 03/15/24 | | | | (19,039,000 | ) | | | (706,217) | |
SET50 Index | | | (2,283) | | | | 03/28/24 | | | | (11,681,041 | ) | | | (87,820) | |
Soybean Oil | | | (20) | | | | 03/14/24 | | | | (577,800 | ) | | | 25,914 | |
TOPIX Index | | | (36) | | | | 03/07/24 | | | | (6,040,851 | ) | | | 10,290 | |
Wheat | | | (10) | | | | 03/14/24 | | | | (314,375 | ) | | | (15,733) | |
|
| |
| | | | |
| Total | | | | | | | | | | | | | | $ | (6,376,085) | |
|
| |
| | | | |
| Total Futures Contracts | | | | | | | | | | | | | | $ | (1,809,520) | |
|
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, 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 | | | 46,220,000 | | | USD | | | 9,382,798 | | | 1/3/2024 | | $ | 132,188 | |
| | USD | | | 9,534,812 | | | BRL | | | 46,220,000 | | | 1/3/2024 | | | 19,825 | |
| | |
| 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, 2023 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Gain | |
|
| |
| | | | | | |
Morgan Stanley Co., Inc. (continued) | | | | | | | | | | | | | | | | | | | | |
| | BRL | | | 46,220,000 | | | USD | | | 9,494,659 | | | | 2/2/2024 | | | $ | 3,805 | |
| | AUD | | | 42,983,000 | | | USD | | | 28,287,139 | | | | 3/20/2024 | | | | 1,072,173 | |
| | CAD | | | 42,975,000 | | | USD | | | 32,104,376 | | | | 3/20/2024 | | | | 362,741 | |
| | CHF | | | 2,084,000 | | | USD | | | 2,421,308 | | | | 3/20/2024 | | | | 76,439 | |
| | COP | | | 23,694,000,000 | | | USD | | | 5,757,959 | | | | 3/20/2024 | | | | 261,786 | |
| | CZK | | | 270,800,000 | | | USD | | | 11,961,525 | | | | 3/20/2024 | | | | 122,645 | |
| | EUR | | | 16,276,000 | | | USD | | | 17,689,159 | | | | 3/20/2024 | | | | 334,736 | |
| | GBP | | | 37,305,750 | | | USD | | | 46,980,209 | | | | 3/20/2024 | | | | 589,753 | |
| | HUF | | | 3,252,000,000 | | | USD | | | 9,133,864 | | | | 3/20/2024 | | | | 159,542 | |
| | KRW | | | 3,360,000,000 | | | USD | | | 2,577,390 | | | | 3/20/2024 | | | | 28,942 | |
| | MXN | | | 150,663,000 | | | USD | | | 8,575,979 | | | | 3/20/2024 | | | | 185,091 | |
| | NOK | | | 282,400,000 | | | USD | | | 25,847,295 | | | | 3/20/2024 | | | | 1,996,157 | |
| | NZD | | | 30,300,000 | | | USD | | | 18,830,541 | | | | 3/20/2024 | | | | 327,417 | |
| | PLN | | | 42,214,000 | | | USD | | | 10,505,054 | | | | 3/20/2024 | | | | 212,169 | |
| | SEK | | | 16,883,000 | | | USD | | | 1,639,424 | | | | 3/20/2024 | | | | 39,595 | |
| | ZAR | | | 66,698,000 | | | USD | | | 3,493,287 | | | | 3/20/2024 | | | | 128,296 | |
| | JPY | | | 1,880,276,000 | | | USD | | | 13,171,439 | | | | 3/21/2024 | | | | 328,785 | |
|
| |
| | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | $ 6,382,085 | |
|
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Loss | |
|
| |
| | | | | | |
Morgan Stanley Co., Inc. | | | | | | | | | | | | | | | | | | | | |
| | CLP | | | 2,060,000,000 | | | USD | | | 2,382,467 | | | | 3/20/2024 | | | | (54,455) | |
| | USD | | | 753,528 | | | AUD | | | 1,128,000 | | | | 3/20/2024 | | | | (16,945) | |
| | USD | | | 25,742,004 | | | CAD | | | 34,918,000 | | | | 3/20/2024 | | | | (638,143) | |
| | USD | | | 3,296,158 | | | CHF | | | 2,848,000 | | | | 3/20/2024 | | | | (117,270) | |
| | USD | | | 2,190,358 | | | CLP | | | 1,940,000,000 | | | | 3/20/2024 | | | | (2,042) | |
| | USD | | | 1,298,499 | | | CZK | | | 29,339,000 | | | | 3/20/2024 | | | | (10,725) | |
| | USD | | | 49,497,849 | | | EUR | | | 45,568,000 | | | | 3/20/2024 | | | | (963,741) | |
| | USD | | | 6,839,257 | | | GBP | | | 5,395,000 | | | | 3/20/2024 | | | | (40,112) | |
| | USD | | | 327,991 | | | HUF | | | 116,473,000 | | | | 3/20/2024 | | | | (4,859) | |
| | USD | | | 14,737,614 | | | IDR | | | 228,600,000,000 | | | | 3/20/2024 | | | | (108,355) | |
| | USD | | | 16,829,302 | | | INR | | | 1,408,000,000 | | | | 3/20/2024 | | | | (30,263) | |
| | USD | | | 65,803 | | | MXN | | | 1,165,000 | | | | 3/20/2024 | | | | (1,942) | |
| | USD | | | 2,687,215 | | | NOK | | | 27,900,000 | | | | 3/20/2024 | | | | (63,607) | |
| | USD | | | 29,953,077 | | | NZD | | | 48,720,000 | | | | 3/20/2024 | | | | (851,402) | |
| | USD | | | 25,702,325 | | | SEK | | | 266,723,600 | | | | 3/20/2024 | | | | (823,412) | |
| | USD | | | 482,878 | | | ZAR | | | 9,228,000 | | | | 3/20/2024 | | | | (18,186) | |
| | USD | | | 43,589,328 | | | JPY | | | 6,222,949,000 | | | | 3/21/2024 | | | | (1,090,923) | |
|
| |
| | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | $ (4,836,382) | |
|
| |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
Payments Made by the Fund(a) | | Payments Received by the Fund | | Termination Date | | Notional Amounts (000’s) | | | Value | | | Upfront Premium (Received) Paid | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
| | | | | | | |
3 Month BBSW(b) | | 4.000% | | 3/20/2025 | | AUD | | | 97,340 | | | $ | 3,774 | | | $ | – | | | $ | 3,774 | |
4.000%(c) | | 1 Day CORRA | | 3/20/2025 | | CAD | | | 37,960 | | | | (58,430 | ) | | | – | | | | (58,430) | |
1.250 (c) | | 1 Day SOFR | | 3/20/2025 | | CHF | | | 168,710 | | | | 6,198 | | | | 209,450 | | | | (203,252) | |
3.000 (c) | | 1 Day ESTRON | | 3/20/2025 | | EUR | | | 102,150 | | | | 175,964 | | | | 116,167 | | | | 59,797 | |
4.750 (c) | | 1 Day SONIO | | 3/20/2025 | | GBP | | | 136,850 | | | | 646,739 | | | | 216,113 | | | | 430,626 | |
3.250 (c) | | 3 Month STIBOR | | 3/20/2025 | | SEK | | | 1,879,880 | | | | 87,750 | | | | 26,102 | | | | 61,648 | |
1 Day SOFR(c) | | 4.500 | | 3/20/2025 | | USD | | | 403,550 | | | | (378,409 | ) | | | – | | | | (378,409) | |
1 Day ESTRON(c) | | 2.500 | | 3/20/2026 | | EUR | | | 103,420 | | | | (383,704 | ) | | | (157,870 | ) | | | (225,834) | |
4.250 (c) | | 1 Day SONIO | | 3/20/2026 | | GBP | | | 19,750 | | | | 225,232 | | | | 50,216 | | | | 175,016 | |
1 Day SOFR(c) | | 4.000 | | 3/20/2026 | | USD | | | 81,130 | | | | (277,481 | ) | | | (41,101 | ) | | | (236,380) | |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
Payments Made by the Fund(a) | | Payments Received by the Fund | | Termination Date | | Notional Amounts (000’s) | | | Value | | | Upfront Premium (Received) Paid | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
| | | | | | | |
4.000%(c) | | 6 Month PRIBOR | | 3/20/2029 | | CZK | | | 303,920 | | | $ | 380,051 | | | $ | 221,670 | | | $ | 158,381 | |
6.250(c) | | BUBORON | | 3/20/2029 | | HUF | | | 3,718,260 | | | | 378,813 | | | | 115,471 | | | | 263,342 | |
1 Month TIIE(d) | | 9.000% | | 3/20/2029 | | MXN | | | 96,410 | | | | (141,430 | ) | | | (77,805 | ) | | | (63,625) | |
4.250(c) | | 6 Month WIBOR | | 3/20/2029 | | PLN | | | 70,910 | | | | (44,960 | ) | | | – | | | | (44,960) | |
8.750(b) | | 3 Month JIBAR | | 3/20/2029 | | ZAR | | | 341,430 | | | | 514,519 | | | | 400,998 | | | | 113,521 | |
3.250(e) | | 1 Day CORRA | | 3/20/2034 | | CAD | | | 3,520 | | | | 48,915 | | | | 39,564 | | | | 9,351 | |
1.250(c) | | 1 Day SOFR | | 3/20/2034 | | CHF | | | 13,480 | | | | 131,394 | | | | 255,666 | | | | (124,272) | |
2.500(c) | | 1 Day ESTRON | | 3/20/2034 | | EUR | | | 73,740 | | | | 1,786,765 | | | | 1,637,996 | | | | 148,769 | |
3.750(c) | | 1 Day SONIO | | 3/20/2034 | | GBP | | | 38,310 | | | | 2,067,756 | | | | 1,104,905 | | | | 962,851 | |
2.500(c) | | 3 Month STIBOR | | 3/20/2034 | | SEK | | | 79,190 | | | | 132,086 | | | | 145,419 | | | | (13,333) | |
3.500(c) | | 1 Day SOFR | | 3/20/2034 | | USD | | | 62,400 | | | | 440,556 | | | | 30,428 | | | | 410,128 | |
1 Day ESTRON(c) | | 2.500 | | 3/20/2054 | | EUR | | | 19,450 | | | | (1,098,701 | ) | | | (1,195,274 | ) | | | 96,573 | |
1 Day SONIO(c) | | 3.750 | | 3/20/2054 | | GBP | | | 17,280 | | | | (1,696,676 | ) | | | (1,077,914 | ) | | | (618,762) | |
1 Day SOFR(c) | | 3.500 | | 3/20/2054 | | USD | | | 19,840 | | | | (814,138 | ) | | | (563,156 | ) | | | (250,982) | |
|
| |
| | | | | | | |
| TOTAL | | | | | | | | | | | | $ | 2,132,583 | | | $ | 1,457,045 | | | $ | 675,538 | |
|
| |
| | (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2023. |
| | (b) | Payments made quarterly. |
| | (c) | Payments made annually. |
| | (d) | Payments made monthly. |
| | (e) | Payments made semi-annually. |
| | |
|
|
| Investment Abbreviations: |
| BBSW | | —Bank Bill Swap Rate |
| BUBORON | | —Budapest Interbank Offered Rate |
| CORRA | | —Canadian Overnight Repo Rate Average |
| ESTRON | | —Euro Short-Term Rate |
| JIBAR | | —Johannesburg Interbank Agreed Rate |
| PRIBOR | | —Prague Interbank Offered Rate |
| SOFR | | —Secured Overnight Financing Rate |
| SONIO | | —Sterling Overnight Index Average |
| 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 Forint |
| IDR | | Indonesian Rupiah |
| INR | | Indian Rupee |
| JPY | | Japanese Yen |
| KRW | | South Korean Won |
| MXN | | Mexican Peso |
| NOK | | Norwegian Krone |
| NZD | | New Zealand Dollar |
| PLN | | Polish Zloty |
| SEK | | Swedish Krona |
| USD | | United States Dollar |
| ZAR | | South African Rand |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated Statement of Assets and Liabilities(a) December 31, 2023 |
| | | | | | | | | | |
| | | | | Managed Futures
Strategy Fund(a) | | | | |
| | | |
| | | Assets: | | | | | | | | |
| | | |
| | Investments in affiliated issuers, at value (cost $193,710,943) | | $ | 193,710,943 | | | | | |
| | Cash | | | 15,544,288 | | | | | |
| | Foreign Currency, at value (cost $38,598,435) | | | 39,014,188 | | | | | |
| | Receivables: | | | | | | | | |
| | Collateral on certain derivative contracts(b) | | | 43,008,224 | | | | | |
| | Fund shares sold | | | 348,622 | | | | | |
| | Reimbursement from investment adviser | | | 46,303 | | | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 6,382,085 | | | | | |
| | Unrealized appreciation on futures contracts | | | 1,594,978 | | | | | |
| | Variation margin on futures contracts | | | 113,086 | | | | | |
| | Other assets | | | 65,273 | | | | | |
| | | |
| | Total assets | | | 299,827,990 | | | | | |
| | | |
| | | | | | | | | | |
| | | |
| | Liabilities: | | | | | | | | |
| | | |
| | Variation margin on swaps | | | 340,297 | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 4,836,382 | | | | | |
| | Unrealized depreciation on futures contracts | | | 2,884,782 | | | | | |
| | Payables: | | | | | | | | |
| | Fund shares redeemed | | | 3,412,856 | | | | | |
| | Management fees | | | 240,618 | | | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 33,160 | | | | | |
| | Accrued expenses | | | 213,280 | | | | | |
| | | |
| | Total liabilities | | | 11,961,375 | | | | | |
| | | |
| | | | | | | | | | |
| | | |
| | Net Assets: | | | | | | | | |
| | | |
| | Paid-in Capital | | | 309,340,719 | | | | | |
| | Total distributable earnings (loss) | | | (21,474,104 | ) | | | | |
| | | |
| | NET ASSETS | | $ | 287,866,615 | | | | | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 16,125,995 | | | | | |
| | | Class C | | | 4,590,786 | | | | | |
| | | Institutional | | | 60,220,969 | | | | | |
| | | Investor | | | 148,543,682 | | | | | |
| | | Class R6 | | | 57,814,117 | | | | | |
| | | Class R | | | 557,827 | | | | | |
| | | Class P | | | 13,239 | | | | | |
| | | Total Net Assets | | $ | 287,866,615 | | | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 1,712,805 | | | | | |
| | | Class C | | | 534,678 | | | | | |
| | | Institutional | | | 6,130,223 | | | | | |
| | | Investor | | | 15,343,489 | | | | | |
| | | Class R6 | | | 5,883,648 | | | | | |
| | | Class R | | | 61,110 | | | | | |
| | | Class P | | | 1,350 | | | | | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | |
| | | Class A | | $ | 9.41 | | | | | |
| | | Class C | | | 8.59 | | | | | |
| | | Institutional | | | 9.82 | | | | | |
| | | Investor | | | 9.68 | | | | | |
| | | Class R6 | | | 9.83 | | | | | |
| | | Class R | | | 9.13 | | | | | |
| | | Class P | | | 9.81 | | | | | |
| | (a) | Statement of Assets 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 as follows: |
| | | | | | | | | | | | | | |
| Fund | | Futures | | | Forwards | | | Swaps | | | |
Managed Futures Strategy Fund | | $ | 26,885,860 | | | $ | 6,780,000 | | | $ | 9,342,364 | | | |
| | (c) | Maximum public offering price per share for Class A Shares of the Managed Futures Strategy Fund is $9.96. 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. |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated Statement of Operations(a) For the Fiscal Year Ended December 31, 2023 |
| | | | | | | | | | |
| | | | | Managed Futures
Strategy Fund(a) | | | | |
| | | |
| | Investment income: | | | | | | | | |
| | | |
| | Dividends — affiliated issuers | | $ | 13,962,411 | | | | | |
| | Interest | | | 1,342,114 | | | | | |
| | | |
| | Total Investment Income | | | 15,304,525 | | | | | |
| | | |
| | | | | | | | | | |
| | | |
| | Expenses: | | | | | | | | |
| | | |
| | Management fees | | | 4,288,828 | | | | | |
| | Transfer Agency fees(b) | | | 439,210 | | | | | |
| | Professional fees | | | 213,153 | | | | | |
| | Registration fees | | | 136,109 | | | | | |
| | Printing and mailing costs | | | 132,549 | | | | | |
| | Custody, accounting and administrative services | | | 131,997 | | | | | |
| | Distribution and/or Service (12b-1) fees(b) | | | 86,348 | | | | | |
| | Trustee fees | | | 22,184 | | | | | |
| | Shareholder meeting expense | | | 15,839 | | | | | |
| | Service fees — Class C | | | 13,754 | | | | | |
| | Other | | | 14,543 | | | | | |
| | | |
| | Total expenses | | | 5,494,514 | | | | | |
| | | |
| | Less — expense reductions | | | (903,734 | ) | | | | |
| | | |
| | Net expenses | | | 4,590,780 | | | | | |
| | | |
| | NET INVESTMENT INCOME | | | 10,713,745 | | | | | |
| | | |
| | | | | | | | | | |
| | | |
| | Realized and Unrealized gain (loss): | | | | | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Futures contracts | | | 5,208,817 | | | | | |
| | Foreign currency transactions | | | (881,604 | ) | | | | |
| | Forward foreign currency exchange contracts | | | (2,267,461 | ) | | | | |
| | Swap Contracts | | | (20,208,064 | ) | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | Forward foreign currency exchange contracts | | | 459,336 | | | | | |
| | Foreign currency translations | | | 113,855 | | | | | |
| | Futures contracts | | | (4,437,564 | ) | | | | |
| | Swap Contracts | | | (6,491,578 | ) | | | | |
| | | |
| | Net realized and unrealized loss | | | (28,504,263 | ) | | | | |
| | | |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (17,790,518 | ) | | | | |
| | | |
| | (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 | |
| Fund | | Class A | | | Class C | | | Class R | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
Managed Futures Strategy Fund | | | $41,620 | | | | $41,263 | | | | $3,465 | | | | $25,786 | | | | $8,540 | | | | $33,180 | | | | $351,663 | | | | $18,959 | | | | $1,078 | | | | $4 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated Statements of Changes in Net Assets |
| | | | | | | | | | | | | | | | |
| | | | | Managed Futures Strategy Fund(a) | | | |
| | | | | For the Fiscal
Year Ended
December 31, 2023 | | | | | | For the Fiscal
Year Ended
December 31, 2022 | | | |
| | | | | |
| | From operations: | | | | | | | | | | | | | | |
| | | | | |
| | Net investment income | | $ | 10,713,745 | | | | | | | $ | 494,071 | | | |
| | Net realized gain (loss) | | | (18,148,312 | ) | | | | | | | 62,273,014 | | | |
| | Net change in unrealized loss | | | (10,355,951 | ) | | | | | | | (4,882,996 | ) | | |
| | |
| | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | (17,790,518 | ) | | | | | | | 57,884,089 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | |
| | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | |
| | Class A Shares | | | – | | | | | | | | (3,183,394 | ) | | |
| | Class C Shares | | | – | | | | | | | | (1,041,483 | ) | | |
| | Institutional Shares | | | (71,159 | ) | | | | | | | (23,196,882 | ) | | |
| | Investor Shares | | | – | | | | | | | | (41,920,577 | ) | | |
| | Class R6 Shares | | | (82,830 | ) | | | | | | | (11,409,940 | ) | | |
| | Class R Shares | | | – | | | | | | | | (146,868 | ) | | |
| | Class P Shares | | | (20 | ) | | | | | | | (2,349 | ) | | |
| | |
| | | | | |
| | Total distributions to shareholders | | | (154,009 | ) | | | | | | | (80,901,493 | ) | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | From share transactions: | | | | | | | | | | | | | | |
| | | | | |
| | Proceeds from sales of shares | | | 185,475,974 | | | | | | | | 369,443,119 | | | |
| | Reinvestment of distributions | | | 152,585 | | | | | | | | 80,636,192 | | | |
| | Cost of shares redeemed | | | (348,756,220 | ) | | | | | | | (234,798,979 | ) | | |
| | |
| | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (163,127,661 | ) | | | | | | | 215,280,332 | | | |
| | |
| | | | | |
| | TOTAL INCREASE (DECREASE) | | | (181,072,188 | ) | | | | | | | 192,262,928 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Net Assets: | | | | | | | | | | | | | | |
| | | | | |
| | Beginning of year | | | 468,938,803 | | | | | | | | 276,675,875 | | | |
| | |
| | | | | |
| | End of year | | $ | 287,866,615 | | | | | | | $ | 468,938,803 | | | |
| | |
| | (a) | The Statements of Changes in Net Assets for the Managed Futures Strategy Fund are consolidated and includes the balances of Cayman Commodity-MFS, LLC, (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated Financial Highlights Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 9.82 | | | | $ | 9.85 | | | | $ | 10.12 | | | | $ | 9.61 | | | | $ | 10.03 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.23 | | | | | (0.04 | ) | | | | (0.19 | ) | | | | (0.12 | ) | | | | 0.01 | | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.64 | ) | | | | 2.00 | | | | | 0.64 | | | | | 0.76 | | | | | 0.23 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.41 | ) | | | | 1.96 | | | | | 0.45 | | | | | 0.64 | | | | | 0.24 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | – | | | | | (1.14 | ) | | | | (0.03 | ) | | | | – | | | | | (0.59 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | – | | | | | (1.99 | ) | | | | (0.72 | ) | | | | (0.13 | ) | | | | (0.66 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.41 | | | | $ | 9.82 | | | | $ | 9.85 | | | | $ | 10.12 | | | | $ | 9.61 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (4.18 | )% | | | | 20.08 | % | | | | 4.64 | % | | | | 6.62 | % | | | | 2.28 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 16,126 | | | | $ | 16,841 | | | | $ | 16,922 | | | | $ | 11,964 | | | | $ | 7,712 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.43 | % | | | | 1.58 | % | | | | 1.83 | % | | | | 1.48 | % | | | | 1.49 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.58 | % | | | | 1.71 | % | | | | 1.89 | % | | | | 1.63 | % | | | | 1.64 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.44 | % | | | | (0.31 | )% | | | | (1.79 | )% | | | | (1.21 | )% | | | | 0.06 | % | | | | | |
| | | | | | | |
| | 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 and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 9.02 | | | | $ | 9.21 | | | | $ | 9.52 | | | | $ | 9.11 | | | | $ | 9.56 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.15 | | | | | (0.10 | ) | | | | (0.25 | ) | | | | (0.18 | ) | | | | (0.07 | ) | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.58 | ) | | | | 1.85 | | | | | 0.59 | | | | | 0.72 | | | | | 0.21 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.43 | ) | | | | 1.75 | | | | | 0.34 | | | | | 0.54 | | | | | 0.14 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | – | | | | | (1.09 | ) | | | | – | | | | | – | | | | | (0.52 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.65 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | – | | | | | (1.94 | ) | | | | (0.65 | ) | | | | (0.13 | ) | | | | (0.59 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 8.59 | | | | $ | 9.02 | | | | $ | 9.21 | | | | $ | 9.52 | | | | $ | 9.11 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (4.77 | )% | | | | 19.26 | % | | | | 3.71 | % | | | | 5.88 | % | | | | 1.51 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 4,591 | | | | $ | 5,486 | | | | $ | 3,890 | | | | $ | 3,335 | | | | $ | 3,279 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 2.18 | % | | | | 2.33 | % | | | | 2.58 | % | | | | 2.22 | % | | | | 2.24 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.32 | % | | | | 2.46 | % | | | | 2.64 | % | | | | 2.37 | % | | | | 2.39 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 1.69 | % | | | | (0.95 | )% | | | | (2.54 | )% | | | | (1.92 | )% | | | | (0.69 | )% | | | | | |
| | | | | | | |
| | 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 and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
|
Consolidated Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.22 | | | | $ | 10.19 | | | | $ | 10.43 | | | | $ | 9.87 | | | | $ | 10.28 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.28 | | | | | 0.05 | | | | | (0.15 | ) | | | | (0.07 | ) | | | | 0.04 | | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.67 | ) | | | | 2.02 | | | | | 0.66 | | | | | 0.76 | | | | | 0.25 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.39 | ) | | | | 2.07 | | | | | 0.51 | | | | | 0.69 | | | | | 0.29 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.01 | ) | | | | (1.19 | ) | | | | (0.06 | ) | | | | – | | | | | (0.63 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | (0.01 | ) | | | | (2.04 | ) | | | | (0.75 | ) | | | | (0.13 | ) | | | | (0.70 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.82 | | | | $ | 10.22 | | | | $ | 10.19 | | | | $ | 10.43 | | | | $ | 9.87 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (3.80 | )% | | | | 20.59 | % | | | | 4.99 | % | | | | 6.95 | % | | | | 2.82 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 60,221 | | | | $ | 140,429 | | | | $ | 51,494 | | | | $ | 49,052 | | | | $ | 90,623 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.06 | % | | | | 1.20 | % | | | | 1.46 | % | | | | 1.07 | % | | | | 1.11 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.21 | % | | | | 1.33 | % | | | | 1.52 | % | | | | 1.24 | % | | | | 1.26 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.80 | % | | | | 0.39 | % | | | | (1.42 | )% | | | | (0.74 | )% | | | | 0.42 | % | | | | | |
| | | | | | | |
| | 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 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 MANAGED FUTURES STRATEGY FUND
|
Consolidated Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.07 | | | | $ | 10.06 | | | | $ | 10.32 | | | | $ | 9.77 | | | | $ | 10.19 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.26 | | | | | 0.01 | | | | | (0.16 | ) | | | | (0.10 | ) | | | | 0.03 | | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.65 | ) | | | | 2.03 | | | | | 0.64 | | | | | 0.78 | | | | | 0.23 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.39 | ) | | | | 2.04 | | | | | 0.48 | | | | | 0.68 | | | | | 0.26 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | – | | | | | (1.18 | ) | | | | (0.05 | ) | | | | – | | | | | (0.61 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | – | | | | | (2.03 | ) | | | | (0.74 | ) | | | | (0.13 | ) | | | | (0.68 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.68 | | | | $ | 10.07 | | | | $ | 10.06 | | | | $ | 10.32 | | | | $ | 9.77 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (3.87 | )% | | | | 20.43 | % | | | | 4.83 | % | | | | 6.92 | % | | | | 2.60 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 148,544 | | | | $ | 239,660 | | | | $ | 146,008 | | | | $ | 149,762 | | | | $ | 106,968 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.18 | % | | | | 1.33 | % | | | | 1.57 | % | | | | 1.22 | % | | | | 1.24 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.32 | % | | | | 1.46 | % | | | | 1.64 | % | | | | 1.38 | % | | | | 1.39 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.69 | % | | | | 0.10 | % | | | | (1.54 | )% | | | | (0.96 | )% | | | | 0.31 | % | | | | | |
| | | | | | | |
| | 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 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 MANAGED FUTURES STRATEGY FUND
|
Consolidated Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.22 | | | | $ | 10.19 | | | | $ | 10.44 | | | | $ | 9.87 | | | | $ | 10.29 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.28 | | | | | 0.01 | | | | | (0.15 | ) | | | | (0.08 | ) | | | | 0.05 | | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.66 | ) | | | | 2.06 | | | | | 0.65 | | | | | 0.78 | | | | | 0.23 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.38 | ) | | | | 2.07 | | | | | 0.50 | | | | | 0.70 | | | | | 0.28 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.01 | ) | | | | (1.19 | ) | | | | (0.06 | ) | | | | – | | | | | (0.63 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | (0.01 | ) | | | | (2.04 | ) | | | | (0.75 | ) | | | | (0.13 | ) | | | | (0.70 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.83 | | | | $ | 10.22 | | | | $ | 10.19 | | | | $ | 10.44 | | | | $ | 9.87 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (3.68 | )% | | | | 20.47 | % | | | | 5.00 | % | | | | 7.05 | % | | | | 2.72 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 57,814 | | | | $ | 65,653 | | | | $ | 57,900 | | | | $ | 55,439 | | | | $ | 51,499 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.06 | % | | | | 1.20 | % | | | | 1.45 | % | | | | 1.08 | % | | | | 1.09 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.20 | % | | | | 1.33 | % | | | | 1.51 | % | | | | 1.24 | % | | | | 1.23 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.81 | % | | | | 0.07 | % | | | | (1.41 | )% | | | | (0.79 | )% | | | | 0.47 | % | | | | | |
| | | | | | | |
| | 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 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 MANAGED FUTURES STRATEGY FUND
|
Consolidated 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, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 9.54 | | | | $ | 9.64 | | | | $ | 9.92 | | | | $ | 9.45 | | | | $ | 9.87 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.20 | | | | | (0.04 | ) | | | | (0.21 | ) | | | | (0.13 | ) | | | | (0.02 | ) | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.61 | ) | | | | 1.93 | | | | | 0.62 | | | | | 0.73 | | | | | 0.23 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.41 | ) | | | | 1.89 | | | | | 0.41 | | | | | 0.60 | | | | | 0.21 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | – | | | | | (1.14 | ) | | | | – | | | | | – | | | | | (0.56 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | – | | | | | (1.99 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.63 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.13 | | | | $ | 9.54 | | | | $ | 9.64 | | | | $ | 9.92 | | | | $ | 9.45 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (4.30 | )% | | | | 19.77 | % | | | | 4.33 | % | | | | 6.30 | % | | | | 2.14 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 558 | | | | $ | 856 | | | | $ | 451 | | | | $ | 504 | | | | $ | 539 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.68 | % | | | | 1.83 | % | | | | 2.08 | % | | | | 1.72 | % | | | | 1.74 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.82 | % | | | | 1.96 | % | | | | 2.14 | % | | | | 1.87 | % | | | | 1.89 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.18 | % | | | | (0.36 | )% | | | | (2.04 | )% | | | | (1.41 | )% | | | | (0.19 | )% | | | | | |
| | | | | | | |
| | 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 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 MANAGED FUTURES STRATEGY FUND
|
Consolidated Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Managed Futures Strategy Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.21 | | | | $ | 10.17 | | | | $ | 10.42 | | | | $ | 9.86 | | | | $ | 10.28 | | | | | | |
| | | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.28 | | | | | 0.01 | | | | | (0.15 | ) | | | | (0.08 | ) | | | | 0.05 | | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.67 | ) | | | | 2.07 | | | | | 0.65 | | | | | 0.77 | | | | | 0.23 | | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | | (0.39 | ) | | | | 2.08 | | | | | 0.50 | | | | | 0.69 | | | | | 0.28 | | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.01 | ) | | | | (1.19 | ) | | | | (0.06 | ) | | | | – | | | | | (0.63 | ) | | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.85 | ) | | | | (0.69 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | | (0.01 | ) | | | | (2.04 | ) | | | | (0.75 | ) | | | | (0.13 | ) | | | | (0.70 | ) | | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.81 | | | | $ | 10.21 | | | | $ | 10.17 | | | | $ | 10.42 | | | | $ | 9.86 | | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | | (3.78 | )% | | | | 20.62 | % | | | | 4.98 | % | | | | 6.95 | % | | | | 2.71 | % | | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 13 | | | | $ | 14 | | | | $ | 11 | | | | $ | 71 | | | | $ | 166 | | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.05 | % | | | | 1.20 | % | | | | 1.44 | % | | | | 1.08 | % | | | | 1.09 | % | | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.19 | % | | | | 1.32 | % | | | | 1.51 | % | | | | 1.24 | % | | | | 1.23 | % | | | | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.81 | % | | | | 0.10 | % | | | | (1.40 | )% | | | | (0.84 | )% | | | | 0.49 | % | | | | | |
| | | | | | | |
| | 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 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 ALTERNATIVE FUNDS I
|
Notes to Financial Statements December 31, 2023 |
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 a management agreement (the “Agreement”) with the Trust.
|
|
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Basis of Consolidation for Managed Futures Strategy Fund — Cayman Commodity-MFS, LLC. (the “Subsidiary”), a Cayman Islands exempted company, is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of December 31, 2023, the Fund’s net assets were $287,866,615, of which $58,259,888, 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 the 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.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income distributions and capital gains distributions, if any, are declared and paid at least annually.
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
|
2. SIGNIFICANT ACCOUNTING POLICIES (continued ) |
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
|
|
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. With respect to the Fund’s investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Act (the “Valuation Designee”). GSAM has 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:
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued ) |
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (the “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 either due to broker/ receivable for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be 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 generally made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. 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
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued ) |
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.
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 the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2023:
| | | | | | | | | | | | |
| Managed Futures Strategy Fund | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Investment Companies | | $ | 193,710,943 | | | $ | — | | | $ | — | |
|
| |
| | | |
Total | | $ | 193,710,943 | | | $ | — | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets(a) | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 6,382,085 | | | $ | — | |
| | | |
Futures Contracts | | | 6,394,090 | | | | — | | | | — | |
| | | |
Interest Rate Swap Contracts | | | — | | | | 2,893,777 | | | | — | |
|
| |
| | | |
Total | | $ | 6,394,090 | | | $ | 9,275,862 | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (4,836,382 | ) | | $ | — | |
| | | |
Futures Contracts(a) | | | (8,203,610 | ) | | | — | | | | — | |
| | | |
Interest Rate Swap Contracts(a) | | | — | | | | (2,218,239 | ) | | | — | |
|
| |
| | | |
Total | | $ | (8,203,610 | ) | | $ | (7,054,621 | ) | | $ | — | |
|
| |
| | (a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
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, 2023. 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.
| | | | | | | | | | | | |
| Managed Futures Strategy Fund | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statement of Assets and Liabilities | | Assets | | | Consolidated Statement of Assets and
Liabilities | | Liabilities | |
| | | | |
| Commodity | | Variation margin on futures contracts | | $ | 1,930,463 | (a) | | Variation margin on futures contracts | | $ | (3,579,333 | )(a) |
| | | | |
| Currency | | Receivables for unrealized gain on forward foreign currency exchange contracts | | | 6,382,085 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (4,836,382 | ) |
| | | | |
| Equity | | Variation margin on futures contracts | | | 4,265,767 | (a) | | Variation margin on futures contracts | | | (4,344,377 | )(a) |
| | | | |
| Interest Rate | | Variation margin on futures and swaps contracts | | | 3,091,637 | (a) | | Variation margin on futures and swaps contracts | | | (2,498,139 | )(a) |
| | | | |
Total | | | | $ | 15,669,952 | | | | | $ | (15,258,231 | ) |
| | (a) | Includes unrealized gain (loss) on futures 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, 2023, is reported within the Consolidated Statement 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, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statement of Operations:
| | | | | | | | | | |
| Managed Futures Strategy Fund | | | | | | | | |
| | | |
| Risk | | Consolidated Statement of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| | | |
| Currency | | Net realized gain (loss) from forward currency exchange contracts/Net change in unrealized gain (loss) on forward currency exchange contracts | | $ | (2,267,461 | ) | | $ | 459,336 | |
| | | |
| Commodity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (7,193,560 | ) | | | (3,367,100 | ) |
| | | |
| Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | 12,937,404 | | | | (988,424 | ) |
| | | |
| Interest Rate | | Net realized gain (loss) from futures and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts | | | (20,743,091 | ) | | | (6,573,618 | ) |
| | | |
Total | | | | $ | (17,266,708 | ) | | $ | (10,469,806 | ) |
For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:
| | | | | | | | | | | | |
| | | Average number of Contracts or Notional Amounts(a) | |
| |
| | | | |
| | | |
| Fund | | Futures Contracts | | | Forward Contracts | | | Swap Contracts | |
|
| |
| | | |
Managed Futures Strategy Fund | | | 13,706 | | | | 1,205,997,620 | | | | 11,977,834 | |
|
| |
| | (a) | Amounts disclosed represent average number of contracts for futures, 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, 2023. |
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
|
4. INVESTMENTS IN DERIVATIVES (continued ) |
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 GSAM 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 table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of December 31, 2023:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Assets | | | Derivative Liabilities | | | Net Derivative
Assets (Liabilities) | | | Collateral
(Received) Pledged(1) | | | Net Amount(2) | |
| | Forwards(1) | | | Forwards(1) | |
|
| |
| | | | | |
Morgan Stanley Co., Inc. | | $ | 6,382,085 | | | $ | (4,836,382) | | | $ | 1,545,703 | | | $ | 1,545,703 | | | $ | — | |
|
| |
| | (1) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities |
| | (2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
|
|
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.
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued ) |
For the fiscal year ended December 31, 2023, 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^1 | |
|
| |
| | | | | | | |
Managed Futures Strategy Fund | | | 1.00 | % | | | 0.90 | % | | | 0.86 | % | | | 0.84 | % | | | 0.82 | % | | | 1.00 | % | | | 0.88% | |
|
| |
| | ^ | 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. With respect to the Subsidiary, for the fiscal year ended December 31, 2023, GSAM waived $334,183, 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 invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. With respect to the affiliated Underlying Fund, for the fiscal year ended December 31, 2023, GSAM waived $459,870 of the Fund’s management fees.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A, Class C 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, Class C or Class R Shares of the Fund, as set forth below.
| | | | | | |
| | | Distribution and/or Service Plan Rates |
| | | Class A* | | Class C | | Class R* |
|
|
| | | |
Distribution and/or Service Plan | | 0.25% | | 0.75% | | 0.50% |
|
|
| | * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and/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, 2023, Goldman Sachs retained $3,918 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
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
as follows: 0.15% 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 Institutional Shares. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R Shares was 0.16%.
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 28, 2024, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. 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 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, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | |
| Fund | | Management
Fee Waiver | | Other Expense
Reimbursements | | Total Expense
Reductions |
| | | |
| Managed Futures Strategy Fund | | $ 794,054 | | $ 109,680 | | $ 903,734 |
G. Line of Credit Facility — As of December 31, 2023, the Fund participated in a $1,110,000,000 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, 2023, the Fund did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
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, 2023:
| | | | | | | | | | | | |
| Fund | | Beginning value
as of December 31,
2022 | | Purchases at Cost | | Proceeds from
Sales | | Ending value as of
December 31, 2023 | | Shares as of
December 31, 2023 | | Dividend
Income |
| | | | | | |
| Managed Futures Strategy Fund | | $ 366,294,788 | | $ 398,539,109 | | $ (571,122,954) | | $ 193,710,943 | | $ 193,710,943 | | $ 13,962,411 |
As of December 31, 2023, The Goldman Sachs Group, Inc. was the beneficial owner of the Fund:
| | |
| Fund | | Class P |
| |
| Managed Futures Strategy Fund | | 100% |
As of December 31, 2023, the following Goldman Sachs Funds were the beneficial owner of 5% or more of total outstanding shares of the Fund:
| | | | | | |
| Fund | | Goldman Sachs
Growth and Income Strategy Portfolio | | | | Goldman Sachs Growth
Strategy Portfolio |
| | | |
| Managed Futures Strategy Fund | | 6% | | | | 6% |
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
Notes to Financial Statements (continued) December 31, 2023 |
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | |
| |
| | | Managed Futures
Strategy Fund | |
| |
Distributions paid from: | | | | |
| |
Ordinary Income | | $ | 154,009 | |
The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:
| | | | |
| |
| | | Managed Futures
Strategy Fund | |
| |
Distributions paid from: | | | | |
| |
Ordinary Income | | $ | 80,344,451 | |
| |
Net long-term capital gains | | | 557,042 | |
Total distributions | | $ | 80,901,493 | |
As of December 31, 2023, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | |
| |
| | | Managed Futures
Strategy Fund | |
| |
Capital loss carryforwards: | | | | |
| |
Perpetual Short-Term | | $ | (11,921,271 | ) |
| |
Perpetual Long-Term | | | (986,841 | ) |
| |
Total capital loss carryforwards | | | (12,908,112 | ) |
| |
Timing differences — (Qualified Late Year Loss Deferral and Post October Capital Loss Deferral) | | | (6,064,642 | ) |
| |
Unrealized gains (losses) — net | | | (2,501,350 | ) |
Total accumulated earnings (losses) — net | | $ | (21,474,104 | ) |
As of December 31, 2023, 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 Fund |
| |
Tax Cost | | | $ 195,840,878 | |
| |
Gross unrealized gain | | | 7,484,213 | |
| |
Gross unrealized loss | | | (9,985,563 | ) |
| |
Net unrealized gain (loss) | | | $ (2,501,350 | ) |
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 $1,633,749 from paid-in-capital to distributable earnings for the fiscal year ending December 31, 2023. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from taxable overdistributions, net operating losses and differences in the tax treatment of underlying fund investments.
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
|
6. TAX INFORMATION (continued) |
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Fund. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Fund will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Fund will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. 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 sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from the Fund’s performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Fund’s with longer average portfolio durations will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
7. OTHER RISKS (continued) |
interest rates may also affect the liquidity of the Fund’s investments. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
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 rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors interests because of unusual market conditions, declining prices of the securities sold, 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 funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/ or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, 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.
Subsidiary Risk — The Subsidiary is not registered under the Act and is not subject to all the investor protections of the Investment Company Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Subsidiary to operate as described in the Prospectus and the SAI and could adversely affect the Fund.
Tax Risk — The Fund seeks to gain exposure to the commodity markets primarily through investments in the Subsidiary. The tax treatment of the Fund’s investments in the Subsidiary could affect whether income derived from such investments is “qualifying income” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), or otherwise affect the character, timing and/or amount of the Fund’s taxable income or any gains and distributions made by the Fund. If the IRS were to successfully assert that a Fund’s income from such investments was not “qualifying income,” the Fund may fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income was derived from these investments.
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
|
7. OTHER RISKS (continued) |
If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates with no deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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.
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
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.
|
|
11. SUMMARY OF SHARE TRANSACTIONS |
| | | | | | | | | | | | | | | | | | | | |
| | | Managed Futures Strategy Fund | |
| | | |
| | | For the Fiscal Year Ended December 31, 2023 | | | | | | For the Fiscal Year Ended December 31, 2022 | |
| |
| | | | |
| | | | | |
| | | Shares | | | Dollars | | | | | | Shares | | | Dollars | |
| |
| | | | |
| | | | | |
Class A Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 529,374 | | | $ | 5,085,964 | | | | | | | | 1,200,973 | | | $ | 13,980,844 | |
| | | | | |
Reinvestment of distributions | | | — | | | | — | | | | | | | | 314,898 | | | | 3,183,394 | |
| | | | | |
Shares redeemed | | | (532,187 | ) | | | (5,086,122 | ) | | | | | | | (1,518,157 | ) | | | (17,580,452 | ) |
|
| |
| | | | | |
| | | (2,813 | ) | | | (158 | ) | | | | | | | (2,286 | ) | | | (416,214 | ) |
|
| |
| | | | | |
Class C Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 169,320 | | | | 1,514,443 | | | | | | | | 237,854 | | | | 2,563,902 | |
| | | | | |
Reinvestment of distributions | | | — | | | | — | | | | | | | | 111,897 | | | | 1,041,483 | |
| | | | | |
Shares redeemed | | | (242,929 | ) | | | (2,143,119 | ) | | | | | | | (163,784 | ) | | | (1,713,311 | ) |
|
| |
| | | | | |
| | | (73,609 | ) | | | (628,676 | ) | | | | | | | 185,967 | | | | 1,892,074 | |
|
| |
GOLDMAN SACHS ALTERNATIVE FUNDS I
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | |
| | | Managed Futures Strategy Fund | |
| | | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | | | | For the Fiscal Year Ended
December 31, 2022 | |
| |
| | | | |
| | | | | |
| | | Shares | | | Dollars | | | | | | Shares | | | Dollars | |
| |
| | | | |
| | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 3,413,839 | | | $ | 34,300,300 | | | | | | | | 11,993,718 | | | $ | 143,316,333 | |
| | | | | |
Reinvestment of distributions | | | 7,094 | | | | 69,735 | | | | | | | | 2,184,178 | | | | 22,931,915 | |
| | | | | |
Shares redeemed | | | (11,035,312 | ) | | | (108,527,814 | ) | | | | | | | (5,488,006 | ) | | | (64,867,307 | ) |
|
| |
| | | | | |
| | | (7,614,379 | ) | | | (74,157,779 | ) | | | | | | | 8,689,890 | | | | 101,380,941 | |
|
| |
| | | | | |
Investor Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 13,801,287 | | | | 135,848,682 | | | | | | | | 15,748,088 | | | | 185,838,210 | |
| | | | | |
Reinvestment of distributions | | | — | | | | — | | | | | | | | 4,050,829 | | | | 41,920,243 | |
| | | | | |
Shares redeemed | | | (22,266,933 | ) | | | (218,105,511 | ) | | | | | | | (10,496,723 | ) | | | (122,558,476 | ) |
|
| |
| | | | | |
| | | (8,465,646 | ) | | | (82,256,829 | ) | | | | | | | 9,302,194 | | | | 105,199,977 | |
|
| |
| | | | | |
Class R6 Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 869,084 | | | | 8,508,378 | | | | | | | | 1,916,178 | | | | 23,334,351 | |
| | | | | |
Reinvestment of distributions | | | 8,426 | | | | 82,830 | | | | | | | | 1,086,492 | | | | 11,409,940 | |
| | | | | |
Shares redeemed | | | (1,416,487 | ) | | | (14,414,537 | ) | | | | | | | (2,260,881 | ) | | | (27,986,272 | ) |
|
| |
| | | | | |
| | | (538,977 | ) | | | (5,823,329 | ) | | | | | | | 741,789 | | | | 6,758,019 | |
|
| |
| | | | | |
Class R Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 16,499 | | | | 152,583 | | | | | | | | 36,015 | | | | 409,474 | |
| | | | | |
Reinvestment of distributions | | | — | | | | — | | | | | | | | 14,978 | | | | 146,868 | |
| | | | | |
Shares redeemed | | | (45,086 | ) | | | (413,428 | ) | | | | | | | (8,033 | ) | | | (93,156 | ) |
|
| |
| | | | | |
| | | (28,587 | ) | | | (260,845 | ) | | | | | | | 42,960 | | | | 463,186 | |
|
| |
| | | | | |
Class P Shares | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | 6,589 | | | | 65,624 | | | | | | | | 1 | | | | 5 | |
| | | | | |
Reinvestment of distributions | | | 2 | | | | 20 | | | | | | | | 223 | | | | 2,349 | |
| | | | | |
Shares redeemed | | | (6,569 | ) | | | (65,689 | ) | | | | | | | (1 | ) | | | (5 | ) |
|
| |
| | | | | |
| | | 22 | | | | (45 | ) | | | | | | | 223 | | | | 2,349 | |
|
| |
| | | | | |
NET INCREASE (DECREASE) IN SHARES | | | (16,723,989 | ) | | $ | (163,127,661 | ) | | | | | | | 18,960,737 | | | $ | 215,280,332 | |
|
| |
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 statement of assets and liabilities, including the consolidated schedule 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, 2023, the related consolidated statement of operations for the year ended December 31, 2023, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the consolidated financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
GOLDMAN SACHS ALTERNATIVE FUNDS
Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2023
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, 2023 through December 31, 2023, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the 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.
| | | | | | | | | | | | | | | |
| | | Managed Futures Strategy Fund |
| Share Class | | Beginning
Account Value 7/1/23 | | Ending
Account Value 12/31/23 | | Expenses
Paid for the 6 months ended 12/31/23* |
| | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $964.10 | | | | | $6.39 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,018.70 | + | | | | 6.56 | |
| Class C | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 960.80 | | | | | 10.03 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,014.97 | + | | | | 10.31 | |
| Institutional | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 965.80 | | | | | 4.41 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,020.72 | + | | | | 4.53 | |
| Investor | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 966.10 | | | | | 5.10 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,020.01 | + | | | | 5.24 | |
| Class R6 | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 966.10 | | | | | 4.56 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,020.57 | + | | | | 4.69 | |
| Class R | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 963.10 | | | | | 7.52 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,017.54 | + | | | | 7.73 | |
| Class P | | | | | | | | | | | | | | | |
Actual | | | | 1,000.00 | | | | | 966.00 | | | | | 4.61 | |
Hypothetical 5% return | | | | 1,000.00 | | | | | 1,020.52 | + | | | | 4.74 | |
| + | 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, 2023. 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 | % | | | 1.10 | % | | | 1.21 | % | | | 1.03 | % | | | 1.71 | % | | | 1.09 | % | | | | |
34
GOLDMAN SACHS ALTERNATIVE FUNDS I
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, and Lawrence W. Stranghoener were elected to the Trusts Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trusts shareholders voted as follows:
| | | | |
Proposal Election of Trustees | | For | | Withheld |
| | |
| Cheryl K. Beebe | | 169,452,067,796 | | 5,900,273,020 |
| | |
| John G. Chou | | 173,279,757,273 | | 2,072,583,543 |
| | |
| Eileen H. Dowling | | 173,287,456,218 | | 2,064,884,598 |
| | |
| Lawrence Hughes | | 173,486,691,901 | | 1,865,648,915 |
| | |
| John F. Killian | | 173,511,167,174 | | 1,841,173,642 |
| | |
| Steven D. Krichmar | | 173,484,256,228 | | 1,868,084,588 |
| | |
| Michael Latham | | 173,498,020,286 | | 1,854,320,530 |
| | |
| Lawrence W. Stranghoener | | 173,455,949,165 | | 1,896,391,651 |
| | |
| Paul C. Wirth | | 173,324,070,424 | | 2,028,270,391 |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications Inc. |
| | | | | |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a datadriven, digital financial platform) |
| | | | | |
| Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
| | | | | |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011-Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019-2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
| | | | | | | | | | |
GOLDMAN SACHS ALTERNATIVE 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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017-2021), Multinational Corporations (2019-2021), the Institutional Product Group (2015-2019) and Institutional Marketing (2013- 2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023 – Present) Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
| | | | | | | | | | |
| | | | | |
Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office
and Length of Time Served2 | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. |
| 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, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (34 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| | | |
| Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office
and Length of Time Served2 | | Principal Occupations During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary—Goldman Sachs Trust; (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II; (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). Assistant Secretary—Goldman Sachs MLP and Energy Renaissance Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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, 2023. |
| 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. |
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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 $2.54 trillion in assets under supervision as of December 31, 2023, 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 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | 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 bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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. |
Goldman Sachs Alternative Funds II
∎ ABSOLUTE RETURN TRACKER FUND
∎ COMMODITY STRATEGY FUND
TABLE OF CONTENTS
|
Effective January 24, 2023, open-end mutual funds and exchange traded funds are required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024. |
| | | | | | |
| | | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee | | |
FUND RESULTS
Goldman Sachs Absolute Return Tracker Fund
|
Investment Objective The Fund seeks to deliver long-term total return consistent with investment results that approximate the return and risk characteristics 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, 2023 (“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 10.45%, 9.45%, 10.83%, 10.68%, 10.74%, 10.11% and 10.72%, respectively. These returns compare to the 5.01% average annual total return of the Fund’s benchmark, the ICE BofA Three-Month U.S. Treasury Bill Index (net of management, administrative and performance incentive fees), during the same time period. |
| Q | What economic and market factors most influenced the hedge fund asset class as a whole during the Reporting Period? |
| A | Risk assets, including equities and credit assets, as well as government bonds broadly experienced positive returns in 2023, as decelerating inflation and widespread expectations that the U.S. Federal Reserve (the “Fed”) was nearing the end of its interest rate hiking cycle more than offset the pressures of heightened geopolitical unrest, including the Russia/Ukraine and Hamas/Israel wars. |
| | Amid this backdrop, hedge funds generally posted positive returns during the Reporting Period, recovering from the prior year’s losses. High interest rates, persistent though lower inflation, recession fears and resultant market dispersion created opportunities for hedge fund strategies. Increased geopolitical tensions between the U.S. and China and in the Middle East were also some of the key drivers for market volatility as a tailwind for select hedge fund strategies. |
| | More specifically, equity long/short hedge fund strategies were the top performers during the Reporting Period, with multiple bigger hedge funds outperforming the bond markets. |
| | A lot of this strong performance was driven by the rally in information technology stocks and, in turn, global technology strategies. |
| | Relative value hedge fund strategies also performed well overall, with relative value arbitrage in particular proving adept at providing downside risk protection amid heightened volatility during the Reporting Period. |
| | Event-driven hedge fund strategies posted more modestly positive returns during the Reporting Period, remaining mostly flat during the last quarter of 2023. Using futures contracts, these strategies saw inflows and especially positive performance during the third calendar quarter as they offset some of the drawdown in the broad equity markets during those months. |
| | Global macro hedge fund strategies were the only major category among hedge fund strategies to post negative returns during the Reporting Period. The performance of macro strategies had a higher contribution from bond returns than usual in 2023. |
| 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 |
1
| | 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. |
| | The Fund is designed to follow the performance of the hedge fund industry with lower fees and daily liquidity. During the Reporting Period, the Fund achieved its objective by delivering similar performance both at an aggregate and style level. Contributors and detractors aligned with the performance of hedge funds with comparable volatility during the Reporting Period. It should be noted that during periods of significant market drawdowns, there can be some additional deviation between public and private market assets. In our view, the Reporting Period likely produced some outperformance for real hedge funds at least partially attributable to exposure to private assets that are not priced in the open market. |
| | On an absolute basis, all four Fund 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, which represented close to 50% of the Fund’s portfolio, contributed most positively to the Fund’s absolute return during the Reporting Period. Within the Equity Long/Short Hedge Fund Sub-Strategy, long-biased and global stock selection strategies contributed most positively during the Reporting Period, while hedged exposure to emerging markets strategies detracted most. |
| | The Fund’s Relative Value Hedge Fund Sub-Strategy was the second biggest contributor to the Fund’s absolute return during the Reporting Period. Developed market equity strategies and credit exposure through investment grade bonds contributed most positively within the Relative Value Hedge Fund Sub-Strategy. None of the strategies within the Fund’s Relative Value Hedge Fund Sub-Strategy detracted from performance during the Reporting Period. |
| | The Fund’s Macro Hedge Fund Sub-Strategy also contributed positively to the Fund’s return on an absolute basis during the Reporting Period, despite global macro hedge fund strategies posting negative returns within the broader hedge fund universe. Such outperformance by the Fund’s Sub-Strategy was supported by its exposure to developed market equities, and the equity/bond long-only trend-following strategy also added value. The long/short multi-asset trend following strategy detracted, offsetting some gains. |
| | The Fund’s Event Driven Hedge Fund Sub-Strategy was a more modest positive contributor to the Fund’s absolute return during the Reporting Period. U.S. equity put spread and merger arbitrage strategies contributed positively to performance. None of the Sub-Strategy’s strategies significantly detracted during the Reporting Period. |
| | 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 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 of non-U.S. developed markets. 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 market 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. |
| Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | There were no notable changes made in the Fund’s investment strategy 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 had a 44% allocation to the Equity Long/Short Hedge Fund Sub-Strategy, 26% to the Macro Hedge Fund Sub-Strategy, 25% to the Relative Value Hedge Fund Sub-Strategy and 5% to the Event Driven Hedge Fund Sub-Strategy, quite similar to the Sub-Strategy allocations at the start of the Reporting |
2
FUND RESULTS
| | Period. This was in line with the distribution of hedge fund styles in the industry, which have historically changed at an evolutionary pace. The underlying strategies themselves adapted to the conditions of the Reporting Period. For example, the Fund’s net short exposure to government bonds was made long and increased during the Reporting Period. Similarly, the Fund’s next exposure to short-term interest rates went from short to long, and the Fund’s exposure to credit increased. Overall, the Fund’s net exposure increased near the end of the Reporting Period after decreasing for a majority of 2023, while the Fund’s gross exposure remained largely unchanged throughout. |
| 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 strategy going forward? |
| A | Hedge fund strategies generally performed well during the Reporting Period. As inflation rates cooled during the last quarter of calendar year 2023, causing increasing expectations of lower interest rates, we believed at the end of the Reporting Period that 2024 could provide a different regime for hedge fund investments. However, this may also create opportunities within strategies that benefit from a favorable macroeconomic environment. We are also cognizant that U.S. investors, who are a majority of hedge fund investors, had a historically higher average allocation to hedge funds during the Reporting Period, which could put pressure on hedge fund inflows in the coming year. |
| | All that said, 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. |
3
Absolute Return Tracker Fund
as of December 31, 2023
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TOP TEN HOLDINGS AS OF 12/31/23 ± | | | | | | |
| | | |
Holding | | % of Net Assets | | | | Line of Business |
iShares Core MSCI Emerging Markets ETF | | 9.7% | | | | Exchange Traded Funds |
iShares 5-10 Year Investment Grade Corporate Bond ETF | | 4.8 | | | | Exchange Traded Funds |
SPDR Bloomberg Convertible Securities ETF | | 3.0 | | | | Exchange Traded Funds |
SPDR Blackstone Senior Loan ETF | | 1.7 | | | | Exchange Traded Funds |
Apple, Inc. | | 1.0 | | | | Technology Hardware, Storage & Peripherals |
Microsoft Corp. | | 1.0 | | | | Software |
Alphabet, Inc. | | 0.9 | | | | Interactive Media & Services |
Amazon.com, Inc. | | 0.8 | | | | Broadline Retail |
NVIDIA Corp. | | 0.8 | | | | Semiconductors & Semiconductor Equipment |
Meta Platforms, Inc. | | 0.5 | | | | Interactive Media & Services |
| | ± | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
* 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 does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets as of December 31, 2023. 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 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.
4
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Performance Summary
December 31, 2023
The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofA Three-Month U.S. Treasury Bill 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.
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| | |
| Absolute Return Tracker Fund’s 10 Year Performance | | | | |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
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| | | Average Annual Total Return through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | | Since Inception | | | |
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| | Class A | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | 10.45% | | | | 4.52% | | | | 3.09% | | | | — | | | |
| | Including sales charges | | | 4.34% | | | | 3.35% | | | | 2.51% | | | | — | | | |
| | | | | |
| | | | | | |
| | Class C | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | 9.45% | | | | 3.74% | | | | 2.31% | | | | — | | | |
| | Including contingent deferred sales charges | | | 8.43% | | | | 3.74% | | | | 2.31% | | | | — | | | |
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| | Institutional | | | 10.83% | | | | 4.91% | | | | 3.48% | | | | — | | | |
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| | Investor | | | 10.68% | | | | 4.78% | | | | 3.35% | | | | — | | | |
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| | Class R6 (Commenced July 31, 2015) | | | 10.74% | | | | 4.91% | | | | N/A | | | | 3.66% | | | |
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| | Class R | | | 10.11% | | | | 4.24% | | | | 2.83% | | | | — | | | |
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| | Class P (Commenced April 17, 2018) | | | 10.72% | | | | 4.92% | | | | N/A | | | | 3.71% | | | |
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| | | * 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.
5
Goldman Sachs Commodity Strategy Fund
December 31, 2023
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Investment Objective The Fund seeks long-term total return. |
Portfolio Management Discussion and Analysis
Below, CoreCommodity Management, LLC (“CoreCommodity”) discusses the Fund’s performance and positioning for the 12-month period ended December 31, 2023 (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 -9.95%, -10.58%, -9.65%, -9.78%, -9.71%, -10.19% and -9.72%, respectively. These returns compare to the -7.91% annual total return of the Fund’s benchmark, the Bloomberg Commodity Total Return Index (the “Bloomberg Commodity Index”), during the same period. |
| Q | What economic and market factors most influenced the commodities markets as a whole during the Reporting Period? |
| A | Commodity markets overall, as measured by the Bloomberg Commodity Index, posted negative returns during calendar year 2023. For the Reporting Period, the Bloomberg Commodity Index significantly underperformed both the 26.29% return of the S&P 500 Index and the 5.53% return of the Bloomberg U.S. Aggregate Bond Index, measuring the U.S. equity market and U.S. fixed income market, respectively. The 2023 calendar year marked a stark difference from the preceding two years when commodities advanced rapidly. Notably, despite the underperformance during the Reporting Period, commodities still outpaced both stocks and bonds on a trailing three-year basis as of December 31, 2023. |
| | Directing commodity prices most during the Reporting Period was the influence of monetary policy. After 425 basis points of interest rate hikes in 2022, the Fed continued to tighten aggressively with an additional increase of 100 basis points to the targeted federal funds rate in 2023. (A basis point is 1/100th of a percentage point.) The effect on commodity markets was severalfold. |
| | The first, most immediate consequence was the dampening of inflation. The U.S. Consumer Price Index (“CPI”) started 2023 at an annualized rate of 6.5% and ended the year at 3.4%. Similar disinflationary trends occurred throughout |
| | most developed and emerging economies. Commodity prices were challenged in such an environment; however, lingering cost pressures continued to surface in corners of the supply chain. Labor supply remained tight, which fueled a series of wage negotiations, protests and other forms of labor activism. Together with higher material and capital expenses, the marginal cost of production for commodities like copper and zinc appreciated throughout the year, forcing many suppliers to curtail output. Poor producer economics weighed on production growth and helped to stem price declines. |
| | Higher interest rates also influenced commodities via the inventory cycle. Elevated financing costs translated to elevated storage costs, which meant that most holders of natural resources embarked on widespread destocking campaigns. In aggregate, the effect was significant and weighed most heavily on industrial metals. Going forward, should interest rates peak and then come down in 2024 as widely anticipated, destocking may hold less sway over the market and may actually shift to a net tailwind for commodities, in our view. |
| | Beyond the actions of the Fed, weather also played a dramatic role during the Reporting Period. Most scientists and climatologists agree that 2023 was the hottest year on record, made worse by the ongoing El Niño. Excessive heat plagued equatorial crops, like sugar and cocoa, and led to the rise of agricultural disease and pests, stunted hydropower generation, and even influenced oil refinery output. Furthermore, extreme weather threatened the world’s shipping lanes, most notably via low water levels along the Mississippi River, Rhine River and Panama Canal. In general, the rise in temperatures and extreme weather contributed to a worsening environment for miners, drillers and farmers alike. |
| | Another factor affecting commodities was the stark rise in geopolitical risk. During the Reporting Period, there was a noticeable increase in social uprising, military conflict and general unrest. Many of these events were isolated and bore little consequence, but on occasion, they had real impact on |
6
FUND RESULTS
| | the commodity supply chain. Of particular note was the U.S. regional banking crisis in March 2023; the U.S. debt ceiling deadline in June; attempted Ukrainian counteroffensives during the summer months; Hamas terrorist attacks in October; and Venezuelan border disputes with Guyana in December. Each event had considerable influence over the pricing and/or sourcing of commodities. |
| Q | Which commodity subsectors were strongest during the Reporting Period? |
| A | Boasting a return of 9.6%, the precious metals subsector of the Bloomberg Commodity Index was the best performer and the only subsector to post a positive return during the Reporting Period. Gold appreciated 12.8%, while silver declined modestly, down 0.3%. Global central bank purchases, safe-haven demand amidst geopolitical tensions, and projected interest rate cuts by the Fed supported the price of gold. |
| Q | Which commodity subsectors were weakest during the Reporting Period? |
| A | The energy subsector of the Bloomberg Commodity Index was the weakest performer during the Reporting Period, with a return of -21.6%. Natural gas prices fell substantially (-65.3%) due to record-high production in the U.S., rising inventories, and lower demand due to warmer than average temperatures during the heating season. West Texas Intermediate (“WTI”) crude oil (-2.0%) and Brent crude oil (-1.0%) declined modestly, as OPEC spare capacity outweighed production cuts announced by the cartel and rising geopolitical catalysts. Additionally, Russia ramped up oil exports against OPEC+ commitments, and U.S. supplies outpaced virtually all expectations, spearheaded by growth from private producers. Heating oil declined 2.9%, while gasoil rose 1.7%, and RBOB, or reformulated blendstock for oxygenate blending, gasoline rose 7.6%, the latter of which was the best performing commodity within the subsector. |
| | Industrial metals was the second-weakest subsector of the Bloomberg Commodity Index during the Reporting Period, with a return of -9.2%. The subsector initially appreciated during the first quarter of 2023 on the back of China’s transition out of COVID-era lockdowns, which stirred hope for a revival in demand. However, as the year progressed, a downturn in global manufacturing, Chinese property woes, and soaring global interest rates reduced metals consumption, particularly for capital-intensive corners of the global economy. Nickel prices declined the most (-44.5%) due to a reduction in Chinese demand for stainless steel. Zinc and lead declined 6.4% and 5.1%, respectively, whereas |
| | aluminum declined 1.4%. Copper was the only metal in the subsector to post gains for the Reporting Period, up 4.7%. Copper benefited from its vital role in the energy transition and supply disruptions from key South American mines. |
| | The agriculture subsector of the Bloomberg Commodity Index declined 4.4% during the Reporting Period. With the exception of soybeans, which rose 2.0%, all staple crops declined during the Reporting Period. Chicago wheat fell 26.5%; Kansas City wheat fell 23.6%; corn fell 17.7%; soybean oil fell 17.0%; and soybean meal fell 0.1%. A stronger U.S. currency and bumper harvests out of both Russia and Brazil drove balances into surplus. Soft commodities fared significantly better, with frozen concentrated orange juice (104.2%) and cocoa (69.3%) advancing the most during the Reporting Period. Black pod disease, swollen shoot virus, and citrus greening disease were detrimental to cocoa and orange juice crops, propelling prices higher. Coffee rose 25.1%; sugar advanced 19.4%; and cotton gained 1.5%. Sugar advanced to a fresh decade-high on Indian export restrictions and weather-related disruptions among key growers, while coffee marched higher as exchange stocks collapsed to a 24-year low. |
| | The livestock component of the Bloomberg Commodity Index declined 1.9% during the Reporting Period. Live cattle advanced 10.5%; whereas lean hog prices declined 22% during the Reporting Period. Cattle was up, as the number of cows used for breeding beef cattle fell to a six-decade low. Pork prices declined on higher producer efficiency and weak demand out of China. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund posted absolute declines and underperformed the Bloomberg Commodity Index during the Reporting Period. The Fund underperformed in energy and precious metals and outperformed in industrial metals, agriculture and livestock. |
| | Within energy, the Fund’s overweight to natural gas detracted from performance, as prices declined approximately 65% during the Reporting Period. Overweights across the petroleum complex also detracted, with the exception of gasoil. Curve placement was additive in natural gas and gasoil but detracted across the petroleum complex. Within precious metals, an underweight to gold and an overweight to silver hurt. The inclusion of platinum in the Fund’s portfolio further dampened relative results. Within industrial metals, an overweight to copper and an underweight to lead were beneficial. Curve placement was additive across the industrial metals subsector, with the exception of zinc. In agriculture, within soft commodities, |
7
| | overweights to cotton and the inclusion of cocoa and frozen concentrated orange juice were beneficial, while an overweight to sugar detracted. Within staple crops, overweights to corn and Chicago wheat hurt, but underweights to soybean meal and Kansas City wheat added value. Within livestock, an underweight to live cattle and deferred positioning detracted, while deferred positioning in lean hogs contributed positively. |
| 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 mixed effect on the Fund’s returns for the Reporting Period overall. The investment 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, rolls within the Fund primarily took place in advance of the benchmark (i.e., during the first four business days of each month). Additionally, certain commodities, such as those in the energy sector, were rolled on a more frequent basis than the Bloomberg Commodity Index. Further, while the majority of the Fund’s exposure is rolled on a controlled schedule, 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 you implement the Fund’s enhanced cash management strategy? |
| A | The investment team does not seek to add meaningful outperformance through an enhanced cash management strategy or collateral management. The cash portion of the Fund’s portfolio is typically invested in a conservative collateral portfolio of U.S. Treasury securities up to 12 months in maturity. |
| 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 roll-timing strategies in order to gain exposure to the commodity markets. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized negative absolute returns during the Reporting Period. |
| Q | Did you make any changes in the Fund’s strategy or allocations during the Reporting Period? |
| A | 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 and energy and underweight agriculture, precious metals and livestock on average relative to the Bloomberg Commodity Index during the Reporting Period. |
| | Within industrial metals, the Fund was overweight aluminum, copper, nickel and zinc and was underweight lead. |
| | Within energy, the Fund was overweight across petroleum and natural gas commodities. The team generally favored front-month positioning in Brent crude oil and gasoil and a mixture of front-month and deferred positioning across WTI crude oil, gasoline and heating oil. Natural gas positioning was spread across the curve, as we sought to benefit from seasonality and negate the effects of contango. (Contango is a situation where the futures price of a commodity is higher than the spot price. Contango usually occurs when an asset’s price is expected to rise over time. That results in an upward-sloping forward curve.) |
| | Within agriculture, the Fund was underweight both staple crops and soft commodities. Within staple crops, the Fund was underweight the soybean complex and wheat and was overweight corn. Within soft commodities, the Fund was underweight sugar and overweight coffee and cotton. The Fund included cocoa and frozen concentrated 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. The Fund was overweight silver and underweight gold relative to the Bloomberg Commodity Index. |
| | Within livestock, the Fund was overweight live cattle and modestly underweight lean hogs versus the Bloomberg Commodity Index. |
| 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 energy and industrial metals subsectors and was underweight the agriculture, precious metals and livestock subsectors, each as relative to the Bloomberg Commodity Index. |
8
FUND RESULTS
| | 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 91% in U.S. Treasury securities and the remaining approximately 9% in cash. |
| 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 view and strategy going forward? |
| A | The Reporting Period was a particularly difficult year for forecasting most capital markets. It is never easy to predict the future, but the market action in 2023 surprised participants on many fronts and continually defied expectations along the way. Consensus views were punished, sometimes severely. That said, at the end of the Reporting Period, we were optimistic about the forward outlook, here presenting what we believe is a thoughtful projection for the broad atmosphere for commodities in 2024. |
| | The most anticipated macroeconomic development heading into 2024, in our view, involves the possibility of easing monetary policy by the U.S. Fed and other countries’ central banks as the year unfolds. The latest Fed minutes from its December 2023 meeting, released in the first week of January 2024, essentially confirmed that interest rates have peaked and, according to the dot plot, two to three rate cuts should be expected to occur in 2024. (The Fed’s dot plot is a chart updated quarterly that records each Fed official’s projection for the central bank’s key short-term interest rate, the federal funds rate.) The significant rally in risk assets that took place in the last few weeks of 2023, in response to the Fed’s release, may have been overextended, in our opinion. Rate cuts during the next 12 months, as implied by the bond market, suggest far more loosening to occur—on the order of 125 to 150 basis points in total. Based on the strength of the economy at the end of 2023, progress made on the inflation front, and central bank commentary, we believe that path to be of low probability and foresee a “higher for longer” interest rate environment ahead. |
| | Historically, a decline in interest rates generally coincides with a higher price for metals. Lower carrying costs as well as any ancillary effects on the U.S. currency typically bode well for both industrial and precious metals. At the end of the Reporting Period, we believed the rally into year-end may have taken some of the upside out of the market in the near term, especially if rates remain in flux for longer than |
| | consensus expected. Consequently, we seek to underweight gold in the Fund relative to the Bloomberg Commodity Index and reduce its overweight to industrial metals. Despite the tempered positioning, we believed the industrial metals complex remained plagued by a capital investment problem as far as supply growth is concerned. As such, we were particularly bullish on the subsector over longer time frames. The future demand profile for battery metals and those with high “green” penetration is favorable and cannot be overlooked, in our view. In turn, at the end of the Reporting Period, we maintained a modest overweight to industrial metals in the Fund and patiently await more favorable activity in the global industrial base before enacting a more aggressive position. |
| | The energy subsector appeared to us to be quite attractive as the calendar rolled forward into a new year. The price action for crude oil, petroleum products and natural gas was remarkably negative in the latter part of 2023. In the same way that bond prices and credit generally extended past fair value, in our opinion, energy declines were perhaps overdone. Lack of adequate capital investment for exploration and production, low inventories, robust demand growth, rising geopolitical stress, and overly-bearish speculative positioning may be the elixir needed to fuel a rally from 2023 closing levels. We believed natural gas fundamentals were less constructive, but the market remained localized enough such that any severe shift in weather may have an outsized effect on price. Recent developments in the Middle East, the Panama Canal and off the coast of Guyana also raise the likelihood of disruptions to physical flows, in our view. Any upside surprise to Chinese consumption and global energy demand more broadly is likely, in our opinion, to be faced with a knee-jerk response to the upside given sentiment in the subsector seen at the end of the Reporting Period. While the Fund’s positioning remains dynamic, we anticipate maintaining an overweight to the energy subsector in the months ahead. |
| | In the agriculture subsector, we believed opportunities exist on a commodity-by-commodity basis and vary considerably between each market. For instance, while commodity performance, as measured by the Bloomberg Commodity Index, was negative in 2023, there were pockets of substantial positive performance from certain soft commodities. Frozen concentrated orange juice, as mentioned earlier, was up 104.2%, cocoa prices climbed 69.3%, and sugar held on to gains, up 19.4%. For the year ahead, we have pared back the Fund’s allocations in those markets nearing record-high levels given the threat of demand destruction. Supplies for most grains and oilseeds |
9
| | were in good standing, in our view, at the end of the Reporting Period and had recovered from the disruptions experienced in 2022. El Niño is widely expected to remain strong into the first quarter of 2024 but may wane as the year progresses, potentially offering relief to certain equatorial crops. Sugar is one market where we held a favorable outlook, as prices had come down sharply with investor positioning and supplies remained challenged by export restrictions. |
| | Generally speaking, there are many outside forces that can and will have a material effect on the prices of commodities in 2024. We believed the fundamental balance for most markets was still favorable at the end of the Reporting Period, as inventories were low based on historical standards and producers were battling a wave of challenges. The latest economic reading seemed to suggest that a hard landing for the global economy is less of a threat than previously feared, and investor positioning in traditional equity and fixed income markets reflected a rosier outlook, in our view. (A hard landing in economics refers to a marked economic slowdown or downturn following a period of rapid growth.) If economic activity were to suffer well beyond consensus expectations, commodity prices are not immune. However, the depressed price levels at which the markets resided at the end of the Reporting Period implied, we believed, much of the downside may already have been accounted for. |
| | Looking ahead, in addition to rhetoric from the Fed, we remain attuned to the growing list of conflict zones around the map. On the political front, 2024 is slated to be a particularly important year, with more than 60 different elections taking place around the globe. Perhaps now more than ever, food and energy security are top of mind for politicians and legislators. If the political winds keep blowing in the direction of onshoring, deglobalization and isolationism we experienced in recent years, commodity supply chains may be in for an interesting ride. |
10
FUND BASICS
Commodity Strategy Fund
as of December 31, 2023
| * | 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.
11
|
| GOLDMAN SACHS COMMODITY STRATEGY FUND |
Performance Summary
December 31, 2023
The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 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”), 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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|
Commodity Strategy Fund’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | Average Annual Total Return through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | | Since Inception | | | |
| | | | | | |
| | Class A | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | -9.95% | | | | 4.30% | | | | -5.50% | | | | — | | | |
| | Including sales charges | | | -14.02% | | | | 3.33% | | | | -5.94% | | | | — | | | |
| | | | | |
| | | | | | |
| | Class C | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | -10.58% | | | | 3.54% | | | | -6.18% | | | | — | | | |
| | Including contingent deferred sales charges | | | -11.47% | | | | 3.54% | | | | -6.18% | | | | — | | | |
| | | | | |
| | | | | | |
| | Institutional | | | -9.65% | | | | 4.65% | | | | -5.18% | | | | — | | | |
| | | | | |
| | | | | | |
| | Investor | | | -9.78% | | | | 4.58% | | | | -5.24% | | | | — | | | |
| | | | | |
| | | | | | |
| | Class R6 (Commenced July 31, 2015) | | | -9.71% | | | | 4.67% | | | | N/A | | | | -0.17% | | | |
| | | | | |
| | | | | | |
| | Class R | | | -10.19% | | | | 4.05% | | | | -5.76% | | | | — | | | |
| | | | | |
| | | | | | |
| | Class P (Commenced April 17, 2018) | | | -9.72% | | | | 4.67% | | | | N/A | | | | 0.45% | | | |
| | | | | |
| | |
| | | * These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 4.50% 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.
12
FUND BASICS
Index Definitions
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.
ICE BofA 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.
It is not possible to invest in an unmanaged index.
13
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Schedule of Investments
December 31, 2023
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – 20.7% | |
| |
| | | Aerospace & Defense – 0.2% | |
| | | 3,141 | | | BWX Technologies, Inc. | | | $ 241,009 | |
| | | 5,158 | | | Chemring Group PLC | | | 23,044 | |
| | | 342 | | | Dassault Aviation SA | | | 67,761 | |
| | | 14,318 | | | General Dynamics Corp. | | | 3,717,955 | |
| | | 1,232 | | | Huntington Ingalls Industries, Inc. | | | 319,877 | |
| | | 2,358 | | | L3Harris Technologies, Inc. | | | 496,642 | |
| | | 13,521 | | | Leonardo SpA | | | 223,409 | |
| | | 17,056 | | | QinetiQ Group PLC | | | 67,146 | |
| | | 122,910 | | | Rolls-Royce Holdings PLC* | | | 468,824 | |
| | | 11,564 | | | RTX Corp. | | | 972,995 | |
| | | 4,370 | | | Textron, Inc. | | | 351,435 | |
| | | 2,640 | | | TransDigm Group, Inc. | | | 2,670,624 | |
| | | 1,748 | | | Woodward, Inc. | | | 237,955 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 9,858,676 | |
| | | | |
| |
| | | Air Freight & Logistics – 0.1% | |
| | | 3,827 | | | CH Robinson Worldwide, Inc. | | | 330,614 | |
| | | 12,932 | | | Deutsche Post AG | | | 640,083 | |
| | | 2,953 | | | Expeditors International of Washington, Inc. | | | 375,622 | |
| | | 2,558 | | | FedEx Corp. | | | 647,097 | |
| | | 400 | | | NIPPON EXPRESS HOLDINGS, Inc. | | | 22,696 | |
| | | 1,502 | | | Yamato Holdings Co. Ltd. | | | 27,717 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,043,829 | |
| | | | |
| |
| | | Automobile Components – 0.0% | |
| | | 1,000 | | | Aisin Corp. | | | 34,861 | |
| | | 4,374 | | | Aptiv PLC* | | | 392,435 | |
| | | 7,248 | | | BorgWarner, Inc. | | | 259,841 | |
| | | 2,005 | | | Continental AG | | | 170,287 | |
| | | 26,475 | | | Dowlais Group PLC | | | 35,982 | |
| | | 5,000 | | | Forvia SE* | | | 113,264 | |
| | | 1,500 | | | JTEKT Corp. | | | 12,657 | |
| | | 2,700 | | | Stanley Electric Co. Ltd. | | | 50,654 | |
| | | 2,900 | | | Sumitomo Electric Industries Ltd. | | | 36,797 | |
| | | 1,100 | | | Sumitomo Rubber Industries Ltd. | | | 11,912 | |
| | | 500 | | | Toyoda Gosei Co. Ltd. | | | 9,350 | |
| | | 8,566 | | | Valeo SE | | | 132,393 | |
| | | 800 | | | Yokohama Rubber Co. Ltd. | | | 18,283 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,278,716 | |
| | | | |
| | |
| | | Automobiles – 0.1% | | | | |
| | | 14,916 | | | Bayerische Motoren Werke AG | | | 1,659,728 | |
| | | 21,023 | | | Honda Motor Co. Ltd. | | | 216,857 | |
| | | 3,900 | | | Isuzu Motors Ltd. | | | 49,997 | |
| | | 4,800 | | | Mazda Motor Corp. | | | 51,307 | |
| | | 16,516 | | | Mercedes-Benz Group AG | | | 1,139,568 | |
| | | 11,500 | | | Mitsubishi Motors Corp. | | | 36,398 | |
| | | 57,007 | | | Stellantis NV | | | 1,335,710 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Automobiles – (continued) | |
| | | 3,800 | | | Subaru Corp. | | | $ 69,310 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,558,875 | |
| | | | |
| | |
| | | Banks – 0.8% | | | | |
| | | 193,570 | | | Banco Santander SA | | | 809,641 | |
| | | 48,323 | | | Bank of America Corp. | | | 1,627,035 | |
| | | 241,747 | | | Barclays PLC | | | 473,357 | |
| | | 19,035 | | | BNP Paribas SA | | | 1,321,898 | |
| | | 84,476 | | | BPER Banca | | | 283,228 | |
| | | 16,897 | | | Citigroup, Inc. | | | 869,182 | |
| | | 10,014 | | | Citizens Financial Group, Inc. | | | 331,864 | |
| | | 4,610 | | | Comerica, Inc. | | | 257,284 | |
| | | 67,968 | | | Credit Agricole SA | | | 966,278 | |
| | | 2,500 | | | Hachijuni Bank Ltd. | | | 13,898 | |
| | | 26,117 | | | Huntington Bancshares, Inc. | | | 332,208 | |
| | | 85,389 | | | ING Groep NV | | | 1,280,368 | |
| | | 77,672 | | | JPMorgan Chase & Co. | | | 13,212,007 | |
| | | 20,321 | | | KeyCorp | | | 292,622 | |
| | | 2,559 | | | M&T Bank Corp. | | | 350,788 | |
| | | 37,723 | | | Mediobanca Banca di Credito Finanziario SpA | | | 467,455 | |
| | | 45,900 | | | Mitsubishi UFJ Financial Group, Inc. | | | 393,920 | |
| | | 11,343 | | | Mizuho Financial Group, Inc. | | | 193,487 | |
| | | 123,407 | | | NatWest Group PLC | | | 343,738 | |
| | | 17,199 | | | Regions Financial Corp. | | | 333,317 | |
| | | 7,700 | | | Shizuoka Financial Group, Inc. | | | 65,111 | |
| | | 17,306 | | | Societe Generale SA | | | 460,432 | |
| | | 15,019 | | | Truist Financial Corp. | | | 554,501 | |
| | | 12,946 | | | Virgin Money U.K. PLC | | | 27,048 | |
| | | 154,874 | | | Wells Fargo & Co. | | | 7,622,898 | |
| | | 12,914 | | | Wintrust Financial Corp. | | | 1,197,774 | |
| | | 5,592 | | | Zions Bancorp NA | | | 245,321 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 34,326,660 | |
| | | | |
| | |
| | | Beverages – 0.5% | | | | |
| | | 6,842 | | | Anheuser-Busch InBev SA | | | 441,638 | |
| | | 1,898 | | | Asahi Group Holdings Ltd. | | | 70,675 | |
| | | 4,167 | | | Britvic PLC | | | 44,605 | |
| | | 123,300 | | | Coca-Cola Co. | | | 7,266,069 | |
| | | 4,722 | | | Coca-Cola HBC AG | | | 138,652 | |
| | | 5,867 | | | Constellation Brands, Inc. | | | | |
| | | | | | Class A | | | 1,418,347 | |
| | | 1,169 | | | Heineken Holding NV | | | 98,984 | |
| | | 71,350 | | | Keurig Dr Pepper, Inc. | | | 2,377,382 | |
| | | 5,852 | | | Molson Coors Beverage Co. | | | | |
| | | | | | Class B | | | 358,201 | |
| | | 42,493 | | | PepsiCo, Inc. | | | 7,217,011 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 19,431,564 | |
| | | | |
| | |
| | | Biotechnology – 0.2% | | | | |
| | | 11,528 | | | AbbVie, Inc. | | | 1,786,494 | |
| | | | |
14 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Biotechnology – (continued) | |
| | | 1,971 | | | Biogen, Inc.* | | | $ 510,036 | |
| | | 10,883 | | | Gilead Sciences, Inc. | | | 881,632 | |
| | | 5,620 | | | Incyte Corp.* | | | 352,880 | |
| | | 3,390 | | | Regeneron Pharmaceuticals, Inc.* | | | 2,977,403 | |
| | | 2,180 | | | Vertex Pharmaceuticals, Inc.* | | | 887,020 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 7,395,465 | |
| | | | |
| |
| | | Broadline Retail – 0.8% | |
| | | 218,409 | | | Amazon.com, Inc.* | | | 33,185,063 | |
| | | 8,929 | | | eBay, Inc. | | | 389,483 | |
| | | 11,600 | | | Isetan Mitsukoshi Holdings Ltd. | | | 125,955 | |
| | | 9,418 | | | J Front Retailing Co. Ltd. | | | 85,528 | |
| | | 15,100 | | | Rakuten Group, Inc. | | | 67,320 | |
| | | 1,700 | | | Takashimaya Co. Ltd. | | | 23,133 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 33,876,482 | |
| | | | |
| |
| | | Building Products – 0.0% | |
| | | 9,298 | | | Carrier Global Corp. | | | 534,170 | |
| | | 6,326 | | | Cie de Saint-Gobain SA | | | 466,525 | |
| | | 2,654 | | | Genuit Group PLC | | | 13,604 | |
| | | 4,674 | | | Masco Corp. | | | 313,065 | |
| | | 900 | | | Sanwa Holdings Corp. | | | 13,606 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,340,970 | |
| | | | |
| |
| | | Capital Markets – 0.6% | |
| | | 9,897 | | | 3i Group PLC | | | 304,625 | |
| | | 1,290 | | | Ameriprise Financial, Inc. | | | 489,981 | |
| | | 708 | | | Amundi SA(a) | | | 48,292 | |
| | | 6,174 | | | Azimut Holding SpA | | | 161,391 | |
| | | 10,998 | | | Bank of New York Mellon Corp. | | | 572,446 | |
| | | 80,075 | | | Charles Schwab Corp. | | | 5,509,160 | |
| | | 15,891 | | | CME Group, Inc. | | | 3,346,645 | |
| | | 49,019 | | | Deutsche Bank AG | | | 669,163 | |
| | | 12,729 | | | Franklin Resources, Inc. | | | 379,197 | |
| | | 13,187 | | | Hargreaves Lansdown PLC | | | 123,245 | |
| | | 7,964 | | | IG Group Holdings PLC | | | 77,621 | |
| | | 3,429 | | | Intermediate Capital Group PLC | | | 73,255 | |
| | | 20,666 | | | Invesco Ltd. | | | 368,681 | |
| | | 4,047 | | | Investec PLC | | | 27,370 | |
| | | 1,883 | | | Liontrust Asset Management PLC | | | 15,119 | |
| | | 7,225 | | | LPL Financial Holdings, Inc. | | | 1,644,554 | |
| | | 38,435 | | | Man Group PLC | | | 113,953 | |
| | | 12,290 | | | Morgan Stanley | | | 1,146,043 | |
| | | 17,200 | | | Nomura Holdings, Inc. | | | 77,461 | |
| | | 4,627 | | | Northern Trust Corp. | | | 390,426 | |
| | | 10,344 | | | Quilter PLC(a) | | | 13,528 | |
| | | 3,671 | | | Raymond James Financial, Inc. | | | 409,317 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Capital Markets – (continued) | |
| | | 12,691 | | | S&P Global, Inc. | | | $ 5,590,639 | |
| | | 10,083 | | | Schroders PLC | | | 55,131 | |
| | | 10,455 | | | St. James’s Place PLC | | | 90,962 | |
| | | 5,959 | | | State Street Corp. | | | 461,584 | |
| | | 3,730 | | | T Rowe Price Group, Inc. | | | 401,684 | |
| | | 6,692 | | | TP ICAP Group PLC | | | 16,637 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 22,578,110 | |
| | | | |
| |
| | | Chemicals – 0.5% | |
| | | 2,164 | | | Albemarle Corp. | | | 312,655 | |
| | | 5,700 | | | Asahi Kasei Corp. | | | 42,068 | |
| | | 21,758 | | | BASF SE | | | 1,171,605 | |
| | | 2,393 | | | Celanese Corp. | | | 371,800 | |
| | | 4,362 | | | CF Industries Holdings, Inc. | | | 346,779 | |
| | | 4,483 | | | Covestro AG*(a) | | | 261,233 | |
| | | 52,402 | | | Dow, Inc. | | | 2,873,726 | |
| | | 2,890 | | | Eastman Chemical Co. | | | 259,580 | |
| | | 7,662 | | | Elementis PLC* | | | 12,456 | |
| | | 7,914 | | | Evonik Industries AG | | | 161,674 | |
| | | 5,143 | | | Johnson Matthey PLC | | | 111,280 | |
| | | 5,910 | | | K&S AG | | | 93,302 | |
| | | 700 | | | Kaneka Corp. | | | 17,744 | |
| | | 1,300 | | | Kansai Paint Co. Ltd. | | | 22,167 | |
| | | 3,126 | | | Lanxess AG | | | 97,775 | |
| | | 16,624 | | | Linde PLC | | | 6,827,643 | |
| | | 4,590 | | | LyondellBasell Industries NV Class A | | | 436,417 | |
| | | 6,500 | | | Mitsubishi Chemical Group Corp. | | | 39,735 | |
| | | 9,249 | | | Mosaic Co. | | | 330,467 | |
| | | 1,600 | | | Resonac Holdings Corp. | | | 31,796 | |
| | | 12,525 | | | RPM International, Inc. | | | 1,398,166 | |
| | | 12,370 | | | Sherwin-Williams Co. | | | 3,858,203 | |
| | | 2,928 | | | Solvay SA | | | 89,740 | |
| | | 2,928 | | | Syensqo SA* | | | 304,683 | |
| | | 6,000 | | | Toray Industries, Inc. | | | 31,080 | |
| | | 635 | | | Victrex PLC | | | 12,319 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 19,516,093 | |
| | | | |
| |
| | | Commerical Services & Supplies – 0.1% | |
| | | 1,699 | | | Clean Harbors, Inc.* | | | 296,492 | |
| | | 47,822 | | | Copart, Inc.* | | | 2,343,278 | |
| | | 1,843 | | | Elis SA | | | 38,521 | |
| | | 10,125 | | | Mitie Group PLC | | | 12,816 | |
| | | 604 | | | MSA Safety, Inc. | | | 101,973 | |
| | | 1,500 | | | Park24 Co. Ltd.* | | | 19,173 | |
| | | 7,848 | | | RB Global, Inc. | | | 524,953 | |
| | | 15,318 | | | Republic Services, Inc. | | | 2,526,091 | |
| | | 10,738 | | | Serco Group PLC | | | 22,187 | |
| | | 6,100 | | | Sohgo Security Services Co. Ltd. | | | 35,050 | |
| | | 1,100 | | | TOPPAN Holdings, Inc. | | | 30,635 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 5,951,169 | |
| | | | |
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, 2023
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Communications Equipment – 0.3% | |
| | | 225,191 | | | Cisco Systems, Inc. | | | $ 11,376,649 | |
| | | 11,677 | | | F5, Inc.* | | | 2,089,950 | |
| | | 10,577 | | | Juniper Networks, Inc. | | | 311,810 | |
| | | 11,273 | | | Spirent Communications PLC | | | 17,717 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 13,796,126 | |
| | | | |
| |
| | | Construction & Engineering – 0.0% | |
| | | 5,714 | | | ACS Actividades de Construccion y Servicios SA | | | 253,786 | |
| | | 6,118 | | | Balfour Beatty PLC | | | 25,828 | |
| | | 4,275 | | | Bouygues SA | | | 161,293 | |
| | | 500 | | | COMSYS Holdings Corp. | | | 11,013 | |
| | | 1,127 | | | Eiffage SA | | | 120,984 | |
| | | 1,282 | | | HOCHTIEF AG | | | 141,976 | |
| | | 1,800 | | | JGC Holdings Corp. | | | 20,716 | |
| | | 422 | | | Morgan Sindall Group PLC | | | 11,915 | |
| | | 4,100 | | | Taisei Corp. | | | 140,006 | |
| | | 5,930 | | | Vinci SA | | | 746,262 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,633,779 | |
| | | | |
| |
| | | Construction Materials – 0.0% | |
| | | 13,012 | | | Breedon Group PLC | | | 60,040 | |
| | | 1,267 | | | Buzzi SpA | | | 38,535 | |
| | | 2,865 | | | Heidelberg Materials AG | | | 256,097 | |
| | | 11,975 | | | Marshalls PLC | | | 42,584 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 397,256 | |
| | | | |
| |
| | | Consumer Finance – 0.1% | |
| | | 1,200 | | | AEON Financial Service Co. Ltd. | | | 10,746 | |
| | | 5,419 | | | American Express Co. | | | 1,015,195 | |
| | | 5,173 | | | Capital One Financial Corp. | | | 678,284 | |
| | | 900 | | | Credit Saison Co. Ltd. | | | 16,538 | |
| | | 4,776 | | | Discover Financial Services | | | 536,822 | |
| | | 11,633 | | | Synchrony Financial | | | 444,264 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,701,849 | |
| | | | |
| |
| | | Consumer Staples Distribution & Retail – 0.6% | |
| | | 10,662 | | | Carrefour SA | | | 195,271 | |
| | | 900 | | | Cosmos Pharmaceutical Corp. | | | 103,869 | |
| | | 13,770 | | | Costco Wholesale Corp. | | | 9,089,302 | |
| | | 6,487 | | | HelloFresh SE* | | | 102,277 | |
| | | 30,553 | | | J Sainsbury PLC | | | 117,795 | |
| | | 4,173 | | | Jeronimo Martins SGPS SA | | | 106,205 | |
| | | 12,152 | | | Koninklijke Ahold Delhaize NV | | | 349,631 | |
| | | 10,306 | | | Kroger Co. | | | 471,087 | |
| | | 531 | | | Lawson, Inc. | | | 27,427 | |
| | | 2,572 | | | Seven & i Holdings Co. Ltd. | | | 101,721 | |
| | | 99,179 | | | Tesco PLC | | | 367,431 | |
| | | 9,984 | | | U.S. Foods Holding Corp.* | | | 453,373 | |
| | | | | | | | | | |
| | | |
| | | 76,119 | | | Walmart, Inc. | | | 12,000,160 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Consumer Staples Distribution & Retail – (continued) | |
| | | 1,100 | | | Welcia Holdings Co. Ltd. | | | $ 19,220 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 23,504,769 | |
| | | | |
| |
| | | Containers & Packaging – 0.1% | |
| | | 12,511 | | | AptarGroup, Inc. | | | 1,546,610 | |
| | | 22,029 | | | Crown Holdings, Inc. | | | 2,028,651 | |
| | | 23,240 | | | DS Smith PLC | | | 90,940 | |
| | | 8,878 | | | International Paper Co. | | | 320,940 | |
| | | 2,833 | | | Smurfit Kappa Group PLC | | | 112,426 | |
| | | 230 | | | Vidrala SA | | | 23,851 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,123,418 | |
| | | | |
| |
| | | Distributors – 0.0% | |
| | | 6,441 | | | Genuine Parts Co. | | | 892,079 | |
| | | 4,880 | | | Inchcape PLC | | | 44,433 | |
| | | 6,551 | | | LKQ Corp. | | | 313,072 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,249,584 | |
| | | | |
| |
| | | Diversified REITs – 0.0% | |
| | | 10,676 | | | Balanced Commercial Property Trust Ltd. | | | 9,866 | |
| | | 692 | | | Covivio SA | | | 37,236 | |
| | | 14,145 | | | Land Securities Group PLC | | | 126,943 | |
| | | 21,142 | | | LXI REIT PLC | | | 28,242 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 202,287 | |
| | | | |
| |
| | | Diversified Telecommunication Services – 0.1% | |
| | | 60,963 | | | AT&T, Inc. | | | 1,022,959 | |
| | | 115,197 | | | BT Group PLC | | | 181,503 | |
| | | 82,411 | | | Deutsche Telekom AG | | | 1,981,433 | |
| | | 2,259 | | | Elisa OYJ | | | 104,416 | |
| | | 2,400 | | | Internet Initiative Japan, Inc. | | | 48,967 | |
| | | 85,281 | | | Koninklijke KPN NV | | | 293,804 | |
| | | 68,945 | | | Telefonica SA | | | 269,566 | |
| | | 31,331 | | | Verizon Communications, Inc. | | | 1,181,179 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 5,083,827 | |
| | | | |
| |
| | | Electric Utilities – 0.2% | |
| | | 17,073 | | | American Electric Power Co., Inc. | | | 1,386,669 | |
| | | 2,600 | | | Chugoku Electric Power Co., Inc. | | | 18,553 | |
| | | 18,810 | | | Duke Energy Corp. | | | 1,825,322 | |
| | | 10,415 | | | Endesa SA | | | 212,477 | |
| | | 137,084 | | | Enel SpA | | | 1,019,879 | |
| | | 14,674 | | | Evergy, Inc. | | | 765,983 | |
| | | 34,295 | | | Exelon Corp. | | | 1,231,190 | |
| | | 9,255 | | | Fortum OYJ | | | 133,681 | |
| | | 126,312 | | | Iberdrola SA | | | 1,656,807 | |
| | | 12,192 | | | IDACORP, Inc. | | | 1,198,717 | |
| | | 5,300 | | | Kansai Electric Power Co., Inc. | | | 70,342 | |
| | | 2,500 | | | Kyushu Electric Power Co., Inc.* | | | 18,097 | |
| | | | |
16 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Electric Utilities – (continued) | |
| | | 616 | | | Verbund AG | | | $ 57,086 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 9,594,803 | |
| | | | |
| |
| | | Electrical Equipment – 0.1% | |
| | | 5,922 | | | Acuity Brands, Inc. | | | 1,213,003 | |
| | | 2,400 | | | Fujikura Ltd. | | | 18,394 | |
| | | 700 | | | Furukawa Electric Co. Ltd. | | | 10,979 | |
| | | 1,972 | | | Generac Holdings, Inc.* | | | 254,861 | |
| | | 7,715 | | | Hubbell, Inc. | | | 2,537,695 | |
| | | 614 | | | Nexans SA | | | 53,867 | |
| | | 5,257 | | | Prysmian SpA | | | 239,641 | |
| | | 23,687 | | | Siemens Energy AG* | | | 313,054 | |
| | | 1,931 | | | Signify NV(a) | | | 64,759 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,706,253 | |
| | | | |
| |
| | | Electronic Equipment, Instruments & Components – 0.1% | |
| | | 1,700 | | | Alps Alpine Co. Ltd. | | | 14,777 | |
| | | 700 | | | Amano Corp. | | | 16,572 | |
| | | 700 | | | Hirose Electric Co. Ltd. | | | 79,057 | |
| | | 2,606 | | | Keysight Technologies, Inc.* | | | 414,589 | |
| | | 16,800 | | | Kyocera Corp. | | | 244,609 | |
| | | 700 | | | Macnica Holdings, Inc. | | | 36,774 | |
| | | 5,100 | | | Omron Corp. | | | 237,318 | |
| | | 462 | | | Renishaw PLC | | | 21,070 | |
| | | 1,693 | | | Spectris PLC | | | 81,434 | |
| | | 13,185 | | | TD SYNNEX Corp. | | | 1,418,838 | |
| | | 2,000 | | | TDK Corp. | | | 94,849 | |
| | | 3,705 | | | TE Connectivity Ltd. | | | 520,552 | |
| | | 2,510 | | | Teledyne Technologies, Inc.* | | | 1,120,188 | |
| | | 6,306 | | | Trimble, Inc.* | | | 335,479 | |
| | | 4,744 | | | Yokogawa Electric Corp. | | | 90,174 | |
| | | 2,929 | | | Zebra Technologies Corp. Class A* | | | 800,584 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 5,526,864 | |
| | | | |
| |
| | | Energy Equipment & Services – 0.1% | |
| | | 12,631 | | | Baker Hughes Co. | | | 431,728 | |
| | | 11,008 | | | Halliburton Co. | | | 397,939 | |
| | | 35,232 | | | Schlumberger NV | | | 1,833,473 | |
| | | 14,319 | | | Tenaris SA | | | 249,053 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,912,193 | |
| | | | |
| |
| | | Entertainment – 0.2% | |
| | | 14,283 | | | Bollore SE | | | 89,380 | |
| | | 3,140 | | | Electronic Arts, Inc. | | | 429,583 | |
| | | 3,600 | | | Koei Tecmo Holdings Co. Ltd. | | | 41,011 | |
| | | 3,716 | | | Live Nation Entertainment, Inc.* | | | 347,818 | |
| | | 1,900 | | | Toho Co. Ltd. | | | 64,145 | |
| | | 70,801 | | | Walt Disney Co. | | | 6,392,622 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Entertainment – (continued) | |
| | | 41,616 | | | Warner Bros Discovery, Inc.* | | | $ 473,590 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 7,838,149 | |
| | | | |
| |
| | | Financial Services – 1.1% | |
| | | 53,085 | | | Berkshire Hathaway, Inc. Class B* | | | 18,933,296 | |
| | | 15,106 | | | Cab Payments Holdings PLC* | | | 15,943 | |
| | | 567 | | | Eurazeo SE | | | 45,085 | |
| | | 901 | | | EXOR NV | | | 90,188 | |
| | | 3,018 | | | FleetCor Technologies, Inc.* | | | 852,917 | |
| | | 25,820 | | | Mastercard, Inc. Class A | | | 11,012,488 | |
| | | 8,400 | | | Mitsubishi HC Capital, Inc. | | | 56,278 | |
| | | 5,400 | | | ORIX Corp. | | | 101,418 | |
| | | 5,836 | | | OSB Group PLC | | | 34,462 | |
| | | 2,374 | | | Paragon Banking Group PLC | | | 21,107 | |
| | | 11,005 | | | PayPal Holdings, Inc.* | | | 675,817 | |
| | | 1,434 | | | Plus500 Ltd. | | | 30,453 | |
| | | 48,695 | | | Visa, Inc. Class A | | | 12,677,743 | |
| | | 357 | | | Wendel SE | | | 31,855 | |
| | | 12,113 | | | WEX, Inc.* | | | 2,356,584 | |
| | | 9,346 | | | Worldline SA*(a) | | | 162,527 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 47,098,161 | |
| | | | |
| |
| | | Food Products – 0.1% | |
| | | 6,348 | | | Archer-Daniels-Midland Co. | | | 458,453 | |
| | | 2,905 | | | Bunge Global SA | | | 293,260 | |
| | | 6,732 | | | Campbell Soup Co. | | | 291,024 | |
| | | 10,289 | | | Conagra Brands, Inc. | | | 294,883 | |
| | | 1,986 | | | Glanbia PLC | | | 32,744 | |
| | | 20,554 | | | Hormel Foods Corp. | | | 659,989 | |
| | | 800 | | | House Foods Group, Inc. | | | 17,665 | |
| | | 2,822 | | | J M Smucker Co. | | | 356,644 | |
| | | 1,066 | | | JDE Peet’s NV | | | 28,667 | |
| | | 5,745 | | | Kellanova | | | 321,203 | |
| | | 5,290 | | | Kerry Group PLC Class A | | | 459,168 | |
| | | 2,100 | | | Kewpie Corp. | | | 37,007 | |
| | | 13,584 | | | Kraft Heinz Co. | | | 502,336 | |
| | | 2,200 | | | Morinaga & Co. Ltd. | | | 39,912 | |
| | | 700 | | | Morinaga Milk Industry Co. Ltd. | | | 13,550 | |
| | | 2,800 | | | Nichirei Corp. | | | 69,027 | |
| | | 1,400 | | | Nisshin Seifun Group, Inc. | | | 18,854 | |
| | | 2,200 | | | Nissui Corp. | | | 11,832 | |
| | | 6,308 | | | Tyson Foods, Inc. Class A | | | 339,055 | |
| | | 330 | | | Viscofan SA | | | 19,527 | |
| | | 900 | | | Yamazaki Baking Co. Ltd. | | | 20,557 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,285,357 | |
| | | | |
| |
| | | Gas Utilities – 0.0% | |
| | | 2,659 | | | Atmos Energy Corp. | | | 308,178 | |
| | | 10,677 | | | Italgas SpA | | | 61,135 | |
| | | | |
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, 2023
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Gas Utilities – (continued) | |
| | | 1,695 | | | Naturgy Energy Group SA | | | $ 50,557 | |
| | | 1,500 | | | Osaka Gas Co. Ltd. | | | 31,312 | |
| | | 1,141 | | | Rubis SCA | | | 28,385 | |
| | | 1,800 | | | Tokyo Gas Co. Ltd. | | | 41,290 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 520,857 | |
| | | | |
| |
| | | Ground Transportation – 0.2% | |
| | | 17,600 | | | Central Japan Railway Co. | | | 446,693 | |
| | | 7,414 | | | Firstgroup PLC | | | 16,538 | |
| | | 2,800 | | | Hankyu Hanshin Holdings, Inc. | | | 88,984 | |
| | | 3,500 | | | Kintetsu Group Holdings Co. Ltd. | | | 110,894 | |
| | | 18,388 | | | Mobico Group PLC | | | 19,829 | |
| | | 2,700 | | | Nagoya Railroad Co. Ltd. | | | 43,280 | |
| | | 12,325 | | | Norfolk Southern Corp. | | | 2,913,383 | |
| | | 900 | | | Seino Holdings Co. Ltd. | | | 13,631 | |
| | | 11,196 | | | Union Pacific Corp. | | | 2,749,961 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 6,403,193 | |
| | | | |
| |
| | | Health Care Equipment & Supplies – 0.6% | |
| | | 54,367 | | | Abbott Laboratories | | | 5,984,176 | |
| | | 1,315 | | | Align Technology, Inc.* | | | 360,310 | |
| | | 8,818 | | | Baxter International, Inc. | | | 340,904 | |
| | | 20,622 | | | Becton Dickinson & Co. | | | 5,028,262 | |
| | | 43,855 | | | ConvaTec Group PLC(a) | | | 136,472 | |
| | | 1,807 | | | Cooper Cos., Inc. | | | 683,841 | |
| | | 16,221 | | | Hologic, Inc.* | | | 1,158,990 | |
| | | 13,749 | | | Intuitive Surgical, Inc.* | | | 4,638,363 | |
| | | 58,792 | | | Medtronic PLC | | | 4,843,285 | |
| | | 13,536 | | | STERIS PLC | | | 2,975,889 | |
| | | 1,117 | | | Teleflex, Inc. | | | 278,513 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 26,429,005 | |
| | | | |
| |
| | | Health Care Providers & Services – 1.0% | |
| | | 700 | | | Alfresa Holdings Corp. | | | 11,883 | |
| | | 5,597 | | | Amplifon SpA | | | 193,940 | |
| | | 3,931 | | | Cardinal Health, Inc. | | | 396,245 | |
| | | 13,518 | | | Cencora, Inc. | | | 2,776,327 | |
| | | 41,436 | | | Centene Corp.* | | | 3,074,966 | |
| | | 2,850 | | | Cigna Group | | | 853,432 | |
| | | 12,343 | | | CVS Health Corp. | | | 974,603 | |
| | | 2,885 | | | DaVita, Inc.* | | | 302,233 | |
| | | 16,675 | | | Elevance Health, Inc. | | | 7,863,263 | |
| | | 3,237 | | | Fresenius Medical Care AG | | | 135,333 | |
| | | 7,270 | | | Fresenius SE & Co. KGaA | | | 225,337 | |
| | | 2,426 | | | HCA Healthcare, Inc. | | | 656,670 | |
| | | 4,284 | | | Henry Schein, Inc.* | | | 324,342 | |
| | | 1,321 | | | Humana, Inc. | | | 604,767 | |
| | | 1,653 | | | Laboratory Corp. of America Holdings | | | 375,710 | |
| | | 8,753 | | | McKesson Corp. | | | 4,052,464 | |
| | | 1,093 | | | Molina Healthcare, Inc.* | | | 394,912 | |
| | | 1,600 | | | Suzuken Co. Ltd. | | | 52,913 | |
| | | 30,879 | | | UnitedHealth Group, Inc. | | | 16,256,867 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Health Care Providers & Services – (continued) | |
| | | 2,131 | | | Universal Health Services, Inc. Class B | | | $ 324,850 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 39,851,057 | |
| | | | |
| |
| | | Health Care REITs – 0.0% | |
| | | 731 | | | Aedifica SA | | | 51,377 | |
| | | 51,131 | | | Assura PLC | | | 31,362 | |
| | | 15,849 | | | Healthpeak Properties, Inc. | | | 313,810 | |
| | | 12,598 | | | Omega Healthcare Investors, Inc. | | | 386,255 | |
| | | 6,726 | | | Ventas, Inc. | | | 335,224 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,118,028 | |
| | | | |
| |
| | | Hotel & Resort REITs – 0.0% | |
| | | 19,173 | | | Host Hotels & Resorts, Inc. | | | 373,298 | |
| | | | |
| |
| | | Hotels, Restaurants & Leisure – 0.2% | |
| | | 6,308 | | | Accor SA | | | 241,446 | |
| | | 284 | | | Booking Holdings, Inc.* | | | 1,007,410 | |
| | | 6,984 | | | Caesars Entertainment, Inc.* | | | 327,410 | |
| | | 2,935 | | | Choice Hotels International, Inc.(b) | | | 332,535 | |
| | | 2,781 | | | Expedia Group, Inc.* | | | 422,128 | |
| | | 1,600 | | | Food & Life Cos. Ltd. | | | 32,785 | |
| | | 1,442 | | | J D Wetherspoon PLC* | | | 14,897 | |
| | | 9,423 | | | Just Eat Takeaway.com NV*(a) | | | 143,671 | |
| | | 1,266 | | | La Francaise des Jeux SAEM(a) | | | 45,987 | |
| | | 8,619 | | | MGM Resorts International* | | | 385,097 | |
| | | 2,162 | | | Playtech PLC* | | | 12,362 | |
| | | 4,038 | | | Royal Caribbean Cruises Ltd.* | | | 522,881 | |
| | | 1,200 | | | Skylark Holdings Co. Ltd. | | | 17,556 | |
| | | 914 | | | Sodexo SA | | | 100,621 | |
| | | 7,398 | | | SSP Group PLC* | | | 22,141 | |
| | | 7,480 | | | TUI AG* | | | 58,280 | |
| | | 2,860 | | | Vail Resorts, Inc. | | | 610,524 | |
| | | 17,431 | | | Wendy’s Co. | | | 339,556 | |
| | | 4,994 | | | Wyndham Hotels & Resorts, Inc. | | | 401,568 | |
| | | 2,980 | | | Wynn Resorts Ltd. | | | 271,508 | |
| | | 10,016 | | | Yum! Brands, Inc. | | | 1,308,691 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 6,619,054 | |
| | | | |
| |
| | | Household Durables – 0.1% | |
| | | 19,778 | | | Barratt Developments PLC | | | 141,680 | |
| | | 1,397 | | | Bellway PLC | | | 45,631 | |
| | | 1,569 | | | Berkeley Group Holdings PLC | | | 93,671 | |
| | | 1,500 | | | Casio Computer Co. Ltd. | | | 12,989 | |
| | | 3,947 | | | DR Horton, Inc. | | | 599,865 | |
| | | 3,719 | | | Lennar Corp. Class A | | | 554,280 | |
| | | 3,005 | | | Mohawk Industries, Inc.* | | | 311,017 | |
| | | 406 | | | NVR, Inc.* | | | 2,842,183 | |
| | | | |
18 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Household Durables – (continued) | |
| | | 44,700 | | | Panasonic Holdings Corp. | | | $ 440,186 | |
| | | 4,103 | | | PulteGroup, Inc. | | | 423,512 | |
| | | 2,751 | | | Redrow PLC | | | 21,583 | |
| | | 237 | | | SEB SA | | | 29,678 | |
| | | 1,400 | | | Sekisui Chemical Co. Ltd. | | | 20,136 | |
| | | 3,800 | | | Sharp Corp.* | | | 27,046 | |
| | | 1,500 | | | Sumitomo Forestry Co. Ltd. | | | 44,567 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 5,608,024 | |
| | | | |
| |
| | | Household Products – 0.1% | |
| | | 16,930 | | | Clorox Co. | | | 2,414,049 | |
| | | 1,600 | | | Lion Corp. | | | 14,838 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,428,887 | |
| | | | |
| |
| | | Independent Power and Renewable Electricity Producers – 0.0% | |
| | | 12,257 | | | Drax Group PLC | | | 76,508 | |
| | | 900 | | | Electric Power Development Co. Ltd. | | | 14,594 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 91,102 | |
| | | | |
| |
| | | Industrial Conglomerates – 0.2% | |
| | | 938 | | | DCC PLC | | | 69,019 | |
| | | 8,270 | | | General Electric Co. | | | 1,055,500 | |
| | | 100 | | | Hikari Tsushin, Inc. | | | 16,527 | |
| | | 2,900 | | | Hitachi Ltd. | | | 208,596 | |
| | | 23,485 | | | Honeywell International, Inc. | | | 4,925,040 | |
| | | 1,200 | | | Keihan Holdings Co. Ltd. | | | 31,318 | |
| | | 2,600 | | | Nisshinbo Holdings, Inc. | | | 21,067 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 6,327,067 | |
| | | | |
| |
| | | Industrial REITs – 0.0% | |
| | | 20,006 | | | LondonMetric Property PLC | | | 48,728 | |
| | | 18,700 | | | Urban Logistics REIT PLC | | | 30,367 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 79,095 | |
| | | | |
| |
| | | Insurance – 0.7% | |
| | | 6,321 | | | Aflac, Inc. | | | 521,482 | |
| | | 4,603 | | | Ageas SA | | | 200,095 | |
| | | 2,141 | | | American Financial Group, Inc. | | | 254,543 | |
| | | 49,460 | | | American International Group, Inc. | | | 3,350,915 | |
| | | 11,647 | | | Aon PLC Class A | | | 3,389,510 | |
| | | 4,879 | | | Arch Capital Group Ltd.* | | | 362,363 | |
| | | 10,992 | | | Arthur J Gallagher & Co. | | | 2,471,881 | |
| | | 45,593 | | | Assicurazioni Generali SpA | | | 963,267 | |
| | | 1,513 | | | Assurant, Inc. | | | 254,925 | |
| | | 47,276 | | | Aviva PLC | | | 261,598 | |
| | | 10,305 | | | Beazley PLC | | | 68,483 | |
| | | 19,644 | | | Chubb Ltd. | | | 4,439,544 | |
| | | 4,400 | | | Dai-ichi Life Holdings, Inc. | | | 93,337 | |
| | | 853 | | | Everest Group Ltd. | | | 301,604 | |
| | | 2,126 | | | Globe Life, Inc. | | | 258,777 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Insurance – (continued) | |
| | | 4,907 | | | Hartford Financial Services Group, Inc. | | | $ 394,425 | |
| | | 4,580 | | | Hiscox Ltd. | | | 61,531 | |
| | | 14,192 | | | Japan Post Holdings Co. Ltd. | | | 126,699 | |
| | | 1,388 | | | Japan Post Insurance Co. Ltd. | | | 24,638 | |
| | | 9,582 | | | Just Group PLC | | | 10,492 | |
| | | 4,728 | | | Loews Corp. | | | 329,021 | |
| | | 1,111 | | | Markel Group, Inc.* | | | 1,577,509 | |
| | | 7,969 | | | MetLife, Inc. | | | 526,990 | |
| | | 18,902 | | | Poste Italiane SpA(a) | | | 214,854 | |
| | | 4,804 | | | Principal Financial Group, Inc. | | | 377,931 | |
| | | 24,090 | | | Progressive Corp. | | | 3,837,055 | |
| | | 21,170 | | | Prudential Financial, Inc. | | | 2,195,541 | |
| | | 1,781 | | | SCOR SE | | | 52,185 | |
| | | 925 | | | Talanx AG | | | 66,105 | |
| | | 2,712 | | | Travelers Cos., Inc. | | | 516,609 | |
| | | 29,411 | | | W R Berkley Corp. | | | 2,079,946 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 29,583,855 | |
| | | | |
| |
| | | Interactive Media & Services – 1.4% | |
| | | 264,177 | | | Alphabet, Inc. Class A* | | | 36,902,885 | |
| | | 7,635 | | | Match Group, Inc.* | | | 278,677 | |
| | | 59,419 | | | Meta Platforms, Inc. Class A* | | | 21,031,949 | |
| | | 6,136 | | | Moneysupermarket.com Group PLC | | | 21,865 | |
| | | 12,071 | | | TripAdvisor, Inc.* | | | 259,889 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 58,495,265 | |
| | | | |
| |
| | | IT Services – 0.3% | |
| | | 22,588 | | | Accenture PLC Class A | | | 7,926,355 | |
| | | 2,946 | | | Akamai Technologies, Inc.* | | | 348,659 | |
| | | 225 | | | Alten SA | | | 33,522 | |
| | | 752 | | | Bechtle AG | | | 37,666 | |
| | | 7,201 | | | Cognizant Technology Solutions Corp. Class A | | | 543,892 | |
| | | 832 | | | Computacenter PLC | | | 29,568 | |
| | | 3,702 | | | EPAM Systems, Inc.* | | | 1,100,753 | |
| | | 16,600 | | | Finablr PLC*(a)(c) | | | — | |
| | | 7,114 | | | International Business Machines Corp. | | | 1,163,495 | |
| | | 7,254 | | | NEC Corp. | | | 428,611 | |
| | | 1,300 | | | NET One Systems Co. Ltd. | | | 22,135 | |
| | | 600 | | | Otsuka Corp. | | | 24,693 | |
| | | 4,200 | | | SCSK Corp. | | | 83,153 | |
| | | 2,432 | | | Softcat PLC | | | 42,159 | |
| | | 158 | | | Sopra Steria Group SACA | | | 34,605 | |
| | | 800 | | | TIS, Inc. | | | 17,583 | |
| | | 3,096 | | | VeriSign, Inc.* | | | 637,652 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 12,474,501 | |
| | | | |
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, 2023
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Leisure Products – 0.0% | |
| | | 600 | | | Sankyo Co. Ltd. | | | $ 34,938 | |
| | | 1,900 | | | Sega Sammy Holdings, Inc. | | | 26,526 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 61,464 | |
| | | | |
| |
| | | Life Sciences Tools & Services – 0.5% | |
| | | 3,636 | | | Agilent Technologies, Inc. | | | 505,513 | |
| | | 6,444 | | | Bio-Rad Laboratories, Inc. Class A* | | | 2,080,703 | |
| | | 1,507 | | | Charles River Laboratories International, Inc.* | | | 356,255 | |
| | | 29,470 | | | Danaher Corp. | | | 6,817,590 | |
| | | 2,092 | | | Eurofins Scientific SE | | | 136,466 | |
| | | 2,278 | | | IQVIA Holdings, Inc.* | | | 527,084 | |
| | | 21,960 | | | Thermo Fisher Scientific, Inc. | | | 11,656,148 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 22,079,759 | |
| | | | |
| |
| | | Machinery – 0.2% | |
| | | 21,286 | | | Allison Transmission Holdings, Inc. | | | 1,237,781 | |
| | | 3,226 | | | Bodycote PLC | | | 24,446 | |
| | | 3,984 | | | Caterpillar, Inc. | | | 1,177,949 | |
| | | 18,257 | | | CNH Industrial NV | | | 223,887 | |
| | | 1,990 | | | Cummins, Inc. | | | 476,744 | |
| | | 2,376 | | | Donaldson Co., Inc. | | | 155,272 | |
| | | 2,340 | | | Dover Corp. | | | 359,916 | |
| | | 6,042 | | | Flowserve Corp. | | | 249,051 | |
| | | 18,037 | | | Fortive Corp. | | | 1,328,064 | |
| | | 2,758 | | | GEA Group AG | | | 114,662 | |
| | | 3,309 | | | IMI PLC | | | 70,904 | |
| | | 1,567 | | | Interpump Group SpA | | | 81,297 | |
| | | 1,657 | | | KION Group AG | | | 70,720 | |
| | | 766 | | | Konecranes OYJ | | | 34,556 | |
| | | 1,000 | | | Makita Corp. | | | 27,505 | |
| | | 1,600 | | | NGK Insulators Ltd. | | | 19,081 | |
| | | 14,600 | | | NSK Ltd. | | | 78,896 | |
| | | 6,900 | | | NTN Corp. | | | 12,685 | |
| | | 11,219 | | | Otis Worldwide Corp. | | | 1,003,764 | |
| | | 5,822 | | | PACCAR, Inc. | | | 568,518 | |
| | | 4,036 | | | Pentair PLC | | | 293,458 | |
| | | 1,090 | | | Snap-on, Inc. | | | 314,836 | |
| | | 3,234 | | | Stanley Black & Decker, Inc. | | | 317,255 | |
| | | 800 | | | THK Co. Ltd. | | | 15,633 | |
| | | 2,981 | | | Westinghouse Air Brake Technologies Corp. | | | 378,289 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 8,635,169 | |
| | | | |
| |
| | | Marine Transportation – 0.1% | |
| | | 1,700 | | | Kawasaki Kisen Kaisha Ltd. | | | 72,754 | |
| | | 27,951 | | | Kirby Corp.* | | | 2,193,594 | |
| | | 2,500 | | | Mitsui OSK Lines Ltd. | | | 79,926 | |
| | | 3,400 | | | Nippon Yusen KK | | | 105,004 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,451,278 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Media – 0.3% | |
| | | 390 | | | 4imprint Group PLC | | | $ 22,685 | |
| | | 1,449 | | | Charter Communications, Inc. Class A* | | | 563,197 | |
| | | 175,118 | | | Comcast Corp. Class A | | | 7,678,924 | |
| | | 1,200 | | | Dentsu Group, Inc. | | | 30,724 | |
| | | 41,666 | | | Fox Corp. Class A | | | 1,236,230 | |
| | | 2,074 | | | Future PLC | | | 21,038 | |
| | | 18,599 | | | Informa PLC | | | 184,993 | |
| | | 8,739 | | | Interpublic Group of Cos., Inc. | | | 285,241 | |
| | | 67,441 | | | ITV PLC | | | 54,275 | |
| | | 13,808 | | | News Corp. Class A | | | 338,987 | |
| | | 2,369 | | | Publicis Groupe SA | | | 220,108 | |
| | | 8,829 | | | Vivendi SE | | | 94,514 | |
| | | 17,249 | | | WPP PLC | | | 164,761 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 10,895,677 | |
| | | | |
| |
| | | Metals & Mining – 0.1% | |
| | | 13,411 | | | ArcelorMittal SA | | | 380,604 | |
| | | 25,730 | | | Centamin PLC | | | 32,675 | |
| | | 7,048 | | | Evraz PLC*(c) | | | — | |
| | | 103,580 | | | Glencore PLC | | | 622,624 | |
| | | 4,400 | | | JFE Holdings, Inc. | | | 68,073 | |
| | | 4,000 | | | Kobe Steel Ltd. | | | 51,558 | |
| | | 600 | | | Mitsui Mining & Smelting Co. Ltd. | | | 18,398 | |
| | | 5,000 | | | Nippon Steel Corp. | | | 114,219 | |
| | | 3,369 | | | Nucor Corp. | | | 586,341 | |
| | | 2,037 | | | Reliance Steel & Aluminum Co. | | | 569,708 | |
| | | 6,594 | | | Rio Tinto PLC | | | 490,469 | |
| | | 3,367 | | | Steel Dynamics, Inc. | | | 397,643 | |
| | | 11,914 | | | thyssenkrupp AG | | | 82,879 | |
| | | 1,149 | | | voestalpine AG | | | 36,177 | |
| | | 200 | | | Yamato Kogyo Co. Ltd. | | | 10,524 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 3,461,892 | |
| | | | |
| |
| | | Multi-Utilities – 0.1% | |
| | | 43,554 | | | A2A SpA | | | 89,463 | |
| | | 319,884 | | | Centrica PLC | | | 573,456 | |
| | | 71,550 | | | E.ON SE | | | 961,279 | |
| | | 13,012 | | | Hera SpA | | | 42,730 | |
| | | 32,402 | | | National Grid PLC | | | 436,498 | |
| | | 1,618 | | | Telecom Plus PLC | | | 33,246 | |
| | | 13,776 | | | Veolia Environnement SA | | | 435,413 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,572,085 | |
| | | | |
| |
| | | Office REITs – 0.0% | |
| | | 3,338 | | | Alexandria Real Estate Equities, Inc. | | | 423,158 | |
| | | 5,397 | | | Boston Properties, Inc. | | | 378,708 | |
| | | 4,124 | | | Derwent London PLC | | | 124,033 | |
| | | 2,004 | | | Workspace Group PLC | | | 14,482 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 940,381 | |
| | | | |
20 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Oil, Gas & Consumable Fuels – 0.6% | |
| | | 7,095 | | | APA Corp. | | | $ 254,569 | |
| | | 101,401 | | | BP PLC | | | 601,112 | |
| | | 14,182 | | | Cheniere Energy, Inc. | | | 2,421,009 | |
| | | 67,312 | | | Chevron Corp. | | | 10,040,258 | |
| | | 700 | | | Cosmo Energy Holdings Co. Ltd. | | | 28,053 | |
| | | 12,720 | | | Coterra Energy, Inc. | | | 324,614 | |
| | | 36 | | | Diversified Energy Co. PLC | | | 510 | |
| | | 20,200 | | | ENEOS Holdings, Inc. | | | 80,118 | |
| | | 74,778 | | | Eni SpA | | | 1,268,339 | |
| | | 23,380 | | | Exxon Mobil Corp. | | | 2,337,532 | |
| | | 30,692 | | | Galp Energia SGPS SA | | | 451,592 | |
| | | 16,421 | | | Harbour Energy PLC | | | 64,518 | |
| | | 7,500 | | | Idemitsu Kosan Co. Ltd. | | | 40,729 | |
| | | 6,900 | | | Inpex Corp. | | | 92,334 | |
| | | 73,170 | | | Kinder Morgan, Inc. | | | 1,290,719 | |
| | | 13,171 | | | Marathon Oil Corp. | | | 318,211 | |
| | | 4,322 | | | Marathon Petroleum Corp. | | | 641,212 | |
| | | 8,998 | | | Occidental Petroleum Corp. | | | 537,271 | |
| | | 1,859 | | | OMV AG | | | 81,559 | |
| | | 5,130 | | | Phillips 66 | | | 683,008 | |
| | | 26,389 | | | Repsol SA | | | 391,452 | |
| | | 32,475 | | | Shell PLC | | | 1,063,039 | |
| | | 284,155 | | | Southwestern Energy Co.* | | | 1,861,215 | |
| | | 4,458 | | | Valero Energy Corp. | | | 579,540 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 25,452,513 | |
| | | | |
| |
| | | Paper & Forest Products – 0.0% | |
| | | 18,428 | | | Mondi PLC | | | 360,538 | |
| | | 5,100 | | | Oji Holdings Corp. | | | 19,604 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 380,142 | |
| | | | |
| |
| | | Passenger Airlines – 0.0% | |
| | | 9,074 | | | Air France-KLM* | | | 136,546 | |
| | | 23,514 | | | American Airlines Group, Inc.* | | | 323,082 | |
| | | 3,400 | | | ANA Holdings, Inc.* | | | 73,663 | |
| | | 11,438 | | | Delta Air Lines, Inc. | | | 460,151 | |
| | | 27,671 | | | Deutsche Lufthansa AG* | | | 246,002 | |
| | | 22,338 | | | easyJet PLC* | | | 144,912 | |
| | | 3,300 | | | Japan Airlines Co. Ltd. | | | 64,829 | |
| | | 8,821 | | | United Airlines Holdings, Inc.* | | | 363,955 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,813,140 | |
| | | | |
| |
| | | Personal Products – 0.0% | |
| | | 24,237 | | | Kenvue, Inc. | | | 521,822 | |
| | | 500 | | | Kose Corp. | | | 37,373 | |
| | | 5,300 | | | Rohto Pharmaceutical Co. Ltd. | | | 106,579 | |
| | | 2,500 | | | Shiseido Co. Ltd. | | | 75,356 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 741,130 | |
| | | | |
| |
| | | Pharmaceuticals – 0.6% | |
| | | 27,400 | | | Astellas Pharma, Inc. | | | 325,875 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Pharmaceuticals – (continued) | |
| | | 3,516 | | | AstraZeneca PLC | | | $ 474,273 | |
| | | 105,780 | | | Bristol-Myers Squibb Co. | | | 5,427,572 | |
| | | 34,339 | | | GSK PLC | | | 634,213 | |
| | | 8,135 | | | Hikma Pharmaceuticals PLC | | | 185,373 | |
| | | 477 | | | Ipsen SA | | | 56,901 | |
| | | 19,211 | | | Jazz Pharmaceuticals PLC* | | | 2,362,953 | |
| | | 1,200 | | | Kyowa Kirin Co. Ltd. | | | 20,135 | |
| | | 74,882 | | | Merck & Co., Inc. | | | 8,163,636 | |
| | | 2,200 | | | Ono Pharmaceutical Co. Ltd. | | | 39,137 | |
| | | 1,201 | | | Otsuka Holdings Co. Ltd. | | | 44,914 | |
| | | 85,587 | | | Perrigo Co. PLC | | | 2,754,190 | |
| | | 1,981 | | | Recordati Industria Chimica e Farmaceutica SpA | | | 106,821 | |
| | | 10,342 | | | Sanofi SA | | | 1,027,713 | |
| | | 8,900 | | | Santen Pharmaceutical Co. Ltd. | | | 88,548 | |
| | | 1,400 | | | Shionogi & Co. Ltd. | | | 67,379 | |
| | | 5,343 | | | Takeda Pharmaceutical Co. Ltd. | | | 153,227 | |
| | | 1,499 | | | UCB SA | | | 130,670 | |
| | | 35,897 | | | Viatris, Inc. | | | 388,764 | |
| | | 18,496 | | | Zoetis, Inc. | | | 3,650,555 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 26,102,849 | |
| | | | |
| |
| | | Professional Services – 0.3% | |
| | | 9,124 | | | Automatic Data Processing, Inc. | | | 2,125,618 | |
| | | 14,328 | | | Broadridge Financial Solutions, Inc. | | | 2,947,986 | |
| | | 4,550 | | | Bureau Veritas SA | | | 115,114 | |
| | | 729 | | | CACI International, Inc. Class A* | | | 236,094 | |
| | | 24,086 | | | Hays PLC | | | 33,520 | |
| | | 21,290 | | | Leidos Holdings, Inc. | | | 2,304,430 | |
| | | 10,405 | | | Paychex, Inc. | | | 1,239,340 | |
| | | 10,357 | | | Paylocity Holding Corp.* | | | 1,707,351 | |
| | | 44,200 | | | Persol Holdings Co. Ltd. | | | 75,622 | |
| | | 3,410 | | | Robert Half, Inc. | | | 299,807 | |
| | | 1,311 | | | Teleperformance SE | | | 191,940 | |
| | | 7,850 | | | Verisk Analytics, Inc. | | | 1,875,051 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 13,151,873 | |
| | | | |
| |
| | | Real Estate Management & Development – 0.0% | |
| | | 200 | | | Daito Trust Construction Co. Ltd. | | | 23,149 | |
| | | 6,800 | | | Daiwa House Industry Co. Ltd. | | | 205,566 | |
| | | 1,800 | | | Hulic Co. Ltd. | | | 18,803 | |
| | | 7,245 | | | IWG PLC* | | | 17,482 | |
| | | 800 | | | Nomura Real Estate Holdings, Inc. | | | 20,992 | |
| | | 1,268 | | | Savills PLC | | | 15,662 | |
| | | | |
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, 2023
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Real Estate Management & Development – (continued) | |
| | | 4,100 | | | Tokyu Fudosan Holdings Corp. | | | $ 26,127 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 327,781 | |
| | | | |
| |
| | | Residential REITs – 0.1% | |
| | | 4,721 | | | AvalonBay Communities, Inc. | | | 883,866 | |
| | | 3,293 | | | Camden Property Trust | | | 326,962 | |
| | | 12,527 | | | Equity Residential | | | 766,151 | |
| | | 2,448 | | | Essex Property Trust, Inc. | | | 606,957 | |
| | | 2,311 | | | Mid-America Apartment Communities, Inc. | | | 310,737 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,894,673 | |
| | | | |
| |
| | | Retail REITs – 0.1% | |
| | | 42,102 | | | Hammerson PLC | | | 15,217 | |
| | | 15,593 | | | Kimco Realty Corp. | | | 332,287 | |
| | | 4,164 | | | Klepierre SA | | | 113,680 | |
| | | 25,018 | | | Realty Income Corp. | | | 1,436,533 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,897,717 | |
| | | | |
| |
| | | Semiconductors & Semiconductor Equipment – 1.7% | |
| | | 3,842 | | | AIXTRON SE | | | 163,583 | |
| | | 25,573 | | | Analog Devices, Inc. | | | 5,077,775 | |
| | | 37,080 | | | Applied Materials, Inc. | | | 6,009,555 | |
| | | 3,087 | | | Enphase Energy, Inc.* | | | 407,916 | |
| | | 20,272 | | | Infineon Technologies AG | | | 846,612 | |
| | | 132,605 | | | Intel Corp. | | | 6,663,401 | |
| | | 1,097 | | | Lam Research Corp. | | | 859,236 | |
| | | 6,344 | | | Microchip Technology, Inc. | | | 572,102 | |
| | | 50,834 | | | Micron Technology, Inc. | | | 4,338,173 | |
| | | 65,206 | | | NVIDIA Corp. | | | 32,291,315 | |
| | | 2,713 | | | NXP Semiconductors NV | | | 623,122 | |
| | | 3,064 | | | Qorvo, Inc.* | | | 345,037 | |
| | | 8,517 | | | QUALCOMM, Inc. | | | 1,231,814 | |
| | | 8,050 | | | Renesas Electronics Corp.* | | | 143,942 | |
| | | 832 | | | SCREEN Holdings Co. Ltd. | | | 70,130 | |
| | | 4,000 | | | Shinko Electric Industries Co. Ltd. | | | 154,835 | |
| | | 3,829 | | | Skyworks Solutions, Inc. | | | 430,456 | |
| | | 2,451 | | | SolarEdge Technologies, Inc.* | | | 229,414 | |
| | | 20,500 | | | STMicroelectronics NV | | | 1,027,153 | |
| | | 48,508 | | | Texas Instruments, Inc. | | | 8,268,674 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 69,754,245 | |
| | | | |
| |
| | | Software – 2.1% | |
| | | 14,039 | | | Adobe, Inc.* | | | 8,375,667 | |
| | | 2,855 | | | ANSYS, Inc.* | | | 1,036,022 | |
| | | 1,187 | | | Aspen Technology, Inc.* | | | 261,318 | |
| | | 19,593 | | | Autodesk, Inc.* | | | 4,770,504 | |
| | | 65,690 | | | Dropbox, Inc. Class A* | | | 1,936,541 | |
| | | 8,729 | | | Fortinet, Inc.* | | | 510,908 | |
| | | 92,056 | | | Gen Digital, Inc. | | | 2,100,718 | |
| | | 108,380 | | | Microsoft Corp. | | | 40,755,215 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Software – (continued) | |
| | | 56,006 | | | Oracle Corp. | | | $ 5,904,713 | |
| | | 49,902 | | | Salesforce, Inc.* | | | 13,131,212 | |
| | | 7,895 | | | ServiceNow, Inc.* | | | 5,577,739 | |
| | | 5,032 | | | TeamViewer SE*(a) | | | 78,160 | |
| | | 1,318 | | | Tyler Technologies, Inc.* | | | 551,082 | |
| | | 5,949 | | | Workday, Inc. Class A* | | | 1,642,281 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 86,632,080 | |
| | | | |
| |
| | | Specialized REITs – 0.0% | |
| | | 5,325 | | | Public Storage | | | 1,624,125 | |
| | | 5,309 | | | Safestore Holdings PLC | | | 59,790 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,683,915 | |
| | | | |
| |
| | | Specialty Retail – 0.5% | |
| | | 4,600 | | | ABC-Mart, Inc. | | | 80,282 | |
| | | 552 | | | AutoZone, Inc.* | | | 1,427,257 | |
| | | 7,436 | | | Bath & Body Works, Inc. | | | 320,938 | |
| | | 4,527 | | | Best Buy Co., Inc. | | | 354,374 | |
| | | 4,065 | | | CarMax, Inc.* | | | 311,948 | |
| | | 16,296 | | | Currys PLC* | | | 10,490 | |
| | | 1,939 | | | Dunelm Group PLC | | | 27,057 | |
| | | 29,370 | | | Home Depot, Inc. | | | 10,178,173 | |
| | | 58,625 | | | JD Sports Fashion PLC | | | 123,718 | |
| | | 45,335 | | | Kingfisher PLC | | | 140,465 | |
| | | 3,600 | | | K’s Holdings Corp. | | | 33,702 | |
| | | 5,686 | | | Lithia Motors, Inc. | | | 1,872,286 | |
| | | 4,000 | | | Murphy USA, Inc. | | | 1,426,240 | |
| | | 5,769 | | | Pets at Home Group PLC | | | 23,399 | |
| | | 204 | | | Shimamura Co. Ltd. | | | 22,779 | |
| | | 48,327 | | | TJX Cos., Inc. | | | 4,533,556 | |
| | | 5,043 | | | Tractor Supply Co. | | | 1,084,396 | |
| | | 3,026 | | | WH Smith PLC | | | 51,385 | |
| | | 6,100 | | | Yamada Holdings Co. Ltd. | | | 18,956 | |
| | | 8,558 | | | Zalando SE*(a) | | | 202,606 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 22,244,007 | |
| | | | |
| |
| | | Technology Hardware, Storage & Peripherals – 1.1% | |
| | | 213,669 | | | Apple, Inc. | | | 41,137,693 | |
| | | 900 | | | Brother Industries Ltd. | | | 14,332 | |
| | | 5,300 | | | FUJIFILM Holdings Corp. | | | 317,628 | |
| | | 24,908 | | | Hewlett Packard Enterprise Co. | | | 422,938 | |
| | | 14,478 | | | HP, Inc. | | | 435,643 | |
| | | 3,700 | | | Konica Minolta, Inc.* | | | 10,809 | |
| | | 43,559 | | | Pure Storage, Inc. Class A* | | | 1,553,314 | |
| | | 2,704 | | | Ricoh Co. Ltd. | | | 20,709 | |
| | | 1,700 | | | Seiko Epson Corp. | | | 25,382 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 43,938,448 | |
| | | | |
| |
| | | Textiles, Apparel & Luxury Goods – 0.1% | |
| | | 2,979 | | | adidas AG | | | 605,353 | |
| | | 9,055 | | | Burberry Group PLC | | | 163,325 | |
| | | 11,610 | | | Coats Group PLC | | | 11,454 | |
| | | 1,565 | | | LVMH Moet Hennessy Louis Vuitton SE | | | 1,271,620 | |
| | | | |
22 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Textiles, Apparel & Luxury Goods – (continued) | |
| | | 8,009 | | | Tapestry, Inc. | | | $ 294,811 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,346,563 | |
| | | | |
| |
| | | Trading Companies & Distributors – 0.2% | |
| | | 6,879 | | | Ashtead Group PLC | | | 478,140 | |
| | | 1,803 | | | Brenntag SE | | | 165,709 | |
| | | 4,270 | | | Bunzl PLC | | | 173,514 | |
| | | 12,878 | | | Ferguson PLC | | | 2,486,355 | |
| | | 4,047 | | | ITOCHU Corp. | | | 164,874 | |
| | | 7,832 | | | Marubeni Corp. | | | 123,311 | |
| | | 17,205 | | | Mitsubishi Corp. | | | 274,063 | |
| | | 4,981 | | | Mitsui & Co. Ltd. | | | 186,608 | |
| | | 2,788 | | | MSC Industrial Direct Co., Inc. Class A | | | 282,313 | |
| | | 4,465 | | | Rexel SA | | | 122,547 | |
| | | 2,200 | | | Sojitz Corp. | | | 49,564 | |
| | | 5,000 | | | Sumitomo Corp. | | | 108,808 | |
| | | 1,000 | | | Toyota Tsusho Corp. | | | 58,682 | |
| | | 2,687 | | | Travis Perkins PLC | | | 28,318 | |
| | | 4,993 | | | Watsco, Inc. | | | 2,139,351 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 6,842,157 | |
| | | | |
| |
| | | Wireless Telecommunication Services – 0.2% | |
| | | 15,862 | | | Airtel Africa PLC(a) | | | 26,312 | |
| | | 3,231 | | | Freenet AG | | | 90,431 | |
| | | 36,356 | | | T-Mobile U.S., Inc. | | | 5,828,957 | |
| | | 896,870 | | | Vodafone Group PLC | | | 783,272 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 6,728,972 | |
| | | | |
| | |
| |
| TOTAL COMMON STOCKS
(Cost $725,538,450) | | | $ 857,243,482 | |
| | | | |
| | | |
| | | Shares | | | Dividend
Rate | | Value | |
| |
| | | Preferred Stocks – 0.0% | |
| |
| | | Household Products – 0.0% | |
| | | Henkel AG & Co. KGaA | | | | |
| | | 2,128 | | | 2.542% | | | $ 171,181 | |
| | |
| | | (Cost $165,451) | | | | |
| | | | |
| | | |
| | | Shares | | | Description | | Value | |
| |
| | | Exchange Traded Funds – 20.3% | |
| | | |
| | | 811,773 | | | Invesco Senior Loan ETF | | | $ 17,193,352 | |
| | | 3,798,205 | | | iShares 5-10 Year | | | | |
| | | | | | Investment Grade Corporate | | | | |
| | | | | | Bond ETF(b) | | | 197,506,660 | |
| | | | |
| | | | | | | | | | |
| | | Shares | | | Description | | Value | |
| |
| | | Exchange Traded Funds – (continued) | |
| | | |
| | | 7,873,227 | | | iShares Core MSCI Emerging Markets ETF | | | $ 398,227,822 | |
| | | 1,675,114 | | | SPDR Blackstone Senior Loan ETF | | | 70,237,530 | |
| | | 1,739,922 | | | SPDR Bloomberg Convertible Securities ETF | | | 125,535,372 | |
| | | 287,357 | | | VanEck Fallen Angel High Yield Bond ETF | | | 8,270,135 | |
| | | 226,400 | | | Vanguard Real Estate ETF | | | 20,004,704 | |
| | | | |
| | |
| |
| TOTAL EXCHANGE TRADED FUNDS
(Cost $807,776,656) | | | $ 836,975,575 | |
| | | | |
| | | |
| | | Shares | | | Dividend
Rate | | Value | |
| |
| | | Investment Company(d) – 54.7% | |
| |
| |
| Goldman Sachs Financial Square Government Fund —
Institutional Shares |
|
| | | 2,258,293,269 | | | 5.248% | | | $2,258,293,269 | |
| | |
| | | (Cost $2,258,293,269) | | | | |
| | | | |
| | | | | | | | | | |
| |
| | | Securities Lending Reinvestment Vehicle(d) – 0.1% | |
| |
| |
| Goldman Sachs Financial Square Government Fund —
Institutional Shares |
|
| | | 6,169,850 | | | 5.248% | | | $ 6,169,850 | |
| | |
| | | (Cost $6,169,850) | | | | |
| | | | |
| | |
| |
| TOTAL INVESTMENTS – 95.8%
(Cost $3,797,943,676) | | | $3,958,853,357 | |
| | | | |
| | |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.2% | | | 172,109,519 | |
| | | | |
| | |
| | | NET ASSETS – 100.0% | | | $4,130,962,876 | |
| | | | |
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) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
| | (d) | Represents an affiliated Issuer. |
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, 2023
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, 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 Securities, Inc. | | | BRL | | | | 26,890,000 | | | | USD | | | | 5,423,175 | | | | 03/20/24 | | | | $ 70,728 | |
| | | CAD | | | | 6,860,000 | | | | USD | | | | 5,054,814 | | | | 03/20/24 | | | | 128,036 | |
| | | CHF | | | | 12,580,000 | | | | USD | | | | 14,557,133 | | | | 03/20/24 | | | | 525,216 | |
| | | CZK | | | | 96,250,000 | | | | USD | | | | 4,263,762 | | | | 03/20/24 | | | | 31,058 | |
| | | HUF | | | | 2,590,370,000 | | | | USD | | | | 7,285,239 | | | | 03/20/24 | | | | 115,572 | |
| | | JPY | | | | 605,540,000 | | | | USD | | | | 4,251,401 | | | | 03/21/24 | | | | 98,416 | |
| | | MXN | | | | 126,050,000 | | | | USD | | | | 7,183,897 | | | | 03/20/24 | | | | 142,270 | |
| | | PLN | | | | 42,480,000 | | | | USD | | | | 10,575,736 | | | | 03/20/24 | | | | 208,445 | |
| |
| | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | $1,319,741 | |
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Loss | |
| |
| | | | | | |
JPMorgan Securities, Inc. | | | CAD | | | | 23,670,000 | | | | USD | | | | 17,924,590 | | | | 03/20/24 | | | | $ (41,490 | ) |
| | | PHP | | | | 481,400,000 | | | | USD | | | | 8,711,827 | | | | 03/20/24 | | | | (16,777 | ) |
| | | USD | | | | 12,968,035 | | | | CAD | | | | 17,580,000 | | | | 03/20/24 | | | | (313,963 | ) |
| | | USD | | | | 36,103,588 | | | | EUR | | | | 33,340,000 | | | | 03/20/24 | | | | (821,422 | ) |
| | | USD | | | | 4,816,862 | | | | GBP | | | | 3,840,000 | | | | 03/20/24 | | | | (79,720 | ) |
| | | USD | | | | 5,061,648 | | | | INR | | | | 423,310,000 | | | | 03/20/24 | | | | (6,112 | ) |
| | | USD | | | | 23,501,142 | | | | JPY | | | | 3,402,230,000 | | | | 03/21/24 | | | | (938,329 | ) |
| |
| | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | $(2,217,813 | ) |
| |
FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | |
10 Year U.K. Long Gilt | | | 459 | | | 03/26/24 | | | $ 60,056,862 | | | | $ 3,122,802 | |
2 Year U.S. Treasury Notes | | | 240 | | | 03/28/24 | | | 49,419,375 | | | | 162,831 | |
20 Year U.S. Treasury Bonds | | | 111 | | | 03/19/24 | | | 13,868,063 | | | | 392,098 | |
3 Month SOFR | | | 38 | | | 03/18/25 | | | 9,145,650 | | | | 177 | |
3 Month SOFR | | | 47 | | | 06/18/24 | | | 11,164,263 | | | | (197 | ) |
3 Month SOFR | | | 59 | | | 09/17/24 | | | 14,084,038 | | | | (1,537 | ) |
3 Month SOFR | | | 41 | | | 06/17/25 | | | 9,899,450 | | | | 2,180 | |
3 Month SOFR | | | 58 | | | 09/16/25 | | | 14,034,550 | | | | 8,015 | |
3 Month SOFR | | | 76 | | | 12/16/25 | | | 18,411,000 | | | | 19,849 | |
3 Month SOFR | | | 77 | | | 03/17/26 | | | 18,659,988 | | | | 29,480 | |
3 Month SOFR | | | 46 | | | 12/17/24 | | | 11,029,075 | | | | (534 | ) |
30 Year German Euro-Buxl | | | 55 | | | 03/07/24 | | | 8,604,850 | | | | 178,556 | |
3M Euribor | | | 161 | | | 03/17/25 | | | 43,514,210 | | | | 107,089 | |
3M Euribor | | | 170 | | | 06/16/25 | | | 46,007,675 | | | | 143,352 | |
3M Euribor | | | 144 | | | 12/15/25 | | | 38,983,129 | | | | 149,924 | |
3M Euribor | | | 165 | | | 09/15/25 | | | 44,672,723 | | | | 155,372 | |
3M Euribor | | | 33 | | | 03/18/24 | | | 8,777,894 | | | | 4,313 | |
3M Euribor | | | 144 | | | 09/16/24 | | | 38,694,998 | | | | 58,977 | |
3M Euribor | | | 110 | | | 06/17/24 | | | 29,417,512 | | | | 28,126 | |
3M Euribor | | | 156 | | | 12/16/24 | | | 42,063,813 | | | | 79,508 | |
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) | |
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | | | |
3M SARON | | | 76 | | | | 09/17/24 | | | $ | 22,295,999 | | | | $ 18,608 | |
3M SARON | | | 65 | | | | 06/18/24 | | | | 19,027,406 | | | | 8,168 | |
3M SARON | | | 81 | | | | 12/17/24 | | | | 23,803,772 | | | | 27,696 | |
5 Year German Euro-Bund | | | 449 | | | | 03/07/24 | | | | 68,016,334 | | | | 913,317 | |
5 Year U.S. Treasury Notes | | | 382 | | | | 03/28/24 | | | | 41,551,453 | | | | 343,669 | |
ASX 90 Day Bank Accepted Bills | | | 77 | | | | 06/13/24 | | | | 51,947,764 | | | | 5,522 | |
ASX 90 Day Bank Accepted Bills | | | 111 | | | | 03/07/24 | | | | 74,854,673 | | | | 9,567 | |
ASX 90 Day Bank Accepted Bills | | | 70 | | | | 09/12/24 | | | | 47,243,692 | | | | 6,179 | |
Bank Accept Index | | | 58 | | | | 06/17/24 | | | | 10,425,927 | | | | 7,293 | |
Bank Accept Index | | | 9 | | | | 03/18/24 | | | | 1,610,005 | | | | (664 | ) |
Bank Accept Index | | | 50 | | | | 09/18/24 | | | | 9,031,735 | | | | 12,131 | |
CAC40 Index | | | 119 | | | | 01/19/24 | | | | 9,925,009 | | | | (12,852 | ) |
Coffee | | | 20 | | | | 03/18/24 | | | | 1,412,250 | | | | 112,493 | |
Copper | | | 17 | | | | 03/26/24 | | | | 1,653,463 | | | | (21,232 | ) |
DAX Index | | | 33 | | | | 03/15/24 | | | | 15,403,665 | | | | (43,036 | ) |
E-Mini Nasdaq 100 Index | | | 138 | | | | 03/15/24 | | | | 46,984,860 | | | | 1,441,117 | |
E-Mini Russell 2000 Index | | | 100 | | | | 03/15/24 | | | | 10,238,500 | | | | 599,460 | |
Euro BTP | | | 144 | | | | 03/07/24 | | | | 18,941,135 | | | | 317,530 | |
Euro Stoxx 50 Index | | | 3,305 | | | | 03/15/24 | | | | 165,753,865 | | | | (1,011,266 | ) |
Euro-Bobl | | | 355 | | | | 03/07/24 | | | | 46,746,107 | | | | 359,815 | |
Euro-Schatz | | | 604 | | | | 03/07/24 | | | | 71,042,703 | | | | 188,568 | |
French 10 Year Government Bonds | | | 144 | | | | 03/07/24 | | | | 20,905,990 | | | | 273,298 | |
FTSE 100 Index | | | 697 | | | | 03/15/24 | | | | 68,911,162 | | | | 1,459,347 | |
FTSE/MIB Index | | | 57 | | | | 03/15/24 | | | | 9,602,694 | | | | (8,911 | ) |
Gold | | | 83 | | | | 02/27/24 | | | | 17,195,940 | | | | 55,121 | |
IBEX 35 Index | | | 84 | | | | 01/19/24 | | | | 9,353,116 | | | | (17,585 | ) |
Ice 3M Sonia Index | | | 61 | | | | 03/18/25 | | | | 18,735,716 | | | | 80,746 | |
Ice 3M Sonia Index | | | 67 | | | | 12/17/24 | | | | 20,498,509 | | | | 72,659 | |
Ice 3M Sonia Index | | | 73 | | | | 09/17/24 | | | | 22,212,069 | | | | 45,829 | |
Ice 3M Sonia Index | | | 58 | | | | 06/17/25 | | | | 17,863,266 | | | | 83,954 | |
Ice 3M Sonia Index | | | 63 | | | | 06/18/24 | | | | 19,062,919 | | | | 14,779 | |
Ice 3M Sonia Index | | | 60 | | | | 12/16/25 | | | | 18,534,688 | | | | 109,172 | |
Ice 3M Sonia Index | | | 56 | | | | 03/17/26 | | | | 17,307,964 | | | | 101,516 | |
Ice 3M Sonia Index | | | 60 | | | | 09/16/25 | | | | 18,514,612 | | | | 103,835 | |
Japan 10 Year Government Bond | | | 154 | | | | 03/13/24 | | | | 160,236,454 | | | | 1,526,311 | |
LME Lead | | | 84 | | | | 01/15/24 | | | | 4,292,925 | | | | (383,340 | ) |
LME Nickel | | | 62 | | | | 01/15/24 | | | | 6,113,820 | | | | 12,508 | |
LME Zinc | | | 52 | | | | 01/15/24 | | | | 3,435,900 | | | | 239,817 | |
Nickel | | | 14 | | | | 02/19/24 | | | | 1,387,722 | | | | (7,960 | ) |
Omxs30 Index | | | 373 | | | | 01/19/24 | | | | 8,880,248 | | | | 167,485 | |
Primary Aluminum | | | 95 | | | | 01/15/24 | | | | 5,584,813 | | | | 561,335 | |
Primary Aluminum | | | 77 | | | | 02/19/24 | | | | 4,560,325 | | | | 157,252 | |
S&P 500 E-Mini Index | | | 402 | | | | 03/15/24 | | | | 96,882,000 | | | | 2,159,904 | |
S&P Mid 400 Emini | | | 23 | | | | 03/15/24 | | | | 6,461,850 | | | | 240,995 | |
S&P Toronto Stock Exchange 60 Index | | | 45 | | | | 03/14/24 | | | | 8,628,806 | | | | 237,519 | |
Silver | | | 12 | | | | 03/26/24 | | | | 1,445,160 | | | | (32,199 | ) |
Topix Index | | | 259 | | | | 03/07/24 | | | | 43,460,567 | | | | 524,995 | |
Zinc | | | 30 | | | | 02/19/24 | | | | 1,994,625 | | | | 36,527 | |
| |
| | | | |
Total | | | | | | | | | | | | | | | $15,737,373 | |
| |
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, 2023
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | (545 | ) | | | 03/19/24 | | | | $(61,525,391 | ) | | | $(1,910,306 | ) |
Australian 10 Year Government Bonds | | | (47 | ) | | | 03/15/24 | | | | (3,736,587 | ) | | | (94,627 | ) |
Brent Crude | | | (30 | ) | | | 01/31/24 | | | | (2,311,200 | ) | | | (32,075 | ) |
Canada 10 Year Government Bonds | | | (319 | ) | | | 03/19/24 | | | | (29,895,793 | ) | | | (1,435,159 | ) |
Cattle Feeder | | | (16 | ) | | | 03/28/24 | | | | (1,784,800 | ) | | | (95,452 | ) |
CBOE Volatility Index | | | (131 | ) | | | 01/17/24 | | | | (1,840,707 | ) | | | 821,407 | |
CBOE Volatility Index | | | (149 | ) | | | 02/14/24 | | | | (2,279,015 | ) | | | 315,804 | |
CBOE Volatility Index | | | (134 | ) | | | 03/20/24 | | | | (2,179,765 | ) | | | 167,742 | |
Corn | | | (187 | ) | | | 03/14/24 | | | | (4,406,188 | ) | | | 151,117 | |
Cotton No.2 | | | (45 | ) | | | 03/06/24 | | | | (1,822,500 | ) | | | (26,127 | ) |
FTSE/JSE Top 40 Index | | | (27 | ) | | | 03/20/24 | | | | (1,053,727 | ) | | | (32,432 | ) |
Gasoil | | | (1 | ) | | | 02/12/24 | | | | (74,225 | ) | | | (1,177 | ) |
Gasoline RBOB | | | (14 | ) | | | 01/31/24 | | | | (1,238,504 | ) | | | (63,350 | ) |
Hang Seng Index | | | (30 | ) | | | 01/30/24 | | | | (3,291,029 | ) | | | (83,840 | ) |
HSCEI | | | (69 | ) | | | 01/30/24 | | | | (2,560,825 | ) | | | (65,532 | ) |
Lead | | | (84 | ) | | | 01/15/24 | | | | (4,292,925 | ) | | | 4,342 | |
Lead | | | (46 | ) | | | 02/19/24 | | | | (2,371,875 | ) | | | (21,150 | ) |
Lean Hogs | | | (52 | ) | | | 02/14/24 | | | | (1,413,880 | ) | | | 99,923 | |
Live Cattle | | | (30 | ) | | | 02/29/24 | | | | (2,022,000 | ) | | | (3,397 | ) |
Natural Gas | | | (175 | ) | | | 01/29/24 | | | | (4,399,500 | ) | | | (53,993 | ) |
Nickel | | | (62 | ) | | | 01/15/24 | | | | (6,113,820 | ) | | | 458,638 | |
Nickel | | | (45 | ) | | | 02/19/24 | | | | (4,460,535 | ) | | | (11,344 | ) |
Primary Aluminum | | | (95 | ) | | | 01/15/24 | | | | (5,584,812 | ) | | | (298,739 | ) |
Primary Aluminum | | | (94 | ) | | | 02/19/24 | | | | (5,567,150 | ) | | | (570,167 | ) |
Soybean Oil | | | (25 | ) | | | 03/14/24 | | | | (1,622,500 | ) | | | 27,793 | |
Sugar 11 | | | (13 | ) | | | 02/29/24 | | | | (299,645 | ) | | | 4,909 | |
Wheat | | | (67 | ) | | | 03/14/24 | | | | (2,103,800 | ) | | | (115,602 | ) |
WTI Crude | | | (48 | ) | | | 01/22/24 | | | | (3,439,200 | ) | | | (38,064 | ) |
Zinc | | | (52 | ) | | | 01/15/24 | | | | (3,435,900 | ) | | | (137,730 | ) |
Zinc | | | (35 | ) | | | 02/19/24 | | | | (2,327,063 | ) | | | (231,108 | ) |
| |
| | | | |
Total | | | | | | | | | | | | | | | $(3,269,696 | ) |
| |
| | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $12,467,677 | |
| |
SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Referenced Obligation/Index | | Financing Rate
Received/(Paid)
by the Fund(a) | | Credit
Spread at
December 31,
2023(b) | | Termination
Date | | | Notional
Amount (000s) | | | Value | | | Upfront
Premiums
(Received)
Paid | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | |
CDX.NA.HY Index 41 | | 5.000% | | 3.559% | | | 12/20/28 | | | $ | 31,421 | | | $ | 1,890,267 | | | $ | 675,390 | | | | $1,214,877 | |
CDX.NA.IG Index 41 | | 1.000 | | 0.565 | | | 12/20/28 | | | | 216,800 | | | | 4,297,267 | | | | 2,735,026 | | | | 1,562,241 | |
ICE CD ITXEB 40 | | 1.000 | | 0.580 | | | 12/20/28 | | | EUR | 196,300 | | | | 4,290,515 | | | | 2,092,278 | | | | 2,198,237 | |
26 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Referenced Obligation/Index | | Financing Rate
Received/(Paid)
by the Fund(a) | | Credit
Spread at
December 31,
2023(b) | | Termination
Date | | Notional
Amount
(000s) | | | Value | | | Upfront
Premiums
(Received)
Paid | | | Unrealized
Appreciation/
(Depreciation) | |
| |
ICE CD ITXEX 40 | | 5.000% | | 3.105% | | 12/20/28 | | | EUR 23,450 | | | $ | 2,097,359 | | | $ | 975,171 | | | | $1,122,188 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | | $ | 12,575,408 | | | $ | 6,477,865 | | | | $6,097,543 | |
| |
| | (a) | Payments made quarterly. |
| | (b) | Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| | | | | | | | | | | | | | | | |
| Reference Obligation/Index(a) | | Financing Rate Paid/(Received) by the Fund | | Counterparty | | Termination
Date# | | | Notional
Amount
(000s) | | | Unrealized
Application/
(Depreciation)* | |
| |
| | | | | |
Russell 1000 TR Index | | 1M SOFR+0.026% | | Bank of America Securities LLC | | | 02/02/24 | | | $ | 57,032 | | | $ | (546,412 | ) |
TUKXG Index | | 1M SONIA+0.023 | | Bank of America Securities LLC | | | 03/18/24 | | | GBP | 6,489 | | | | (162,175 | ) |
M1WO Index | | 12M SOFR-0.015 | | Bank of America Securities LLC | | | 01/17/24 | | | | 28,412 | | | | (351,375 | ) |
NDUGWI Index | | 12M SOFR+0.026 | | Bank of America Securities LLC | | | 10/15/24 | | | | 43,608 | | | | 514,743 | |
TUKXG Index | | 12M SONIA+0.020 | | Bank of America Securities LLC | | | 06/11/24 | | | GBP | 340 | | | | (8,498 | ) |
TUKXG Index | | 12M SONIA+0.040 | | Bank of America Securities LLC | | | 02/09/24 | | | GBP | 4,150 | | | | (103,415 | ) |
AMZX Index | | 12M SOFR+0.047 | | JPMorgan Securities, Inc. | | | 12/11/24 | | | | 8,005 | | | | 185,969 | |
BCOMRS Index | | 1W BCOMRS | | JPMorgan Securities, Inc. | | | 06/07/24 | | | | 6,263 | | | | (50 | ) |
JPGSGLHN Index | | 12M SOFR-0.010 | | JPMorgan Securities, Inc. | | | 11/22/24 | | | | 43,251 | | | | 975,966 | |
JPGSGLMN Index | | 12M SOFR-0.0025 | | JPMorgan Securities, Inc. | | | 05/22/24 | | | | 16,834 | | | | 384,185 | |
JPGSGLTN Index | | 12M SOFR+0.018 | | JPMorgan Securities, Inc. | | | 11/22/24 | | | | 41,781 | | | | 374,616 | |
JPGSMARB Index | | 12M SOFR+0.089 | | JPMorgan Securities, Inc. | | | 07/30/24 | | | | 38,625 | | | | 293,915 | |
M1WO Index | | 1M SOFR-0.017 | | JPMorgan Securities, Inc. | | | 02/28/24 | | | | 138,364 | | | | (1,712,062 | ) |
M1WO Index | | 1M SOFR-0.015 | | JPMorgan Securities, Inc. | | | 03/12/24 | | | | 66,979 | | | | (828,353 | ) |
M1WO Index | | 12M SOFR+0.015 | | JPMorgan Securities, Inc. | | | 03/13/24 | | | | 8,753 | | | | (107,297 | ) |
SXXGT Index | | 1M EURO+0.160 | | JPMorgan Securities, Inc. | | | 06/19/24 | | | EUR | 35,526 | | | | 219,656 | |
| |
| | | | | |
TOTAL | | | | | | | | | | | | | | $ | (870,587 | ) |
| |
| | # | 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, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
| | (a) | Payments made monthly. |
A basket (JPGSGLHN) of common stocks
| | | | | | | | | | | | | | | | | | |
| Common Stocks | | Sector | | | | Shares | | Value | | | Weight |
| | | | | | |
GE HealthCare Technologies Inc | | Health Care | | | | | 61 | | | | | | $ 4,679 | | | | 0.4 | |
Lonza Group AG | | Health Care | | | | | 14 | | | | | | 4,854 | | | | 0.5 | |
Moderna Inc | | Health Care | | | | | 51 | | | | | | 5,099 | | | | 0.5 | |
Cencora Inc | | Health Care | | | | | 26 | | | | | | 5,292 | | | | 0.5 | |
Bayer AG | | Health Care | | | | | 168 | | | | | | 5,659 | | | | 0.5 | |
Biogen Inc | | Health Care | | | | | 22 | | | | | | 5,795 | | | | 0.5 | |
Alcon Inc | | Health Care | | | | | 92 | | | | | | 6,049 | | | | 0.6 | |
Centene Corp | | Health Care | | | | | 83 | | | | | | 6,127 | | | | 0.6 | |
Agilent Technologies Inc | | Health Care | | | | | 45 | | | | | | 6,287 | | | | 0.6 | |
IQVIA Holdings Inc | | Health Care | | | | | 28 | | | | | | 6,549 | | | | 0.6 | |
Hoya Corp | | Health Care | | | | | — | | | | | | 6,796 | | | | 0.6 | |
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, 2023
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
A basket (JPGSGLHN) of common stocks (continued)
| | | | | | | | | | | | | | | | | | |
| Common Stocks | | Sector | | | | Shares | | Value | | | Weight |
| | | | | | |
Takeda Pharmaceutical Co Ltd | | Health Care | | | | | 2 | | | | | $ | 7,048 | | | | 0.7 | |
IDEXX Laboratories Inc | | Health Care | | | | | 13 | | | | | | 7,129 | | | | 0.7 | |
Edwards Lifesciences Corp | | Health Care | | | | | 94 | | | | | | 7,148 | | | | 0.7 | |
Dexcom Inc | | Health Care | | | | | 60 | | | | | | 7,410 | | | | 0.7 | |
Daiichi Sankyo Co Ltd | | Health Care | | | | | 2 | | | | | | 8,283 | | | | 0.8 | |
HCA Healthcare Inc | | Health Care | | | | | 31 | | | | | | 8,287 | | | | 0.8 | |
Humana Inc | | Health Care | | | | | 19 | | | | | | 8,711 | | | | 0.8 | |
EssilorLuxottica SA | | Health Care | | | | | 49 | | | | | | 8,889 | | | | 0.8 | |
McKesson Corp | | Health Care | | | | | 21 | | | | | | 9,522 | | | | 0.9 | |
Becton Dickinson & Co | | Health Care | | | | | 45 | | | | | | 10,933 | | | | 1.0 | |
GSK PLC | | Health Care | | | | | 8 | | | | | | 11,723 | | | | 1.1 | |
Boston Scientific Corp | | Health Care | | | | | 226 | | | | | | 13,083 | | | | 1.2 | |
Cigna Group/The | | Industrials | | | | | 45 | | | | | | 13,543 | | | | 1.3 | |
Zoetis Inc | | Health Care | | | | | 71 | | | | | | 14,006 | | | | 1.3 | |
Regeneron Pharmaceuticals Inc | | Health Care | | | | | 17 | | | | | | 14,543 | | | | 1.4 | |
CSL Ltd | | Health Care | | | | | 51 | | | | | | 14,628 | | | | 1.4 | |
Gilead Sciences Inc | | Health Care | | | | | 193 | | | | | | 15,602 | | | | 1.5 | |
Stryker Corp | | Health Care | | | | | 52 | | | | | | 15,649 | | | | 1.5 | |
CVS Health Corp | | Health Care | | | | | 199 | | | | | | 15,675 | | | | 1.5 | |
Bristol-Myers Squibb Co | | Health Care | | | | | 314 | | | | | | 16,137 | | | | 1.5 | |
Vertex Pharmaceuticals Inc | | Health Care | | | | | 40 | | | | | | 16,205 | | | | 1.5 | |
Medtronic PLC | | Health Care | | | | | 206 | | | | | | 16,941 | | | | 1.6 | |
Sanofi SA | | Health Care | | | | | 191 | | | | | | 17,112 | | | | 1.6 | |
Elevance Health Inc | | Health Care | | | | | 36 | | | | | | 17,125 | | | | 1.6 | |
Intuitive Surgical Inc | | Health Care | | | | | 54 | | | | | | 18,358 | | | | 1.7 | |
Danaher Corp | | Health Care | | | | | 102 | | | | | | 23,515 | | | | 2.2 | |
Amgen Inc | | Health Care | | | | | 83 | | | | | | 23,824 | | | | 2.2 | |
Pfizer Inc | | Health Care | | | | | 873 | | | | | | 25,125 | | | | 2.4 | |
Abbott Laboratories | | Health Care | | | | | 268 | | | | | | 29,523 | | | | 2.8 | |
Roche Holding AG | | Health Care | | | | | 130 | | | | | | 31,677 | | | | 3.0 | |
Thermo Fisher Scientific Inc | | Health Care | | | | | 60 | | | | | | 31,698 | | | | 3.0 | |
AstraZeneca PLC | | Health Care | | | | | 3 | | | | | | 32,420 | | | | 3.1 | |
Novartis AG | | Health Care | | | | | 382 | | | | | | 32,436 | | | | 3.1 | |
AbbVie Inc | | Health Care | | | | | 273 | | | | | | 42,289 | | | | 4.0 | |
Merck & Co Inc | | Health Care | | | | | 392 | | | | | | 42,699 | | | | 4.0 | |
Novo Nordisk A/S | | Health Care | | | | | 74 | | | | | | 51,790 | | | | 4.9 | |
Johnson & Johnson | | Health Care | | | | | 372 | | | | | | 58,318 | | | | 5.5 | |
UnitedHealth Group Inc | | Health Care | | | | | 132 | | | | | | 69,358 | | | | 6.5 | |
Eli Lilly & Co | | Health Care | | | | | 123 | | | | | | 71,668 | | | | 6.8 | |
| | | | | | |
A basket (JPGSGLTN) of common stocks | | | | | | | | | | | | | | | | | | |
| | | | | | |
Monolithic Power Systems Inc | | Information Technology | | | | | 2 | | | | | | 1,503 | | | | 0.4 | |
CDW Corp/DE | | Information Technology | | | | | 7 | | | | | | 1,514 | | | | 0.4 | |
Xiaomi Corp | | Information Technology | | | | | 98 | | | | | | 1,524 | | | | 0.4 | |
ANSYS Inc | | Information Technology | | | | | 4 | | | | | | 1,566 | | | | 0.4 | |
Capgemini SE | | Information Technology | | | | | 9 | | | | | | 1,625 | | | | 0.4 | |
STMicroelectronics NV | | Information Technology | | | | | 36 | | | | | | 1,634 | | | | 0.4 | |
Gartner Inc | | Information Technology | | | | | 4 | | | | | | 1,748 | | | | 0.5 | |
ON Semiconductor Corp | | Information Technology | | | | | 21 | | | | | | 1,789 | | | | 0.5 | |
Fortinet Inc | | Information Technology | | | | | 32 | | | | | | 1,855 | | | | 0.5 | |
Cognizant Technology Solutions Corp | | Information Technology | | | | | 25 | | | | | | 1,883 | | | | 0.5 | |
Murata Manufacturing Co Ltd | | Information Technology | | | | | 1 | | | | | | 1,995 | | | | 0.5 | |
TE Connectivity Ltd | | Information Technology | | | | | 15 | | | | | | 2,171 | | | | 0.6 | |
Microchip Technology Inc | | Information Technology | | | | | 27 | | | | | | 2,426 | | | | 0.6 | |
Constellation Software Inc/Canada | | Information Technology | | | | | 1 | | | | | | 2,439 | | | | 0.7 | |
Motorola Solutions Inc | | Information Technology | | | | | 8 | | | | | | 2,584 | | | | 0.7 | |
Autodesk Inc | | Information Technology | | | | | 11 | | | | | | 2,588 | | | | 0.7 | |
Infineon Technologies AG | | Information Technology | | | | | 72 | | | | | | 2,720 | | | | 0.7 | |
Roper Technologies Inc | | Information Technology | | | | | 5 | | | | | | 2,896 | | | | 0.8 | |
NXP Semiconductors NV | | Information Technology | | | | | 13 | | | | | | 2,944 | | | | 0.8 | |
28 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
A basket (JPGSGLTN) of common stocks (continued)
| | | | | | | | | | | | | | | | | | |
| Common Stocks | | Sector | | | | Shares | | Value | | | Weight |
| | | | | | |
Amphenol Corp | | Information Technology | | | | | 30 | | | | | $ | 2,949 | | | | 0.8 | |
Arista Networks Inc | | Information Technology | | | | | 13 | | | | | | 2,951 | | | | 0.8 | |
Cadence Design Systems Inc | | Information Technology | | | | | 14 | | | | | | 3,684 | | | | 1.0 | |
Synopsys Inc | | Information Technology | | | | | 8 | | | | | | 3,894 | | | | 1.0 | |
KLA Corp | | Information Technology | | | | | 7 | | | | | | 3,929 | | | | 1.0 | |
Tokyo Electron Ltd | | Information Technology | | | | | — | | | | | | 4,210 | | | | 1.1 | |
Keyence Corp | | Information Technology | | | | | — | | | | | | 4,379 | | | | 1.2 | |
Palo Alto Networks Inc | | Information Technology | | | | | 15 | | | | | | 4,557 | | | | 1.2 | |
Micron Technology Inc | | Information Technology | | | | | 55 | | | | | | 4,659 | | | | 1.2 | |
Shopify Inc | | Information Technology | | | | | 45 | | | | | | 4,684 | | | | 1.3 | |
Analog Devices Inc | | Information Technology | | | | | 25 | | | | | | 4,920 | | | | 1.3 | |
Lam Research Corp | | Information Technology | | | | | 7 | | | | | | 5,133 | | | | 1.4 | |
Applied Materials Inc | | Information Technology | | | | | 42 | | | | | | 6,741 | | | | 1.8 | |
ServiceNow Inc | | Information Technology | | | | | 10 | | | | | | 7,201 | | | | 1.9 | |
International Business Machines Corp | | Information Technology | | | | | 45 | | | | | | 7,425 | | | | 2.0 | |
Texas Instruments Inc | | Information Technology | | | | | 45 | | | | | | 7,697 | | | | 2.1 | |
SAP SE | | Information Technology | | | | | 56 | | | | | | 7,837 | | | | 2.1 | |
QUALCOMM Inc | | Information Technology | | | | | 55 | | | | | | 8,004 | | | | 2.1 | |
Oracle Corp | | Information Technology | | | | | 79 | | | | | | 8,329 | | | | 2.2 | |
Intuit Inc | | Information Technology | | | | | 14 | | | | | | 8,710 | | | | 2.3 | |
Cisco Systems Inc | | Information Technology | | | | | 201 | | | | | | 10,175 | | | | 2.7 | |
Intel Corp | | Information Technology | | | | | 210 | | | | | | 10,534 | | | | 2.8 | |
Accenture PLC | | Information Technology | | | | | 31 | | | | | | 10,950 | | | | 2.9 | |
Advanced Micro Devices Inc | | Information Technology | | | | | 80 | | | | | | 11,842 | | | | 3.2 | |
Salesforce Inc | | Information Technology | | | | | 48 | | | | | | 12,730 | | | | 3.4 | |
Adobe Inc | | Information Technology | | | | | 23 | | | | | | 13,506 | | | | 3.6 | |
ASML Holding NV | | Information Technology | | | | | 22 | | | | | | 15,143 | | | | 4.0 | |
Broadcom Inc | | Information Technology | | | | | 22 | | | | | | 24,362 | | | | 6.5 | |
Apple Inc | | Information Technology | | | | | 131 | | | | | | 25,155 | | | | 6.7 | |
Microsoft Corp | | Information Technology | | | | | 68 | | | | | | 25,553 | | | | 6.8 | |
NVIDIA Corp | | Information Technology | | | | | 53 | | | | | | 26,435 | | | | 7.1 | |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Fund had the following purchased and written options:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CBOE Volatility Index | | $ | 22.00 | | | | 01/17/2024 | | | | 1,310 | | | $ | 2,882,000 | | | $ | 28,165 | | | | $ 340,600 | | | | $(312,435 | ) |
CBOE Volatility Index | | | 20.00 | | | | 02/14/2024 | | | | 1,490 | | | | 2,980,000 | | | | 129,630 | | | | 283,100 | | | | (153,470 | ) |
CBOE Volatility Index | | | 19.00 | | | | 03/20/2024 | | | | 1,340 | | | | 2,546,000 | | | | 219,090 | | | | 285,755 | | | | (66,665 | ) |
| | | | | | | |
| | | | | | | | | | | | 4,140 | | | $ | 8,408,000 | | | $ | 376,885 | | | | $ 909,455 | | | | $(532,570 | ) |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 4,050.00 | | | | 01/31/2024 | | | | 4 | | | | 1,620,000 | | | | 670 | | | | 2,883 | | | | (2,213 | ) |
S&P 500 Index | | | 4,195.00 | | | | 01/31/2024 | | | | 7 | | | | 2,936,500 | | | | 1,645 | | | | 4,900 | | | | (3,255 | ) |
S&P 500 Index | | | 4,330.00 | | | | 01/31/2024 | | | | 10 | | | | 4,330,000 | | | | 3,600 | | | | 5,910 | | | | (2,310 | ) |
S&P 500 Index | | | 4,370.00 | | | | 01/31/2024 | | | | 14 | | | | 6,118,000 | | | | 5,880 | | | | 6,734 | | | | (854 | ) |
| | | | | | | |
| | | | | | | | | | | 35 | | | $ | 15,004,500 | | | $ | 11,795 | | | | $ 20,427 | | | | $ (8,632 | ) |
| | | | | | | | |
Total purchased option contracts | | | | | | | | | | | 4,175 | | | $ | 23,412,500 | | | $ | 388,680 | | | | $ 929,882 | | | | $(541,202 | ) |
The accompanying notes are an integral part of these financial statements. 29
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Schedule of Investments (continued)
December 31, 2023
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED INDEX OPTIONS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Market Value | | | Premiums Paid
(Received) by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | $4,565.00 | | | | 01/31/2024 | | | | (4 | ) | | | $ (1,826,000 | ) | | | $ (4,780 | ) | | | $ (26,597 | ) | | | $ 21,817 | |
S&P 500 Index | | | 4,645.00 | | | | 01/31/2024 | | | | (7 | ) | | | (3,251,500 | ) | | | (14,385 | ) | | | (42,721 | ) | | | 28,336 | |
S&P 500 Index | | | 4,775.00 | | | | 01/31/2024 | | | | (10 | ) | | | (4,775,000 | ) | | | (52,950 | ) | | | (60,390 | ) | | | 7,440 | |
S&P 500 Index | | | 4,780.00 | | | | 01/31/2024 | | | | (14 | ) | | | (6,692,000 | ) | | | (77,350 | ) | | | (74,556 | ) | | | (2,794 | ) |
| | | | | | | |
Total written option contracts | | | | | | | | | | | (35 | ) | | | (16,544,500 | ) | | | $(149,465 | ) | | | $(204,264 | ) | | | $ 54,799 | |
| | | | | | | | |
TOTAL | | | | | | | | | | | 4,140 | | | | $ 6,868,000 | | | | $ 239,215 | | | | $ 725,618 | | | | $(486,403 | ) |
| | | | |
| | |
| Currency Abbreviations: | | |
| BRL | | —Brazil Real | | |
| CAD | | —Canadian Dollar | | |
| CHF | | —Swiss Franc | | |
| CZK | | —Czech Republic Koruna | | |
| EUR | | —Euro | | |
| GBP | | —British Pound | | |
| HUF | | —Hungarian Forint | | |
| INR | | —Indian Rupee | | |
| JPY | | —Japanese Yen | | |
| MXN | | —Mexican Peso | | |
| PHP | | —Philippines Peso | | |
| PLN | | —Polish Zloty | | |
| USD | | —U.S. Dollar | | |
| | |
| | | | |
| | |
| Investment Abbreviations: | | |
| ETF | | —Exchange Traded Fund | | |
| MSCI | | —Morgan Stanley Capital International | | |
| PLC | | —Public Limited Company | | |
| RB | | —Revenue Bond | | |
| REIT | | —Real Estate Investment Trust | | |
| | |
| | | | |
| | | | |
| | |
| Abbreviations: | | |
| BofA Securities LLC | | —Bank of America Securities LLC | | |
| CDX.NA.HY Ind 41 | | —CDX North America High Yield Index 41 | | |
| CDX.NA.IG Ind 41 | | —CDX North America Investment Grade Index 41 | | |
| ICE | | —Inter-Continental Exchange | | |
| ICE CD ITXEB | | —iTraxx Europe Index | | |
| ICE CD ITXEX | | —iTraxx Europe Crossover Index | | |
| SONIA | | —Sterling Overnight Index Average | | |
30 The accompanying notes are an integral part of these financial statements.
|
| GOLDMAN SACHS COMMODITY STRATEGY FUND |
Consolidated Schedule of Investments
December 31, 2023
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value |
| |
| | Investment Company(a) – 10.7% |
| | Goldman Sachs Financial Square Government Fund - Institutional Shares |
| | | | 62,859,778 | | 5.248% | | $62,859,778 |
| | (Cost $62,859,778) |
| | |
| | | | | | | | | | | | |
| | | Principal Amount | | Interest Rate | | Maturity Date | | | Value | |
| |
| | Short-term Investments(c) – 91.0% | |
| |
| | U.S. Treasury Obligations – 91.0% | |
| | U.S. Cash Management Bills(b) | | | | | | | | |
| | $ 2,000,000 | | 0.000% | | | 02/15/24 | | | $ | 1,991,234 | |
| | U.S. Treasury Bills | | | | | | | | | | |
| | 20,000,000 | | 0.000(b) | | | 01/30/24 | | | | 19,917,645 | |
| | 65,000,000 | | 0.000 | | | 02/27/24 | | | | 64,535,143 | |
| | 50,000,000 | | 0.000(b) | | | 03/14/24 | | | | 49,481,850 | |
| | 83,000,000 | | 0.000 | | | 03/21/24 | | | | 82,055,230 | |
| | 85,000,000 | | 0.000 | | | 04/04/24 | | | | 83,860,847 | |
| | 21,400,000 | | 0.000(b) | | | 04/09/24 | | | | 21,098,345 | |
| | 13,000,000 | | 0.000 | | | 04/11/24 | | | | 12,813,401 | |
| | 87,000,000 | | 0.000 | | | 05/23/24 | | | | 85,251,375 | |
| | | |
| | | | | | | | | | | | |
| | | Principal Amount | | Interest Rate | | Maturity Date | | | Value | |
| |
| | Short-term Investments(c) – (continued) | |
| |
| | U.S. Treasury Obligations – (continued) | |
| | $113,200,000 | | 0.000% | | | 05/30/24 | | | $ | 110,835,901 | |
| | | |
| | |
| | TOTAL SHORT- TERM INVESTMENTS | | | | | |
| | (Cost $531,582,168) | | | $ | 531,840,971 | |
| | | |
| | |
| | TOTAL INVESTMENTS – 101.7% | | | | | |
| | (Cost $594,441,946) | | | $ | 594,700,749 | |
| | | |
| | |
| | LIABILITIES IN EXCESS OF OTHER | | | | | |
| | ASSETS – ( 1.7)% | | | | (10,188,696) | |
| | | |
| | |
| | NET ASSETS – 100.0% | | | $ | 584,512,053 | |
| | | |
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. |
| (b) | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
| (c) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | | | |
Brent Crude | | | 783 | | | | 01/31/24 | | | $ | 60,322,320 | | | | $ (804,673 | ) |
Copper | | | 67 | | | | 03/26/24 | | | | 6,516,588 | | | | 127,352 | |
Gasoline RBOB | | | 20 | | | | 01/31/24 | | | | 1,769,292 | | | | (42 | ) |
Gold | | | 284 | | | | 02/27/24 | | | | 58,839,120 | | | | 1,531,326 | |
KC HRW Wheat | | | 284 | | | | 03/14/24 | | | | 9,116,400 | | | | 236,680 | |
Lean Hogs | | | 84 | | | | 02/14/24 | | | | 2,283,960 | | | | (34,233 | ) |
LME Lead | | | 56 | | | | 01/15/24 | | | | 2,861,950 | | | | 5,221 | |
LME Nickel | | | 56 | | | | 01/15/24 | | | | 5,522,160 | | | | (14,043 | ) |
LME PRI | | | 30 | | | | 03/18/24 | | | | 1,785,750 | | | | 102,697 | |
LME Zinc | | | 287 | | | | 01/15/24 | | | | 18,963,525 | | | | 1,764,542 | |
Low Sulphur Gas Oil | | | 288 | | | | 01/11/24 | | | | 21,621,600 | | | | (687,039 | ) |
Natural Gas | | | 797 | | | | 01/29/24 | | | | 20,036,580 | | | | 1,040,829 | |
Platinum | | | 94 | | | | 04/26/24 | | | | 4,743,240 | | | | 182,635 | |
Silver | | | 223 | | | | 03/26/24 | | | | 26,855,890 | | | | 28,003 | |
Soybean | | | 522 | | | | 03/14/24 | | | | 20,149,200 | | | | (367,935 | ) |
Soybean Oil | | | 586 | | | | 03/14/24 | | | | 16,940,088 | | | | (653,891 | ) |
Wheat | | | 296 | | | | 03/14/24 | | | | 9,294,400 | | | | 729,479 | |
WTI Crude | | | 236 | | | | 01/22/24 | | | | 16,909,400 | | | | 397,737 | |
| |
| | | | |
Total | | | | | | | | | | | | | | | $ 3,584,645 | |
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
Cocoa | | | (527 | ) | | | 03/13/24 | | | | (22,112,920 | ) | | | (3,532,047 | ) |
Cocoa | | | (60 | ) | | | 05/15/24 | | | | (2,497,200 | ) | | | (130,524 | ) |
Coffee | | | (227 | ) | | | 03/18/24 | | | | (16,029,037 | ) | | | (1,084,370 | ) |
Corn | | | (509 | ) | | | 03/14/24 | | | | (11,993,313 | ) | | | 454,770 | |
Cotton No.2 | | | (439 | ) | | | 03/06/24 | | | | (17,779,500 | ) | | | 425,328 | |
The accompanying notes are an integral part of these financial statements. 31
|
| GOLDMAN SACHS COMMODITY STRATEGY FUND |
Consolidated Schedule of Investments (continued)
December 31, 2023
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
FCOJ-A | | | (71 | ) | | | 03/08/24 | | | $ | (3,328,658 | ) | | | $ 416,804 | |
Gasoline RBOB | | | (23 | ) | | | 03/28/24 | | | | (2,234,744 | ) | | | 60,384 | |
Gasoline RBOB | | | (110 | ) | | | 04/30/24 | | | | (10,699,458 | ) | | | 1,394 | |
Live Cattle | | | (291 | ) | | | 02/29/24 | | | | (19,613,400 | ) | | | 1,827,849 | |
LME PRI | | | (103 | ) | | | 03/18/24 | | | | (6,131,075 | ) | | | (391,582 | ) |
Natural Gas | | | (517 | ) | | | 04/26/24 | | | | (12,242,560 | ) | | | 1,072,994 | |
NY Harbor ULSD | | | (21 | ) | | | 01/31/24 | | | | (2,230,490 | ) | | | 126,624 | |
NY Harbor ULSD | | | (28 | ) | | | 03/28/24 | | | | (2,882,376 | ) | | | 290,120 | |
NY Harbor ULSD | | | (122 | ) | | | 04/30/24 | | | | (12,406,741 | ) | | | 366,100 | |
Soybean Oil | | | (167 | ) | | | 03/14/24 | | | | (10,838,300 | ) | | | 229,294 | |
Sugar 11 | | | (126 | ) | | | 02/29/24 | | | | (2,904,250 | ) | | | 744,197 | |
WTI Crude | | | (72 | ) | | | 03/20/24 | | | | (5,184,720 | ) | | | 414,491 | |
WTI Crude | | | (1,222 | ) | | | 04/22/24 | | | | (88,142,860 | ) | | | 615,437 | |
| |
| | | | |
Total | | | | | | | | | | | | | | | $ 1,907,263 | |
| |
| | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $ 5,491,908 | |
| |
SWAP CONTRACTS — At December 31, 2023, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
| | | | | | | | | | | | | | | | |
| Reference Obligation/ Index(a) | | Financing Rate Paid/(Received) by the Fund | | Counterparty | | Termination
Date | | | Notional
Amount
(000s) | | | Unrealized
Application/
(Depreciation)* | |
| |
CRB 3M Forward Index | | 1 mo. U.S. Treasury Bill Rate +0.24% | | Citibank NA | | | 01/31/24 | | | $ | 51,274 | | | | $ (257) | |
CRB Future Index | | 1 mo. U.S. Treasury Bill Rate +0.21 | | Citibank NA | | | 01/31/24 | | | | 131,567 | | | | 43 | |
CRB 3M Forward Index | | 1 mo. U.S. Treasury Bill Rate +0.25 | | Merrill Lynch International Bank Ltd. | | | 01/31/24 | | | | 7,506 | | | | (40) | |
CRB Future Index | | 1 mo. U.S. Treasury Bill Rate +0.21 | | Merrill Lynch International Bank Ltd. | | | 01/31/24 | | | | 130,322 | | | | 42 | |
CRB 3M Forward Index | | 1 mo. U.S. Treasury Bill Rate +0.25 | | UBS AG (London) | | | 01/31/24 | | | | 207,903 | | | | (1,054) | |
| |
| | | | | |
TOTAL | | | | | | | | | | | | | | | $(1,266) | |
| |
| | # | 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, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
| | (a) | Payments made monthly. |
| | | | |
| | |
| Currency Abbreviations: | | |
| USD | | —U.S. Dollar | | |
32 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Consolidated Statements of Assets and Liabilities(a)
December 31, 2023
| | | | | | | | | | | | | | |
| | | | | Absolute Return
Tracker Fund | | | Commodity
Strategy
Fund | | | | |
| | | | |
| | Assets: | | | | | | | | | | | | |
| | | | |
| | Investments in affiliated issuers, at value (cost $2,258,293,269 and $62,859,778, respectively) | | $ | 2,258,293,269 | | | $ | 62,859,778 | | | | | |
| | Investments in unaffiliated issuers, at value (cost $1,533,480,557 and $531,582,168, respectively)(b) | | | 1,694,390,238 | | | | 531,840,971 | | | | | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 6,169,850 | | | | — | | | | | |
| | Purchased options, at value (premium paid $929,882 and $0, respectively) | | | 388,680 | | | | — | | | | | |
| | Cash | | | 66,422,132 | | | | — | | | | | |
| | Foreign currencies, at value (cost $2,513,112 and $0, respectively) | | | 2,761,812 | | | | — | | | | | |
| | Unrealized gain on swap contracts | | | 2,949,050 | | | | 85 | | | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 1,319,741 | | | | — | | | | | |
| | Variation margin on swaps contracts | | | 112,398 | | | | — | | | | | |
| | Unrealized gain on futures contracts | | | 252,325 | | | | 1,872,460 | | | | | |
| | Receivables: | | | | | | | | | | | | |
| | Collateral on certain derivative contracts(c) | | | 88,470,775 | | | | 18,500,000 | | | | | |
| | Fund shares sold | | | 26,422,274 | | | | 848,769 | | | | | |
| | Interest and dividends | | | 11,005,138 | | | | 268,286 | | | | | |
| | Due from broker | | | 3,729,480 | | | | — | | | | | |
| | Foreign tax reclaims | | | 294,674 | | | | — | | | | | |
| | Reimbursement from investment adviser | | | 84,144 | | | | 60,707 | | | | | |
| | Securities lending income | | | 23,386 | | | | — | | | | | |
| | Investments sold | | | 11,753 | | | | — | | | | | |
| | Other assets | | | 109,029 | | | | 198,070 | | | | | |
| | | |
| | Total assets | | | 4,163,210,148 | | | | 616,449,126 | | | | | |
| | | |
| | | | |
| | | | | | | | | | | | | | |
| | | | |
| | Liabilities: | | | | | | | | | | | | |
| | Unrealized loss on swap contracts | | | 3,819,637 | | | | 1,351 | | | | | |
| | Variation margin on futures contracts | | | 2,444,049 | | | | 22,290 | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 2,217,813 | | | | — | | | | | |
| | Unrealized loss on futures contracts | | | 383,340 | | | | 405,625 | | | | | |
| | Written option contracts, at value (premium received $204,264 and $0, respectively) | | | 149,465 | | | | — | | | | | |
| | Due to custodian (overdraft) | | | — | | | | 9,720,934 | | | | | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 10,744,941 | | | | 268,311 | | | | | |
| | Payable upon return of securities loaned | | | 6,169,850 | | | | — | | | | | |
| | Fund shares redeemed | | | 3,468,088 | | | | 1,857,556 | | | | | |
| | Management fees | | | 1,901,469 | | | | 257,098 | | | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 201,841 | | | | 31,011 | | | | | |
| | Due to broker | | | 39,255 | | | | — | | | | | |
| | Due to broker — upfront payment | | | — | | | | 16,369,993 | | | | | |
| | Interest payable | | | — | | | | 2,574,977 | | | | | |
| | Accrued expenses | | | 707,524 | | | | 427,927 | | | | | |
| | | |
| | Total liabilities | | | 32,247,272 | | | | 31,937,073 | | | | | |
| | | |
| | | | |
| | | | | | | | | | | | | | |
| | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 4,222,642,773 | | | | 558,998,935 | | | | | |
| | Total distributable earnings (loss) | | | (91,679,897 | ) | | | 25,513,118 | | | | | |
| | | |
| | NET ASSETS | | $ | 4,130,962,876 | | | $ | 584,512,053 | | | | | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | $ | 42,676,187 | | | $ | 22,252,985 | | | | | |
| | | Class C | | | 4,497,282 | | | | 3,495,570 | | | | | |
| | | Institutional | | | 2,553,195,689 | | | | 253,289,411 | | | | | |
| | | Investor | | | 581,117,779 | | | | 22,575,142 | | | | | |
| | | Class R6 | | | 728,606,703 | | | | 117,105,534 | | | | | |
| | | Class R | | | 787,444 | | | | 2,629,601 | | | | | |
| | | Class P | | | 220,081,792 | | | | 163,163,810 | | | | | |
| | | Total Net Assets | | $ | 4,130,962,876 | | | $ | 584,512,053 | | | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 4,738,612 | | | | 2,760,829 | | | | | |
| | | Class C | | | 560,466 | | | | 474,544 | | | | | |
| | | Institutional | | | 271,121,617 | | | | 30,891,445 | | | | | |
| | | Investor | | | 62,635,105 | | | | 2,749,229 | | | | | |
| | | Class R6 | | | 77,518,405 | | | | 14,241,249 | | | | | |
| | | Class R | | | 90,944 | | | | 334,954 | | | | | |
| | | Class P | | | 23,377,350 | | | | 19,850,786 | | | | | |
| | | Net asset value, offering and redemption price per share:(d) | | | | | | | | | | | | |
| | | Class A | | | $9.01 | | | | $8.06 | | | | | |
| | | Class C | | | 8.02 | | | | 7.37 | | | | | |
| | | Institutional | | | 9.42 | | | | 8.20 | | | | | |
| | | Investor | | | 9.28 | | | | 8.21 | | | | | |
| | | Class R6 | | | 9.40 | | | | 8.22 | | | | | |
| | | Class R | | | 8.66 | | | | 7.85 | | | | | |
| | | Class P | | | 9.41 | | | | 8.22 | | | | | |
| | (a) | Statements of Assets and Liabilities for the Absolute Return Tracker and Commodity Strategy Fund are consolidated and include the balances of Cayman Commodity-ART LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | Includes loaned securities having a market value of $6,025,320 and $0, respectively. |
| | (c) | Segregated for initial margin and/or collateral as follows: |
| | | | | | | | | | | | | | |
| | | Fund | | Futures | | | Swaps | | | Options | |
| | Absolute Return Tracker | | $ | 49,222,056 | | | $ | 35,037,041 | | | $ | 4,211,678 | |
| | Commodity Strategy | | | — | | | | 18,500,000 | | | | — | |
| | (d) | Maximum public offering price per share for Class A Shares of the Absolute Return Tracker and Commodity Strategy Funds is $9.53 and $8.44, 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. 33
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Statements of Operations(a)
For the Fiscal Year Ended December 31, 2023
| | | | | | | | | | |
| | | | | Absolute
Return Tracker
Fund | | | Commodity
Strategy Fund | |
| | | |
| | Investment Income: | | | | | | | | |
| | Dividends — affiliated issuers | | $ | 102,778,595 | | | $ | 3,706,947 | |
| | Dividends — unaffiliated issuers (net of tax withholding of $162,294 and $0, respectively) | | | 37,563,208 | | | | — | |
| | Interest | | | 1,996,168 | | | | 35,254,405 | |
| | Securities lending income, net of rebates received or paid to borrowers | | | 375,303 | | | | — | |
| | | |
| | | |
| | Total investment income | | | 142,713,274 | | | | 38,961,352 | |
| | | |
| | | |
| | | |
| | Expenses: | | | | | | | | |
| | Management fees | | | 23,749,470 | | | | 4,681,328 | |
| | Transfer Agency fees(b) | | | 1,862,138 | | | | 350,855 | |
| | Custody, accounting and administrative services | | | 537,893 | | | | 457,245 | |
| | Printing and mailing costs | | | 483,405 | | | | 181,312 | |
| | Professional fees | | | 229,071 | | | | 193,136 | |
| | Registration fees | | | 210,564 | | | | 195,405 | |
| | Distribution and Service (12b-1) fees(b) | | | 142,477 | | | | 121,874 | |
| | Shareholder meeting expense | | | 89,061 | | | | 29,423 | |
| | Trustee fees | | | 26,247 | | | | 22,419 | |
| | Prime broker fees | | | 13,884 | | | | — | |
| | Service fees — Class C | | | 12,312 | | | | 12,140 | |
| | | |
| | Other | | | 81,391 | | | | 24,509 | |
| | | |
| | | |
| | Total expenses | | | 27,437,913 | | | | 6,269,646 | |
| | | |
| | | |
| | Less — expense reductions | | | (4,711,751 | ) | | | (1,312,443) | |
| | | |
| | | |
| | Net expenses | | | 22,726,162 | | | | 4,957,203 | |
| | | |
| | | |
| | NET INVESTMENT INCOME | | | 119,987,112 | | | | 34,004,149 | |
| | | |
| | | |
| | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Investments — unaffiliated issuers | | | 51,025,612 | | | | (152,207) | |
| | Purchased options | | | (4,720,725 | ) | | | — | |
| | Futures contracts | | | 36,180,210 | | | | (137,654,274) | |
| | Written options | | | 1,757,992 | | | | — | |
| | Swap contracts | | | (730,817 | ) | | | (32,475,958) | |
| | Forward foreign currency exchange contracts | | | (2,929,177 | ) | | | — | |
| | Foreign currency transactions | | | 420,479 | | | | — | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | Investments — unaffiliated issuers | | | 160,076,754 | | | | 103,873 | |
| | Purchased options | | | 117,088 | | | | — | |
| | Futures contracts | | | 14,697,224 | | | | 46,060,035 | |
| | Written options | | | 63,884 | | | | — | |
| | Swap contracts | | | 169,966 | | | | 132,835 | |
| | Forward foreign currency exchange contracts | | | (501,473 | ) | | | — | |
| | Foreign currency translation | | | (147,255 | ) | | | — | |
| |
| | | |
| | | |
| | Net realized and unrealized gain (loss) | | | 255,479,762 | | | | (123,985,696) | |
| | | |
| | | |
| | NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | $375,466,874 | | | $ | (89,981,547) | |
| | | |
| | (a) | Statement of Operations for the Absolute Return Tracker Fund and Commodity Strategy Fund are consolidated and include the balances of a wholly-owned subsidiary, Cayman Commodity-ART, LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Distribution and/or Service (12b-1) Fees | | | | | Transfer Agency Fees | |
| | | | | | | | | | | | | |
| | | | | Fund | | Class A | | | Class C | | | Class R | | | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class R | | | Class P | |
| | | | Absolute Return Tracker | | $ | 101,088 | | | $ | 36,937 | | | $ | 4,452 | | | | | $ | 62,635 | | | $ | 7,644 | | | $ | 1,012,347 | | | $ | 567,433 | | | $ | 143,496 | | | $ | 1,383 | | | $ | 67,200 | |
| | | | Commodity Strategy | | | 69,588 | | | | 36,421 | | | | 15,865 | | | | | | 33,402 | | | | 5,827 | | | | 115,675 | | | | 70,938 | | | | 42,133 | | | | 3,808 | | | | 79,072 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
34 The accompanying notes are an integral part of these financial statements
GOLDMAN SACHS ALTERNATIVE FUNDS II
Consolidated Statements of Changes in Net Assets(a)
| | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | | Commodity Strategy Fund | |
| | | | | |
| | | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the Fiscal
Year Ended
December 31, 2022 | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the Fiscal
Year Ended
December 31, 2022 | |
| | | | | |
| | From operations: | | | | | | | | | | | | | | | | |
| | | | | |
| | Net investment income | | | $ 119,987,112 | | | | $ 45,642,646 | | | | $ 34,004,149 | | | | $ 10,076,827 | |
| | | | | |
| | Net realized gain (loss) | | | 81,003,574 | | | | (37,986,756 | ) | | | (170,282,439 | ) | | | 45,507,370 | |
| | | | | |
| | Net change in unrealized gain (loss) | | | 174,476,188 | | | | (253,794,411 | ) | | | 46,296,743 | | | | (22,492,138) | |
| | | |
| | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 375,466,874 | | | | (246,138,521 | ) | | | (89,981,547 | ) | | | 33,092,059 | |
| | | |
| | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | |
| | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | |
| | | | | |
| | Class A Shares | | | (1,046,509 | ) | | | (2,019,996 | ) | | | (885,543 | ) | | | (3,366,330) | |
| | | | | |
| | Class C Shares | | | (85,982 | ) | | | (258,282 | ) | | | (133,500 | ) | | | (615,139) | |
| | | | | |
| | Institutional Shares | | | (68,348,253 | ) | | | (148,069,452 | ) | | | (10,781,821 | ) | | | (33,231,386) | |
| | | | | |
| | Investor Shares | | | (15,254,586 | ) | | | (12,524,655 | ) | | | (1,319,802 | ) | | | (10,972,858) | |
| | | | | |
| | Class R6 Shares | | | (19,406,054 | ) | | | (8,326,828 | ) | | | (5,217,537 | ) | | | (15,725,522) | |
| | | | | |
| | Class R Shares | | | (17,140 | ) | | | (72,396 | ) | | | (105,058 | ) | | | (389,529) | |
| | | | | |
| | Class P Shares | | | (5,843,481 | ) | | | (11,345,579 | ) | | | (8,841,293 | ) | | | (28,076,602) | |
| | | |
| | | | | |
| | Total distributions to shareholders | | | (110,002,005 | ) | | | (182,617,188 | ) | | | (27,284,554 | ) | | | (92,377,366) | |
| | | |
| | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | |
| | | | | |
| | Proceeds from sales of shares | | | 2,250,892,693 | | | | 1,753,016,889 | | | | 211,913,755 | | | | 1,138,585,427 | |
| | | | | |
| | Reinvestment of distributions | | | 75,564,966 | | | | 132,565,385 | | | | 24,407,653 | | | | 83,688,134 | |
| | | | | |
| | Cost of shares redeemed | | | (1,944,143,493 | ) | | | (1,639,558,743 | ) | | | (490,787,071 | ) | | | (728,136,622) | |
| | | |
| | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | 382,314,166 | | | | 246,023,531 | | | | (254,465,663 | ) | | | 494,136,939 | |
| | | |
| | | | | |
| | TOTAL INCREASE (DECREASE) | | | 647,779,035 | | | | (182,732,178 | ) | | | (371,731,764 | ) | | | 434,851,632 | |
| | | |
| | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Net assets: | | | | | | | | | | | | | | | | |
| | | | | |
| | Beginning of year | | | 3,483,183,841 | | | | 3,665,916,019 | | | | 956,243,817 | | | | 521,392,185 | |
| | | |
| | | | | |
| | End of year | | | $4,130,962,876 | | | | $3,483,183,841 | | | | $584,512,053 | | | | $956,243,817 | |
| | | |
| | (a) | Statements of Changes in Net Assets for the Absolute Return Tracker Fund and Commodity Strategy Fund are consolidated and include the balances of Cayman Commodity-ART LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
The accompanying notes are an integral part of these financial statements. 35
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | |
| | | | | Class A Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.36 | | | $ | 9.40 | | | $ | 9.69 | | | $ | 9.44 | | | $ | 8.84 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.26 | | | | 0.07 | | | | (0.01 | ) | | | (0.01 | ) | | | 0.10 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.61 | | | | (0.69 | ) | | | 0.59 | | | | 0.32 | | | | 0.81 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 0.87 | | | | (0.62 | ) | | | 0.58 | | | | 0.31 | | | | 0.91 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.22 | ) | | | (0.31 | ) | | | — | | | | (0.01 | ) | | | (0.09) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.11 | ) | | | (0.87 | ) | | | (0.05 | ) | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.22 | ) | | | (0.42 | ) | | | (0.87 | ) | | | (0.06 | ) | | | (0.31) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 9.01 | | | $ | 8.36 | | | $ | 9.40 | | | $ | 9.69 | | | $ | 9.44 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | 10.45 | % | | | (6.62 | )% | | | 6.09 | % | | | 3.29 | % | | | 10.36% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 42,676 | | | $ | 41,001 | | | $ | 57,882 | | | $ | 61,642 | | | $ | 80,596 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.97 | % | | | 1.00 | % | | | 1.04 | % | | | 0.96 | % | | | 0.97% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.09 | % | | | 1.09 | % | | | 1.09 | % | | | 1.11 | % | | | 1.11% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 2.92 | % | | | 0.80 | % | | | (0.10 | )% | | | (0.10 | )% | | | 1.08% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | 126 | % | | | 184 | % | | | 133 | % | | | 193 | % | | | 127% | |
| |
| | | |
| |
| | (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. | |
36 The accompanying notes are an integral part of these financial statements.
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund |
| | |
| | | | | Class C Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | | $ | 7.47 | | | | $ | 8.43 | | | | $ | 8.84 | | | | $ | 8.69 | | | | $ | 8.14 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | | 0.17 | | | | | 0.00 | (b) | | | | (0.08 | ) | | | | (0.07 | ) | | | | 0.03 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.54 | | | | | (0.61 | ) | | | | 0.54 | | | | | 0.28 | | | | | 0.75 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | | 0.71 | | | | | (0.61 | ) | | | | 0.46 | | | | | 0.21 | | | | | 0.78 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.16 | ) | | | | (0.24 | ) | | | | — | | | | | (0.01 | ) | | | | (0.01) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.11 | ) | | | | (0.87 | ) | | | | (0.05 | ) | | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | | (0.16 | ) | | | | (0.35 | ) | | | | (0.87 | ) | | | | (0.06 | ) | | | | (0.23) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | | $ | 8.02 | | | | $ | 7.47 | | | | $ | 8.43 | | | | $ | 8.84 | | | | $ | 8.69 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | | 9.45 | % | | | | (7.23 | )% | | | | 5.31 | % | | | | 2.43 | % | | | | 9.69% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 4,497 | | | | $ | 5,574 | | | | $ | 7,973 | | | | $ | 9,638 | | | | $ | 15,761 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.72 | % | | | | 1.75 | % | | | | 1.79 | % | | | | 1.71 | % | | | | 1.72% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.84 | % | | | | 1.84 | % | | | | 1.84 | % | | | | 1.86 | % | | | | 1.86% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.12 | % | | | | 0.06 | % | | | | (0.84 | )% | | | | (0.84 | )% | | | | 0.34% | |
| | | | | | |
| | Portfolio turnover rate(d) | | | | 126 | % | | | | 184 | % | | | | 133 | % | | | | 193 | % | | | | 127% | |
| |
| | | |
| |
| | (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. 37
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | |
| | | | | Institutional Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.73 | | | $ | 9.80 | | | $ | 10.03 | | | $ | 9.74 | | | $ | 9.10 | |
| |
| | | |
| | | | | | |
| | Net investment income(a) | | | 0.30 | | | | 0.11 | | | | 0.03 | | | | 0.03 | | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.65 | | | | (0.72 | ) | | | 0.61 | | | | 0.32 | | | | 0.85 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 0.95 | | | | (0.61 | ) | | | 0.64 | | | | 0.35 | | | | 0.99 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.26 | ) | | | (0.35 | ) | | | — | | | | (0.01 | ) | | | (0.13) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.11 | ) | | | (0.87 | ) | | | (0.05 | ) | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.26 | ) | | | (0.46 | ) | | | (0.87 | ) | | | (0.06 | ) | | | (0.35) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 9.42 | | | $ | 8.73 | | | $ | 9.80 | | | $ | 10.03 | | | $ | 9.74 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | 10.83 | % | | | (6.27 | )% | | | 6.48 | % | | | 3.60 | % | | | 10.91% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,553,196 | | | $ | 2,795,272 | | | $ | 2,955,943 | | | $ | 2,928,949 | | | $ | 2,852,690 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.61 | % | | | 0.63 | % | | | 0.68 | % | | | 0.58 | % | | | 0.59% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.72 | % | | | 0.72 | % | | | 0.72 | % | | | 0.73 | % | | | 0.73% | |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 3.25 | % | | | 1.23 | % | | | 0.30 | % | | | 0.28 | % | | | 1.46% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | 126 | % | | | 184 | % | | | 133 | % | | | 193 | % | | | 127% | |
| |
| | | |
| |
| | (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. | |
38 The accompanying notes are an integral part of these financial statements.
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | |
| | | | | Investor Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.61 | | | $ | 9.67 | | | $ | 9.92 | | | $ | 9.64 | | | $ | 9.02 | |
| |
| | | |
| | | | | | |
| | Net investment income(a) | | | 0.30 | | | | 0.10 | | | | 0.02 | | | | 0.02 | | | | 0.13 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.62 | | | | (0.71 | ) | | | 0.60 | | | | 0.32 | | | | 0.83 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 0.92 | | | | (0.61 | ) | | | 0.62 | | | | 0.34 | | | | 0.96 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.25 | ) | | | (0.34 | ) | | | — | | | | (0.01 | ) | | | (0.12) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.11 | ) | | | (0.87 | ) | | | (0.05 | ) | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.25 | ) | | | (0.45 | ) | | | (0.87 | ) | | | (0.06 | ) | | | (0.34) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 9.28 | | | $ | 8.61 | | | $ | 9.67 | | | $ | 9.92 | | | $ | 9.64 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | 10.68 | % | | | (6.37 | )% | | | 6.35 | % | | | 3.54 | % | | | 10.66% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 581,118 | | | $ | 248,085 | | | $ | 243,761 | | | $ | 246,694 | | | $ | 370,779 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.72 | % | | | 0.75 | % | | | 0.79 | % | | | 0.71 | % | | | 0.72% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.83 | % | | | 0.84 | % | | | 0.84 | % | | | 0.86 | % | | | 0.87% | |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 3.31 | % | | | 1.12 | % | | | 0.16 | % | | | 0.16 | % | | | 1.33% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | 126 | % | | | 184 | % | | | 133 | % | | | 193 | % | | | 127% | |
| |
| | | |
| |
| | (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. 39
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | |
| | | | | Class R6 Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.72 | | | $ | 9.78 | | | $ | 10.02 | | | $ | 9.72 | | | $ | 9.09 | |
| |
| | | |
| | | | | | |
| | Net investment income(a) | | | 0.33 | | | | 0.11 | | | | 0.05 | | | | 0.03 | | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.61 | | | | (0.71 | ) | | | 0.58 | | | | 0.33 | | | | 0.84 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 0.94 | | | | (0.60 | ) | | | 0.63 | | | | 0.36 | | | | 0.98 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.26 | ) | | | (0.35 | ) | | | — | | | | (0.01 | ) | | | (0.13) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.11 | ) | | | (0.87 | ) | | | (0.05 | ) | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.26 | ) | | | (0.46 | ) | | | (0.87 | ) | | | (0.06 | ) | | | (0.35) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 9.40 | | | $ | 8.72 | | | $ | 9.78 | | | $ | 10.02 | | | $ | 9.72 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | 10.74 | % | | | (6.17 | )% | | | 6.38 | % | | | 3.71 | % | | | 10.82% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 728,607 | | | $ | 169,335 | | | $ | 153,588 | | | $ | 9,353 | | | $ | 9,284 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.60 | % | | | 0.62 | % | | | 0.66 | % | | | 0.57 | % | | | 0.58% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.71 | % | | | 0.71 | % | | | 0.70 | % | | | 0.72 | % | | | 0.72% | |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 3.54 | % | | | 1.23 | % | | | 0.51 | % | | | 0.29 | % | | | 1.47% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | 126 | % | | | 184 | % | | | 133 | % | | | 193 | % | | | 127% | |
| |
| | | |
| |
| | (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. | |
40 The accompanying notes are an integral part of these financial statements.
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | |
| | | | | Class R Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.04 | | | $ | 9.06 | | | $ | 9.40 | | | $ | 9.18 | | | $ | 8.61 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.22 | | | | 0.05 | | | | (0.03 | ) | | | (0.03 | ) | | | 0.08 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.59 | | | | (0.66 | ) | | | 0.56 | | | | 0.31 | | | | 0.78 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 0.81 | | | | (0.61 | ) | | | 0.53 | | | | 0.28 | | | | 0.86 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.19 | ) | | | (0.30 | ) | | | — | | | | (0.01 | ) | | | (0.07) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.11 | ) | | | (0.87 | ) | | | (0.05 | ) | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.19 | ) | | | (0.41 | ) | | | (0.87 | ) | | | (0.06 | ) | | | (0.29) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 8.66 | | | $ | 8.04 | | | $ | 9.06 | | | $ | 9.40 | | | $ | 9.18 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | 10.11 | % | | | (6.79 | )% | | | 5.73 | % | | | 3.06 | % | | | 10.06% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 787 | | | $ | 1,486 | | | $ | 1,536 | | | $ | 1,562 | | | $ | 2,347 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.22 | % | | | 1.25 | % | | | 1.29 | % | | | 1.21 | % | | | 1.22% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.34 | % | | | 1.34 | % | | | 1.34 | % | | | 1.36 | % | | | 1.37% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 2.63 | % | | | 0.60 | % | | | (0.33 | )% | | | (0.35 | )% | | | 0.83% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | 126 | % | | | 184 | % | | | 133 | % | | | 193 | % | | | 127% | |
| |
| | | |
| |
| | (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. 41
|
| GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND |
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Absolute Return Tracker Fund | |
| | |
| | | | | Class P Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.73 | | | $ | 9.79 | | | $ | 10.02 | | | $ | 9.73 | | | $ | 9.09 | |
| |
| | | |
| | | | | | |
| | Net investment income(a) | | | 0.30 | | | | 0.11 | | | | 0.03 | | | | 0.03 | | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.64 | | | | (0.71 | ) | | | 0.61 | | | | 0.32 | | | | 0.85 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 0.94 | | | | (0.60 | ) | | | 0.64 | | | | 0.35 | | | | 0.99 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.26 | ) | | | (0.35 | ) | | | — | | | | (0.01 | ) | | | (0.13) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | — | | | | (0.11 | ) | | | (0.87 | ) | | | (0.05 | ) | | | (0.22) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.26 | ) | | | (0.46 | ) | | | (0.87 | ) | | | (0.06 | ) | | | (0.35) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 9.41 | | | $ | 8.73 | | | $ | 9.79 | | | $ | 10.02 | | | $ | 9.73 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | 10.72 | % | | | (6.16 | )% | | | 6.48 | % | | | 3.61 | % | | | 10.93% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 220,082 | | | $ | 222,431 | | | $ | 245,233 | | | $ | 211,794 | | | $ | 219,701 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.60 | % | | | 0.62 | % | | | 0.66 | % | | | 0.57 | % | | | 0.58% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.71 | % | | | 0.71 | % | | | 0.71 | % | | | 0.72 | % | | | 0.72% | |
| | | | | | |
| | Ratio of net investment income to average net assets | | | 3.28 | % | | | 1.23 | % | | | 0.33 | % | | | 0.29 | % | | | 1.48% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | 126 | % | | | 184 | % | | | 133 | % | | | 193 | % | | | 127% | |
| |
| | | |
| |
| | (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. | |
42 The accompanying notes are an integral part of these financial statements.
|
| 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, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.30 | | | $ | 8.90 | | | $ | 7.79 | | | $ | 10.17 | | | $ | 9.66 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.34 | | | | 0.05 | | | | (0.09 | ) | | | (0.03 | ) | | | 0.14 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.27 | ) | | | 1.32 | | | | 2.67 | | | | (2.33 | ) | | | 1.44 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.93 | ) | | | 1.37 | | | | 2.58 | | | | (2.36 | ) | | | 1.58 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.31 | ) | | | (0.97 | ) | | | (1.47 | ) | | | (0.02 | ) | | | (0.18) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.89) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.31 | ) | | | (0.97 | ) | | | (1.47 | ) | | | (0.02 | ) | | | (1.07) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 8.06 | | | $ | 9.30 | | | $ | 8.90 | | | $ | 7.79 | | | $ | 10.17 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | (9.95 | )% | | | 15.36 | % | | | 33.03 | % | | | (23.16 | )% | | | 16.31% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 22,253 | | | $ | 35,334 | | | $ | 40,183 | | | $ | 15,324 | | | $ | 22,569 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.94 | % | | | 0.92 | % | | | 0.92 | % | | | 0.80 | % | | | 0.84% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.01 | % | | | 0.95 | % | | | 1.08 | % | | | 1.28 | % | | | 1.09% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 4.00 | % | | | 0.50 | % | | | (0.90 | )% | | | (0.39 | )% | | | 1.34% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | %(d) | | | — | %(d) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
The accompanying notes are an integral part of these financial statements. 43
|
| 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, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 8.52 | | | $ | 8.25 | | | $ | 7.32 | | | $ | 9.61 | | | $ | 9.17 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.26 | | | | (0.01 | ) | | | (0.15 | ) | | | (0.08 | ) | | | 0.08 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.16 | ) | | | 1.21 | | | | 2.50 | | | | (2.21 | ) | | | 1.35 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.90 | ) | | | 1.20 | | | | 2.35 | | | | (2.29 | ) | | | 1.43 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.25 | ) | | | (0.93 | ) | | | (1.42 | ) | | | — | | | | (0.17) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.82) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.25 | ) | | | (0.93 | ) | | | (1.42 | ) | | | — | | | | (0.99) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 7.37 | | | $ | 8.52 | | | $ | 8.25 | | | $ | 7.32 | | | $ | 9.61 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | (10.58 | )% | | | 14.51 | % | | | 32.04 | % | | | (23.77 | )% | | | 15.54% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 3,496 | | | $ | 6,197 | | | $ | 3,125 | | | $ | 1,340 | | | $ | 2,271 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.69 | % | | | 1.67 | % | | | 1.67 | % | | | 1.55 | % | | | 1.59% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.76 | % | | | 1.70 | % | | | 1.83 | % | | | 2.03 | % | | | 1.84% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 3.25 | % | | | (0.05 | )% | | | (1.65 | )% | | | (1.12 | )% | | | 0.81% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | %(d) | | | — | %(d) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
44 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 | |
| | |
| | | | | Institutional Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.46 | | | $ | 9.04 | | | $ | 7.88 | | | $ | 10.28 | | | $ | 9.74 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.38 | | | | 0.11 | | | | (0.06 | ) | | | (0.01 | ) | | | 0.09 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.30 | ) | | | 1.32 | | | | 2.71 | | | | (2.36 | ) | | | 1.56 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.92 | ) | | | 1.43 | | | | 2.65 | | | | (2.37 | ) | | | 1.65 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.34 | ) | | | (1.01 | ) | | | (1.49 | ) | | | (0.03 | ) | | | (0.19) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.92) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.34 | ) | | | (1.01 | ) | | | (1.49 | ) | | | (0.03 | ) | | | (1.11) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 8.20 | | | $ | 9.46 | | | $ | 9.04 | | | $ | 7.88 | | | $ | 10.28 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | (9.65 | )% | | | 15.75 | % | | | 33.52 | % | | | (22.96 | )% | | | 16.77% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 253,289 | | | $ | 339,164 | | | $ | 206,782 | | | $ | 127,172 | | | $ | 156,673 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.61 | % | | | 0.59 | % | | | 0.59 | % | | | 0.47 | % | | | 0.50% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.68 | % | | | 0.62 | % | | | 0.75 | % | | | 0.96 | % | | | 0.74% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 4.36 | % | | | 1.04 | % | | | (0.57 | )% | | | (0.10 | )% | | | 0.81% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | %(d) | | | — | %(d) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
The accompanying notes are an integral part of these financial statements. 45
|
| 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, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.47 | | | $ | 9.04 | | | $ | 7.89 | | | $ | 10.29 | | | $ | 9.75 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.36 | | | | 0.11 | | | | (0.07 | ) | | | (0.01 | ) | | | (0.04) | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.29 | ) | | | 1.32 | | | | 2.71 | | | | (2.37 | ) | | | 1.68 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.93 | ) | | | 1.43 | | | | 2.64 | | | | (2.38 | ) | | | 1.64 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.33 | ) | | | (1.00 | ) | | | (1.49 | ) | | | (0.02 | ) | | | (0.18) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.92) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.33 | ) | | | (1.00 | ) | | | (1.49 | ) | | | (0.02 | ) | | | (1.10) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 8.21 | | | $ | 9.47 | | | $ | 9.04 | | | $ | 7.89 | | | $ | 10.29 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | (9.78 | )% | | | 15.79 | % | | | 33.33 | % | | | (22.99 | )% | | | 16.73% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 22,575 | | | $ | 115,918 | | | $ | 33,337 | | | $ | 3,115 | | | $ | 6,651 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.69 | % | | | 0.67 | % | | | 0.67 | % | | | 0.55 | % | | | 0.59% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.75 | % | | | 0.70 | % | | | 0.81 | % | | | 1.02 | % | | | 0.83% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 4.14 | % | | | 1.01 | % | | | (0.66 | )% | | | (0.09 | )% | | | (0.36)% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | %(d) | | | — | %(d) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
46 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 R6 Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.49 | | | $ | 9.06 | | | $ | 7.90 | | | $ | 10.30 | | | $ | 9.76 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.38 | | | | 0.12 | | | | (0.05 | ) | | | (0.01 | ) | | | 0.38 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.30 | ) | | | 1.32 | | | | 2.70 | | | | (2.36 | ) | | | 1.27 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.92 | ) | | | 1.44 | | | | 2.65 | | | | (2.37 | ) | | | 1.65 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.35 | ) | | | (1.01 | ) | | | (1.49 | ) | | | (0.03 | ) | | | (0.19) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.92) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.35 | ) | | | (1.01 | ) | | | (1.49 | ) | | | (0.03 | ) | | | (1.11) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 8.22 | | | $ | 9.49 | | | $ | 9.06 | | | $ | 7.90 | | | $ | 10.30 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | (9.71 | )% | | | 15.84 | % | | | 33.44 | % | | | (22.92 | )% | | | 16.87% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 117,106 | | | $ | 155,511 | | | $ | 94,836 | | | $ | 83,227 | | | $ | 85,170 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.60 | % | | | 0.58 | % | | | 0.58 | % | | | 0.46 | % | | | 0.49% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.67 | % | | | 0.61 | % | | | 0.75 | % | | | 0.96 | % | | | 0.75% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 4.36 | % | | | 1.14 | % | | | (0.55 | )% | | | (0.09 | )% | | | 3.52% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | %(d) | | | — | %(d) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
The accompanying notes are an integral part of these financial statements. 47
|
| 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, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.07 | | | $ | 8.71 | | | $ | 7.64 | | | $ | 9.99 | | | $ | 9.50 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.31 | | | | 0.04 | | | | (0.11 | ) | | | (0.05 | ) | | | 0.16 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.24 | ) | | | 1.27 | | | | 2.62 | | | | (2.29 | ) | | | 1.38 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.93 | ) | | | 1.31 | | | | 2.51 | | | | (2.34 | ) | | | 1.54 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.29 | ) | | | (0.95 | ) | | | (1.44 | ) | | | (0.01 | ) | | | (0.18) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.87) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.29 | ) | | | (0.95 | ) | | | (1.44 | ) | | | (0.01 | ) | | | (1.05) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 7.85 | | | $ | 9.07 | | | $ | 8.71 | | | $ | 7.64 | | | $ | 9.99 | |
| |
| | | |
| | | | | | |
| | Total return(b) | | | (10.19 | )% | | | 15.07 | % | | | 32.73 | % | | | (23.36 | )% | | | 16.11% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 2,630 | | | $ | 4,208 | | | $ | 3,271 | | | $ | 1,903 | | | $ | 2,280 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 1.19 | % | | | 1.17 | % | | | 1.17 | % | | | 1.05 | % | | | 1.09% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 1.26 | % | | | 1.20 | % | | | 1.33 | % | | | 1.54 | % | | | 1.34% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 3.77 | % | | | 0.33 | % | | | (1.15 | )% | | | (0.68 | )% | | | 1.53% | |
| | | | | | |
| | Portfolio turnover rate(c) | | | — | %(d) | | | — | %(d) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (d) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
48 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 P Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 9.49 | | | $ | 9.06 | | | $ | 7.90 | | | $ | 10.29 | | | $ | 9.76 | |
| |
| | | |
| | | | | | |
| | Net investment income (loss)(a) | | | 0.38 | | | | 0.12 | | | | (0.06 | ) | | | — | (b) | | | (0.25) | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | (1.30 | ) | | | 1.32 | | | | 2.71 | | | | (2.36 | ) | | | 1.89 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | (0.92 | ) | | | 1.44 | | | | 2.65 | | | | (2.36 | ) | | | 1.64 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.35 | ) | | | (1.01 | ) | | | (1.49 | ) | | | (0.03 | ) | | | (0.19) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.92) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.35 | ) | | | (1.01 | ) | | | (1.49 | ) | | | (0.03 | ) | | | (1.11) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 8.22 | | | $ | 9.49 | | | $ | 9.06 | | | $ | 7.90 | | | $ | 10.29 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | (9.72 | )% | | | 15.84 | % | | | 33.46 | % | | | (22.84 | )% | | | 16.73% | |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 163,164 | | | $ | 299,911 | | | $ | 139,858 | | | $ | 684 | | | $ | 977 | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | 0.60 | % | | | 0.58 | % | | | 0.58 | % | | | 0.45 | % | | | 0.48% | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | 0.67 | % | | | 0.61 | % | | | 0.72 | % | | | 0.94 | % | | | 0.72% | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | 4.34 | % | | | 1.04 | % | | | (0.57 | )% | | | (0.04 | )% | | | (2.28)% | |
| | | | | | |
| | Portfolio turnover rate(d) | | | — | %(e) | | | — | %(e) | | | 83 | % | | | 70 | % | | | 52% | |
| |
| | | |
| |
| | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. (e) There were no long-term transactions for the fiscal years ended December 31, 2023 and December 31, 2022. | |
The accompanying notes are an integral part of these financial statements. 49
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements
December 31, 2023
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 | | A, C, Institutional, Investor, R6, R and P | | Diversified |
| | |
| Commodity Strategy | | A, C, Institutional, Investor, R6, R and P | | Diversified |
Class A Shares of the Absolute Return Tracker Fund are sold with a front-end sales charge of up to 5.50%. Class A Shares of the Commodity Strategy Fund are sold with a front-end sales charge of up to 4.50%. 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 (each, an “Agreement”) 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 Absolute Return Tracker Fund and Commodity Strategy Fund — Cayman Commodity-ART, LLC., and Cayman Commodity-CSF, LTD., (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Absolute Return Tracker and Commodity Strategy 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, 2023, 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 | | $4,130,962,876 | | $130,160,188 | | 3.2% |
| | | |
Commodity Strategy | | 584,512,053 | | 129,844,010 | | 22.2 |
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
50
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 Consolidated 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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.
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 | | Annually | | Annually |
| | |
| Commodity Strategy | | Semi-Annually | | Annually |
The Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to decrease 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.
51
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 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. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures 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 the Valuation Procedures 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 exchange-traded funds (“ETFs”) and other investment companies. 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
52
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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.
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 either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Consolidated 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 generally 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.
53
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| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
A total return swap is an agreement that gives a Fund the right to receive 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.
54
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. 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, 2023:
ABSOLUTE RETURN TRACKER
| | | | | | | | | | | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Africa | | $ | 522,881 | | | $ | — | | | $ | — | |
| | | |
Asia | | | 27,427 | | | | 10,746,971 | | | | — | |
| | | |
Australia and Oceania | | | 392,435 | | | | — | | | | — | |
| | | |
Europe | | | 43,342,088 | | | | 52,911,484 | | | | — | |
| | | |
North America | | | 749,290,330 | | | | 9,866 | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 6,169,850 | | | | — | | | | — | |
| | | |
Preferred Stocks | | | — | | | | 171,181 | | | | — | |
| | | |
Exchange Traded Funds | | | 836,975,575 | | | | — | | | | — | |
| | | |
Investment Company | | | 2,258,293,269 | | | | — | | | | — | |
| |
| | | |
Total | | $ | 3,895,013,855 | | | $ | 63,839,502 | | | $ | — | |
| |
| | | |
| Derivative Type | | | | | | | | | |
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Exchange Traded Index Options | | $ | 388,680 | | | $ | — | | | $ | — | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | | — | | | | 1,319,741 | | | | — | |
| | | |
Futures Contracts(b) | | | 19,330,361 | | | | — | | | | — | |
| | | |
Credit Default Swap Contracts(b) | | | — | | | | 6,097,543 | | | | — | |
| | | |
Total Return Swap Contracts(b) | | | — | | | | 2,949,050 | | | | — | |
| |
| | | |
Total | | $ | 19,719,041 | | | $ | 10,366,334 | | | $ | — | |
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (2,217,813 | ) | | $ | — | |
| | | |
Futures Contracts(b) | | | (6,862,684 | ) | | | — | | | | — | |
| | | |
Total Return Swap Contracts(b) | | | — | | | | (3,819,637 | ) | | | — | |
| | | |
Written Option Contracts | | | (149,465 | ) | | | — | | | | — | |
| |
| | | |
Total | | $ | (7,012,149 | ) | | $ | (6,037,450 | ) | | $ | — | |
| |
| | (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| | (b) | Amount shown represents unrealized gain (loss) at period end. |
55
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
COMMODITY STRATEGY
| | | | | | | | | | | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Investment Company | | $ | 62,859,778 | | | $ | — | | | $ | — | |
| | | |
Short-term Investments | | | 531,840,971 | | | | — | | | | — | |
| |
| | | |
Total | | $ | 594,700,749 | | | $ | — | | | $ | — | |
| |
| | | |
| Derivative Type | | | | | | | | | |
| |
| | | |
Assets(a) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 13,192,287 | | | $ | — | | | $ | — | |
| | | |
Total Return Swap Contracts | | | — | | | | 85 | | | | — | |
| |
| | | |
Total | | $ | 13,192,287 | | | $ | 85 | | | $ | — | |
| |
| | | |
Liabilities(a) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | (7,700,379 | ) | | $ | — | | | $ | — | |
| | | |
Total Return Swap Contracts | | | — | | | | (1,351 | ) | | | — | |
| |
| | | |
Total | | $ | (7,700,379 | ) | | $ | (1,351 | ) | | $ | — | |
| |
| | (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated 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, 2023. 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 | | $ | 1,921,775 | (a) | | Variation margin on futures contracts | | $ | (2,144,206 | )(a) |
| | | | |
Credit | | Variation margin on swap contracts | | | 6,097,543 | (a) | | — | | | — | |
| | | | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 1,319,741 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (2,217,813 | ) |
| | | | |
Equity | | Receivable for unrealized gain on swap contracts; Variation margin on futures contracts; Purchased options, at value | | | 12,105,419 | (a) | | Payable for unrealized loss on swap contracts; Variation margin on futures contracts; Written options, at value | | | (5,245,220 | )(a)(b) |
| | | | |
Interest rate | | Variation margin on futures contracts | | | 8,640,897 | (a) | | Variation margin on futures contracts | | | (3,442,360 | )(a) |
| | | | |
Total | | | | $ | 30,085,375 | | | | | $ | (13,049,599 | ) |
56
GOLDMAN SACHS ALTERNATIVE FUNDS II
| | | | | | |
|
| 4 . INVESTMENTS IN DERIVATIVES (continued) |
Commodity Strategy
| | | | | | | | | | |
| Risk | | Consolidated Statement of Assets and Liabilities | | Assets | | Consolidated Statement of Assets and Liabilities | | Liabilities | |
| | | | |
Commodity | | Variation margin on futures contracts; Receivable for unrealized gain on swap contracts | | $13,192,372(a) | | Variation margin on futures contracts; Payable for unrealized loss on swap contracts | | $ | (7,701,730)(a)(b) | |
| | (a) | Includes unrealized gain (loss) on futures and centrally cleared swaps described in the Additional Investment Information sections of the the Consolidated Schedule of Investments. Only the variation margin as of December 31, 2023, is reported within the Consolidated Statement of Assets and Liabilities. |
| | (b) | Aggregate of amounts include $3,819,637 for Absolute Return Tracker Fund and $1,351 for the Commodity Strategy 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. |
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, 2023. 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 /Net change in unrealized gain (loss) on futures contracts | | $ | (11,774,972) | | | | | | | $ | (337,640) | |
| |
| | | | |
Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 10,993,684 | | | | | | | | 2,652,112 | |
| |
| | | | |
Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | (2,929,177) | | | | | | | | (501,473) | |
| |
| | | | |
Equity | | Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, swap contracts, purchased options and written options | | | 39,984,172 | | | | | | | | 9,047,244 | |
| |
| | | | |
Interest rate | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (6,716,224) | | | | | | | | 3,686,446 | |
| |
| | | | |
Total | | | | $ | 29,557,483 | | | | | | | | $14,546,689 | |
| |
Commodity Strategy
| | | | | | | | | | | | | | |
| | | |
| Risk | | Consolidated Statement of Operations | | Net Realized Gain (Loss) | | | Net Change in Unrealized Gain (Loss) | |
| |
| | | | |
Commodity | | Net realized gain (loss) from futures and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts | | $ | (170,130,232) | | | | | | | $ | 46,192,870 | |
| |
57
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 4 . INVESTMENTS IN DERIVATIVES (continued) |
For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Average Number of Contracts(a) | |
| | | | | |
| Fund | | Futures
Contracts | | | Forward
Contracts | | | Swap
Agreements | | | Purchased
Options | | | Written
Options | |
| |
| | | | | |
Absolute Return Tracker | | | 13,586 | | | $ | 234,927,378 | | | $ | 1,005,919,804 | | | | 425,042 | | | | 6,350 | |
| |
| | | | | |
Commodity Strategy | | | 13,553 | | | | — | | | | 711,461,158 | | | | — | | | | — | |
| |
| | (a) | Amounts disclosed represent the average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, or shares/units outstanding for purchased options and written options, 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 fiscal year ended December 31, 2023. |
|
|
| 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, 2023, 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^ | |
| |
| | | | | | | |
Absolute Return Tracker | | | 0.70% | | | | 0.63% | | | | 0.60% | | | | 0.59% | | | | 0.53% | | | | 0.64% | | | | 0.54%(a) | |
| |
| | | | | | | |
Commodity Strategy | | | 0.50 | | | | 0.50 | | | | 0.45 | | | | 0.43 | | | | 0.42 | | | | 0.50 | | | | 0.40(a) | |
| |
| | ^ | Effective Net Management Rate includes 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 Subsidiary Agreement (as defined below) after 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 Subsidiaries’ 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 each Subsidiary under the Subsidiary Agreement. For the fiscal year ended December 31, 2023, GSAM waived $191,371 and $740,423 of each Fund’s management fee for the Absolute Return Tracker and Commodity Strategy 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. For the fiscal year ended December 31, 2023, the management fee waived by GSAM was for each Fund as follows:
| | | | |
| Fund | | Management Fee Waived | |
| |
| |
Absolute Return Tracker | | | $3,658,294 | |
| |
| |
Commodity Strategy | | | 828,224 | |
| |
58
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A, Class C and Class R 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 , Class C or Class R 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. |
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, 2023, Goldman Sachs retained the following amounts:
| | | | |
| | | Front End Sales Charge | |
| | | | |
| |
| Fund | | Class A | |
| |
| |
Absolute Return Tracker | | $ | 10,004 | |
| |
| |
Commodity Strategy | | | 6,672 | |
| |
D. Service Plan — The Trust, on behalf of each 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: 0.15% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Absolute Return Tracker Fund; 0.12% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Commodity Strategy 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. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R shares was 0.16% for the Absolute Return Tracker Fund.
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 Commodity Strategy Funds are 0.014% and 0.074%, respectively. These Other Expense limitations will remain in place through at least April 28, 2024, 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
59
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
received irrespective of the application of the “Other Expense” limitations described above. 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 Commodity Strategy Funds.
For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Management
Fee Waiver | | | Transfer Agency
Waivers/Credits | | | Other Expense
Reimbursements | | | Total
Expense
Reductions | |
| |
| | | | |
Absolute Return Tracker | | | $3,658,294 | | | | $1,072 | | | | $1,052,385 | | | | $4,711,751 | |
| |
| | | | |
Commodity Strategy | | | 828,224 | | | | 606 | | | | 483,613 | | | | 1,312,443 | |
| |
G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 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, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2023, Goldman Sachs earned $209,666 and $0 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Absolute Return Tracker and Commodity Strategy Funds, respectively.
The table below shows the transactions in and earnings from investments in the Underlying Fund for the fiscal year ended December 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Underlying Fund | | Beginning
Value as of
December 31,
2022 | | | Purchases at Cost | | | Proceeds
from Sales | | | Ending
Value as of
December 31,
2023 | | | Shares as of
December 31,
2023 | | | Dividend
Income | |
| |
| | | | | | | |
Absolute Return Tracker | | Goldman Sachs Financial Square Government Fund — Institutional Shares | | $ | 1,824,635,728 | | | $ | 1,661,857,637 | | | $ | (1,228,200,096 | ) | | $ | 2,258,293,269 | | | | 2,258,293,269 | | | $ | 102,778,595 | |
| |
| | | | | | | |
Commodity Strategy | | Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 72,571,959 | | | | 1,136,765,250 | | | | (1,146,477,431 | ) | | | 62,859,778 | | | | 62,859,778 | | | | 3,706,947 | |
| |
|
|
| 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, 2023, were as follows:
| | | | | | | | |
| Fund | | Purchases (Excluding
U.S. Government and
Agency Obligations) | | | Sales and
Maturities of (Excluding
U.S. Government and
Agency Obligations) | |
| |
| | |
Absolute Return Tracker | | $ | 1,798,264,050 | | | $ | 1,791,088,119 | |
| |
60
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2023, there were no purchases and proceeds from sales and maturities of long-term securities for the Commodity Strategy Fund.
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, 2023, are disclosed as “Payable upon return of securities loaned” on the Consolidated Statements of Assets and Liabilities, where applicable.
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, 2023, are reported under Investment Income on the Consolidated Statements of Operations.
61
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 7. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | |
| | | For the Fiscal Year Ended December 31, 2023 | | |
| | | | |
| Fund | | Earnings of GSAL
Relating to
Securities Loaned | | Amounts Received
by the Funds from
Lending to Goldman
Sachs | | Amounts Payable to
Goldman Sachs Upon Return of
Securities Loaned as of
December 31, 2023 |
|
| | | |
Absolute Return Tracker | | $42,549 | | $382,957 | | $— |
|
The following table provides information about the Absolute Return Tracker Fund’s investments in the Government Money Market Fund for the fiscal year ended December 31, 2023:
| | | | | | | | | | |
| Fund | | Beginning
Value as of
December 31, 2022 | | Purchases
at cost | | Proceeds
from Sales | | Ending Value as of
December 31, 2023 | | Shares as of
December 31, 2023 |
|
| | | | | |
Absolute Return Tracker | | $43,069,598 | | $672,704,821 | | $(709,604,569) | | $6,169,850 | | 6,169,850 |
|
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | | | | | |
| | | Absolute Return
Tracker Fund | | | Commodity
Strategy | |
| |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | | $110,002,005 | | | $ | 27,284,554 | |
| |
| | |
Total taxable distributions | | | $110,002,005 | | | $ | 27,284,554 | |
| |
The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:
| | | | | | | | |
| | | Absolute Return
Tracker Fund | | | Commodity
Strategy | |
| |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | | $182,598,755 | | | $ | 92,377,366 | |
| | |
Net long-term capital gains | | | 18,433 | | | | — | |
| |
| | |
Total taxable distributions | | | $182,617,188 | | | $ | 92,377,366 | |
| |
62
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 8. TAX INFORMATION (continued) |
As of the Funds’ most recent fiscal year end, December 31, 2023, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | |
| | | Absolute Return
Tracker Fund | | | Commodity
Strategy | |
| |
| | |
Undistributed ordinary income — net | | $ | 17,502,187 | | | $ | 440,576 | |
| |
| | |
Capital loss carryforwards(1) : | | | | | | | | |
| | |
Perpetual Short-Term | | | — | | | | (3,117,204 | ) |
| | |
Perpetual Long-Term | | | (170,387,264 | ) | | | (18,256,290 | ) |
| |
| | |
Total capital loss carryforwards | | | (170,387,264 | ) | | | (21,373,494 | ) |
| |
| | |
Timing differences (Qualified Late Year Loss Deferral, Real Estate Investment Trusts and Straddle Loss Deferral) | | $ | (65,675,432) | | | $ | — | |
| | |
Unrealized gains (loss) — net | | | 126,880,612 | | | | 46,446,036 | |
| |
| | |
Total accumulated earnings (loss) net | | $ | (91,679,897) | | | $ | 25,513,118 | |
| |
| | (1) | The Absolute Return Tracker Fund utilized $34,551,630 of capital losses in the current fiscal year. |
As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Absolute Return
Tracker Fund | | | Commodity
Strategy | |
| |
| | |
Tax Cost | | $ | 3,848,070,897 | | | $ | 532,618,981 | |
| |
| | |
Gross unrealized gain | | | 130,746,437 | | | | 46,446,036 | |
| | |
Gross unrealized loss | | | (3,865,825 | ) | | | — | |
| |
| | |
Net unrealized gain | | $ | 126,880,612 | | | $ | 46,446,036 | |
| |
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 in the tax treatment of underlying fund investments, and differences in the tax treatment of passive foreign investment company investments and swap transactions.
The Absolute Return Tracker Fund reclassed $2,024,268 from distributable earnings to paid in capital for the year ending December 31, 2023. 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 Commodity Strategy Fund reclassed $152,878,640 from paid in capital to distributable earnings for the year ending December 31, 2023. 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.
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.
63
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
The Funds’ risks include, but are not limited to, the following:
Commodity Sector Risk — Exposure to the commodities markets may subject to greater volatility than investments in more traditional securities. The value of commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked investments in which the Subsidiaries may invest may involve counterparties in the financial services sector, and events affecting the financial services sector may cause the Subsidiaries’, and therefore the Funds’, share values to fluctuate.
Derivatives Risk — The Funds’ use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Funds. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Funds will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Funds will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
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. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from Fund performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Funds with longer average portfolio durations
64
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 9. OTHER RISKS (continued) |
will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of a Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
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, declining prices of the securities sold, 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 a Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, 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 a Fund has unsettled or open transactions defaults.
Subsidiary Risk — The Subsidiaries are not registered under the Investment Company Act of 1940, as amended (“Investment Company Act”) and are not subject to all the investor protections of the Investment Company Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Subsidiaries to operate as described in the Prospectus and the SAI and could adversely affect the Fund.
65
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 9. OTHER RISKS (continued) |
Tax Risk — The Funds seek to gain exposure to the commodity markets through investments in the Subsidiaries. The tax treatment of the Funds’ investments in the Subsidiaries could affect whether income derived from such investments is “qualifying income” under Subchapter M of the Internal Revenue Code of 1986, as amended, (the “Code”), or otherwise affect the character, timing and/or amount of the Funds’ taxable income or any gains and distributions made by the Funds. If the IRS were to successfully assert that a Fund’s income from such investments was not “qualifying income,” the Funds may fail to qualify as regulated investment companies (“RIC”) under Subchapter M of the Code if over 10% of their gross income was derived from these investments. If the Funds failed to qualify as RICs, they would be subject to federal and state income tax on all of their taxable income at regular corporate tax rates with no deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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.
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
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.
66
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Absolute Return Tracker Fund | |
| | | | |
| | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 2,049,549 | | | $ | 18,051,268 | | | | 2,278,161 | | | $ | 20,323,360 | |
| | | | |
Reinvestment of distributions | | | 106,801 | | | | 962,277 | | | | 216,961 | | | | 1,840,210 | |
| | | | |
Shares redeemed | | | (2,320,420 | ) | | | (20,360,649 | ) | | | (3,751,555 | ) | | | (33,399,506 | ) |
| |
| | | | |
| | | (164,070 | ) | | | (1,347,104 | ) | | | (1,256,433 | ) | | | (11,235,936 | ) |
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 95,680 | | | | 757,414 | | | | 157,564 | | | | 1,258,782 | |
| | | | |
Reinvestment of distributions | | | 8,896 | | | | 71,432 | | | | 29,270 | | | | 221,859 | |
| | | | |
Shares redeemed | | | (290,494 | ) | | | (2,276,829 | ) | | | (386,190 | ) | | | (3,042,414 | ) |
| |
| | | | |
| | | (185,918 | ) | | | (1,447,983 | ) | | | (199,356 | ) | | | (1,561,773 | ) |
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 116,285,014 | | | | 1,068,401,813 | | | | 147,316,141 | | | | 1,370,216,761 | |
| | | | |
Reinvestment of distributions | | | 5,519,958 | | | | 51,998,005 | | | | 11,764,395 | | | | 104,139,998 | |
| | | | |
Shares redeemed | | | (170,799,170 | ) | | | (1,557,310,885 | ) | | | (140,662,402 | ) | | | (1,289,271,650 | ) |
| |
| | | | |
| | | (48,994,198 | ) | | | (436,911,067 | ) | | | 18,418,134 | | | | 185,085,109 | |
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 48,997,761 | | | | 449,038,182 | | | | 19,055,469 | | | | 175,794,733 | |
| | | | |
Reinvestment of distributions | | | 1,641,688 | | | | 15,234,863 | | | | 1,436,178 | | | | 12,524,391 | |
| | | | |
Shares redeemed | | | (16,813,582 | ) | | | (152,229,647 | ) | | | (16,893,785 | ) | | | (153,241,735 | ) |
| |
| | | | |
| | | 33,825,867 | | | | 312,043,398 | | | | 3,597,862 | | | | 35,077,389 | |
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 76,667,470 | | | | 701,252,558 | | | | 13,706,040 | | | | 125,975,231 | |
| | | | |
Reinvestment of distributions | | | 152,791 | | | | 1,437,768 | | | | 273,742 | | | | 2,421,234 | |
| | | | |
Shares redeemed | | | (18,723,424 | ) | | | (172,560,682 | ) | | | (10,256,817 | ) | | | (94,844,366 | ) |
| |
| | | | |
| | | 58,096,837 | | | | 530,129,644 | | | | 3,722,965 | | | | 33,552,099 | |
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 26,265 | | | | 221,811 | | | | 43,721 | | | | 373,124 | |
| | | | |
Reinvestment of distributions | | | 1,977 | | | | 17,140 | | | | 8,839 | | | | 72,114 | |
| | | | |
Shares redeemed | | | (122,017 | ) | | | (1,013,977 | ) | | | (37,264 | ) | | | (321,788 | ) |
| |
| | | | |
| | | (93,775 | ) | | | (775,026 | ) | | | 15,296 | | | | 123,450 | |
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,433,979 | | | | 13,169,647 | | | | 6,309,423 | | | | 59,074,898 | |
| | | | |
Reinvestment of distributions | | | 620,327 | | | | 5,843,481 | | | | 1,283,071 | | | | 11,345,579 | |
| | | | |
Shares redeemed | | | (4,157,723 | ) | | | (38,390,824 | ) | | | (7,150,043 | ) | | | (65,437,284 | ) |
| |
| | | | |
| | | (2,103,417 | ) | | | (19,377,696 | ) | | | 442,451 | | | | 4,983,193 | |
| |
| | | | |
NET INCREASE | | | 40,381,326 | | | $ | 382,314,166 | | | | 24,740,919 | | | $ | 246,023,531 | |
| |
67
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Consolidated Notes to Financial Statements (continued)
December 31, 2023
|
|
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Commodity Strategy Fund | |
| | | | |
| | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 650,451 | | | $ | 5,599,609 | | | | 2,524,718 | | | $ | 27,858,273 | |
| | | | |
Reinvestment of distributions | | | 101,113 | | | | 817,553 | | | | 338,778 | | | | 3,160,598 | |
| | | | |
Shares redeemed | | | (1,788,262 | ) | | | (15,258,547 | ) | | | (3,581,021 | ) | | | (39,150,884 | ) |
| |
| | | | |
| | | (1,036,698 | ) | | | (8,841,385 | ) | | | (717,525 | ) | | | (8,132,013 | ) |
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 51,430 | | | | 402,643 | | | | 455,798 | | | | 4,626,623 | |
| | | | |
Reinvestment of distributions | | | 18,011 | | | | 133,093 | | | | 72,030 | | | | 615,139 | |
| | | | |
Shares redeemed | | | (321,974 | ) | | | (2,497,546 | ) | | | (179,491 | ) | | | (1,794,752 | ) |
| |
| | | | |
| | | (252,533 | ) | | | (1,961,810 | ) | | | 348,337 | | | | 3,447,010 | |
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 8,203,299 | | | | 71,648,812 | | | | 39,480,713 | | | | 442,284,200 | |
| | | | |
Reinvestment of distributions | | | 1,241,693 | | | | 10,207,259 | | | | 3,334,938 | | | | 31,713,481 | |
| | | | |
Shares redeemed | | | (14,391,516 | ) | | | (125,621,221 | ) | | | (29,848,612 | ) | | | (327,939,629 | ) |
| |
| | | | |
| | | (4,946,524 | ) | | | (43,765,150 | ) | | | 12,967,039 | | | | 146,058,052 | |
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 2,044,992 | | | | 18,287,224 | | | | 17,771,496 | | | | 198,730,838 | |
| | | | |
Reinvestment of distributions | | | 160,144 | | | | 1,318,151 | | | | 1,152,323 | | | | 10,969,640 | |
| | | | |
Shares redeemed | | | (11,697,981 | ) | | | (102,352,695 | ) | | | (10,367,702 | ) | | | (111,270,284 | ) |
| |
| | | | |
| | | (9,492,845 | ) | | | (82,747,320 | ) | | | 8,556,117 | | | | 98,430,194 | |
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 4,224,956 | | | | 37,604,758 | | | | 10,619,859 | | | | 121,558,054 | |
| | | | |
Reinvestment of distributions | | | 362,084 | | | | 2,985,553 | | | | 918,933 | | | | 8,763,985 | |
| | | | |
Shares redeemed | | | (6,733,691 | ) | | | (58,758,633 | ) | | | (5,614,581 | ) | | | (59,701,917 | ) |
| |
| | | | |
| | | (2,146,651 | ) | | | (18,168,322 | ) | | | 5,924,211 | | | | 70,620,122 | |
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 127,407 | | | | 1,063,713 | | | | 320,440 | | | | 3,311,555 | |
| | | | |
Reinvestment of distributions | | | 13,311 | | | | 104,751 | | | | 42,760 | | | | 388,689 | |
| | | | |
Shares redeemed | | | (269,602 | ) | | | (2,281,917 | ) | | | (275,005 | ) | | | (2,849,939 | ) |
| |
| | | | |
| | | (128,884 | ) | | | (1,113,453 | ) | | | 88,195 | | | | 850,305 | |
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 8,476,534 | | | | 77,306,996 | | | | 30,539,396 | | | | 340,215,884 | |
| | | | |
Reinvestment of distributions | | | 1,072,567 | | | | 8,841,293 | | | | 2,940,536 | | | | 28,076,602 | |
| | | | |
Shares redeemed | | | (21,312,615 | ) | | | (184,016,512 | ) | | | (17,303,016 | ) | | | (185,429,217 | ) |
| |
| | | | |
| | | (11,763,514 | ) | | | (97,868,223 | ) | | | 16,176,916 | | | | 182,863,269 | |
| |
| | | | |
NET INCREASE (DECREASE) | | | (29,767,649 | ) | | $ | (254,465,663 | ) | | | 43,343,290 | | | $ | 494,136,939 | |
| |
68
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 Commodity Strategy 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 Commodity Strategy Fund and each of their subsidiaries (two of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related consolidated statements of operations for the year ended December 31, 2023, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the consolidated financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 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
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
69
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
| | |
Fund Expenses — Six Month Period Ended December 31, 2023 (Unaudited) | | |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P Shares of the Funds, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, 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 or 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, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year. This projection assumes that annualized expense ratios were in effect during the period.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Absolute Return Tracker Fund | | | Commodity Strategy Fund | |
| Share Class | | Beginning
Account
Value
7/1/23 | | | Ending
Account
Value
12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23* | | | Beginning
Account
Value
7/1/23 | | | Ending
Account
Value
12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,036.40 | | | | $4.96 | | | | $1,000.00 | | | | $1,007.00 | | | | $4.75 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.30 | + | | | 4.92 | | | | 1,000.00 | | | | 1,020.50 | + | | | 4.78 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,031.00 | | | | 8.78 | | | | 1,000.00 | | | | 1,004.20 | | | | 8.53 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.50 | + | | | 8.72 | | | | 1,000.00 | | | | 1,016.70 | + | | | 8.58 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,038.10 | | | | 3.11 | | | | 1,000.00 | | | | 1,008.80 | | | | 3.08 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.10 | + | | | 3.09 | | | | 1,000.00 | | | | 1,022.10 | + | | | 3.10 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,037.00 | | | | 3.67 | | | | 1,000.00 | | | | 1,008.00 | | | | 3.48 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.60 | + | | | 3.65 | | | | 1,000.00 | | | | 1,021.70 | + | | | 3.51 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,037.30 | | | | 3.06 | | | | 1,000.00 | | | | 1,008.80 | | | | 3.03 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.20 | + | | | 3.04 | | | | 1,000.00 | | | | 1,022.20 | + | | | 3.05 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,034.20 | | | | 6.23 | | | | 1,000.00 | | | | 1,005.70 | | | | 6.01 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.10 | + | | | 6.18 | | | | 1,000.00 | | | | 1,019.20 | + | | | 6.05 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,037.10 | | | | 3.06 | | | | 1,000.00 | | | | 1,008.70 | | | | 3.03 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.20 | + | | | 3.04 | | | | 1,000.00 | | | | 1,022.20 | + | | | 3.05 | |
| | * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. Expenses are calculated by multiplying the annualized net expense ratio by the average accountvalue 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 | | | 0.97% | | | | 1.72% | | | | 0.61% | | | | 0.72% | | | | 0.60% | | | | 1.22% | | | | 0.60% | | | | | |
| | | | | | | | | |
| | Commodity Strategy | | | 0.94 | | | | 1.69 | | | | 0.61 | | | | 0.69 | | | | 0.60 | | | | 1.19 | | | | 0.60 | | | | | |
| | | | | | | |
| | + | 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. | |
70
|
| GOLDMAN SACHS ALTERNATIVE FUNDS II |
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:
| | | | |
| Proposal | | | | |
| Election of Trustees | | For | | Withheld |
| | |
Cheryl K. Beebe | | 169,452,067,796 | | 5,900,273,020 |
| | |
John G. Chou | | 173,279,757,273 | | 2,072,583,543 |
| | |
Eileen H. Dowling | | 173,287,456,218 | | 2,064,884,598 |
| | |
Lawrence Hughes | | 173,486,691,901 | | 1,865,648,915 |
| | |
John F. Killian | | 173,511,167,174 | | 1,841,173,642 |
| | |
Steven D. Krichmar | | 173,484,256,228 | | 1,868,084,588 |
| | |
Michael Latham | | 173,498,020,286 | | 1,854,320,530 |
| | |
Lawrence W. Stranghoener | | 173,455,949,165 | | 1,896,391,651 |
| | |
Paul C. Wirth | | 173,324,070,424 | | 2,028,270,391 |
71
|
| 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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications Inc. |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a data-driven, digital financial platform) |
Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
72
GOLDMAN SACHS ALTERNATIVE 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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
Interested Trustee*
| | | | | | | | | | |
Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and Length of Time Served2 | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
James A. McNamara Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. | |
| | 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, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and 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. | |
| | Information as of the date of this shareholder report. 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. |
73
|
| 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 Occupations During Past 5 Years |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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 ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). |
| | * | 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, 2023. | |
| | 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, 2023, 8.15% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualify for the dividends received deduction available to corporations. For the fiscal year ended December 31, 2023, 13.87% of the dividends paid from net investment company taxable income by the Absolute Return Tracker 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, 2023, the Absolute Return Tracker Fund and Commodity Strategy Fund designated 72.09% and 95.67%, respectively, of the dividends paid from net investment company taxable income as Section 163(j) Interest Dividends. |
74
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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 $2.54 trillion in assets under supervision as of December 31, 2023, 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 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Strategic Volatility Premium Fund |
| ∎ | 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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. |
Goldman Sachs Funds Annual Report December 31, 2023 Dynamic Global Equity Fund
Goldman Sachs Dynamic Global Equity Fund
TABLE OF CONTENTS
Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee | | |
FUND RESULTS
Goldman Sachs Dynamic Global Equity Fund
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Investment Objective The Fund seeks long-term capital appreciation. |
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Group discusses the Goldman Sachs Dynamic Global Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2023 (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 20.22%, 19.37%, 20.65%, 20.09%, 20.52%, 20.66%, 19.95% and 20.71%, respectively. This compares to the 22.20% 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 capital markets and the Fund during the Reporting Period? |
| A | The capital markets and the Fund were most influenced during the Reporting Period by inflation trends and macroeconomic data, central bank monetary policy, interest rate volatility, geopolitical events, and U.S. and European banking stress. |
| | During the first quarter of 2023, when the Reporting Period began, investors focused on the evolution of the European energy crisis, the speed of China’s economic reopening and the pace of U.S. disinflation. In the U.S., inflation was not moderating as quickly as U.S. Federal Reserve (“Fed”) policymakers had hoped, and they maintained a hawkish stance, raising the target federal funds (“fed funds”) rate twice during the quarter—by 25 basis points each time. (Hawkish tends to suggest higher interest rates; opposite of dovish. A basis point is 1/100th of a percentage point.) In March 2023, investor sentiment was dominated by worries about the U.S. and European banking sectors. Swift response from U.S. and European policymakers rather quickly calmed nerves, but the turmoil made the Fed’s decisions on interest rates more complex given its objective of mitigating downside risks to economic growth while combating persistent inflation amid a tight labor market. Investor concerns about a potential European energy crisis eased, while China’s economy continued to reopen after the |
| | Chinese government had finally lifted its stringent zero-COVID policy in January 2023. For the first quarter overall, global equities generated solidly positive returns, with developed markets equities outperforming emerging markets equities. There was substantial dispersion of returns across broad equity indices, with growth equities materially outperforming value equities. Within developed equity markets, non-U.S. equities outpaced U.S. equities. In the U.S. equity market, information technology equities broadly outperformed financials and energy equities. As for global fixed income, yields broadly declined during the first quarter, leading to positive bond returns. |
| | During the second quarter of 2023, as economic growth remained resilient, many market participants reconsidered their previous expectations of a global economic slowdown. Central banks focused on combating inflation, which decreased but remained elevated. In May, the Fed raised the fed funds rate by 25 basis points to a range between 5.00% and 5.25%. The European Central Bank and Bank of England also raised their policy rates 50 basis points and 75 basis points, respectively. In June, the Fed left the fed funds rate unchanged, but according to the Fed’s median dot plot projection, policymakers increased their estimate for the peak rate to 5.6%, up from 5.1% in March. (The dot plot shows interest rate projections of the members of the Federal Open Market Committee.) For the second quarter overall, global equities recorded positive returns, with developed markets equities outperforming emerging markets equities on the back of better than consensus expected first quarter corporate earnings in the developed markets. European equities, while posting positive returns, underperformed other developed equity markets, such as Japan and the U.S. In the U.S., equity gains were fueled by rallies in the information technology and consumer discretionary sectors. The advance in the information technology sector was driven in part by market expectations of artificial intelligence (“AI”) potential and the growing demand for AI processors. Regarding global fixed income, performance was broadly negative during the second |
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| | quarter as bond yields increased. Duration-sensitive assets sold off as higher interest rates and expectations for further monetary policy tightening weighed on market sentiment. |
| | During the third quarter of 2023, most asset classes posted losses despite a relatively benign macroeconomic backdrop. Inflation data continued to improve across major developed markets, leading central banks to signal that they were at, or close to, their peak policy rates. In the U.S., economic growth remained resilient, while upward momentum in inflation and the labor market began to weaken—a welcome development for the Fed as it sought to reach its inflation target on a sustainable basis. Policymakers, having raised the fed funds rate by 25 basis points at their July meeting, remained on hold at their September meeting. Elsewhere, Europe and U.K. inflation surprised to the downside; China continued its efforts in support of its economy; and the Bank of Japan began to gradually normalize its monetary policy. In addition, investors had to grapple with some unexpected events during the third quarter. In August, for example, Fitch Ratings downgraded its U.S. credit rating from AAA to AA+, and the markets confronted the possibility of a U.S. government shutdown, which was then narrowly avoided in September. For the third quarter overall, global equities produced negative returns, with developed markets equities performing the worst. U.S. equities and emerging markets equities also declined. In global fixed income, bond yields rose amid significant interest rate volatility. Investors remained wary of inflation, as data indicated it might be stickier, or more persistent, than consensus expected, and markets seemed to expect the Fed and other developed markets central banks to keep interest rates higher for longer. |
| | Most asset classes generated gains during the fourth quarter of 2023, benefiting from a positive backdrop that included strong economic growth, resilient labor markets, subdued inflationary pressures across developed economies, and signals from major central banks regarding the end of their interest rate hiking cycles. Broadly, the performance of the capital markets was driven by investors’ reactions to lower inflation and a dovish Fed. As a result of a significant slowdown in inflation, the potential of an economic “soft landing” increased, leading to a sharp drop in interest rates and a broad-based rally across the capital markets. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) At both their November and December meetings, Fed policymakers left the fed funds rate unchanged in a range between 5.25% and 5.50%. The Fed also signaled in December that it may have reached the peak of its monetary policy tightening cycle, with its median dot plot projection |
| | indicating there could be 75 basis points of rate cuts in 2024. For the fourth quarter overall, global equities posted significantly positive returns, with U.S. equities outperforming developed markets equities and emerging markets equities. In the U.S. equity market, gains were led by information technology, financials and consumer discretionary stocks, while energy stocks performed the worst due to a drop in oil prices. In global fixed income, yields rose during October and then fell significantly in November and December, leading to positive bond returns for the fourth quarter overall. |
| 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 to adapt 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 double-digit positive absolute returns but underperformed the Index on a relative basis. Long-term strategic asset allocation and security selection within the Underlying Funds detracted from relative returns. Medium-term dynamic views added modestly to the Fund’s relative performance during the Reporting Period. |
| | Within long-term strategic asset allocation, the Fund’s equity exposures contributed positively to relative performance, as U.S. equities, non-U.S. developed markets equities and emerging markets equities all generated positive returns during the Reporting Period. Conversely, the Fund’s 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 slightly from the Fund’s relative returns, as interest rates rose during the Reporting Period. A strategic allocation to a foreign currency hedging strategy, which seeks to manage the risk associated with investing in non-U.S. currencies, also had a modestly negative impact on Fund performance. |
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FUND RESULTS
| | Overall, security selection within the Underlying Funds detracted from the Fund’s returns during the Reporting Period, with the underperformance concentrated in two of the Underlying Equity Funds. |
| Q | How did the Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | The Underlying Equity Funds that underperformed their respective benchmark indices during the Reporting Period were the Goldman Sachs Large Cap Growth Insights Fund and, to a lesser extent, the Goldman Sachs Large Cap Value Insights Fund. The Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs Small Cap Equity Insights Fund, Goldman Sachs International Equity Insights Fund and Goldman Sachs International Small Cap Insights Fund outperformed their respective benchmark indices during the Reporting Period. Among Underlying Funds that invest in real assets, the Goldman Sachs Global Real Estate Securities Fund and Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period. |
| 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). |
| | In addition, the Fund employed forward foreign currency exchange contracts within a foreign currency hedging strategy (negative impact), which seeks to manage the risk associated with investing in non-U.S. currencies. Equity options were used within our volatility selling strategy (neutral impact). (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.) 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, which provide versatility and potentially greater risk management precision, to express active investment views. 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 | We adjusted the Fund’s long-term strategic asset allocation during the Reporting Period. In December 2023, we increased the Fund’s exposure to U.S. equities overall. Within U.S. equities, we reduced the Fund’s strategic allocation to U.S. large-cap value equities and increased its strategic allocation to U.S. large-cap growth equities. We decreased the Fund’s strategic allocation to non-U.S. developed markets equities overall but increased its strategic allocation to Canadian large-cap equities. In addition, we reduced the Fund’s strategic allocation to U.S. small-cap equities and slightly increased its strategic allocation to international small-cap equities. We decreased its strategic allocation to emerging markets equities. We increased the Fund’s strategic allocations to global real estate securities and global infrastructure securities. |
| | Finally, during the Reporting Period overall, we changed the way we implemented the Fund’s long-term strategic asset allocations. Specifically, we shifted the Fund toward more passive implementation of its equity exposures. To accomplish this, we reduced its investments in the Goldman Sachs International Equity Insights Fund, Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs ActiveBeta® International Equity ETF, Goldman Sachs ActiveBeta® Large Cap Equity ETF and Goldman Sachs ActiveBeta® Emerging Markets ETF. We increased its investments in the Goldman Sachs MarketBeta® U.S. Equity ETF, Goldman Sachs MarketBeta® International Equity ETF and Goldman Sachs MarketBeta® Emerging Markets Equity ETF. |
| | Regarding medium-term dynamic allocations, in June 2023, we increased the Fund’s exposure to U.S. large-cap equities through an investment in S&P 500® Index futures. During July, we increased the Fund’s exposure to global real estate securities by reducing its exposure to global infrastructure securities. In September, we increased the Fund’s exposure to U.S. and non-U.S. developed markets equities. In October, we increased its exposure to global infrastructure securities. During the Reporting Period overall, we shifted the Fund toward more passive implementation of our medium-term dynamic views about equities. |
| Q | What is the Fund’s tactical view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we believed the U.S. was still in the late stages of the economic cycle. Although our base case was for a soft landing in 2024, we thought the risks of a recession remained above average as long as the Fed maintained its restrictive posture. Because of the Fed’s progress on inflation during the Reporting Period, we expected policymakers to shift their focus to economic |
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| | growth in the near term, which could lead to a rate cutting cycle. While U.S. wage growth was near levels consistent with the Fed’s long-term targets, the job market remained tight and unemployment was still below 4%. In our view, the resilience of the U.S. economy and declining inflation would be supportive for U.S. equities, although their high valuations relative to history could remain a headwind. Going forward, we continued to believe a dynamic investment approach and careful risk management should help us identify attractive opportunities, both regionally and across asset classes. |
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FUND BASICS
Dynamic Global Equity Fund
as of December 31, 2023
COMPOSITION The Fund seeks long-term capital appreciation. Under normal conditions, substantially all (at least 80%) of the Fund’s net assets will be invested in a diversified portfolio of global equity asset classes. 3.3% Volatility Risk Premia Strategy 16.7% GS MarketBeta US Equity ETF (GSUS) 8.0% GS Large Cap Growth Insights Fund 8.0% GS Large Cap Value Insights Fund 16.1% GS ActiveBeta Large Cap Equity ETF 15.4% US Large Cap Equity Futures 6.3% GS International Equity Insights Fund 6.3% GS ActiveBeta International Equity ETF 2.3% Canada LC Futures 12.6% GS MarketBeta International Equity (GSID) 2.7% GS Emerging Markets Equity Insights Fund 2.7% GS Active Beta Emerging Markets Equity ETF 5.5% GS MarketBeta Emerging Markets Equity ETF (GSEE) 5.9% Other 2.5% Volatility Risk Premia Strategy 16.7% GS MarketBeta US Equity ETF (GSUS) 8.0% GS Large Cap Growth Insights Fund 8.0% GS Large Cap Value Insights Fund 16.1% GS ActiveBeta Large Cap Equity ETF 13.9% US Large Cap Equity Futures 6.3% GS International Equity Insights Fund 6.3% GS ActiveBeta International Equity ETF 2.3% Canada LC Futures 12.8% GS MarketBeta International Equity (GSID) 2.7% GS Emerging Markets Equity Insights Fund 2.7% GS Active Beta Emerging Markets Equity ETF 5.5% GS MarketBeta Emerging Markets Equity ETF (GSEE) 5.5% Other
| † | 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. |
| ‡ | 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, 2023. Actual weightings 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. |
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OVERALL UNDERLYING FUND WEIGHTINGS* |
Percentage of Net Assets
| * | 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. |
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GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Performance Summary
December 31, 2023
The following graph shows the value, as of December 31, 2023, of a $10,000 investment made on January 1, 2014 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.
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Dynamic Global Equity Fund’s 10 Year Performance |
| | Performance of a $10,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023. |
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| | Average Annual Total Return through December 31, 2023* | | | | One Year | | | | | Five Years | | | | | Ten Years | | | | | Since Inception | | | |
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| | Class A | | | | | | | | | | | | | | | | | | | | | | |
| | Excluding sales charges | | | | 20.22% | | | | | 10.62% | | | | | 7.45% | | | | | — | | | |
| | Including sales charges | | | | 13.59% | | | | | 9.37% | | | | | 6.84% | | | | | — | | | |
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| | Class C | | | | | | | | | | | | | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | | | 19.37% | | | | | 9.80% | | | | | 6.65% | | | | | — | | | |
| | Including contingent deferred sales charges | | | | 18.17% | | | | | 9.80% | | | | | 6.65% | | | | | — | | | |
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| | Institutional | | | | 20.65% | | | | | 11.04% | | | | | 7.86% | | | | | — | | | |
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| | Service | | | | 20.09% | | | | | 10.49% | | | | | 7.33% | | | | | — | | | |
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| | Investor | | | | 20.52% | | | | | 10.90% | | | | | 7.72% | | | | | — | | | |
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| | Class R6 (Commenced July 31, 2015) | | | | 20.66% | | | | | 11.04% | | | | | N/A | | | | | 8.30% | | | |
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| | Class R | | | | 19.95% | | | | | 10.36% | | | | | 7.19% | | | | | — | | | |
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| | Class P (Commenced April 17, 2018) | | | | 20.71% | | | | | 11.05% | | | | | N/A | | | | | 7.02% | | | |
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| | * | 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance. |
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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 24 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: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and 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.
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GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments
December 31, 2023
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| | | | Shares | | | Description | | Value | |
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| | | | | Underlying Funds(a) – 90.4% | |
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| | | | | Equity – 30.3% | |
| | | | | 966,419 | | | Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | $ | 26,789,128 | |
| | | | | 1,166,836 | | | Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 26,277,155 | |
| | | | | 1,509,386 | | | Goldman Sachs International Equity Insights Fund — Class R6 | | | 20,904,992 | |
| | | | | | 1,096,982 | | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 8,885,552 | |
| | | | | 499,948 | | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 4,914,494 | |
| | | | | 387,509 | | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 4,828,363 | |
| | | | | 155,048 | | | Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 4,066,907 | |
| | | | | 219,240 | | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 2,674,725 | |
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| | | | | | | | | | | 99,341,316 | |
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| | | | | Exchange Traded Funds – 60.1% | |
| | | | | 831,346 | | | Goldman Sachs MarketBeta U.S. Equity ETF | | | 54,328,461 | |
| | | | | 557,572 | | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 52,305,829 | |
| | | | | 786,471 | | | Goldman Sachs MarketBeta International Equity ETF | | | 42,257,087 | |
| | | | | 632,532 | | | Goldman Sachs ActiveBeta International Equity ETF | | | 20,658,495 | |
| | | | | 438,337 | | | Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 18,572,646 | |
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| | | | Shares | | | Description | | Value | |
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| | | | | Underlying Funds(a) – (continued) | |
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| | | | | Exchange Traded Funds – (continued) | |
| | | | | 291,867 | | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | $ | 8,957,398 | |
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| | | | | | | | | | | 197,079,916 | |
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| TOTAL UNDERLYING FUNDS – 90.4%
(Cost $251,613,614) | | $ | 296,421,232 | |
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| | | | Shares | | | Dividend Rate | | Value | |
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| | | | | Investment Company(a) – 6.1% | |
| |
| | | | | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | | | | | 20,123,440 | | | 5.248% | | $ | 20,123,440 | |
| | | | | (Cost $20,123,440) | | | | |
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| | | |
| TOTAL INVESTMENTS – 96.5%
(Cost $271,737,054) | | $ | 316,544,672 | |
| | | | | | |
| | | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.5% | | | 11,536,291 | |
| | | | | | |
| | | | | NET ASSETS – 100.0% | | $ | 328,080,963 | |
| | | | | | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | (a) | Represents an affiliated Issuer. |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2023, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | | | | Currency Sold | | | | | | Settlement
Date | | | | | | Unrealized
Gain | |
| |
| | | | | | | | | |
MS & Co. Int. PLC | | | AUD | | | | 270,000 | | | | | | | | USD | | | | 183,115 | | | | | | | | 03/20/24 | | | | | | | | $ 1,322 | |
| | | CHF | | | | 250,000 | | | | | | | | USD | | | | 293,549 | | | | | | | | 03/20/24 | | | | | | | | 6,179 | |
| | | DKK | | | | 620,000 | | | | | | | | USD | | | | 91,792 | | | | | | | | 03/20/24 | | | | | | | | 404 | |
| | | EUR | | | | 590,000 | | | | | | | | USD | | | | 650,672 | | | | | | | | 03/20/24 | | | | | | | | 2,769 | |
| | | GBP | | | | 400,000 | | | | | | | | USD | | | | 509,842 | | | | | | | | 03/20/24 | | | | | | | | 219 | |
| | | ILS | | | | 40,000 | | | | | | | | USD | | | | 10,981 | | | | | | | | 03/20/24 | | | | | | | | 95 | |
| | | JPY | | | | 112,000,000 | | | | | | | | USD | | | | 790,237 | | | | | | | | 03/21/24 | | | | | | | | 14,299 | |
| | | NOK | | | | 200,000 | | | | | | | | USD | | | | 19,523 | | | | | | | | 03/20/24 | | | | | | | | 197 | |
| | | NZD | | | | 10,000 | | | | | | | | USD | | | | 6,270 | | | | | | | | 03/20/24 | | | | | | | | 53 | |
| | | SEK | | | | 825,000 | | | | | | | | USD | | | | 81,543 | | | | | | | | 03/20/24 | | | | | | | | 513 | |
| | | SGD | | | | 60,000 | | | | | | | | USD | | | | 45,341 | | | | | | | | 03/20/24 | | | | | | | | 292 | |
| |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $26,342 | |
| |
The accompanying notes are an integral part of these financial statements. 9
|
| GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND |
Schedule of Investments (continued)
December 31, 2023
|
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | | | | Currency Sold | | | | | | Settlement
Date | | | | | | Unrealized
Loss | |
| |
| | | | | | | | | |
MS & Co. Int. PLC | | | HKD | | | | 430,000 | | | | | | | | USD | | | | 55,207 | | | | | | | | 03/20/24 | | | | | | | $ | (38 | ) |
| | | USD | | | | 1,108,194 | | | | | | | | AUD | | | | 1,680,000 | | | | | | | | 03/20/24 | | | | | | | | (39,414 | ) |
| | | USD | | | | 1,543,130 | | | | | | | | CHF | | | | 1,340,000 | | | | | | | | 03/20/24 | | | | | | | | (63,416 | ) |
| | | USD | | | | 493,896 | | | | | | | | DKK | | | | 3,400,000 | | | | | | | | 03/20/24 | | | | | | | | (11,693 | ) |
| | | USD | | | | 4,860,663 | | | | | | | | EUR | | | | 4,490,000 | | | | | | | | 03/20/24 | | | | | | | | (112,141 | ) |
| | | USD | | | | 2,332,878 | | | | | | | | GBP | | | | 1,855,000 | | | | | | | | 03/20/24 | | | | | | | | (32,528 | ) |
| | | USD | | | | 319,134 | | | | | | | | HKD | | | | 2,490,000 | | | | | | | | 03/20/24 | | | | | | | | (335 | ) |
| | | USD | | | | 54,291 | | | | | | | | ILS | | | | 200,000 | | | | | | | | 03/20/24 | | | | | | | | (1,085 | ) |
| | | USD | | | | 3,611,308 | | | | | | | | JPY | | | | 514,000,000 | | | | | | | | 03/21/24 | | | | | | | | (80,943 | ) |
| | | USD | | | | 101,037 | | | | | | | | NOK | | | | 1,100,000 | | | | | | | | 03/20/24 | | | | | | | | (7,425 | ) |
| | | USD | | | | 30,733 | | | | | | | | NZD | | | | 50,000 | | | | | | | | 03/20/24 | | | | | | | | (881 | ) |
| | | USD | | | | 475,601 | | | | | | | | SEK | | | | 4,950,000 | | | | | | | | 03/20/24 | | | | | | | | (16,736 | ) |
| | | USD | | | | 195,017 | | | | | | | | SGD | | | | 260,000 | | | | | | | | 03/20/24 | | | | | | | | (2,723 | ) |
| |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (369,358 | ) |
| |
FUTURES CONTRACTS — At December 31, 2023, 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 | | | 189 | | | | | | | | 03/15/24 | | | | | | | $ | 45,549,000 | | | | | | | $ | 1,416,004 | |
S&P Toronto Stock Exchange 60 Index | | | 40 | | | | | | | | 03/14/24 | | | | | | | | 7,670,050 | | | | | | | | 116,333 | |
| |
| | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,532,337 | |
| |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2023, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITY 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 | | | $4,670.000 | | | | 01/03/2024 | | | | (4) | | | | $ (1,868,000 | ) | | | $ (41,660 | ) | | | $ (8,889) | | | | $(32,771) | |
S&P 500 Index | | | 4,750.000 | | | | 01/10/2024 | | | | (4) | | | | (1,900,000 | ) | | | (19,420 | ) | | | (6,873) | | | | (12,547) | |
S&P 500 Index | | | 4,900.000 | | | | 01/17/2024 | | | | (4) | | | | (1,960,000 | ) | | | (2,500 | ) | | | (6,356) | | | | 3,856 | |
S&P 500 Index | | | 4,900.000 | | | | 01/24/2024 | | | | (4) | | | | (1,960,000 | ) | | | (4,660 | ) | | | (6,796) | | | | 2,136 | |
S&P 500 Index | | | 4,675.000 | | | | 01/31/2024 | | | | (1) | | | | (467,500 | ) | | | (14,215 | ) | | | (4,479) | | | | (9,736) | |
S&P 500 Index | | | 4,710.000 | | | | 01/31/2024 | | | | (1) | | | | (471,000 | ) | | | (11,495 | ) | | | (3,883) | | | | (7,612) | |
S&P 500 Index | | | 4,715.000 | | | | 01/31/2024 | | | | (1) | | | | (471,500 | ) | | | (11,055 | ) | | | (3,550) | | | | (7,505) | |
S&P 500 Index | | | 4,725.000 | | | | 01/31/2024 | | | | (1) | | | | (472,500 | ) | | | (10,395 | ) | | | (3,399) | | | | (6,996) | |
S&P 500 Index | | | 4,785.000 | | | | 01/31/2024 | | | | (1) | | | | (478,500 | ) | | | (6,465 | ) | | | (2,759) | | | | (3,706) | |
S&P 500 Index | | | 4,895.000 | | | | 01/31/2024 | | | | (3) | | | | (1,468,500 | ) | | | (5,715 | ) | | | (6,687) | | | | 972 | |
S&P 500 Index | | | 4,900.000 | | | | 01/31/2024 | | | | (3) | | | | (1,470,000 | ) | | | (5,370 | ) | | | (6,297) | | | | 927 | |
S&P 500 Index | | | 4,905.000 | | | | 01/31/2024 | | | | (3) | | | | (1,471,500 | ) | | | (5,250 | ) | | | (5,937) | | | | 687 | |
S&P 500 Index | | | 4,910.000 | | | | 01/31/2024 | | | | (3) | | | | (1,473,000 | ) | | | (4,905 | ) | | | (5,577) | | | | 672 | |
S&P 500 Index | | | 4,915.000 | | | | 01/31/2024 | | | | (3) | | | | (1,474,500 | ) | | | (4,380 | ) | | | (5,217) | | | | 837 | |
S&P 500 Index | | | 4,835.000 | | | | 02/29/2024 | | | | (1) | | | | (483,500 | ) | | | (7,465 | ) | | | (3,634) | | | | (3,831) | |
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 EQUITY CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
| |
| | | | | | | |
S&P 500 Index | | $ | 4,965.000 | | | | 02/29/2024 | | | | (2) | | | $ | (993,000 | ) | | $ | (5,180 | ) | | $ | (6,958) | | | $ | 1,778 | |
| |
| | | | | | | |
| | | | | | | | | | | (39) | | | $ | (18,883,000 | ) | | $ | (160,130 | ) | | $ | (87,291) | | | $ | (72,839) | |
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 4,520.000 | | | | 01/03/2024 | | | | (4) | | | | (1,808,000 | ) | | | (60 | ) | | | (11,558) | | | | 11,498 | |
S&P 500 Index | | | 4,600.000 | | | | 01/10/2024 | | | | (4) | | | | (1,840,000 | ) | | | (820 | ) | | | (11,493) | | | | 10,673 | |
S&P 500 Index | | | 4,730.000 | | | | 01/17/2024 | | | | (4) | | | | (1,892,000 | ) | | | (9,180 | ) | | | (12,516) | | | | 3,336 | |
S&P 500 Index | | | 4,730.000 | | | | 01/24/2024 | | | | (4) | | | | (1,892,000 | ) | | | (12,040 | ) | | | (12,076) | | | | 36 | |
S&P 500 Index | | | 4,405.000 | | | | 01/31/2024 | | | | (1) | | | | (440,500 | ) | | | (485 | ) | | | (5,638) | | | | 5,153 | |
S&P 500 Index | | | 4,465.000 | | | | 01/31/2024 | | | | (1) | | | | (446,500 | ) | | | (660 | ) | | | (5,030) | | | | 4,370 | |
S&P 500 Index | | | 4,490.000 | | | | 01/31/2024 | | | | (1) | | | | (449,000 | ) | | | (755 | ) | | | (5,035) | | | | 4,280 | |
S&P 500 Index | | | 4,505.000 | | | | 01/31/2024 | | | | (1) | | | | (450,500 | ) | | | (825 | ) | | | (4,905) | | | | 4,080 | |
S&P 500 Index | | | 4,595.000 | | | | 01/31/2024 | | | | (1) | | | | (459,500 | ) | | | (1,450 | ) | | | (4,529) | | | | 3,079 | |
S&P 500 Index | | | 4,730.000 | | | | 01/31/2024 | | | | (3) | | | | (1,419,000 | ) | | | (11,400 | ) | | | (11,937) | | | | 537 | |
S&P 500 Index | | | 4,735.000 | | | | 01/31/2024 | | | | (3) | | | | (1,420,500 | ) | | | (12,090 | ) | | | (12,357) | | | | 267 | |
S&P 500 Index | | | 4,740.000 | | | | 01/31/2024 | | | | (3) | | | | (1,422,000 | ) | | | (12,540 | ) | | | (12,837) | | | | 297 | |
S&P 500 Index | | | 4,745.000 | | | | 01/31/2024 | | | | (3) | | | | (1,423,500 | ) | | | (13,020 | ) | | | (13,287) | | | | 267 | |
S&P 500 Index | | | 4,750.000 | | | | 01/31/2024 | | | | (3) | | | | (1,425,000 | ) | | | (13,515 | ) | | | (13,767) | | | | 252 | |
S&P 500 Index | | | 4,580.000 | | | | 02/29/2024 | | | | (1) | | | | (458,000 | ) | | | (3,180 | ) | | | (6,159) | | | | 2,979 | |
S&P 500 Index | | | 4,705.000 | | | | 02/29/2024 | | | | (1) | | | | (470,500 | ) | | | (5,490 | ) | | | (6,149) | | | | 659 | |
S&P 500 Index | | | 4,715.000 | | | | 02/29/2024 | | | | (1) | | | | (471,500 | ) | | | (5,740 | ) | | | (5,659) | | | | (81) | |
| |
| | | | | | | |
| | | | | | | | | | | (39) | | | $ | (18,188,000 | ) | | $ | (103,250 | ) | | $ | (154,932) | | | $ | 51,682 | |
| |
| | | | | | | |
Total written option contracts | | | | | | | | | | | (78) | | | $ | (37,071,000 | ) | | $ | (263,380 | ) | | $ | (242,223) | | | $ | (21,157) | |
| |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | 96.625 | | | | 06/13/2025 | | | | 25 | | | $ | 62,500 | | | $ | 43,750 | | | $ | 43,077 | | | $ | 673 | |
3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 72 | | | | 180,000 | | | | 58,950 | | | | 131,717 | | | | (72,767) | |
3 Month SOFR | | | 95.250 | | | | 09/13/2024 | | | | 15 | | | | 37,500 | | | | 29,437 | | | | 60,736 | | | | (31,299) | |
3 Month SOFR | | | 95.125 | | | | 06/14/2024 | | | | 16 | | | | 40,000 | | | | 18,900 | | | | 57,002 | | | | (38,102) | |
3 Month SOFR | | | 97.750 | | | | 06/14/2024 | | | | 97 | | | | 242,500 | | | | 6,669 | | | | 144,545 | | | | (137,876) | |
3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 79 | | | | 197,500 | | | | 43,450 | | | | 127,273 | | | | (83,823) | |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 47 | | | | 117,500 | | | | 12,925 | | | | 63,153 | | | | (50,228) | |
3 Month SOFR | | | 97.250 | | | | 06/14/2024 | | | | 32 | | | | 80,000 | | | | 3,200 | | | | 31,185 | | | | (27,985) | |
3 Month SOFR | | | 95.000 | | | | 03/15/2024 | | | | 30 | | | | 75,000 | | | | 9,938 | | | | 89,051 | | | | (79,113) | |
3 Month SOFR | | | 97.750 | | | | 03/15/2024 | | | | 110 | | | | 275,000 | | | | 2,063 | | | | 149,570 | | | | (147,507) | |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 25 | | | | 62,500 | | | | 38,437 | | | | 42,333 | | | | (3,896) | |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 24 | | | | 60,000 | | | | 32,100 | | | | 37,784 | | | | (5,684) | |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 23 | | | | 57,500 | | | | 22,425 | | | | 32,679 | | | | (10,254) | |
3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 24 | | | | 60,000 | | | | 47,250 | | | | 44,642 | | | | 2,608 | |
3 Month SOFR | | | 95.375 | | | | 06/14/2024 | | | | 6 | | | | 15,000 | | | | 4,913 | | | | 22,050 | | | | (17,137) | |
3 Month SOFR | | | 95.375 | | | | 09/13/2024 | | | | 6 | | | | 15,000 | | | | 10,537 | | | | 24,468 | | | | (13,931) | |
3 Month SOFR | | | 95.375 | | | | 03/15/2024 | | | | 6 | | | | 15,000 | | | | 863 | | | | 19,104 | | | | (18,241) | |
3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 66 | | | | 165,000 | | | | 71,362 | | | | 81,708 | | | | (10,346) | |
The accompanying notes are an integral part of these financial statements. 11
|
| GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND |
Schedule of Investments (continued)
December 31, 2023
|
|
| 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) |
| |
| | | | | | | |
3 Month SOFR | | | $97.000 | | | | 03/14/2025 | | | | 51 | | | | $ 127,500 | | | | $ 52,275 | | | | $ 67,693 | | | | $ (15,418) | |
3 Month SOFR | | | 97.500 | | | | 09/12/2025 | | | | 76 | | | | 190,000 | | | | 76,000 | | | | 85,676 | | | | (9,676) | |
3 Month SOFR | | | 97.500 | | | | 12/12/2025 | | | | 70 | | | | 175,000 | | | | 73,937 | | | | 84,162 | | | | (10,225) | |
3 Month SOFR | | | 98.500 | | | | 06/14/2024 | | | | 128 | | | | 320,000 | | | | 5,600 | | | | 19,160 | | | | (13,560) | |
3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 45 | | | | 112,500 | | | | 12,375 | | | | 9,104 | | | | 3,271 | |
3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 30 | | | | 75,000 | | | | 12,375 | | | | 9,445 | | | | 2,930 | |
3 Month SOFR | | | 96.750 | | | | 03/13/2026 | | | | 13 | | | | 32,500 | | | | 25,269 | | | | 21,155 | | | | 4,114 | |
3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 11 | | | | 27,500 | | | | 25,025 | | | | 20,238 | | | | 4,787 | |
3 Month SOFR | | | 96.500 | | | | 12/12/2025 | | | | 11 | | | | 27,500 | | | | 24,819 | | | | 19,851 | | | | 4,968 | |
3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 12 | | | | 30,000 | | | | 25,725 | | | | 20,428 | | | | 5,297 | |
3 Month SOFR | | | 96.750 | | | | 06/12/2026 | | | | 14 | | | | 35,000 | | | | 27,650 | | | | 21,733 | | | | 5,917 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | 1,164 | | | | $2,910,000 | | | | $818,219 | | | | $1,580,722 | | | | $(762,503) | |
| |
| | |
| | |
Currency Abbreviations: AUD —Australian Dollar CHF —Swiss Franc DKK —Denmark 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 Abbreviations: ETF —Exchange Traded Fund | | |
12 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Assets and Liabilities
December 31, 2023
| | | | |
| | |
| | Assets: | | |
| | |
| | Investments in affiliated issuers, at value (cost $271,737,054) | | $316,544,672 |
| | Purchased options, at value (premium paid $1,580,722) | | 818,219 |
| | Cash | | 5,841,573 |
| | Foreign currencies, at value (cost $33,176) | | 49,089 |
| | Unrealized gain on forward foreign currency exchange contracts | | 26,342 |
| | Receivables: | | |
| | Collateral on certain derivative contracts(a) | | 7,048,400 |
| | Dividends | | 886,355 |
| | Investments sold | | 93,900 |
| | Reimbursement from investment adviser | | 32,823 |
| | Fund shares sold | | 11,616 |
| | Other assets | | 64,534 |
| | |
| | |
| | Total assets | | 331,417,523 |
| | |
| | | | |
| | |
| | Liabilities: | | |
| | |
| | Unrealized loss on forward foreign currency exchange contracts | | 369,358 |
| | Written option contracts, at value (premium received $242,223) | | 263,380 |
| | Variation margin on futures contracts | | 89,734 |
| | Payables: | | |
| | Investments purchased | | 1,522,039 |
| | Fund shares redeemed | | 443,214 |
| | Due to broker | | 374,479 |
| | Distribution and Service fees and Transfer Agency fees | | 66,115 |
| | Management fees | | 40,968 |
| | Accrued expenses | | 167,273 |
| | |
| | |
| | Total liabilities | | 3,336,560 |
| | |
| | | | |
| | |
| | Net Assets: | | |
| | Paid-in capital | | 274,771,209 |
| | Total distributable earnings | | 53,309,754 |
| | |
| | |
| | NET ASSETS | | $328,080,963 |
| | | Net Assets: | | |
| | | Class A | | $155,911,826 |
| | | Class C | | 6,435,624 |
| | | Institutional | | 16,692,290 |
| | | Service | | 252,457 |
| | | Investor | | 5,681,995 |
| | | Class R6 | | 4,138,863 |
| | | Class R | | 5,886,973 |
| | | Class P | | 133,080,935 |
| | | |
| | | Total Net Assets | | $328,080,963 |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | |
| | | Class A | | 7,876,510 |
| | | Class C | | 337,169 |
| | | Institutional | | 829,573 |
| | | Service | | 12,760 |
| | | Investor | | 292,459 |
| | | Class R6 | | 205,109 |
| | | Class R | | 301,022 |
| | | Class P | | 6,607,885 |
| | | Net asset value, offering and redemption price per share:(b) | | |
| | | Class A | | $19.79 |
| | | Class C | | 19.09 |
| | | Institutional | | 20.12 |
| | | Service | | 19.79 |
| | | Investor | | 19.43 |
| | | Class R6 | | 20.18 |
| | | Class R | | 19.56 |
| | | Class P | | 20.14 |
| | (a) | Includes segregated cash of $2,599,815, $3,898,585 and $550,000 relating to initial margin requirements and/or collateral on futures contracts, option contracts and forward foreign currency exchange contracts, respectively. |
| | (b) | Maximum public offering price per share for Class A Shares is $20.94. 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. 13
|
| GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND |
Statement of Operations
For the Fiscal Year Ended December 31, 2023
| | | | |
| | |
| | Investment Income: | | |
| | |
| | Dividends — affiliated issuers | | $ 6,665,866 |
| | Interest | | 96,291 |
| | |
| | |
| | Total investment income | | 6,762,157 |
| | |
| | | | |
| | |
| | Expenses: | | |
| | |
| | Management fees | | 463,705 |
| | Distribution and Service (12b-1) fees(a) | | 449,525 |
| | Transfer Agency fees(a) | | 301,485 |
| | Registration fees | | 130,746 |
| | Professional fees | | 98,748 |
| | Printing and mailing costs | | 87,450 |
| | Custody, accounting and administrative services | | 72,344 |
| | Trustee fees | | 21,821 |
| | Service fees — Class C | | 16,550 |
| | Shareholder meeting expense | | 6,520 |
| | Shareholder Administration fees — Service Class | | 661 |
| | Other | | 18,044 |
| | |
| | |
| | Total expenses | | 1,667,599 |
| | |
| | |
| | Less — expense reductions | | (417,051) |
| | |
| | |
| | Net expenses | | 1,250,548 |
| | |
| | |
| | NET INVESTMENT INCOME | | 5,511,609 |
| | |
| | | | |
| | |
| | Realized and unrealized gain (loss): | | |
| | |
| | Capital gain distributions from Affiliated Funds | | 2,485,936 |
| | |
| | Net realized gain (loss) from: | | |
| | Investments — affiliated issuers | | 21,054,643 |
| | Purchased options | | (774,596) |
| | Futures contracts | | 4,520,598 |
| | Written options | | 119,922 |
| | Forward foreign currency exchange contracts | | 10,685 |
| | Foreign currency transactions | | (2,050) |
| | Net change in unrealized gain (loss) on: | | |
| | Investments — affiliated issuers | | 21,609,895 |
| | Purchased options | | 262,413 |
| | Futures contracts | | 2,872,940 |
| | Written options | | (86,880) |
| | Forward foreign currency exchange contracts | | (73,219) |
| | Foreign currency translation | | (6,227) |
| | |
| | |
| | Net realized and unrealized gain | | 51,994,060 |
| | |
| | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $57,505,669 |
| | |
| | (a) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | Transfer Agency Fees | |
Fund | | Class A | | | Class C | | | Service | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | |
| | | | | | | | | | | | |
Dynamic Global Equity | | $ | 370,822 | | | $ | 49,651 | | | $ | 661 | | | $ | 28,391 | | | $ | 229,807 | | | $ | 10,267 | | | $ | 6,515 | | | $ | 106 | | | $ | 7,943 | | | $ | 972 | | | $ | 8,799 | | | $ | 37,076 | |
14 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | For the Fiscal
Year Ended
December 31, 2023 | | For the Fiscal
Year Ended
December 31, 2022 |
| | | |
| | From operations: | | | | | | | | |
| | | |
| | Net investment income | | | $ 5,511,609 | | | | $ 5,138,272 | |
| | | |
| | Net realized gain | | | 27,415,138 | | | | 98,701,169 | |
| | | |
| | Net change in unrealized gain (loss) | | | 24,578,922 | | | | (185,947,610) | |
| | | |
| | | |
| | Net increase (decrease) in net assets resulting from operations | | | 57,505,669 | | | | (82,108,169) | |
| | | |
| | | |
| | | | | | | | | | |
| | | |
| | Distributions to shareholders: | | | | | | | | |
| | | |
| | From distributable earnings: | | | | | | | | |
| | | |
| | Class A Shares | | | (7,548,116 | ) | | | (8,322,811) | |
| | | |
| | Class C Shares | | | (278,828 | ) | | | (356,729) | |
| | | |
| | Institutional Shares | | | (857,811 | ) | | | (935,882) | |
| | | |
| | Service Shares | | | (12,550 | ) | | | (14,214) | |
| | | |
| | Investor Shares | | | (294,543 | ) | | | (305,792) | |
| | | |
| | Class R6 Shares | | | (194,124 | ) | | | (184,875) | |
| | | |
| | Class R Shares | | | (277,760 | ) | | | (309,964) | |
| | | |
| | Class P Shares | | | (6,762,450 | ) | | | (7,378,069) | |
| | | |
| | Return of capital: | | | | | | | | |
| | | |
| | Class A Shares | | | — | | | | (269,596) | |
| | | |
| | Class C Shares | | | — | | | | (9,498) | |
| | | |
| | Institutional Shares | | | — | | | | (32,264) | |
| | | |
| | Service Shares | | | — | | | | (449) | |
| | | |
| | Investor Shares | | | — | | | | (10,356) | |
| | | |
| | Class R6 Shares | | | — | | | | (6,090) | |
| | | |
| | Class R Shares | | | — | | | | (9,649) | |
| | | |
| | Class P Shares | | | — | | | | (253,414) | |
| | | |
| | | |
| | Total distributions to shareholders | | | (16,226,182 | ) | | | (18,399,652) | |
| | | |
| | | |
| | | | | | | | | | |
| | | |
| | From share transactions: | | | | | | | | |
| | | |
| | Proceeds from sales of shares | | | 15,797,611 | | | | 18,285,991 | |
| | | |
| | Reinvestment of distributions | | | 15,609,200 | | | | 17,684,945 | |
| | | |
| | Cost of shares redeemed in connection with in-kind transactions | | | — | | | | (532,139,980) | |
| | | |
| | Cost of shares redeemed | | | (37,806,273 | ) | | | (42,571,755) | |
| | | |
| | | |
| | Net decrease in net assets resulting from share transactions | | | (6,399,462 | ) | | | (538,740,799) | |
| | | |
| | | |
| | TOTAL INCREASE (DECREASE) | | | 34,880,025 | | | | (639,248,620) | |
| | | |
| | | |
| | | | | | | | | | |
| | | |
| | Net assets: | | | | | | | | |
| | | |
| | Beginning of year | | | 293,200,938 | | | | 932,449,558 | |
| | | |
| | | |
| | End of year | | | $328,080,963 | | | | $ 293,200,938 | |
| | | |
The accompanying notes are an integral part of these financial statements. 15
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, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.31 | | | $ | 22.80 | | | $ | 21.36 | | | $ | 19.32 | | | $ | 16.26 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.31 | | | | 0.28 | | | | 0.31 | | | | 0.18 | | | | 0.29 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.16 | | | | (4.67 | ) | | | 3.96 | | | | 2.36 | | | | 3.86 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 3.47 | | | | (4.39 | ) | | | 4.27 | | | | 2.54 | | | | 4.15 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.31 | ) | | | (0.52 | ) | | | (1.01 | ) | | | (0.18 | ) | | | (0.27) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.68 | ) | | | (0.55 | ) | | | (1.82 | ) | | | (0.32 | ) | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.99 | ) | | | (1.10 | ) | | | (2.83 | ) | | | (0.50 | ) | | | (1.09) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 19.79 | | | $ | 17.31 | | | $ | 22.80 | | | $ | 21.36 | | | $ | 19.32 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | 20.22 | % | | | (19.31 | )% | | | 20.07 | % | | | 13.15 | % | | | 25.66% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 155,912 | | | $ | 140,666 | | | $ | 185,213 | | | $ | 166,449 | | | $ | 162,028 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.56 | % | | | 0.56 | % | | | 0.56 | % | | | 0.57 | % | | | 0.58% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.70 | % | | | 0.70 | % | | | 0.60 | % | | | 0.64 | % | | | 0.66% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.62 | % | | | 1.42 | % | | | 1.29 | % | | | 0.98 | % | | | 1.56% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | 37 | % | | | 12 | % | | | 4 | % | | | 12 | % | | | 40% | |
| |
| | | |
| | (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 | |
| | |
| | | | | Class C Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 16.72 | | | $ | 22.04 | | | $ | 20.71 | | | $ | 18.74 | | | $ | 15.77 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.15 | | | | 0.11 | | | | 0.10 | | | | 0.02 | | | | 0.10 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.06 | | | | (4.49 | ) | | | 3.86 | | | | 2.28 | | | | 3.77 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 3.21 | | | | (4.38 | ) | | | 3.96 | | | | 2.30 | | | | 3.87 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.16 | ) | | | (0.37 | ) | | | (0.81 | ) | | | (0.01 | ) | | | (0.08) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.68 | ) | | | (0.55 | ) | | | (1.82 | ) | | | (0.32 | ) | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.02 | ) | | | — | | | | — | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.84 | ) | | | (0.94 | ) | | | (2.63 | ) | | | (0.33 | ) | | | (0.90) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 19.09 | | | $ | 16.72 | | | $ | 22.04 | | | $ | 20.71 | | | $ | 18.74 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | 19.37 | % | | | (19.91 | )% | | | 19.19 | % | | | 12.29 | % | | | 24.72% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 6,436 | | | $ | 6,659 | | | $ | 10,309 | | | $ | 13,716 | | | $ | 17,348 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 1.31 | % | | | 1.31 | % | | | 1.31 | % | | | 1.32 | % | | | 1.33% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 1.45 | % | | | 1.45 | % | | | 1.35 | % | | | 1.39 | % | | | 1.41% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 0.81 | % | | | 0.59 | % | | | 0.45 | % | | | 0.13 | % | | | 0.58% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | 37 | % | | | 12 | % | | | 4 | % | | | 12 | % | | | 40% | |
| |
| | | |
| | (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 | |
| | |
| | | | | Institutional Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.58 | | | $ | 23.13 | | | $ | 21.63 | | | $ | 19.55 | | | $ | 16.43 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.38 | | | | 0.35 | | | | 0.39 | | | | 0.23 | | | | 0.34 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.22 | | | | (4.73 | ) | | | 4.03 | | | | 2.42 | | | | 3.93 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 3.60 | | | | (4.38 | ) | | | 4.42 | | | | 2.65 | | | | 4.27 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.38 | ) | | | (0.58 | ) | | | (1.10 | ) | | | (0.25 | ) | | | (0.33) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.68 | ) | | | (0.55 | ) | | | (1.82 | ) | | | (0.32 | ) | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (1.06 | ) | | | (1.17 | ) | | | (2.92 | ) | | | (0.57 | ) | | | (1.15) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 20.12 | | | $ | 17.58 | | | $ | 23.13 | | | $ | 21.63 | | | $ | 19.55 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | 20.65 | % | | | (18.98 | )% | | | 20.50 | % | | | 13.56 | % | | | 26.18% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 16,692 | | | $ | 14,970 | | | $ | 19,052 | | | $ | 14,179 | | | $ | 13,423 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.20 | % | | | 0.19 | % | | | 0.19 | % | | | 0.19 | % | | | 0.20% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.33 | % | | | 0.33 | % | | | 0.24 | % | | | 0.26 | % | | | 0.28% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.99 | % | | | 1.80 | % | | | 1.62 | % | | | 1.25 | % | | | 1.82% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | 37 | % | | | 12 | % | | | 4 | % | | | 12 | % | | | 40% | |
| |
| | | |
| | (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 | |
| | |
| | | | | Service Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | $ | 17.30 | | | $ | 22.78 | | | $ | 21.35 | | | $ | 19.30 | | | $ | 16.20 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | 0.27 | | | | 0.25 | | | | 0.29 | | | | 0.15 | | | | 0.21 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | 3.18 | | | | (4.66 | ) | | | 3.94 | | | | 2.37 | | | | 3.89 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | 3.45 | | | | (4.41 | ) | | | 4.23 | | | | 2.52 | | | | 4.10 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | (0.28 | ) | | | (0.52 | ) | | | (0.98 | ) | | | (0.15 | ) | | | (0.18) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.68 | ) | | | (0.55 | ) | | | (1.82 | ) | | | (0.32 | ) | | | (0.82) | |
| |
| | | |
| | | | | | |
| | Total distributions | | | (0.96 | ) | | | (1.07 | ) | | | (2.80 | ) | | | (0.47 | ) | | | (1.00) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | $ | 19.79 | | | $ | 17.30 | | | $ | 22.78 | | | $ | 21.35 | | | $ | 19.30 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | 20.09 | % | | | (19.39 | )% | | | 19.90 | % | | | 13.04 | % | | | 25.49% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | $ | 252 | | | $ | 244 | | | $ | 310 | | | $ | 269 | | | $ | 380 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | 0.70 | % | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.70% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | 0.83 | % | | | 0.83 | % | | | 0.74 | % | | | 0.76 | % | | | 0.78% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | 1.45 | % | | | 1.30 | % | | | 1.21 | % | | | 0.79 | % | | | 1.16% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | 37 | % | | | 12 | % | | | 4 | % | | | 12 | % | | | 40% | |
| |
| | | |
| | (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 |
| | |
| | | | | Investor Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | | $ | 17.01 | | | | $ | 22.43 | | | | $ | 21.05 | | | | $ | 19.04 | | | | $ | 16.03 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | | 0.35 | | | | | 0.33 | | | | | 0.38 | | | | | 0.23 | | | | | 0.30 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 3.11 | | | | | (4.60 | ) | | | | 3.89 | | | | | 2.33 | | | | | 3.84 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | | 3.46 | | | | | (4.27 | ) | | | | 4.27 | | | | | 2.56 | | | | | 4.14 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.36 | ) | | | | (0.56 | ) | | | | (1.07 | ) | | | | (0.23 | ) | | | | (0.31) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.68 | ) | | | | (0.55 | ) | | | | (1.82 | ) | | | | (0.32 | ) | | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.04 | ) | | | | — | | | | | — | | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | | (1.04 | ) | | | | (1.15 | ) | | | | (2.89 | ) | | | | (0.55 | ) | | | | (1.13) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | | $ | 19.43 | | | | $ | 17.01 | | | | $ | 22.43 | | | | $ | 21.05 | | | | $ | 19.04 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | | 20.52 | % | | | | (19.08 | )% | | | | 20.36 | % | | | | 13.44 | % | | | | 25.97% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 5,682 | | | | $ | 4,888 | | | | $ | 5,797 | | | | $ | 4,908 | | | | $ | 4,517 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.45 | % | | | | 0.45 | % | | | | 0.35 | % | | | | 0.39 | % | | | | 0.41% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.90 | % | | | | 1.72 | % | | | | 1.61 | % | | | | 1.24 | % | | | | 1.66% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | | 37 | % | | | | 12 | % | | | | 4 | % | | | | 12 | % | | | | 40% | |
| |
| | | |
| | (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 R6 Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | | $ | 17.63 | | | | $ | 23.14 | | | | $ | 21.63 | | | | $ | 19.55 | | | | $ | 16.44 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | | 0.39 | | | | | 0.01 | | | | | 0.40 | | | | | 0.25 | | | | | 0.49 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 3.22 | | | | | (4.39 | ) | | | | 4.03 | | | | | 2.40 | | | | | 3.78 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | | 3.61 | | | | | (4.38 | ) | | | | 4.43 | | | | | 2.65 | | | | | 4.27 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.38 | ) | | | | (0.54 | ) | | | | (1.10 | ) | | | | (0.25 | ) | | | | (0.34) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.68 | ) | | | | (0.55 | ) | | | | (1.82 | ) | | | | (0.32 | ) | | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.04 | ) | | | | — | | | | | — | | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | | (1.06 | ) | | | | (1.13 | ) | | | | (2.92 | ) | | | | (0.57 | ) | | | | (1.16) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | | $ | 20.18 | | | | $ | 17.63 | | | | $ | 23.14 | | | | $ | 21.63 | | | | $ | 19.55 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | | 20.66 | % | | | | (18.99 | )% | | | | 20.55 | % | | | | 13.57 | % | | | | 26.14% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 4,139 | | | | $ | 2,980 | | | | $ | 544,796 | | | | $ | 490,832 | | | | $ | 478,073 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.32 | % | | | | 0.23 | % | | | | 0.23 | % | | | | 0.25 | % | | | | 0.26% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.00 | % | | | | 0.04 | % | | | | 1.66 | % | | | | 1.36 | % | | | | 2.55% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | | 37 | % | | | | 12 | % | | | | 4 | % | | | | 12 | % | | | | 40% | |
| |
| | | |
| | (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 R Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | | $ | 17.12 | | | | $ | 22.56 | | | | $ | 21.17 | | | | $ | 19.15 | | | | $ | 16.13 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | | 0.26 | | | | | 0.23 | | | | | 0.23 | | | | | 0.13 | | | | | 0.24 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 3.13 | | | | | (4.61 | ) | | | | 3.94 | | | | | 2.34 | | | | | 3.82 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | | 3.39 | | | | | (4.38 | ) | | | | 4.17 | | | | | 2.47 | | | | | 4.06 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.27 | ) | | | | (0.48 | ) | | | | (0.96 | ) | | | | (0.13 | ) | | | | (0.22) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.68 | ) | | | | (0.55 | ) | | | | (1.82 | ) | | | | (0.32 | ) | | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | | (0.95 | ) | | | | (1.06 | ) | | | | (2.78 | ) | | | | (0.45 | ) | | | | (1.04) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | | $ | 19.56 | | | | $ | 17.12 | | | | $ | 22.56 | | | | $ | 21.17 | | | | $ | 19.15 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | | 19.95 | % | | | | (19.49 | )% | | | | 19.76 | % | | | | 12.88 | % | | | | 25.36% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 5,887 | | | | $ | 5,292 | | | | $ | 6,611 | | | | $ | 5,700 | | | | $ | 5,922 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.95 | % | | | | 0.95 | % | | | | 0.85 | % | | | | 0.89 | % | | | | 0.91% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.38 | % | | | | 1.19 | % | | | | 0.97 | % | | | | 0.70 | % | | | | 1.31% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | | 37 | % | | | | 12 | % | | | | 4 | % | | | | 12 | % | | | | 40% | |
| |
| | | |
| | (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. |
| | |
| 22 | | 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 P Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net asset value, beginning of year | | | $ | 17.59 | | | | $ | 23.15 | | | | $ | 21.64 | | | | $ | 19.56 | | | | $ | 16.44 | |
| |
| | | |
| | | | | | |
| | Net investment income(a)(b) | | | | 0.39 | | | | | 0.35 | | | | | 0.40 | | | | | 0.26 | | | | | 0.37 | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 3.22 | | | | | (4.74 | ) | | | | 4.03 | | | | | 2.39 | | | | | 3.91 | |
| |
| | | |
| | | | | | |
| | Total from investment operations | | | | 3.61 | | | | | (4.39 | ) | | | | 4.43 | | | | | 2.65 | | | | | 4.28 | |
| |
| | | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.38 | ) | | | | (0.58 | ) | | | | (1.10 | ) | | | | (0.25 | ) | | | | (0.34) | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.68 | ) | | | | (0.55 | ) | | | | (1.82 | ) | | | | (0.32 | ) | | | | (0.82) | |
| | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.04 | ) | | | | — | | | | | — | | | | | — | |
| |
| | | |
| | | | | | |
| | Total distributions | | | | (1.06 | ) | | | | (1.17 | ) | | | | (2.92 | ) | | | | (0.57 | ) | | | | (1.16) | |
| |
| | | |
| | | | | | |
| | Net asset value, end of year | | | $ | 20.14 | | | | $ | 17.59 | | | | $ | 23.15 | | | | $ | 21.64 | | | | $ | 19.56 | |
| |
| | | |
| | | | | | |
| | Total return(c) | | | | 20.71 | % | | | | (19.00 | )% | | | | 20.54 | % | | | | 13.57 | % | | | | 26.19% | |
| |
| | | |
| | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 133,081 | | | | $ | 117,502 | | | | $ | 160,360 | | | | $ | 130,610 | | | | $ | 127,367 | |
| | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19% | |
| | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.32 | % | | | | 0.32 | % | | | | 0.23 | % | | | | 0.25 | % | | | | 0.27% | |
| | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.01 | % | | | | 1.78 | % | | | | 1.64 | % | | | | 1.37 | % | | | | 1.96% | |
| | | | | | |
| | Portfolio turnover rate(e) | | | | 37 | % | | | | 12 | % | | | | 4 | % | | | | 12 | % | | | | 40% | |
| |
| | | |
| | (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. | | 23 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements December 31, 2023 |
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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the 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.
24
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
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 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.
F. In-Kind Transactions — The 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 the 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 Fund’s 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 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).
25
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
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 Fund, including investments for which market quotations are not readily available. With respect to the Fund’s investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has 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:
Underlying Funds (including Money Market Funds) — Underlying Funds include exchange-traded funds (“ETFs”) and other investment companies. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
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 either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives including future contracts 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.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
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 the Valuation Procedures. 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, 2023:
| | | | | | | | | | | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Equity | | $ | 99,341,316 | | | $ | — | | | $ | — | |
| | | |
Exchange Traded Funds | | | 197,079,916 | | | | — | | | | — | |
| | | |
Investment Company | | | 20,123,440 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 316,544,672 | | | $ | — | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 26,342 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 1,532,337 | | | | — | | | | — | |
| | | |
Purchased option contracts | | | 818,219 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 2,350,556 | | | $ | 26,342 | | | $ | — | |
|
| |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (369,358 | ) | | $ | — | |
| | | |
Written option contracts | | | (263,380 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (263,380 | ) | | $ | (369,358 | ) | | $ | — | |
|
| |
| | (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
|
|
4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. 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 | |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | $ | 26,342 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | (369,358 | ) |
| | | | |
| Equity | | Variation margin on futures contracts | | | 1,532,337 | (a) | | Written options, at value | | | (263,380 | ) |
| | | | |
| Interest rate | | Purchased options, at value | | | 818,219 | | | — | | | — | |
| | | | |
Total | | | | $ | 2,376,898 | | | | | $ | (632,738 | ) |
| | (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Financial Condition. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| | | | | | | | | | |
| | | |
| Risk | | Statement of Operations | | Net Realized Gain (Loss) | | | Net Change in Unrealized Gain (Loss) | |
| | | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | $ 10,685 | | | | $ (73,219 | ) |
| | | |
| Equity | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | | | 4,640,520 | | | | 2,786,060 | |
| | | |
| Interest rate | | Net realized gain (loss) from purchased options /Net change in unrealized gain (loss) on purchased options | | | (774,596 | ) | | | 262,413 | |
| | | |
Total | | | | | $3,876,609 | | | | $2,975,254 | |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:
| | | | | | | | |
| | | Average Number of Contracts, Notional Amounts, or Shares/Units(a) |
| | | |
| | | | |
| Fund | | Futures
Contracts | | Forward
Contracts | | Purchased
Options | | Written
Options |
|
|
| | | | |
Dynamic Global Equity | | 203 | | $16,174,594 | | 2,475,000 | | 11,417 |
|
|
| | (a) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, purchased and written swaptions, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Fund held such derivatives during the fiscal year ended December 31, 2023. |
|
|
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%.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.
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 | | Service | | Class R* |
|
|
| | | | |
Distribution and/or Service Plan | | 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 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, 2023, Goldman Sachs retained $3,345 of the front end sales charges and $760 of the CDSC for the Fund.
D. Service and Shareholder Administration Plans — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares 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 or shareholder administration
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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: 0.15% 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. Prior to July 1, 2023, the fees charged for such transfer agency services were 0.16% of the average daily net assets of 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 Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. These Other Expense limitations will remain in place through at least April 28, 2024, 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, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | |
Transfer Agency Waivers/Credits | | Other Expense Reimbursements | | Total Expense Reductions |
| | |
| $754 | | $416,297 | | $417,051 |
G. Line of Credit Facility — As of December 31, 2023, the Fund participated in a $1,110,000,000 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, 2023, the Fund did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
H. Other Transactions with Affiliates — The Fund invests primarily in 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, 2023 (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Dynamic Global Equity Fund | | | | | | | | | | | | | |
| | | | | | | | | |
| Underlying Fund | | Beginning
Value as of
12/31/22 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change In
Unrealized
Gain (Loss) | | | Ending
Value as of
12/31/23 | | | Shares as of
12/31/23 | | | Dividend
Income | | | Capital Gain
Distributions | |
|
| |
| | | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | $ 17,415 | | | | $ 5,875 | | | | $ (15,552 | ) | | | $ (281 | ) | | | $ 1,501 | | | | $ 8,958 | | | | 292 | | | | $ 563 | | | | $ — | |
|
| |
| | | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | | 41,035 | | | | — | | | | (25,630 | ) | | | 3,496 | | | | 1,757 | | | | 20,658 | | | | 633 | | | | 1,178 | | | | — | |
|
| |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Dynamic Global Equity Fund (continued) | | | | | | | | | | | | | |
| | | | | | | | | |
| Underlying Fund | | Beginning
Value as of
12/31/22 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change In
Unrealized
Gain (Loss) | | | Ending
Value as of
12/31/23 | | | Shares as of
12/31/23 | | | Dividend
Income | | | Capital Gain
Distributions | |
|
| |
| | | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | $ 81,568 | | | | $ — | | | | $ (44,962 | ) | | | $16,921 | | | | $ (1,221 | ) | | | $ 52,306 | | | | 558 | | | | $1,012 | | | | $ — | |
|
| |
| | | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 8,654 | | | | 1,836 | | | | (2,300 | ) | | | (336 | ) | | | 1,032 | | | | 8,886 | | | | 1,097 | | | | 335 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 16,640 | | | | 64,164 | | | | (60,681 | ) | | | — | | | | — | | | | 20,123 | | | | 20,123 | | | | 946 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 3,084 | | | | 3,079 | | | | (1,614 | ) | | | 182 | | | | 97 | | | | 4,828 | | | | 388 | | | | 65 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | — | | | | 4,707 | | | | — | | | | 4 | | | | 203 | | | | 4,914 | | | | 500 | | | | 7 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 22,488 | | | | 2,670 | | | | (8,300 | ) | | | 969 | | | | 3,078 | | | | 20,905 | | | | 1,509 | | | | 570 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs International Small Cap Insights Fund—Class R6 | | | 1,615 | | | | 879 | | | | — | | | | — | | | | 181 | | | | 2,675 | | | | 219 | | | | 79 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 21,997 | | | | 1,803 | | | | (2,927 | ) | | | (723 | ) | | | 6,639 | | | | 26,789 | | | | 966 | | | | 27 | | | | 1,750 | |
|
| |
| | | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 30,401 | | | | 2,035 | | | | (8,200 | ) | | | 334 | | | | 1,707 | | | | 26,277 | | | | 1,167 | | | | 499 | | | | 736 | |
|
| |
| | | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 9,745 | | | | 7,998 | | | | — | | | | — | | | | 830 | | | | 18,573 | | | | 438 | | | | 351 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | 21,833 | | | | 19,154 | | | | (1,856 | ) | | | 251 | | | | 2,875 | | | | 42,257 | | | | 786 | | | | 669 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | — | | | | 52,407 | | | | — | | | | — | | | | 1,922 | | | | 54,329 | | | | 831 | | | | 306 | | | | — | |
|
| |
| | | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 6,761 | | | | 59 | | | | (4,000 | ) | | | 238 | | | | 1,009 | | | | 4,067 | | | | 155 | | | | 59 | | | | — | |
|
| |
| | | | | | | | | |
Total | | | $283,236 | | | | $166,666 | | | | $(176,022 | ) | | | $21,055 | | | | $21,610 | | | | $316,545 | | | | | | | | $6,666 | | | | $2,486 | |
|
| |
|
|
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, 2023, were $104,320,025 and $116,609,916, respectively.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) December 31, 2023 |
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | |
Distributions paid from: | | | | |
| |
Ordinary income | | $ | 5,500,175 | |
| |
Net long-term capital gains | | | 10,726,007 | |
|
| |
| |
Total taxable distributions | | $ | 16,226,182 | |
|
| |
The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:
| | | | |
| |
Distributions paid from: | | | | |
| |
Ordinary income | | $ | 8,909,837 | |
| |
Net long-term capital gains | | | 8,898,499 | |
|
| |
| |
Total taxable distributions | | $ | 17,808,336 | |
|
| |
| |
Tax return of capital | | $ | 591,316 | |
|
| |
As of the Fund’s most recent fiscal year end, December 31, 2023, the Fund’s capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | |
|
| |
| |
Undistributed ordinary income — net | | $ | 277,124 | |
| |
Undistributed long-term capital gains | | | 11,604,757 | |
|
| |
| |
Total Undistributed Earnings | | $ | 11,881,881 | |
|
| |
| |
Capital loss carryforwards(1): | | | | |
| |
Timing differences (Late Year Loss Deferral and Straddle Loss Deferral) | | $ | (766,544 | ) |
| |
| | | | |
| |
Unrealized gains (loss) — net | | | 42,194,417 | |
|
| |
| |
Total accumulated earnings (loss) net | | $ | 53,309,754 | |
|
| |
| | (1) | The Fund utilized $6,651,127 of capital losses in the current fiscal year. |
As of December 31, 2023, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
|
| |
| |
Tax Cost | | $ | 276,352,551 | |
|
| |
| |
Gross unrealized gain | | | 43,506,953 | |
| |
Gross unrealized loss | | | (1,312,536 | ) |
|
| |
| |
Net unrealized gain | | $ | 42,194,417 | |
|
| |
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.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds’ and result primarily from return of capital distributions.
The Fund reclassed $14,018 from distributable earnings to paid in capital for the year ending December 31, 2023. 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.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
The Fund’s risks include, but are not limited to, the following:
Asset Allocation Risk — The Fund’s allocations to the various asset classes and to the Underlying Managers may cause the Fund to underperform other funds with a similar investment objective.
Derivatives Risk — The Fund’s use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Fund. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Fund will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Fund will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. 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.
Expenses Risk — By investing in the Underlying Funds indirectly through the Fund, the investor will incur not only a proportionate share of the expenses of the Underlying Funds held by the Fund (including operating costs and investment management fees), but also the expenses of the Fund.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
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.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
8. OTHER RISKS (continued) |
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 a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, declining prices of the securities sold, 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 funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund‘s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market 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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.
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.
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
10. OTHER MATTERS (continued) |
alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
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.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Dynamic Global Equity Fund | |
| | |
| | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 242,174 | | | $ | 4,603,700 | | | | 236,183 | | | $ | 4,530,644 | |
| | | | |
Reinvestment of distributions | | | 358,829 | | | | 6,978,690 | | | | 446,499 | | | | 7,930,440 | |
| | | | |
Shares redeemed | | | (848,866 | ) | | | (16,092,103 | ) | | | (681,861 | ) | | | (13,025,872 | ) |
|
| |
| | | | |
| | | (247,863 | ) | | | (4,509,713 | ) | | | 821 | | | | (564,788 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 16,466 | | | | 299,431 | | | | 19,722 | | | | 368,742 | |
| | | | |
Reinvestment of distributions | | | 15,001 | | | | 278,828 | | | | 21,189 | | | | 363,516 | |
| | | | |
Shares redeemed | | | (92,450 | ) | | | (1,697,944 | ) | | | (110,476 | ) | | | (2,050,980 | ) |
|
| |
| | | | |
| | | (60,983 | ) | | | (1,119,685 | ) | | | (69,565 | ) | | | (1,318,722 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 162,544 | | | | 3,098,330 | | | | 268,088 | | | | 5,355,557 | |
| | | | |
Reinvestment of distributions | | | 42,390 | | | | 840,868 | | | | 52,598 | | | | 948,328 | |
| | | | |
Shares redeemed | | | (226,925 | ) | | | (4,399,257 | ) | | | (292,753 | ) | | | (5,615,010 | ) |
|
| |
| | | | |
| | | (21,991 | ) | | | (460,059 | ) | | | 27,933 | | | | 688,875 | |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 174 | | | | 3,246 | | | | 392 | | | | 8,293 | |
| | | | |
Reinvestment of distributions | | | 536 | | | | 10,386 | | | | 689 | | | | 12,230 | |
| | | | |
Shares redeemed | | | (2,055 | ) | | | (39,815 | ) | | | (588 | ) | | | (11,153 | ) |
|
| |
| | | | |
| | | (1,345 | ) | | | (26,183 | ) | | | 493 | | | | 9,370 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 57,552 | | | | 1,088,035 | | | | 64,270 | | | | 1,205,229 | |
| | | | |
Reinvestment of distributions | | | 15,388 | | | | 294,543 | | | | 18,112 | | | | 316,148 | |
| | | | |
Shares redeemed | | | (67,864 | ) | | | (1,254,952 | ) | | | (53,481 | ) | | | (1,055,430 | ) |
|
| |
| | | | |
| | | 5,076 | | | | 127,626 | | | | 28,901 | | | | 465,947 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 47,832 | | | | 942,907 | | | | 37,681 | | | | 811,416 | |
| | | | |
Reinvestment of distributions | | | 8,320 | | | | 165,675 | | | | 9,024 | | | | 163,187 | |
| | | | |
Shares redeemed in connection with in-kind transactions | | | — | | | | — | | | | (23,298,598 | ) | | | (532,139,980 | ) |
| | | | |
Shares redeemed | | | (20,072 | ) | | | (378,243 | ) | | | (124,536 | ) | | | (2,776,611 | ) |
|
| |
| | | | |
| | | 36,080 | | | | 730,339 | | | | (23,376,429 | ) | | | (533,941,988 | ) |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 26,834 | | | | 503,470 | | | | 35,626 | | | | 688,910 | |
| | | | |
Reinvestment of distributions | | | 14,489 | | | | 277,760 | | | | 18,193 | | | | 319,613 | |
| | | | |
Shares redeemed | | | (49,391 | ) | | | (948,612 | ) | | | (37,732 | ) | | | (710,778 | ) |
|
| |
| | | | |
| | | (8,068 | ) | | | (167,382 | ) | | | 16,087 | | | | 297,745 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 269,430 | | | | 5,258,492 | | | | 256,415 | | | | 5,317,200 | |
| | | | |
Reinvestment of distributions | | | 340,567 | | | | 6,762,450 | | | | 422,752 | | | | 7,631,483 | |
| | | | |
Shares redeemed | | | (680,393 | ) | | | (12,995,347 | ) | | | (927,836 | ) | | | (17,325,921 | ) |
|
| |
| | | | |
| | | (70,396 | ) | | | (974,405 | ) | | | (248,669 | ) | | | (4,377,238 | ) |
|
| |
| | | | |
NET DECREASE | | | (369,490 | ) | | $ | (6,399,462 | ) | | | (23,620,428 | ) | | $ | (538,740,799 | ) |
|
| |
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, 2023, the related statement of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, 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, 2023 and the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Fund Expenses — Six Month Period Ended December 31, 2023 (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), contingent deferred sales charges on redemptions (generally 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, Class R 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, 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 January 1, 2023 through December 31, 2023, 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 7/1/23 | | | Ending
Account Value 12/31/23 | | | Expenses
Paid for the
6 months ended
12/31/23* | |
| Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,062.80 | | | | $2.88 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.40 | + | | | 2.82 | |
| Class C | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,058.90 | | | | 6.77 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.60 | + | | | 6.63 | |
| Institutional | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,064.80 | | | | 1.01 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.20 | + | | | 0.99 | |
| Service | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,062.10 | | | | 3.61 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.70 | + | | | 3.54 | |
| Investor | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,064.40 | | | | 1.58 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,023.70 | + | | | 1.55 | |
| Class R6 | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,064.70 | | | | 0.96 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.94 | |
| Class R | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,061.80 | | | | 4.17 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.10 | + | | | 4.09 | |
| Class P | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,064.80 | | | | 0.96 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.30 | + | | | 0.94 | |
| | * | 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, 2023. 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 | % | | | 0.20 | % | | | 0.70 | % | | | 0.31 | % | | | 0.19 | % | | | 0.81 | % | | | 0.19 | % | | | | |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:
| | | | | | | | | | |
| Proposal | | | | | | | | |
Election of Trustees | | | For | | | | | | Withheld | |
|
| |
| | | |
Cheryl K. Beebe | | | 169,452,067,796 | | | | | | 5,900,273,020 | |
| |
| | | |
John G. Chou | | | 173,279,757,273 | | | | | | 2,072,583,543 | |
| |
| | | |
Eileen H. Dowling | | | 173,287,456,218 | | | | | | 2,064,884,598 | |
| |
| | | |
Lawrence Hughes | | | 173,486,691,901 | | | | | | 1,865,648,915 | |
| |
| | | |
John F. Killian | | | 173,511,167,174 | | | | | | 1,841,173,642 | |
| |
| | | |
Steven D. Kirchmar | | | 173,484,256,228 | | | | | | 1,868,084,588 | |
| |
| | | |
Michael Latham | | | 173,498,020,286 | | | | | | 1,854,320,530 | |
| |
| | | |
Lawrence W. Stranghoener | | | 173,455,949,165 | | | | | | 1,896,391,651 | |
| |
| | | |
Paul C. Wirth | | | 173,324,070,424 | | | | | | 2,028,270,391 | |
| |
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 Occupations During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications, Inc. |
| | | | | |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a data-driven, digital financial platform) |
| | | | | |
Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
| | | | | |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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 Occupations During Past 5 Years | | Number of
Portfolios in
Fund Complex
Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
Interested Trustee* |
| | | | | |
Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and Length of Time Served2 | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. |
| 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, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and 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. |
Information as of the date of this shareholder report. 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.
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 Occupations During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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 ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). |
| | | | | | |
| * | 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, 2023. |
| 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, 2023, 26.63% of the dividends paid from net investment company taxable income by Dynamic Global Equity Fund qualifies for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Dynamic Global Equity Fund designates $ 10,726,007, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2023.
For the year end December 31, 2023, 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 $0.2080 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, 2023, from foreign sources was 41.36%. The total amount of foreign taxes paid by the Fund was $0.0157 per share.
For the year ended December 31, 2023, 83.30% of the dividends paid from net investment company taxable income by the Dynamic Global Equity Fund qualifies for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
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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 $2.54 trillion in assets under supervision as of December 31, 2023, 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 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Strategic Volatility Premium Fund |
| ∎ | 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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 OFFICERS Gregory G. Weaver, Chair James A. McNamara, President Cheryl K. Beebe* Joseph F. DiMaria, Principal Financial Officer, Principal Dwight L. Bush Accounting Officer and Treasurer Kathryn A. Cassidy Robert Griffith, Secretary John G. Chou Joaquin Delgado Eileen H. Dowling Lawrence Hughes* John F. Killian* Steven D. Krichmar* Michael Latham* James A. McNamara Lawrence W. Stranghoener* PaulC.Wirth *Effective January 1, 2024 GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent Investment Adviser 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. 4 Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. 5 Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. 6 Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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. Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282 Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (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 data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data 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. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. 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, 2023 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 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 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). Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds. © 2024 Goldman Sachs. All rights reserved. 356276-OTU-1967047 DYNGLEQAR-24
Goldman Sachs Funds
Annual Report
December 31, 2023
Real Estate Securities and Global Infrastructure Funds
Global Infrastructure
Global Real Estate Securities
Real Estate Securities
Goldman Sachs Real Estate Securities and Global Infrastructure Funds
| | |
| ∎ | | GLOBAL REAL ESTATE SECURITIES |
TABLE OF CONTENTS
Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.
| | | | | | |
| | | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee | | |
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, 2023 (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 4.78%, 3.95%, 5.13%, 5.00%, 5.09% and 5.17%, respectively. These returns compare to the 4.51% 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. |
| | Effective July 14, 2023, Class R Shares of the Fund were terminated. In anticipation of the termination, effective June 15, 2023, Class R Shares of the Fund were no longer sold to new investors or existing shareholders (except through reinvested dividends) or eligible for exchanges with other Goldman Sachs Funds. In addition, Class R Shares of the Fund were closed to all new accounts effective on June 15, 2023. |
| Q | What economic and market factors most influenced global infrastructure securities during the Reporting Period? |
| A | Global infrastructure securities generated positive returns during the Reporting Period, with investor sentiment most influenced by inflation trends and macroeconomic data, central bank monetary policy, rising interest rates and geopolitical concerns. |
| | During the first quarter of 2023, global infrastructure securities, as measured by the Index, returned 2.49%. The broad global equity market posted comparatively stronger gains, bolstered by a rally in growth-oriented stocks. In January, global equities advanced on the back of expectations around peaking inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. China finally lifted its stringent zero-COVID policy, which increased global hopes around the resolution of supply-chain disruptions and |
| | economic recovery driven by strong domestic consumption. The international tourism industry seemed poised to benefit from the country’s reopening, as Chinese citizens would be able to travel abroad after nearly three years. February proved to be a setback for the disinflation path, as Japan saw its highest level of inflation in 40 years. In the U.S., the release of January inflation data indicated the largest monthly increase since mid-2022, illustrating that more work was needed to combat inflation. Additionally, U.S. payrolls demonstrated the largest job growth in six months, and the unemployment rate fell to a 53-year low, pushing market forecasts for the Federal Reserve’s (“Fed”) terminal rate up. During March, global equity markets saw a short-lived dip amid concerns about asset liquidity and deposit safety in the U.S. and European banking sectors. Swift response from U.S. and European policymakers quickly calmed nerves, but the turmoil made the Fed’s decisions regarding interest rates more complex given its objective of mitigating downside risks to economic growth while combating persistent inflation amid a tight labor market. At their March meeting, Fed officials implemented a 25 basis point rate hike, the second increase of the quarter. (A basis point is 1/100th of a percentage point.) On the geopolitical front, the Russia/Ukraine war continued into a second year, as several governments across the globe geared up to impose a new set of sanctions on trade with Russia and to arrange military aid for Ukraine. U.S./China tensions re-escalated after President Biden criticized the Chinese government for intervening in the Russia/Ukraine war. |
| | In the second quarter of 2023, global infrastructure securities returned -1.09%. However, global equities continued to advance, with notable gains by both information technology stocks, which benefited from enthusiasm around artificial intelligence (“AI”), and the strong performance of consumer-oriented stocks, which benefited from optimism about China’s economic reopening and easing global recessionary concerns. High inflation rates persisted during the quarter, |
PORTFOLIO RESULTS
| | while sustained wage growth raised concerns around peak central bank policy rates potentially being higher than consensus expected. In the U.K., inflation hit a 31-year high in May, leading the Bank of England (“BoE”) to hike interest rates more than consensus expected in June. China’s recovery-fueled momentum slowed. Concerns surrounding the U.S. debt ceiling loomed over the markets mid-quarter, though a deal was eventually reached, which was a source of relief to the markets. |
| | Global infrastructure securities returned -8.05% during the third quarter of 2023. The broad global equity market also declined, though to a lesser degree. The market environment was marked by persistent inflation, surging energy prices, contractionary economic concerns, particularly in Europe, and further interest rate hikes by central banks. In Europe, concerns persisted around the contractionary effect of elevated interest rates on the economy, as the European Central Bank raised rates twice in the quarter. The BoE raised rates more than consensus expected in July and once more in August before ending its run of 14 consecutive rate hikes in September. Meanwhile, there was apprehension about the Fed’s next policy move. In August, Fed Chair Powell’s speech at the Jackson Hole Economic Symposium left investors wondering if there could be a prolonged period of high interest rates. Although the Fed held rates steady in September, its Summary of Economic Projections median dot plot, which shows the interest rate projections of the members of the Federal Open Market Committee, suggested another rate hike would come before the end of the year. In China, lower economic growth and stress in the property sector weighed on market sentiment despite rate cuts by the country’s central bank and new stimulus policies by its government. |
| | During the fourth quarter of 2023, global infrastructure securities rallied, generating a positive return of 12.13%. The broad global equity market also rallied, though it modestly underperformed global infrastructure securities. When the quarter began, global equity performance was weak amid investor fears about “higher for longer” interest rates. However, market sentiment gradually improved as the disinflation theme continued to gain more traction and market participants grew increasingly optimistic about the possibility of central bank rate cuts in 2024. Indeed, near the end of the fourth quarter of 2023, there was a shift in the Fed’s policy path expectations, with the Summary of |
1 Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector allocations used by the Index.
| | Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. In Japan, the equity market performed well in the fourth calendar quarter on the back of an improving investment landscape, as many Japanese companies were expected to benefit from bettering corporate governance and refined government tax-refund incentives. On the geopolitical front, the Chinese and U.S. Presidents met during November and agreed to certain arrangements on energy transition and climate change. The agreement was positive for investor sentiment, as it raised hopes of a drop in tensions between the two countries, which many expected to help the growth of global markets. |
| | For the Reporting Period overall, the global infrastructure securities market, as measured by the Index, generated an average annual total return of 4.51%. In terms of absolute return, Germany, Spain and France were the best performing markets in the Index. The worst performing market, and the only one to post a negative absolute return, was Hong Kong. Among market sectors, transportation infrastructure recorded double-digit positive absolute returns. Energy infrastructure, utilities and communications infrastructure were comparatively weaker but also produced positive absolute returns during the Reporting Period.1 |
PORTFOLIO RESULTS
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund recorded positive returns on an absolute basis. In relative terms, the Fund outperformed the Index in all but one share class. Security selection added most to relative performance. Stock picks in the transportation infrastructure sector and communications infrastructure sector contributed positively. Conversely, the Fund was hampered by stock selection in the utilities sector. |
| | The Fund also benefited from our allocation decisions during the Reporting Period. Specifically, the Fund’s underweight position versus the Index in the utilities sector was advantageous. |
| | Among countries, the Fund was helped by overweight positions and security selection in Spain and France. On the other hand, an underweight position in Italy detracted from relative returns. Stock selection in Canada and Italy also had a negative impact on performance during the Reporting Period. |
| Q | What individual holdings added most to the Fund’s relative performance during the Reporting Period? |
| A | During the Reporting Period, the Fund’s best-performing investments were Ferrovial, Aena and Engie. |
| | Ferrovial, a global operator of sustainable infrastructure, was the Fund’s top contributor. The Spanish company performed well during the Reporting Period, as toll roads and leisure airports experienced increased demand amid strong recovery of road and air traffic following the pandemic, a trend we expected to continue in the medium term. Additionally, in early 2023, Ferrovial announced plans for a reverse merger in which it would be absorbed by its wholly-owned Dutch subsidiary, Ferrovial International, and would then later apply for a U.S. listing. After the move was approved at Ferrovial’s annual general meeting, the company’s shares gained, given that access to a deeper and more liquid capital market seemed likely to benefit the stock. |
| | Aena is an operator of Spanish airport networks. Its stock’s gains were largely the result of a stronger than consensus expected recovery in air traffic after the pandemic as well as of pent-up consumer demand because of Spain’s attractiveness as a tourist destination. In addition, Aena had successfully renegotiated retail contracts with duty-free operators, which increased the stock’s momentum. |
| | Engie, a French integrated utility company that conducts business in regulated networks, renewables and traditional generation, was an out-of-benchmark Fund position. During the Reporting Period, Engie reported robust results due mainly to earnings strength driven by the profitability of its global energy management and sales division and an improved growth outlook for its renewable business. At the end of the Reporting Period, we held a constructive view on Engie and continued to believe the stock would benefit from long-term secular growth tailwinds. |
| Q | What individual holdings detracted most from the Fund’s relative performance during the Reporting Period? |
| A | The top detractors from the Fund’s relative returns during the Reporting Period were its positions in NextEra Energy, ENN Energy Holdings and Northland Power. |
| | NextEra Energy (“NextEra”), one of the largest renewable energy generators in the world, detracted most from the Fund’s relative performance, as higher interest rates put pressure on renewable developers and as investors grew more concerned about the returns on renewable projects. Additionally, NextEra Energy Partners, a subsidiary of NextEra, announced it was lowering its distribution growth rate from 12% to 6%, which led to a sell-off in both stocks despite the minimal impact of this decision on NextEra’s earnings and growth outlook. At the end of the Reporting Period, the Fund continued to hold a position in the stock, as we considered NextEra a best-in-class regulated utility, with the majority of its earnings coming from its utilities business and because of the company’s exposure to the renewables growth story in the U.S. |
| | ENN Energy Holdings (“ENN Energy”), a Chinese city gas2 distributor, reported weaker than consensus expected results in the first half of 2023 due to high gas procurement costs. However, ENN Energy’s other businesses and earnings drivers remained healthy, including the company’s gas sales margins, sales volumes to households/commercial users and new household gas connections. In August, its stock fell significantly after company management decided to lower full-year 2023 guidance based on lower year-over-year trading profits from liquefied natural gas and uncertain gas margins for the 2023-2024 winter quarter. In our view, the new downward guidance was conservative because we saw evidence of increased gas sales volumes and gas margins that were better than management had indicated. Therefore, |
2 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.
PORTFOLIO RESULTS
| | at the end of the Reporting Period, we maintained conviction in the stock, though we continued to watch for signs of a further industrial slowdown in China. Even adjusting for management’s lower earnings expectations, we thought shares of ENN Energy were trading at an attractive valuation at the end of the Reporting Period. |
| | Shares of Northland Power, which engages in the development, building, owning and management of offshore wind facilities, weakened amid supply-chain issues and cost increases that delayed final investment decisions on two large offshore wind projects, which were ultimately made by year-end 2023. We believed supply-chain issues had been resolved and higher costs were offset by higher revenues, with costs locked in. Thus, at the end of the Reporting Period, we maintained a constructive view of the stock. |
| Q | Were there any notable purchases or sales during the Reporting Period? |
| A | During the Reporting Period, we initiated a Fund position in Exelon, a utility holding company that distributes electricity to customers in Illinois, Pennsylvania and several other northeastern states. We believe Exelon is well positioned because of its scale as a pure-play transmission and distribution company, its differentiated cash flow streams provided by operating in several jurisdictions, and its strong history of working with regulators in difficult jurisdictions toward favorable outcomes. |
| | We also established a position in Severn Trent, a regulated water utility in the U.K., during the Reporting Period. In our opinion, the company is a best-in-class water utility, as it regularly tops regulators’ rankings. Additionally, we believe Severn Trent is well positioned overall based on a capital investment plan that should drive multi-year earnings growth, in our view. |
| | Notable sales during the Reporting Period included the Fund’s investment in Digital Realty, a real estate investment trust that owns and operates data centers around the world. We exited the position largely because of issues related to the company’s balance sheet. Although we thought Digital Realty had good growth potential, we considered its valuation quite high, and we decided to step to the sidelines until we saw an attractive entry point for reinvestment. |
| | We also eliminated the Fund’s position in Martin Marietta Materials, a supplier of aggregates and heavy building materials, as market concerns about the U.S. debt ceiling extension arose. We believed underlying demand and the |
| | U. S.’ focus on infrastructure would be strong over the long term, but we thought the near-term outlook could be challenging given the headline risks. |
| 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 became slightly less overweight in the communications infrastructure sector as we trimmed its exposure to telecommunication towers. The Fund remained underweight utilities, though we reduced its exposure to gas utilities and slightly increased its exposure to water utilities. In energy infrastructure, the Fund remained underweight, with a continued emphasis on “C” corporations. The Fund stayed relatively neutral versus the Index in transportation infrastructure, focused mainly on toll roads, during the Reporting Period. |
| | From a country perspective, compared to the Index, the Fund shifted from an overweight in France to a relatively neutral position. The Fund’s underweight in Hong Kong decreased. In addition, the Fund moved from a slight underweight in the U. K. to a rather neutral position and from a neutral position in Japan to an underweight position. Further, at the beginning of the Reporting Period, the Fund had modest exposure to Germany, but it was eliminated as we exited investments in that country. |
| 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 underweight relative to the Index in the utilities and energy infrastructure sectors. It was overweight the communications infrastructure sector and rather neutrally positioned compared to the Index in the transportation infrastructure sector. In geographic terms, the Fund was overweight relative |
PORTFOLIO RESULTS
| | to the Index in the U.S. and Spain. It was underweight in Canada, Hong Kong and Italy at the end of the Reporting Period. |
| 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 the environment for global infrastructure securities has been challenging. However, we believed the stabilization of interest rates should act as a catalyst for the re-rating of these companies, which generally operate with contracted/ regulated cash flows, and for a rebound in their share prices. In our view, the long-term growth story remained intact at the end of the Reporting Period, as the need for critical infrastructure had not subsided. Instead, we thought global infrastructure securities continued to present several attractive opportunities, including: |
| | 1. Defensive asset class qualities. Because of relatively inelastic demand drivers, higher barriers to entry and relatively long-term contracts, global infrastructure securities generally have less sensitivity to broader equity market volatility. In addition, their performance tends to be less cyclical than some other asset classes given that global infrastructure companies provide access to essential and, at times, critical assets that keep society moving forward. We would also note that over the last ten years, global infrastructure securities have been resilient and defensive in down markets, capturing only 70% of declines versus the broader equity market. 3 |
| | 2. Substantial growth opportunities. A critical need for global grid investment, increased investment into AI and smart components, and a focus on the discovery of renewable sources of energy are some of the long-term secular growth drivers within global infrastructure, in our view. |
| | 3. Inflation hedging benefits. Infrastructure companies’ cash flows and values tend to increase with inflation due to their ability to reset their revenues, with some of their contracts linked to inflation. |
| | 4. Potential beneficiary of the global focus on sustainability. Since infrastructure is comprised of essential assets that allow our economy and society to function, |
3 Source: Goldman Sachs Asset Management, as of December 31, 2023. Global Infrastructure securities represented by the Index and global equities represented by the MSCI World Index. MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It is not possible to invest directly in an unmanaged index. Source: MSCI
| | especially when one considers recent global energy market volatility, there can be significant alpha, or value added, opportunities in the energy transition, in our view. |
| | 5. Potential beneficiary of global fiscal stimulus. Global infrastructure securities may be at the cusp of a multi-year investment cycle amid large, broad fiscal stimulus across most forms of infrastructure. Among the efforts are the $1.2 trillion U.S. Infrastructure Investment and Jobs Act; the European “Green Deal,” which aims to spend between €3-7 trillion on climate neutrality and sustainability by 2050; and spending driven by the U.S. Inflation Reduction Act. |
| | From an investment perspective, we continued to find attractive opportunities across the asset class, as various property sectors and geographies offered wide dispersion in returns. As fundamental, bottom-up investors, we saw opportunities beyond the headline risks associated with certain regions and continued to focus our approach on companies that we considered to have well-capitalized balance sheets, robust business models, high quality assets, and strong management teams with sound capital allocation strategies. |
| | Overall, the Fund remained focused on sectors we thought were driven by durable secular demand. We favored infrastructure companies that we believed to be on the “right side” of disruption. In our opinion, rapid disruption is dramatically changing the world and increasing the investment opportunity set within the global infrastructure universe. Within digital infrastructure, we noted that technology breakthroughs have increased demand for storing and transporting data. This, coupled with current pricing power, high barriers to entry and overall increasing mobile data usage, has created an environment wherein data center rent growth is expected to be positive in the medium to long term. Additionally, telecommunication towers appeared to us to have durable growth, backed by long-term contracts for these critical infrastructure assets. Regarding energy infrastructure, we believed the future of energy was likely to be a combination of both traditional and renewable sources. We maintained a positive outlook on energy-related equities based on long-term fundamentals, attractive valuations, healthy corporate balance sheets and the strong free cash flow generation of energy-related companies. Furthermore, we believed addressing the “energy trilemma,” which refers to the global need for reliable, sustainable and affordable energy, would create investment opportunities across the broad energy sector for decades to come. Among utilities, we had a preference for select, innovative utilities that have |
PORTFOLIO RESULTS
| | experienced increased demand due to the ongoing energy transition and the electrification of networks and processes, as we thought they were well positioned to drive strong multi-year returns. In particular, we favored companies with low power price exposure, such as electricity networks. We believed power price volatility would be difficult to predict, and the amount of investment needed in the networks to transition the energy mix away from traditional carbon heavy generation to renewable energy would drive durable growth. Within transportation infrastructure at the end of the Reporting Period, we noted that younger consumers—digital natives with different lifestyles and values from previous generations—were driving rapid adoption of e-commerce and fueling demand for experiences over things. In addition, toll roads and leisure airports should continue to experience increased demand in the medium term, in our view. |
| | At the end of the Reporting Period, we continued to believe that global infrastructure securities offered compelling investment opportunities. In our view, the asset class should continue to offer strong defensive cash flow growth and attractive yield potential, especially compared to the broader global equity market. |
FUND BASICS
Goldman Sachs Global Infrastructure Fund
as of December 31, 2023
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TOP TEN HOLDINGS AS OF 12/31/231 |
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| Holding | | % of Net Assets | | Line of Business | | Country |
| American Tower Corp. REIT | | 8.3% | | Real Estate | | United States |
| Vinci SA | | 6.5 | | Industrials | | France |
| National Grid PLC | | 5.7 | | Utilities | | United Kingdom |
| Enbridge, Inc. | | 5.4 | | Energy | | Canada |
| Cheniere Energy, Inc. | | 4.3 | | Energy | | United States |
| Sempra | | 4.1 | | Utilities | | United States |
| Transurban Group | | 3.8 | | Industrials | | Australia |
| SBA Communications Corp. REIT | | 3.5 | | Real Estate | | United States |
| Cellnex Telecom SA | | 3.1 | | Communication Services | | Spain |
| Targa Resources Corp. | | 2.7 | | Energy | | United States |
| | 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
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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 (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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Performance Summary
December 31, 2023
The following graph shows the value, as of December 31, 2023 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.
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Global Infrastructure Fund’s Lifetime Performance |
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Performance of a $1,000,000 investment, with distributions reinvested, from June 27, 2016 through December 31, 2023. |
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Average Annual Total Returns through December 31, 2023* | | One Year | | Five Years | | Since Inception |
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Class A (Commenced on June 27, 2016) | | | | | | |
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Excluding sales charges | | 4.78% | | 7.21% | | 5.09% |
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Including sales charges | | (0.95)% | | 6.01% | | 4.31% |
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Class C (Commenced on June 27, 2016) | | | | | | |
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Excluding contingent deferred sales charges | | 3.95% | | 6.39% | | 4.30% |
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Including contingent deferred sales charges | | 2.94% | | 6.39% | | 4.30% |
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Institutional (Commenced on June 27, 2016) | | 5.13% | | 7.58% | | 5.48% |
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Investor (Commenced on June 27, 2016) | | 5.00% | | 7.45% | | 5.34% |
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Class R6 (Commenced on June 27, 2016) | | 5.09% | | 7.57% | | 5.48% |
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Class P (Commenced on April 17, 2018) | | 5.17% | | 7.60% | | 5.49% |
| | * | 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 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns. |
PORTFOLIO RESULTS
Goldman Sachs Global Real Estate Securities Fund
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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, 2023 (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 12.92%, 12.03%, 13.21%, 13.18%, 13.38% and 13.39%, respectively. These returns compare to the 9.87% average annual total return of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (USD, net) (the “FTSE Index”) during the same period. |
| | Effective July 14, 2023, Class R Shares of the Fund were terminated. In anticipation of the termination, effective June 15, 2023, Class R Shares of the Fund were no longer sold to new investors or existing shareholders (except through reinvested dividends) or were eligible for exchanges from other Goldman Sachs Funds. In addition, Class R Shares of the Fund were closed to all new accounts effective on June 15, 2023. |
| Q | What economic and market factors 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, rebounded strongly following weakness in 2022. |
| | The FTSE Index returned 1.0% during the first quarter of 2023, starting the year relatively flat. Stocks remained resilient, benefiting from a dovish shift in expectations for the U.S. Federal Reserve’s (“Fed”) interest rate hiking path, reduced European energy risk and strong economic momentum in China’s reopening. (Dovish tends to suggest lower interest rates; opposite of hawkish.) A decline in yields contributed to growth stocks significantly outperforming value stocks during the quarter, with big technology firms and semiconductor companies leading the way. However, |
| | turmoil in the banking sector, both in the U.S. and Europe, in March 2023, elevated downside risk to the economic outlook and increased fears about a potential recession. |
| | During the second quarter of 2023, the FTSE Index returned 0.3%, again remaining relatively flat. The broader global equities market gained more during the quarter, remaining resilient amid an environment of ongoing interest rate hikes. Technology stocks rose on the back of growing interest in artificial intelligence (“AI”), while consumer-oriented stocks remained strong, driven by China’s reopening and dampening global recessionary concerns. Topics front of mind for investors were the potential broad impact of banks tightening lending stands, disinflationary data signaling a potential soft landing, the Fed’s rate hikes slowing down, and resilient consumer spending. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) |
| | The FTSE Index returned -5.8% during the third quarter of 2023. Global equities broadly declined, as most of the world’s largest economies struggled due to rising interest rates, higher than desired inflation and slowed economic growth. Investors became cautious, as the reality of higher for longer interest rates became increasingly likely. Additionally, real estate faced some challenges of its own, impacted by concerns about refinancing in select subsectors. These concerns caused an indiscriminate sell-off within the commercial real estate market, putting downward pressure on sub-sectors with longer duration assets. |
| | The global real estate securities market rallied strongly in the fourth quarter of 2023, with the FTSE Index posting a return of 15.3%. After the decline in the prior quarter, global equities broadly rebounded, with market sentiment improving |
PORTFOLIO RESULTS
| | gradually as the apprehensions around the Fed’s next move slowly shifted to optimism for the potential peaking of interest rates. Return momentum especially picked up in November 2023 after the release of inflation readings, which came in cooler than consensus expected both in the U.S. and the U.K. |
| | Amid this backdrop, there was wide dispersion of returns across companies and property types during the Reporting Period. While all but one subsector of the FTSE Index posted positive absolute returns, the technology subsector was by far the strongest on a relative basis. The technology subsector was strongest, following tough performance in 2022, due in part to interest rate increases during the Reporting Period. Data centers saw steady growth and tight supply, which led to strong pricing. Additionally, technology REITs benefited from tailwinds stemming from increasing focus on AI innovation. The self-storage and industrial subsectors also performed well during the Reporting Period, significantly outperforming the FTSE Index. On the other hand, the triple net subsector was the only one in the FTSE Index to post a negative absolute return during the Reporting Period. (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.) Triple net properties tend to be externally-driven vehicles with a focus on buying high yielding assets, i.e., higher than their cost of capital, and, in our view, can be risky investments in a rising cost of capital environment, especially since they tend to have low internal growth. The office and diversified subsectors posted positive, albeit modest, returns but were also among the weakest within the FTSE Index during the Reporting Period.1 |
| | From a regional perspective, the European real estate market in the FTSE Index was strongest during the Reporting Period, while Asia ex-Japan was weakest. At an individual country level, Germany was the strongest real estate market in the FTSE Index during the Reporting Period, advancing on the back of commentary that values in the German residential subsector were stabilizing, while underlying demand and rental growth remained robust. The real estate markets of Spain, the U.K. and the U.S. also performed strongly during the Reporting Period. Conversely, Hong Kong was the weakest performing real estate market in the FTSE Index and the only one to post a negative absolute return during the Reporting Period. Its weakness was based on investor concerns about ongoing pressure on the Hong Kong economy and real estate market from the persistent weakness of China’s export trade and consumption as well |
| | as Hong Kong interest rates staying higher for longer. Japan and Singapore’s real estate markets posted positive, albeit modest, returns but were also among the weakest within the FTSE Index 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 outperformed the FTSE Index during the Reporting Period. Stock selection and subsector allocation overall contributed most positively. Country allocation decisions as a whole also contributed positively, albeit modestly. |
| | From a country perspective, stock selection in the U.S., Hong Kong and the U.K. contributed most positively to relative results. Only partially offsetting these positive contributors was stock selection in Germany, which detracted. Having underweighted allocations to France and Sweden, which each outperformed the FTSE Index during the Reporting Period, also hurt. |
| | From a subsector perspective, stock selection in diversified, residential and health care contributed most positively to the Fund’s relative results during the Reporting Period. Having an underweighted allocation to triple net, the weakest subsector in the FTSE Index during the Reporting Period, also added value. On the other hand, stock selection in self-storage, retail and technology detracted from the Fund’s relative results during the Reporting Period. Having a position in cash, although modest, during a Reporting Period when the FTSE Index rallied, also dampened the Fund’s relative results. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | Link Real Estate Investment Trust (“Link”), a Hong Kong-based shopping center owner, contributed most positively to the Fund’s results during the Reporting Period. A new position for the Fund during the Reporting Period, the Fund held a significant underweight position in Link until the end of August 2023, when we brought it to a neutral position. We increased the position after reviewing its valuation, which had reached a reasonably low level, in our analysis. Also, the company had experienced resilient tenant sales within its retail portfolio despite a slowdown in outbound travel. Additionally, having completed its Singapore retail asset |
1 Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the FTSE Index.
PORTFOLIO RESULTS
| | acquisition by fiscal year 2023, the company reported a pickup in demand, as tenant sales there had largely recovered to pre-pandemic levels across its malls. |
| | The Fund’s position in Digital Realty Trust, a leading U.S.-based global provider of data center, colocation and interconnection solutions, was also a top contributor to relative results during the Reporting Period. Digital Realty Trust performed well on the back of its stock being flagged as a beneficiary of the computing requirements necessary to drive AI. The company noted an increasing appreciation of the benefit data centers would see from the proliferation of AI technology adoption—the servers that are needed to perform the computing would likely be housed in data centers, resulting in an increase in pricing growth for the REIT’s stock. |
| | Shaftesbury Capital, a U.K.-based property investment manager, contributed positively to the Fund’s relative results as well. The company performed well during the Reporting Period as a strong recovery within the central London retail space enabled the West End of London-focused property manager to increase rents. |
| Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
| A | The Fund’s position in Hongkong Land Holdings, a Hong Kong-based property manager, detracted most from relative results during the Reporting Period. Hong Kong dollar deposits and interbank rates finally caught up to the U.S., rising from 3.5% since the beginning of May 2023 to 5% at the end of June 2023, reflecting a sign of portfolio capital flight after China’s economy evidently slowed. These concerns weighed on the market and caused a further tightening in Hong Kong monetary policies, which, in turn, impacted Hongkong Land Holdings and other Hong Kong-based real estate securities during the Reporting Period. Hongkong Land Holdings’ weak performance was also driven by high vacancies in prime office space in Hong Kong. |
| | UDR, a self-administered U.S. REIT focused on owning, operating and developing apartment communities, was a new purchase for the Fund during the Reporting Period. UDR has an extensive portfolio of modern apartments, houses and residential properties across the U.S. We initiated the position based on its diversified portfolio, with exposure to both coastal and Sunbelt regions, and its ability to maintain stable margins. However, UDR detracted from the Fund’s relative returns during the Reporting Period, adversely impacted by slower revenue growth due to lower levels of job growth |
| | and higher levels of new supply within the Sunbelt region. Growing expense pressures from higher real estate taxes, utilities and insurance also pressured UDR’s stock during the Reporting Period. |
| | An overweight position in Nippon Prologis REIT, a Japanese large-scale logistics warehouse REIT backed by Prologis, also detracted from the Fund’s relative results during the Reporting Period. While the REIT’s portfolio remained healthy, the market appeared concerned about rising vacancy rates in the logistics market due to new supply. Additionally, the market became cautious on potential equity offerings by logistics Japanese REITs. |
| 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 | In addition to those new purchases already mentioned, we re-initiated a Fund position in CubeSmart, a U.S. self-storage facility REIT, during the Reporting Period. Self-storage is one of the best long-term businesses among REITs, in our opinion, and we believe CubeSmart has a solid portfolio composed of newer products that should be optimized during the next two to three years. Its market exposure in New York City is a niche in the self-storage space, which should prove beneficial, as we believe supply will likely start to decrease in 2024. |
| | We established a Fund position in Kimco Realty, a U.S.- based REIT focused on investing in shopping centers, during the Reporting Period. We initiated the position in late 2023 given what we saw as its attractive valuation, since it had underperformed its peers and the overall REIT market through most of the calendar year. Investors had been concerned about Kimco Realty’s planned acquisition of RPT Realty, announced in September 2023. We thought the acquisition would prove to be more accretive to Kimco Realty’s cash flow than the market was forecasting. |
| | Conversely, we eliminated the Fund’s position in Terreno Realty during the Reporting Period. Terreno Realty is a U.S. REIT focused on the acquisition, management and ownership of industrial properties. Regionally, it focuses exclusively on six major U.S. coastal markets. Such a concentration drove us to be concerned about the underlying fundamentals in some of its markets. We chose to rotate instead into other industrial REITs. |
PORTFOLIO RESULTS
| | We exited the Fund’s position in Public Storage, a U.S.-based self-storage operator, due to what we saw as its unfavorable valuation. We decided to reallocate to more attractive names, in our view, within the self-storage sector, such as CubeSmart. |
| 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 Canada, Spain and the U.K. increased relative to the FTSE Index and its exposure to Ireland was eliminated 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 country perspective, the Fund was overweighted relative to the FTSE Index in the U.K. and Spain and rather neutrally weighted compared to the FTSE Index in the other constituent countries of the FTSE Index at the end of December 2023. |
| 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 view and strategy for the months ahead? |
| A | While the global real estate securities market had a tough start to 2023, the sector ended the year strongly. At the end of the Reporting Period, we believed there were several upcoming catalysts that should buoy performance going forward. These include stabilization of the interest rate environment, which should be key for the telecommunications tower stocks, which were already trading at compelling valuations at the end of the calendar year. Clarity into when we will see rate hikes end also provides insight into financing for real estate, which should add stabilization in real asset prices, in our view. When looking at historical data, real estate tends to outperform other asset classes after the end of a target hiking period. Additionally, |
| | with some estimates showing interest rate cuts beginning as early as the second quarter of 2024, the yield real estate can provide will likely become more attractive, in our opinion. |
| | From a valuation perspective, real estate was attractively valued compared to the broader U.S. equity market at the end of the Reporting Period, in our view. We believed this, coupled with the forward performance at the completion of rate hikes, makes it a compelling opportunity to gain access to the real estate market at a discount. Public markets were still more attractively valued than private markets at the end of the Reporting Period. Also, several of the subsectors in the U.S. REIT market, like lab office, data centers, towers, self-storage and more, have become a bigger piece of the public real estate market and maintain stronger underlying fundamentals, in our analysis. |
| | All that said, not all companies and property types will perform equally, making a compelling case, we believe, for active management. For example, less business is taking place in brick and mortar retail stores, offices and business-oriented hotels. More is being done digitally, which the towers and digital storage REITS are helping facilitate. Net Zero ambitions, aging grid systems, and an increased need for grid capacity have been highlighting the critical need for global grid infrastructure. Innovation trends underpinning biotechnology are driving demand for life science office space. The definition of “home” has become expansive and is now captured across each stage of life—student housing, multi-family, single family rental, manufactured housing and senior housing. |
| | Given the market environment seen at the end of the Reporting Period, we viewed real estate as increasingly attractive based on the asset class offering historically strong performance after a period of interest rate hikes and historically strong performance during economic recoveries. Select REITs, in our view, stand to benefit in an inflationary environment, unlike bonds, since rents and leases can be re-set higher to reflect higher consumer prices so long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This limits the amount of new development projects—redirecting demand to existing assets and making them more valuable and driving rents higher still. |
| | Going forward, 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. |
PORTFOLIO RESULTS
| | We continue to test our models and re-evaluate our assumptions with increasing information, staying focused on the long-term investment horizon. We 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. |
FUND BASICS
Goldman Sachs Global Real Estate Securities Fund
as of December 31, 2023
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|
TOP TEN HOLDINGS AS OF 12/31/231 |
| | | | | | |
| Holding | | % of Net Assets | | Line of Business | | Country |
| Prologis, Inc. REIT | | 8.4% | | Real Estate | | United States |
| Equinix, Inc. REIT | | 5.1 | | Real Estate | | United States |
| Welltower, Inc. REIT | | 3.4 | | Real Estate | | United States |
| VICI Properties, Inc. REIT | | 2.8 | | Real Estate | | United States |
| CubeSmart REIT | | 2.8 | | Real Estate | | United States |
| AvalonBay Communities, Inc. REIT | | 2.7 | | Real Estate | | United States |
| Extra Space Storage, Inc. REIT | | 2.6 | | Real Estate | | United States |
| Alexandria Real Estate Equities, Inc. REIT | | 2.3 | | Real Estate | | United States |
| Invitation Homes, Inc. REIT | | 2.2 | | Real Estate | | United States |
| Mitsui Fudosan Co. Ltd. | | 2.0 | | Real Estate | | Japan |
| | 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
|
|
FUND VS. BENCHMARK COUNTRY ALLOCATIONS2 |
| | 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 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 Goldman Sachs Asset Management and may differ from sector, subsector, region and country allocations used by the FTSE Index. |
| | | 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. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2023
The following graph shows the value as of December 31, 2023, 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 |
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Performance of a $1,000,000 investment, with distributions reinvested, from August 31, 2015 through December 31, 2023. |
| | | | | | |
| | | |
Average Annual Total Returns through December 31, 2023* | | One Year | | Five Years | | Since Inception |
| | | |
Class A (Commenced on August 31, 2015) | | | | | | |
| | | |
Excluding sales charges | | 12.92% | | 3.20% | | 2.96% |
| | | |
Including sales charges | | 6.66% | | 2.04% | | 2.27% |
| | | |
Class C (Commenced on August 31, 2015) | | | | | | |
| | | |
Excluding contingent deferred sales charges | | 12.03% | | 2.41% | | 2.19% |
| | | |
Including contingent deferred sales charges | | 11.02% | | 2.41% | | 2.19% |
| | | |
Institutional (Commenced on August 31, 2015) | | 13.21% | | 3.56% | | 3.35% |
| | | |
Investor (Commenced on August 31, 2015) | | 13.18% | | 3.45% | | 3.21% |
| | | |
Class R6 (Commenced on August 31, 2015) | | 13.38% | | 3.60% | | 3.37% |
| | | |
Class P (Commenced on April 17, 2018) | | 13.39% | | 3.58% | | 2.64% |
| | * | 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 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns. |
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.
PORTFOLIO RESULTS
Goldman Sachs Real Estate Securities Fund
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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, 2023 (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 16.58%, 15.63%, 16.92%, 16.34%, 16.91%, 17.04%, 16.26% and 16.94%, respectively. These returns compare to the 16.19% average annual total return of the Fund’s benchmark, the Wilshire 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 return of 16.19% for the Reporting Period, outperforming bonds but lagging U.S. equities broadly, as measured by the Bloomberg U.S. Aggregate Bond Index and S&P 500 Index, respectively. |
| | Following a weak 2022, the U.S. real estate investment trusts (“REITs”) market rallied strongly in 2023 but was pressured by its sensitivity to the cost of borrowing and refinancing rates amid the U.S. Federal Reserve’s (“Fed”) tightening cycle. |
| | During the first quarter of 2023, the Wilshire Index returned 3.4%, rebounding from 2022 though underperforming the broader U.S. equity market. The REIT market performed well early in the quarter, largely on the back of heightened optimism surrounding disinflationary signals in economic data. However, gains from January and February were somewhat given back in March after concerns surfaced around potential spillover effects to commercial real estate from the regional bank crisis. |
| | The Wilshire Index returned 3.3% during the second quarter of 2023. During the quarter, the listed U.S. real estate market was focused on heightened support around disinflation and soft landing narratives, enhanced artificial intelligence (“AI”) optimism and resilient consumer spending. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) Housing data pivoted from an obstacle to a tailwind for the soft landing theme, with housing starts and builder confidence reaching their highest respective levels in more than a year. |
| | During the third quarter of 2023, the Wilshire Index returned -6.4%. Although economic activity remained resilient, the listed U.S. real estate market declined predominantly due to a pickup in soft landing concerns, surging energy prices and disinflationary pressures on corporate earnings. Firms continued to juggle challenges regarding margin compression and top-line growth from rising costs, a reduction in consumer spending and an increase in interest expenses. |
| | The Wilshire Index rose 16.3% during the fourth quarter of 2023, outperforming the broader U.S. equity market for the first time in the calendar year. U.S. equity markets began the quarter with negative momentum, as investors digested a more resilient than consensus expected U.S. economy and a higher for longer Fed interest rate regime. The U.S. equity market then shifted direction in November and December to end the year with gains. The month of November saw the most significant easing in financial conditions of any month in more than four decades. Market sentiment took a positive turn on the back of an overall shift in tonality from Fed officials, who signaled potential easing of monetary policy in 2024, a gradual cooldown in economic activity while the labor market remained resilient, and a rally across U.S. Treasuries that marked one of the best monthly |
PORTFOLIO RESULTS
| | performances on record, all underpinning soft landing and disinflation traction themes. The Fed held interest rates unchanged throughout the quarter, maintaining the target range for the federal funds rate between 5.25% and 5.50%, as growth of the U.S. economy slowed, unemployment remained low despite abating job gains, and inflationary pressures continued to trend downward. Near the end of the quarter, there was a major shift in the Fed’s policy path expectations, with the Summary of Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. (The Fed’s dot plot shows the interest rate projections of the members of the Federal Open Market Committee. A basis point is 1/100th of percentage point.) |
| | For the Reporting Period overall, the technology, hotel and industrial subsectors were strongest. The technology subsector was strongest, following tough performance in 2022, due in part to interest rate increases during the Reporting Period. Data centers saw steady growth and tight supply, which led to strong pricing. Additionally, technology REITs benefited from tailwinds stemming from increasing focus on AI innovation. Conversely, the office and residential subsectors were weakest and the only two subsectors to underperform the Wilshire Index during the Reporting Period. Office REITs were weakest, declining based on market concerns about tightening credit/financing conditions and vacancy/occupancy levels. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | Most share classes of the Fund outperformed the Wilshire Index during the Reporting Period, attributable to a combination of allocation decisions and stock selection overall. |
| | Contributing most positively to the Fund’s relative results was effective individual stock selection in the residential, hotel and industrial subsectors. Having underweighted allocations to the residential and office subsectors, which each lagged the Wilshire Index during the Reporting Period, and an overweighted allocation to the hotel subsector, which outperformed the Wilshire Index during the Reporting Period, also helped. Only partially offsetting these positive contributors was weak stock selection in the self-storage, retail and technology subsectors, which detracted. Having an underweighted allocation to the retail subsector, which outperformed the Wilshire Index during the Reporting Period, also hurt. |
| | From a subsector perspective, stock selection in diversified, retail and health care detracted most from the Fund’s relative results during the Reporting Period. Having underweighted allocations to the diversified, triple net and retail subsectors, which each outperformed the FTSE Index during the Reporting Period, also hurt. Contributing most positively to relative results was having an overweighted allocation to the hotel subsector, the only subsector to boost the Fund’s relative results during the Reporting Period. Having a position in cash, although modest, during a Reporting Period when the FTSE Index sharply declined, also buoyed the Fund’s relative results. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | The Fund’s position in Camden Property Trust, a REIT focused on the ownership, management and development of multifamily apartment communities, was the top contributor to the Fund’s relative results during the Reporting Period. We had exited the Fund’s position in the REIT toward the beginning of 2023 given our concerns around increasing and new supply coming to market. We redeployed the proceeds of the sale into single-family rental and coastal multifamily residential REITs, where the fundamental backdrop appeared, in our view, to be stronger. This disciplined stock selection strategy proved beneficial, as Camden Property Trust subsequently underperformed the residential sector by 15% and the overall REIT market by approximately 18% during the Reporting Period. |
| | Similarly, the Fund’s underweighted position in Mid-America Apartment Communities, a real estate developer of quality apartment communities in high growth Sunbelt and Midwest regions of the U.S., contributed positively to its relative results during the Reporting Period. The Fund benefited from the underweight position, as the REIT was impacted negatively by slower revenue growth, due, in turn, to lower levels of job growth and higher levels of new supply within the Sunbelt region as well as growing expense pressures from higher real estate taxes, utilities and insurance. |
| | The Fund’s overweight position in Ryman Hospitality Properties, a leading lodging and hospitality REIT that specializes in upscale convention center resorts and country music entertainment experiences, was also a top contributor to relative results during the Reporting Period. Its shares posted a robust double-digit gain during the Reporting Period, outperforming both the hotel REIT subsector and the broader U.S. REIT market. Throughout 2023, Ryman Hospitality Properties generated earnings results that were |
PORTFOLIO RESULTS
| | better than its peers given its outsized exposure to the group hotel segment, which continued to outperform both leisure and corporate travel. |
| Q | What were some of the Fund’s weakest- performing individual holdings? |
| A | The Fund’s overweight position in CubeSmart, a self-storage facility REIT and a new purchase for the Fund, detracted most from the Fund’s results during the Reporting Period. Self-storage REITs broadly faced cyclical headwinds stemming from higher interest rates, which, in turn, reduced housing turnover. This low turnover impacted CubeSmart given that approximately 30% of its customers come from this cohort. Additionally, CubeSmart faced a decline in occupancy and move-in rents and an increase in expenses. Although the stock experienced a few headwinds, at the end of the Reporting Period, we believed the company continued to trade at an attractive valuation. |
| | Alexandria Real Estate Equities, the largest owner of life science office space, also detracted from the Fund’s relative performance during the Reporting Period. The REIT was affected by the broader office REIT downturn in 2023, but we believed the demand for life science space would continue to be strong during the coming years, fueled by drug research and innovation. Indeed, at the end of the Reporting Period, we believed the life science office space was relatively immune to the work-from-home trends, as it is not possible to collaborate with others to research and create new drugs from one’s home. New permits and new builds had essentially stopped during the Reporting Period given the rising cost of capital. Thus, with vacancies in three primary life science clusters remaining low, we believed rents should remain relatively firm going forward. |
| | UDR, a self-administered REIT focused on owning, operating and developing apartment communities, was a new purchase for the Fund during the Reporting Period. UDR has an extensive portfolio of modern apartments, houses and residential properties across the U.S. We initiated the position based on its diversified portfolio, with exposure to both coastal and Sunbelt regions, and its ability to maintain stable margins. However, UDR detracted from the Fund’s relative returns during the Reporting Period, adversely impacted by slower revenue growth due to lower levels of job growth and higher levels of new supply within the Sunbelt region. Growing expense pressures from higher real estate taxes, utilities and insurance also pressured UDR’s stock during the Reporting Period. |
| 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 | In addition to those new purchases already mentioned, we established a Fund position in Kimco Realty, a REIT focused on investing in shopping centers, during the Reporting Period. We initiated the position in late 2023 given what we saw as its attractive valuation, since it had underperformed its peers and the overall REIT market through most of the calendar year. Investors had been concerned about Kimco Realty’s planned acquisition of RPT Realty, announced in September 2023. We thought the acquisition would prove to be more accretive to Kimco Realty’s cash flow than the market was forecasting. |
| | Conversely, in addition to the sale of Camden Property Trust, mentioned earlier, we eliminated the Fund’s position in Terreno Realty during the Reporting Period. Terreno Realty is a REIT focused on the acquisition, management and ownership of industrial properties. Regionally, it focuses exclusively on six major U.S. coastal markets. Such a concentration drove us to be concerned about the underlying fundamentals in some of its markets. We chose to rotate instead into other industrial REITs. |
| | We sold the Fund’s position in HealthCare Realty Trust, a health care REIT, during the Reporting Period. We exited the name to consolidate the Fund’s positions into health care REITs in which we held more conviction. |
| 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 retail, office and residential subsectors increased relative to the Wilshire Index and its exposure to the technology and health care subsectors decreased relative to the Wilshire Index. The Fund’s position in cash also decreased during the Reporting Period. |
PORTFOLIO RESULTS
| 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 retail and health care subsectors. The Fund was rather neutrally weighted in the self-storage, industrials, office and residential subsectors of the Wilshire Index 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 view and strategy for the months ahead? |
| A | While the U.S. listed real estate market had a tough start to 2023, the sector ended the year strongly. At the end of the Reporting Period, we believed there were several upcoming catalysts that should buoy performance going forward. These include stabilization of the interest rate environment, which should be key for the telecommunications tower stocks, which were already trading at compelling valuations at the end of the calendar year. Clarity into when we will see rate hikes end also provides insight into financing for real estate, which should add stabilization in real asset prices, in our view. When looking at historical data, real estate tends to outperform other asset classes after the end of a target hiking period. Additionally, with some estimates showing interest rate cuts beginning as early as the second quarter of 2024, the yield real estate can provide will likely become more attractive, in our opinion. |
| | From a valuation perspective, real estate was attractively valued compared to the broader U.S. equity market at the end of the Reporting Period, in our view. We believed this, coupled with the forward performance at the completion of rate hikes, makes it a compelling opportunity to gain access to the real estate market at a discount. Public markets were still more attractively valued than private markets at the end of the Reporting Period. Also, several of the subsectors in the U.S. REIT market, like lab office, data centers, towers, self-storage and more, have become a bigger piece of the public real estate market and maintain stronger underlying fundamentals, in our analysis. |
| | All that said, not all companies and property types will perform equally, making a compelling case, we believe, for active management. For example, less business is taking place in brick and mortar retail stores, offices and business-oriented hotels. More is being done digitally, which the towers and digital storage REITS are helping facilitate. Net Zero ambitions, aging grid systems, and an increased need for grid capacity have been highlighting the critical need for global grid infrastructure. Innovation trends underpinning biotechnology are driving demand for life science office space. The definition of “home” has become expansive and is now captured across each stage of life—student housing, multi-family, single family rental, manufactured housing and senior housing. |
| | Given the market environment seen at the end of the Reporting Period, we viewed real estate as increasingly attractive based on the asset class offering historically strong performance after a period of interest rate hikes and historically strong performance during economic recoveries. Select REITs, in our view, stand to benefit in an inflationary environment, unlike bonds, since rents and leases can be re-set higher to reflect higher consumer prices so long as the inflation is tied to an improving economy. Additionally, rising inflation leads to increased input costs to manufacturing, labor and construction. This limits the amount of new development projects—redirecting demand to existing assets and making them more valuable and driving rents higher still. |
| | Going forward, 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, staying focused on the long-term investment horizon. We believe this fundamental approach can generate strong returns in the long term. |
| | 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 |
PORTFOLIO RESULTS
| | 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. |
FUND BASICS
Goldman Sachs Real Estate Securities Fund
as of December 31, 2023
|
|
TOP TEN HOLDINGS AS OF 12/31/231 |
| | | | | | |
| Holding | | % of Net Assets | | Line of Business | | Country |
| Prologis, Inc. REIT | | 15.9% | | Real Estate | | United States |
| Equinix, Inc. REIT | | 9.9 | | Real Estate | | United States |
| Welltower, Inc. REIT | | 6.1 | | Real Estate | | United States |
| Extra Space Storage, Inc. REIT | | 5.6 | | Real Estate | | United States |
| AvalonBay Communities, Inc. REIT | | 4.4 | | Real Estate | | United States |
| Simon Property Group, Inc. REIT | | 4.3 | | Real Estate | | United States |
| Alexandria Real Estate Equities, Inc. REIT | | 3.7 | | Real Estate | | United States |
| Digital Realty Trust, Inc. REIT | | 3.5 | | Real Estate | | United States |
| Public Storage REIT | | 3.3 | | Real Estate | | United States |
| Invitation Homes, Inc. REIT | | 3.3 | | Real Estate | | United States |
| | 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
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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 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. |
| | | 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. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2023
The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014 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.
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Real Estate Securities Fund’s 10 Year Performance |
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Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023. |
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Average Annual Total Returns through December 31, 2023* | | One Year | | Five Years | | Ten Years | | Since Inception |
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Class A | | | | | | | | |
| | | | |
Excluding sales charges | | 16.58% | | 6.95% | | 6.65% | | — |
| | | | |
Including sales charges | | 10.12% | | 5.75% | | 6.06% | | — |
| | | | |
Class C | | | | | | | | |
| | | | |
Excluding contingent deferred sales charges | | 15.63% | | 6.15% | | 5.86% | | — |
| | | | |
Including contingent deferred sales charges | | 14.59% | | 6.15% | | 5.86% | | — |
| | | | |
Institutional | | 16.92% | | 7.33% | | 7.06% | | — |
| | | | |
Service | | 16.34% | | 6.82% | | 6.53% | | — |
| | | | |
Investor | | 16.91% | | 7.22% | | 6.93% | | — |
| | | | |
Class R6 (Commenced on July 31, 2015) | | 17.04% | | 7.34% | | — | | 5.12% |
| | | | |
Class R | | 16.26% | | 6.67% | | 6.39% | | — |
| | | | |
Class P (Commenced on April 17, 2018) | | 16.94% | | 7.35% | | — | | 6.66% |
| * | 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 sales charge, such a charge is not applied to their Average Annual Total Returns. |
FUND BASICS
The Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) intends to measure the stock performance of pureplay infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business. It is not possible to invest directly in an index.
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 figures do not reflect any fees or expenses. It is not possible to invest directly in an index.
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.
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 97.9% | |
| |
| | Australia – 3.8% | |
| | 813,395 | | Transurban Group (Transportation) | | $ | 7,600,675 | |
| | | |
| |
| | Canada – 14.1% | |
| | 302,917 | | Enbridge, Inc. (Energy) | | | 10,904,601 | |
| | 23,036 | | Fortis, Inc. (Utilities) | | | 947,657 | |
| | 106,457 | | Hydro One Ltd. (Utilities)(a) | | | 3,189,572 | |
| | 104,789 | | Keyera Corp. (Energy) | | | 2,533,030 | |
| | 69,870 | | Northland Power, Inc. (Utilities) | | | 1,269,213 | |
| | 121,256 | | Pembina Pipeline Corp. (Energy) | | | 4,174,709 | |
| | 139,092 | | TC Energy Corp. (Energy) | | | 5,433,306 | |
| | | | | | | | |
| | | | | | | 28,452,088 | |
| | | |
| |
| | China – 1.5% | |
| | 265,000 | | ENN Energy Holdings Ltd. (Utilities) | | | 1,956,879 | |
| | 1,254,000 | | Jiangsu Expressway Co. Ltd., Class H (Transportation) | | | 1,128,343 | |
| | | | | | | | |
| | | | | | | 3,085,222 | |
| | | |
| |
| | France – 7.8% | |
| | 97,071 | | Engie SA (Utilities) | | | 1,710,032 | |
| | 30,479 | | Veolia Environnement SA (Utilities) | | | 963,340 | |
| | 104,977 | | Vinci SA (Capital Goods) | | | 13,210,860 | |
| | | | | | | | |
| | | | | | | 15,884,232 | |
| | | |
| |
| | Italy – 1.0% | |
| | 518,610 | | Enav SpA (Transportation)(a) | | | 1,969,850 | |
| | | |
| |
| | Japan – 0.7% | |
| | 71,600 | | Osaka Gas Co. Ltd. (Utilities) | | | 1,494,612 | |
| | | |
| |
| | Spain – 6.4% | |
| | 25,335 | | Aena SME SA (Transportation)(a) | | | 4,598,586 | |
| | 159,713 | | Cellnex Telecom SA (Telecommunication Services)*(a) | | | 6,288,381 | |
| | 164,889 | | Iberdrola SA (Utilities) | | | 2,162,813 | |
| | | | | | | | |
| | | | | | | 13,049,780 | |
| | | |
| |
| | United Kingdom – 7.5% | |
| | 861,749 | | National Grid PLC (Utilities) | | | 11,608,909 | |
| | 109,617 | | Severn Trent PLC (Utilities) | | | 3,604,706 | |
| | | | | | | | |
| | | | | | | 15,213,615 | |
| | | |
| |
| | United States – 55.1% | |
| | 72,584 | | AES Corp. (The) (Utilities) | | | 1,397,242 | |
| | 20,955 | | Ameren Corp. (Utilities) | | | 1,515,885 | |
| | 77,560 | | American Tower Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 16,743,653 | |
| | 21,285 | | American Water Works Co., Inc. (Utilities) | | | 2,809,407 | |
| | 29,782 | | Atmos Energy Corp. (Utilities) | | | 3,451,734 | |
| | 130,752 | | CenterPoint Energy, Inc. (Utilities) | | | 3,735,585 | |
| | 51,312 | | Cheniere Energy, Inc. (Energy) | | | 8,759,472 | |
| | 41,599 | | CMS Energy Corp. (Utilities) | | | 2,415,654 | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | United States – (continued) | |
| | 22,155 | | Consolidated Edison, Inc. (Utilities) | | $ | 2,015,440 | |
| | 46,409 | | Crown Castle, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 5,345,853 | |
| | 60,124 | | DT Midstream, Inc. (Energy) | | | 3,294,795 | |
| | 33,766 | | Edison International (Utilities) | | | 2,413,931 | |
| | 1,232 | | Equinix, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 992,240 | |
| | 66,914 | | Eversource Energy (Utilities) | | | 4,129,932 | |
| | 101,331 | | Exelon Corp. (Utilities) | | | 3,637,783 | |
| | 131,272 | | Ferrovial SE (Capital Goods) | | | 4,791,544 | |
| | 122,314 | | Kinder Morgan, Inc. (Energy) | | | 2,157,619 | |
| | 61,272 | | Kodiak Gas Services, Inc. (Energy) | | | 1,230,342 | |
| | 2,349 | | Linde PLC (Materials) | | | 964,758 | |
| | 40,425 | | NextEra Energy, Inc. (Utilities) | | | 2,455,414 | |
| | 49,371 | | ONEOK, Inc. (Energy) | | | 3,466,832 | |
| | 226,603 | | PG&E Corp. (Utilities) | | | 4,085,652 | |
| | 27,876 | | SBA Communications Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 7,071,862 | |
| | 111,597 | | Sempra (Utilities) | | | 8,339,644 | |
| | 63,583 | | Targa Resources Corp. (Energy) | | | 5,523,455 | |
| | 24,252 | | WEC Energy Group, Inc. (Utilities) | | | 2,041,291 | |
| | 136,263 | | Williams Cos., Inc. (The) (Energy) | | | 4,746,040 | |
| | 32,147 | | Xcel Energy, Inc. (Utilities) | | | 1,990,221 | |
| | | | | | | | |
| | | | | | | 111,523,280 | |
| | | |
| | TOTAL COMMON STOCKS (Cost $157,033,822) | | | 198,273,354 | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company – 0.9%(b) | |
| | |
| | Goldman Sachs Financial Square Government Fund - Institutional Shares | | | | |
| | 1,751,375 | | 5.248% | | | 1,751,375 | |
| | (Cost $1,751,375) | |
| | | |
| | TOTAL INVESTMENTS – 98.8%
(Cost $158,785,197) | | $ | 200,024,729 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% | | | 2,400,166 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 202,424,895 | |
| | | |
| | |
| 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. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| | | | | | |
Investment Abbreviations: | | | | |
PLC | | —Public Limited Company | | | | |
REIT | | —Real Estate Investment Trust | | | | |
| | | | |
| Sector Name | | % of
Market
Value | |
| |
Utilities | | | 37.7 | % |
Energy | | | 26.1 | |
Industrials | | | 16.6 | |
Real Estate | | | 15.1 | |
Communication Services | | | 3.1 | |
Investment Company | | | 0.9 | |
Materials | | | 0.5 | |
TOTAL INVESTMENTS | | | 100.0 | % |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 98.1% | |
| |
| | Australia – 3.3% | |
| | 226,140 | | Dexus REIT (Equity Real Estate Investment Trusts (REITs)) | | $ | 1,181,841 | |
| | 64,341 | | Goodman Group REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,107,750 | |
| | 593,604 | | Region RE Ltd. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 913,276 | |
| | 539,835 | | Stockland REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,637,122 | |
| | | | | | | | |
| | | | | | | 4,839,989 | |
| | | |
| |
| | Canada – 2.5% | |
| | 38,026 | | Canadian Apartment Properties REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,400,452 | |
| | 90,576 | | Dream Industrial Real Estate Investment Trust REIT (Equity Real Estate Investment Trusts (REITs)) | | | 954,259 | |
| | 93,177 | | RioCan Real Estate Investment Trust REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,309,351 | |
| | | | | | | | |
| | | | | | | 3,664,062 | |
| | | |
| |
| | France – 1.3% | |
| | 15,349 | | Gecina SA REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,868,574 | |
| | | |
| |
| | Germany – 2.3% | |
| | 72,599 | | Instone Real Estate Group SE (Real Estate Management & Development)(a) | | | 585,057 | |
| | 90,626 | | Vonovia SE (Real Estate Management & Development) | | | 2,847,624 | |
| | | | | | | | |
| | | | | | | 3,432,681 | |
| | | |
| |
| | Hong Kong – 4.3% | |
| | 167,000 | | CK Asset Holdings Ltd. (Real Estate Management & Development) | | | 838,189 | |
| | 266,500 | | Hongkong Land Holdings Ltd. (Real Estate Management & Development) | | | 926,902 | |
| | 219,800 | | Link REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,234,189 | |
| | 1,527,879 | | Sino Land Co. Ltd. (Real Estate Management & Development) | | | 1,661,540 | |
| | 156,500 | | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | | | 1,693,545 | |
| | | | | | | | |
| | | | | | | 6,354,365 | |
| | | |
| |
| | Japan – 10.0% | |
| | 571 | | Comforia Residential REIT, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,282,542 | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Japan – (continued) | |
| | 3,575 | | Invincible Investment Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | $ | 1,545,179 | |
| | 1,541 | | Japan Metropolitan Fund Invest REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,112,296 | |
| | 29,000 | | Kyoritsu Maintenance Co. Ltd. (Consumer Services) | | | 1,229,881 | |
| | 47,800 | | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | | | 655,246 | |
| | 123,400 | | Mitsui Fudosan Co. Ltd. (Real Estate Management & Development) | | | 3,017,093 | |
| | 127 | | Nippon Accommodations Fund, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 543,616 | |
| | 448 | | Nippon Building Fund, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,939,340 | |
| | 700 | | Nippon Prologis REIT, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,345,948 | |
| | 72,000 | | Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development) | | | 2,133,650 | |
| | | | | | | | |
| | | | | | | 14,804,791 | |
| | | |
| |
| | Netherlands – 0.7% | |
| | 65,141 | | CTP NV (Real Estate Management & Development)(a) | | | 1,100,497 | |
| | | |
| |
| | Singapore – 3.4% | |
| | 504,100 | | CapitaLand Ascendas REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,155,687 | |
| | 947,400 | | Capitaland India Trust (Real Estate Management & Development) | | | 818,364 | |
| | 2,544,300 | | Far East Hospitality Trust (Equity Real Estate Investment Trusts (REITs)) | | | 1,282,030 | |
| | 549,100 | | Frasers Logistics & Commercial Trust REIT (Equity Real Estate Investment Trusts (REITs)) | | | 478,030 | |
| | 2,799,409 | | Lendlease Global Commercial REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,367,149 | |
| | | | | | | | |
| | | | | | | 5,101,260 | |
| | | |
| |
| | Spain – 1.9% | |
| | 39,931 | | Cellnex Telecom SA (Telecommunication Services)*(a) | | | 1,572,204 | |
| | 116,063 | | Merlin Properties Socimi SA REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,288,657 | |
| | | | | | | | |
| | | | | | | 2,860,861 | |
| | | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Sweden – 1.2% | |
| | 120,642 | | Castellum AB (Real Estate Management & Development)* | | $ | 1,712,965 | |
| | | |
| |
| | United Kingdom – 6.0% | |
| | 123,587 | | Big Yellow Group PLC REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,923,943 | |
| | 35,475 | | Derwent London PLC REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,066,944 | |
| | 213,347 | | Segro PLC REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,405,971 | |
| | 1,059,596 | | Shaftesbury Capital PLC REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,865,048 | |
| | 117,109 | | UNITE Group PLC (The) REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,555,618 | |
| | | | | | | | |
| | | | | | | 8,817,524 | |
| | | |
| |
| | United States – 61.2% | |
| | 26,307 | | Alexandria Real Estate Equities, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 3,334,938 | |
| | 50,858 | | American Homes 4 Rent, Class A REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,828,854 | |
| | 7,746 | | American Tower Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,672,206 | |
| | 68,262 | | Americold Realty Trust, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,066,291 | |
| | 21,547 | | AvalonBay Communities, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 4,034,029 | |
| | 25,711 | | Boston Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,804,141 | |
| | 7,989 | | CBRE Group, Inc., Class A (Real Estate Management & Development)* | | | 743,696 | |
| | 31,593 | | Cousins Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 769,290 | |
| | 89,624 | | CubeSmart REIT (Equity Real Estate Investment Trusts (REITs)) | | | 4,154,072 | |
| | 19,277 | | Digital Realty Trust, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,594,299 | |
| | 10,937 | | EastGroup Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,007,377 | |
| | 9,399 | | Equinix, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 7,569,861 | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | United States – (continued) | |
| | 34,502 | | Equity LifeStyle Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | $ | 2,433,771 | |
| | 11,884 | | Equity Residential REIT (Equity Real Estate Investment Trusts (REITs)) | | | 726,825 | |
| | 6,121 | | Essex Property Trust, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,517,641 | |
| | 24,397 | | Extra Space Storage, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 3,911,571 | |
| | 20,527 | | Federal Realty Investment Trust REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,115,307 | |
| | 25,615 | | Healthpeak Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 507,177 | |
| | 3,900 | | Hilton Worldwide Holdings, Inc. (Consumer Services) | | | 710,151 | |
| | 7,651 | | Hyatt Hotels Corp., Class A (Consumer Services) | | | 997,767 | |
| | 96,578 | | Invitation Homes, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 3,294,276 | |
| | 101,937 | | Kimco Realty Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,172,277 | |
| | 4,447 | | Mid-America Apartment Communities, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 597,944 | |
| | 93,191 | | Prologis, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 12,422,360 | |
| | 38,578 | | Realty Income Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,215,149 | |
| | 38,555 | | Regency Centers Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,583,185 | |
| | 13,745 | | Ryman Hospitality Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,512,775 | |
| | 6,690 | | SBA Communications Corp. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,697,186 | |
| | 18,460 | | Simon Property Group, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,633,134 | |
| | 7,931 | | Sun Communities, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 1,059,978 | |
| | 55,678 | | UDR, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 2,131,911 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | United States – (continued) | |
| | 58,789 | | Ventas, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | $ | 2,930,044 | |
| | 131,065 | | VICI Properties, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 4,178,352 | |
| | 9,024 | | W.P. Carey, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 584,845 | |
| | 55,274 | | Welltower, Inc. REIT (Equity Real Estate Investment Trusts (REITs)) | | | 4,984,057 | |
| | | | | | | | |
| | | | | | | 90,496,737 | |
| | | |
| | TOTAL COMMON STOCKS (Cost $125,867,834) | | | 145,054,306 | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company – 1.0%(b) | |
| | |
| | Goldman Sachs Financial Square Government Fund - Institutional Shares | | | | |
| | 1,511,286 | | 5.248% | | | 1,511,286 | |
| | (Cost $1,511,286) | |
| | | |
| | TOTAL INVESTMENTS – 99.1% (Cost $127,379,120) | | $ | 146,565,592 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.9% | | | 1,334,518 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 147,900,110 | |
| | | |
| |
| | 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: | |
| | PLC | | —Public Limited Company | |
| | REIT | | —Real Estate Investment Trust | |
| | | |
| | |
| | | Sector Name | | % of
Market
Value | |
| | |
| | Real Estate | | | 95.9% | |
| | |
| | Consumer Discretionary | | | 2.0 | |
| | |
| | Communication Services | | | 1.1 | |
| | |
| | Investment Company | | | 1.0 | |
| | | |
| | |
| | TOTAL INVESTMENTS | | | 100.0% | |
| | | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 98.9% | |
| |
| | Health Care REITs – 9.6% | |
| | 26,484 | | Healthpeak Properties, Inc. REIT | | $ | 524,383 | |
| | 61,893 | | Ventas, Inc. REIT | | | 3,084,747 | |
| | 68,508 | | Welltower, Inc. REIT | | | 6,177,366 | |
| | | | | | | | |
| | | | | | | 9,786,496 | |
| | | |
| |
| | Hotel & Resort REITs – 1.9% | |
| | 17,229 | | Ryman Hospitality Properties, Inc. REIT | | | 1,896,224 | |
| | | |
| |
| | Hotels, Restaurants & Leisure – 2.0% | |
| | 4,044 | | Hilton Worldwide Holdings, Inc. | | | 736,372 | |
| | 9,863 | | Hyatt Hotels Corp., Class A | | | 1,286,234 | |
| | | | | | | | |
| | | | | | | 2,022,606 | |
| | | |
| |
| | Industrial REITs – 19.3% | |
| | 37,418 | | Americold Realty Trust, Inc. REIT | | | 1,132,643 | |
| | 12,630 | | EastGroup Properties, Inc. REIT | | | 2,318,110 | |
| | 121,261 | | Prologis, Inc. REIT | | | 16,164,091 | |
| | | | | | | | |
| | | | | | | 19,614,844 | |
| | | |
| |
| | Office REITs – 7.0% | |
| | 29,678 | | Alexandria Real Estate Equities, Inc. REIT | | | 3,762,280 | |
| | 28,834 | | Boston Properties, Inc. REIT | | | 2,023,282 | |
| | 56,265 | | Cousins Properties, Inc. REIT | | | 1,370,053 | |
| | | | | | | | |
| | | | | | | 7,155,615 | |
| | | |
| |
| | Real Estate Management & Development – 0.7% | |
| | 8,034 | | CBRE Group, Inc., Class A* | | | 747,885 | |
| | | |
| |
| | Residential REITs – 19.0% | |
| | 58,212 | | American Homes 4 Rent, Class A REIT | | | 2,093,304 | |
| | 24,069 | | AvalonBay Communities, Inc. REIT | | | 4,506,198 | |
| | 36,997 | | Equity LifeStyle Properties, Inc. REIT | | | 2,609,768 | |
| | 21,362 | | Equity Residential REIT | | | 1,306,500 | |
| | 6,342 | | Essex Property Trust, Inc. REIT | | | 1,572,436 | |
| | 98,450 | | Invitation Homes, Inc. REIT | | | 3,358,130 | |
| | 6,135 | | Mid-America Apartment Communities, Inc. REIT | | | 824,912 | |
| | 6,594 | | Sun Communities, Inc. REIT | | | 881,288 | |
| | 57,469 | | UDR, Inc. REIT | | | 2,200,488 | |
| | | | | | | | |
| | | | | | | 19,353,024 | |
| | | |
| |
| | Retail REITs – 10.9% | |
| | 20,590 | | Federal Realty Investment Trust REIT | | | 2,121,800 | |
| | 95,195 | | Kimco Realty Corp. REIT | | | 2,028,605 | |
| | 37,391 | | Regency Centers Corp. REIT | | | 2,505,197 | |
| | 30,544 | | Simon Property Group, Inc. REIT | | | 4,356,796 | |
| | | | | | | | |
| | | | | | | 11,012,398 | |
| | | |
| |
| | Specialized REITs – 28.5% | |
| | 5,092 | | American Tower Corp. REIT | | | 1,099,261 | |
| | 50,499 | | CubeSmart REIT | | | 2,340,628 | |
| | 26,516 | | Digital Realty Trust, Inc. REIT | | | 3,568,523 | |
| | 12,469 | | Equinix, Inc. REIT | | | 10,042,408 | |
| | 35,832 | | Extra Space Storage, Inc. REIT | | | 5,744,945 | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Specialized REITs – (continued) | |
| | 11,064 | | Public Storage REIT | | $ | 3,374,520 | |
| | 5,042 | | SBA Communications Corp. REIT | | | 1,279,105 | |
| | 55,071 | | VICI Properties, Inc. REIT | | | 1,755,663 | |
| | | | | | | | |
| | | | | | | 29,205,053 | |
| | | |
| | TOTAL COMMON STOCKS (Cost $63,779,601) | | | 100,794,145 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company – 0.3%(a) | |
| |
| | Goldman Sachs Financial Square Government Fund - Institutional Shares | |
| | 262,850 | | 5.248% | | | 262,850 | |
| | (Cost $262,850) | |
| | | |
| | TOTAL INVESTMENTS – 99.2% (Cost $64,042,451) | | $ | 101,056,995 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.8% | | | 818,901 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 101,875,896 | |
| | | |
| |
| | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |
| |
| | * Non-income producing security. (a) Represents an affiliated issuer. | |
| |
| | | |
| | | Investment Abbreviations: | | | |
| | REIT | | —Real Estate Investment Trust | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Statements of Assets and Liabilities December 31, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Global Infrastructure
Fund | | | | Global Real Estate
Securities Fund | | | | Real Estate Securities
Fund | | |
| | | | | | | |
| | | Assets: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Investments in unaffiliated issuers, at value (cost $157,033,822, $125,867,834 and $63,779,601, respectively) | | $ | 198,273,354 | | | | | | | $ | 145,054,306 | | | | | | | $ | 100,794,145 | | | |
| | Investments in affiliated issuers, at value (cost $1,751,375, $1,511,286 and $262,850, respectively) | | | 1,751,375 | | | | | | | | 1,511,286 | | | | | | | | 262,850 | | | |
| | Cash | | | 622,004 | | | | | | | | 653,841 | | | | | | | | 801,329 | | | |
| | Foreign Currency, at value (cost $675,628, $63,042 and $–, respectively) | | | 675,024 | | | | | | | | 63,312 | | | | | | | | — | | | |
| | Receivables: | | | | | | | | | | | | | | | | | | | | | | |
| | Dividends | | | 933,357 | | | | | | | | 644,495 | | | | | | | | 397,623 | | | |
| | Investments sold | | | 572,664 | | | | | | | | 1,044,319 | | | | | | | | — | | | |
| | Foreign tax reclaims | | | 454,791 | | | | | | | | 135,140 | | | | | | | | — | | | |
| | Reimbursement from investment adviser | | | 22,994 | | | | | | | | 11,836 | | | | | | | | 39,566 | | | |
| | Fund shares sold | | | 211 | | | | | | | | 197 | | | | | | | | 2,536 | | | |
| | Other assets | | | 67,832 | | | | | | | | 56,803 | | | | | | | | 49,541 | | | |
| | |
| | Total assets | | | 203,373,606 | | | | | | | | 149,175,535 | | | | | | | | 102,347,590 | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Payables: | | | | | | | | | | | | | | | | | | | | | | |
| | Investments purchased | | | 571,320 | | | | | | | | — | | | | | | | | — | | | |
| | Management fees | | | 156,067 | | | | | | | | 112,183 | | | | | | | | 71,990 | | | |
| | Fund shares redeemed | | | 89,679 | | | | | | | | 1,028,440 | | | | | | | | 195,138 | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 5,610 | | | | | | | | 4,326 | | | | | | | | 13,395 | | | |
| | Accrued expenses | | | 126,035 | | | | | | | | 130,476 | | | | | | | | 191,171 | | | |
| | |
| | Total liabilities | | | 948,711 | | | | | | | | 1,275,425 | | | | | | | | 471,694 | | | |
| | |
| | | | | | | |
| | Net Assets: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Paid-in Capital | | | 171,785,394 | | | | | | | | 164,237,341 | | | | | | | | 65,964,170 | | | |
| | Total distributable earnings (loss) | | | 30,639,501 | | | | | | | | (16,337,231 | ) | | | | | | | 35,911,726 | | | |
| | |
| | NET ASSETS | | $ | 202,424,895 | | | | | | | $ | 147,900,110 | | | | | | | $ | 101,875,896 | | | |
| | | Net Assets: | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | $ | 184,605 | | | | | | | $ | 1,177,811 | | | | | | | $ | 14,174,830 | | | |
| | | Class C | | | 257,109 | | | | | | | | 34,983 | | | | | | | | 730,492 | | | |
| | | Institutional | | | 8,590,668 | | | | | | | | 1,155,464 | | | | | | | | 26,103,869 | | | |
| | | Service | | | — | | | | | | | | — | | | | | | | | 362,421 | | | |
| | | Investor | | | 1,195,375 | | | | | | | | 137,186 | | | | | | | | 843,065 | | | |
| | | Class R6 | | | 112,269,728 | | | | | | | | 95,977,669 | | | | | | | | 2,563,688 | | | |
| | | Class R | | | — | | | | | | | | — | | | | | | | | 512,188 | | | |
| | | Class P | | | 79,927,410 | | | | | | | | 49,416,997 | | | | | | | | 56,585,343 | | | |
| | | Total Net Assets | | $ | 202,424,895 | | | | | | | $ | 147,900,110 | | | | | | | $ | 101,875,896 | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | 14,722 | | | | | | | | 119,862 | | | | | | | | 1,238,955 | | | |
| | | Class C | | | 20,761 | | | | | | | | 3,599 | | | | | | | | 69,635 | | | |
| | | Institutional | | | 687,494 | | | | | | | | 117,412 | | | | | | | | 2,156,284 | | | |
| | | Service | | | — | | | | | | | | — | | | | | | | | 31,293 | | | |
| | | Investor | | | 95,830 | | | | | | | | 13,982 | | | | | | | | 72,372 | | | |
| | | Class R6 | | | 9,007,567 | | | | | | | | 9,766,253 | | | | | | | | 211,756 | | | |
| | | Class R | | | — | | | | | | | | — | | | | | | | | 45,684 | | | |
| | | Class P | | | 6,417,128 | | | | | | | | 5,032,822 | | | | | | | | 4,675,331 | | | |
| | | Net asset value, offering and redemption price per share:(a) | | | | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | $12.54 | | | | | | | | $9.83 | | | | | | | | $11.44 | | | |
| | | Class C | | | 12.38 | | | | | | | | 9.72 | | | | | | | | 10.49 | | | |
| | | Institutional | | | 12.50 | | | | | | | | 9.84 | | | | | | | | 12.11 | | | |
| | | Service | | | — | | | | | | | | — | | | | | | | | 11.58 | | | |
| | | Investor | | | 12.47 | | | | | | | | 9.81 | | | | | | | | 11.65 | | | |
| | | Class R6 | | | 12.46 | | | | | | | | 9.83 | | | | | | | | 12.11 | | | |
| | | Class R | | | — | | | | | | | | — | | | | | | | | 11.21 | | | |
| | | Class P | | | 12.46 | | | | | | | | 9.82 | | | | | | | | 12.10 | | | |
| (a) | Maximum public offering price per share for Class A Shares of the Global Infrastructure, Global Real Estate Securities and Real Estate Securities is $13.27, $10.40 and $12.11, 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. |
| | |
| 30 | | 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, 2023 |
| | | | | | | | | | | | | | | | |
| | | | | Global
Infrastructure Fund | | | Global Real Estate
Securities Fund | | | Real Estate
Securities Fund | | | |
| | | | | |
| | | Investment income: | | | | | | | | | | | | | | |
| | | | | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $528,832, $165,242 and $–, respectively) | | $ | 7,829,975 | | | $ | 4,244,329 | | | $ | 3,383,915 | | | |
| | | | | |
| | Dividends — affiliated issuers | | | 124,003 | | | | 89,004 | | | | 27,434 | | | |
| | | | | |
| | Securities lending income, net of rebates received or paid to borrowers – affiliated issuer | | | — | | | | 4,521 | | | | 681 | | | |
| | |
| | Total Investment Income | | | 7,953,978 | | | | 4,337,854 | | | | 3,412,030 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Expenses: | | | | | | | | | | | | | | |
| | | | | |
| | Management fees | | | 2,045,608 | | | | 1,134,756 | | | | 942,518 | | | |
| | | | | |
| | Registration fees | | | 138,280 | | | | 89,200 | | | | 109,114 | | | |
| | | | | |
| | Professional fees | | | 136,906 | | | | 176,783 | | | | 125,430 | | | |
| | | | | |
| | Transfer Agency fees(a) | | | 71,669 | | | | 38,537 | | | | 55,301 | | | |
| | | | | |
| | Custody, accounting and administrative services | | | 56,696 | | | | 96,338 | | | | 25,380 | | | |
| | | | | |
| | Trustee fees | | | 39,863 | | | | 21,663 | | | | 21,644 | | | |
| | | | | |
| | Printing and mailing costs | | | 28,582 | | | | 36,928 | | | | 10,350 | | | |
| | | | | |
| | Distribution and/or Service (12b-1) fees(a) | | | 3,376 | | | | 3,268 | | | | 44,030 | | | |
| | | | | |
| | Shareholder meeting expense | | | 1,002 | | | | 1,113 | | | | 2,327 | | | |
| | | | | |
| | Service fees — Class C | | | 893 | | | | 115 | | | | 1,953 | | | |
| | | | | |
| | Shareholder Administration fees — Service Shares | | | — | | | | — | | | | 835 | | | |
| | | | | |
| | Other | | | 22,110 | | | | 17,014 | | | | 6,907 | | | |
| | |
| | | | | |
| | Total expenses | | | 2,544,985 | | | | 1,615,715 | | | | 1,345,789 | | | |
| | |
| | | | | |
| | Less — expense reductions | | | (304,806 | ) | | | (436,105 | ) | | | (328,702 | ) | | |
| | |
| | | | | |
| | Net expenses | | | 2,240,179 | | | | 1,179,610 | | | | 1,017,087 | | | |
| | |
| | | | | |
| | NET INVESTMENT INCOME | | | 5,713,799 | | | | 3,158,244 | | | | 2,394,943 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Realized and Unrealized gain (loss): | | | | | | | | | | | | | | |
| | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | | | |
| | | | | |
| | Investments — unaffiliated issuers | | | (3,582,313 | ) | | | (1,057,340 | ) | | | (161,117 | ) | | |
| | | | | |
| | Foreign currency transactions | | | (22,067 | ) | | | (26,299 | ) | | | — | | | |
| | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | | | |
| | | | | |
| | Investments — unaffiliated issuers | | | 8,013,954 | | | | 14,643,359 | | | | 14,059,042 | | | |
| | | | | |
| | Foreign currency translations | | | 13,383 | | | | (2,864 | ) | | | — | | | |
| | |
| | Net realized and unrealized gain | | | 4,422,957 | | | | 13,556,856 | | | | 13,897,925 | | | |
| | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 10,136,756 | | | $ | 16,715,100 | | | $ | 16,292,868 | | | |
| | |
| | (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 | |
Global Infrastructure Fund | | | $603 | | | | $2,679 | | | | $— | | | | $94 | | | | $377 | | | | $557 | | | | $3,336 | | | | $— | | | | $2,317 | | | | $35,118 | | | | $30 | | | | $29,934 | |
Global Real Estate Securities Fund | | | 2,847 | | | | 344 | | | | — | | | | 77 | | | | 1,767 | | | | 71 | | | | 654 | | | | — | | | | 397 | | | | 21,471 | | | | 24 | | | | 14,153 | |
Real Estate Securities Fund | | | 34,683 | | | | 5,858 | | | | 835 | | | | 2,654 | | | | 21,524 | | | | 1,213 | | | | 9,903 | | | | 134 | | | | 1,590 | | | | 723 | | | | 825 | | | | 19,389 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Statements of Changes in Net Assets |
| | | | | | | | | | | | | | | | | | | | |
| | | | | Global Infrastructure Fund | | | Global Real Estate Securities Fund | | | |
| | | | | | |
| | | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the Fiscal
Year Ended
December 31, 2022 | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the Fiscal
Year Ended
December 31, 2022 | | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | $ | 5,713,799 | | | $ | 5,158,237 | | | $ | 3,158,244 | | | $ | 2,844,038 | | | |
| | | | | | |
| | Net realized loss | | | (3,604,380 | ) | | | (1,846,909 | ) | | | (1,083,639 | ) | | | (15,342,366 | ) | | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | 8,027,337 | | | | (23,635,365 | ) | | | 14,640,495 | | | | (42,260,955 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 10,136,756 | | | | (20,324,037 | ) | | | 16,715,100 | | | | (54,759,283 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (5,096 | ) | | | (18,113 | ) | | | (18,101 | ) | | | (26,148 | ) | | |
| | | | | | |
| | Class C Shares | | | (4,554 | ) | | | (4,268 | ) | | | (422 | ) | | | (949 | ) | | |
| | | | | | |
| | Institutional Shares | | | (197,215 | ) | | | (293,158 | ) | | | (21,099 | ) | | | (99,057 | ) | | |
| | | | | | |
| | Investor Shares | | | (36,232 | ) | | | (22,644 | ) | | | (5,777 | ) | | | (1,436 | ) | | |
| | | | | | |
| | Class R6 Shares | | | (2,908,704 | ) | | | (2,630,683 | ) | | | (1,321,028 | ) | | | (1,886,221 | ) | | |
| | | | | | |
| | Class R Shares | | | (345 | ) | | | (456 | ) | | | (247 | ) | | | (579 | ) | | |
| | | | | | |
| | Class P Shares | | | (2,535,438 | ) | | | (2,043,315 | ) | | | (885,231 | ) | | | (1,346,410 | ) | | |
| | | | | | |
| | From return of capital: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (280 | ) | | | (2,427 | ) | | | — | | | | (8,203 | ) | | |
| | | | | | |
| | Class C Shares | | | (250 | ) | | | (572 | ) | | | — | | | | (298 | ) | | |
| | | | | | |
| | Institutional Shares | | | (10,831 | ) | | | (39,281 | ) | | | — | | | | (31,075 | ) | | |
| | | | | | |
| | Investor Shares | | | (1,990 | ) | | | (3,034 | ) | | | — | | | | (451 | ) | | |
| | | | | | |
| | Class R6 Shares | | | (159,743 | ) | | | (352,488 | ) | | | — | | | | (591,735 | ) | | |
| | | | | | |
| | Class R Shares | | | (19 | ) | | | (61 | ) | | | — | | | | (182 | ) | | |
| | | | | | |
| | Class P Shares | | | (139,244 | ) | | | (273,786 | ) | | | — | | | | (422,388 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (5,999,941 | ) | | | (5,684,286 | ) | | | (2,251,905 | ) | | | (4,415,132 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 28,491,197 | | | | 47,639,483 | | | | 30,072,029 | | | | 55,195,029 | | | |
| | | | | | |
| | Proceeds received in connection with merger | | | — | | | | — | | | | — | | | | 38,550,687 | | | |
| | | | | | |
| | Reinvestment of distributions | | | 5,999,949 | | | | 5,676,438 | | | | 2,251,724 | | | | 4,414,650 | | | |
| | | | | | |
| | Cost of shares redeemed | | | (87,499,024 | ) | | | (71,104,641 | ) | | | (18,279,651 | ) | | | (97,246,189 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (53,007,878 | ) | | | (17,788,720 | ) | | | 14,044,102 | | | | 914,177 | | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | (48,871,063 | ) | | | (43,797,043 | ) | | | 28,507,297 | | | | (58,260,238 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net Assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 251,295,958 | | | | 295,093,001 | | | | 119,392,813 | | | | 177,653,051 | | | |
| | |
| | | | | | |
| | End of year | | $ | 202,424,895 | | | $ | 251,295,958 | | | $ | 147,900,110 | | | $ | 119,392,813 | | | |
| | |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Statements of Changes in Net Assets (continued) |
| | | | | | | | | | | | |
| | | | | Real Estate Securities Fund. | | | |
| | | | |
| | | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the Fiscal
Year Ended
December 31, 2022 | | | |
| | | | |
| | | From operations: | | | | | | | | | | |
| | | | |
| | Net investment income | | $ | 2,394,943 | | | $ | 1,928,842 | | | |
| | | | |
| | Net realized gain (loss) | | | (161,117 | ) | | | 2,626,891 | | | |
| | | | |
| | Net change in unrealized gain (loss) | | | 14,059,042 | | | | (52,492,372 | ) | | |
| | |
| | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 16,292,868 | | | | (47,936,639 | ) | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Distributions to shareholders: | | | | | | | | | | |
| | | | |
| | From distributable earnings: | | | | | | | | | | |
| | | | |
| | Class A Shares | | | (570,528 | ) | | | (711,739 | ) | | |
| | | | |
| | Class C Shares | | | (30,254 | ) | | | (41,004 | ) | | |
| | | | |
| | Institutional Shares | | | (1,076,826 | ) | | | (1,213,081 | ) | | |
| | | | |
| | Service Shares | | | (13,695 | ) | | | (14,637 | ) | | |
| | | | |
| | Investor Shares | | | (36,541 | ) | | | (77,244 | ) | | |
| | | | |
| | Class R6 Shares | | | (101,579 | ) | | | (115,061 | ) | | |
| | | | |
| | Class R Shares | | | (19,874 | ) | | | (39,422 | ) | | |
| | | | |
| | Class P Shares | | | (2,538,845 | ) | | | (3,439,977 | ) | | |
| | |
| | | | |
| | Total distributions to shareholders | | | (4,388,142 | ) | | | (5,652,185 | ) | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | From share transactions: | | | | | | | | | | |
| | | | |
| | Proceeds from sales of shares | | | 13,553,220 | | | | 22,993,292 | | | |
| | | | |
| | Reinvestment of distributions | | | 4,364,052 | | | | 5,622,085 | | | |
| | | | |
| | Cost of shares redeemed | | | (42,669,405 | ) | | | (36,947,780 | ) | | |
| | |
| | | | |
| | Net decrease in net assets resulting from share transactions | | | (24,752,133 | ) | | | (8,332,403 | ) | | |
| | |
| | | | |
| | TOTAL DECREASE | | | (12,847,407 | ) | | | (61,921,227 | ) | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Net Assets: | | | | | | | | | | |
| | | | |
| | Beginning of year | | | 114,723,303 | | | | 176,644,530 | | | |
| | |
| | | | |
| | End of year | | $ | 101,875,896 | | | $ | 114,723,303 | | | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
|
Financial Highlights Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund |
| | |
| | | | | Class A Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 12.27 | | | | $ | 13.45 | | | | $ | 11.78 | | | | $ | 12.47 | | | | $ | 9.68 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.25 | | | | | 0.18 | | | | | 0.15 | | | | | 0.14 | | | | | 0.18 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.32 | | | | | (1.20 | ) | | | | 1.74 | | | | | (0.64 | ) | | | | 2.83 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.57 | | | | | (1.02 | ) | | | | 1.89 | | | | | (0.50 | ) | | | | 3.01 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.29 | ) | | | | (0.14 | ) | | | | (0.18 | ) | | | | (0.16 | ) | | | | (0.19 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | | | – | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.02 | ) | | | | – | | | | | (0.03 | ) | | | | (0.03 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.30 | ) | | | | (0.16 | ) | | | | (0.22 | ) | | | | (0.19 | ) | | | | (0.22 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.54 | | | | $ | 12.27 | | | | $ | 13.45 | | | | $ | 11.78 | | | | $ | 12.47 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 4.78 | % | | | | (7.62 | )% | | | | 16.15 | % | | | | (3.97 | )% | | | | 31.22 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 185 | | | | $ | 296 | | | | $ | 1,302 | | | | $ | 357 | | | | $ | 782 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.31 | % | | | | 1.35 | % | | | | 1.35 | % | | | | 1.34 | % | | | | 1.36 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.49 | % | | | | 1.41 | % | | | | 1.45 | % | | | | 1.56 | % | | | | 1.51 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.06 | % | | | | 1.44 | % | | | | 1.14 | % | | | | 1.17 | % | | | | 1.53 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 26 | % | | | | 36 | % | | | | 50 | % | | | | 57 | % | | | | 39 | % | | |
| | |
| | (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. |
| | |
| 34 | | 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 C Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 12.11 | | | | $ | 13.34 | | | | $ | 11.70 | | | | $ | 12.41 | | | | $ | 9.65 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.16 | | | | | 0.09 | | | | | 0.05 | | | | | 0.02 | | | | | 0.11 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.31 | | | | | (1.20 | ) | | | | 1.73 | | | | | (0.62 | ) | | | | 2.80 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.47 | | | | | (1.11 | ) | | | | 1.78 | | | | | (0.60 | ) | | | | 2.91 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.11 | ) | | | | (0.10 | ) | | | | (0.09 | ) | | | | (0.13 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | | | – | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.01 | ) | | | | (0.01 | ) | | | | – | | | | | (0.02 | ) | | | | (0.02 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.20 | ) | | | | (0.12 | ) | | | | (0.14 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.38 | | | | $ | 12.11 | | | | $ | 13.34 | | | | $ | 11.70 | | | | $ | 12.41 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 3.95 | % | | | | (8.29 | )% | | | | 15.28 | % | | | | (4.78 | )% | | | | 30.31 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 257 | | | | $ | 454 | | | | $ | 622 | | | | $ | 868 | | | | $ | 2,607 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 2.06 | % | | | | 2.10 | % | | | | 2.10 | % | | | | 2.09 | % | | | | 2.11 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.24 | % | | | | 2.17 | % | | | | 2.20 | % | | | | 2.30 | % | | | | 2.26 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.35 | % | | | | 0.71 | % | | | | 0.39 | % | | | | 0.21 | % | | | | 1.01 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 26 | % | | | | 36 | % | | | | 50 | % | | | | 57 | % | | | | 39 | % | | |
| | |
| | (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. | | 35 |
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, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 12.23 | | | | $ | 13.47 | | | | $ | 11.80 | | | | $ | 12.50 | | | | $ | 9.71 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.27 | | | | | 0.25 | | | | | 0.19 | | | | | 0.21 | | | | | 0.19 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.34 | | | | | (1.22 | ) | | | | 1.74 | | | | | (0.68 | ) | | | | 2.87 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.61 | | | | | (0.97 | ) | | | | 1.93 | | | | | (0.47 | ) | | | | 3.06 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.32 | ) | | | | (0.23 | ) | | | | (0.22 | ) | | | | (0.17 | ) | | | | (0.24 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | | | – | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.02 | ) | | | | (0.04 | ) | | | | – | | | | | (0.06 | ) | | | | (0.03 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.34 | ) | | | | (0.27 | ) | | | | (0.26 | ) | | | | (0.23 | ) | | | | (0.27 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.50 | | | | $ | 12.23 | | | | $ | 13.47 | | | | $ | 11.80 | | | | $ | 12.50 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 5.13 | % | | | | (7.24 | )% | | | | 16.50 | % | | | | (3.63 | )% | | | | 31.66 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 8,591 | | | | $ | 13,554 | | | | $ | 8,983 | | | | $ | 6,772 | | | | $ | 1,264 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.99 | % | | | | 0.99 | % | | | | 0.99 | % | | | | 0.99 | % | | | | 1.00 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.12 | % | | | | 1.04 | % | | | | 1.08 | % | | | | 1.19 | % | | | | 1.13 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.25 | % | | | | 1.94 | % | | | | 1.50 | % | | | | 1.82 | % | | | | 1.70 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 26 | % | | | | 36 | % | | | | 50 | % | | | | 57 | % | | | | 39 | % | | |
| | |
| | (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. |
| | |
| 36 | | 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 |
| | |
| | | | | Investor Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 12.21 | | | | $ | 13.46 | | | | $ | 11.78 | | | | $ | 12.47 | | | | $ | 9.68 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.29 | | | | | 0.27 | | | | | 0.18 | | | | | 0.10 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | (1.27 | ) | | | | 1.75 | | | | | (0.58 | ) | | | | 2.82 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.59 | | | | | (1.00 | ) | | | | 1.93 | | | | | (0.48 | ) | | | | 3.04 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.31 | ) | | | | (0.21 | ) | | | | (0.21 | ) | | | | (0.19 | ) | | | | (0.22 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | | | – | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.02 | ) | | | | (0.04 | ) | | | | – | | | | | (0.02 | ) | | | | (0.03 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.33 | ) | | | | (0.25 | ) | | | | (0.25 | ) | | | | (0.21 | ) | | | | (0.25 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.47 | | | | $ | 12.21 | | | | $ | 13.46 | | | | $ | 11.78 | | | | $ | 12.47 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 5.00 | % | | | | (7.41 | )% | | | | 16.49 | % | | | | (3.80 | )% | | | | 31.49 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 1,195 | | | | $ | 1,720 | | | | $ | 248 | | | | $ | 181 | | | | $ | 929 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.06 | % | | | | 1.10 | % | | | | 1.10 | % | | | | 1.09 | % | | | | 1.10 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.24 | % | | | | 1.16 | % | | | | 1.20 | % | | | | 1.29 | % | | | | 1.26 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.41 | % | | | | 2.17 | % | | | | 1.39 | % | | | | 0.86 | % | | | | 1.96 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 26 | % | | | | 36 | % | | | | 50 | % | | | | 57 | % | | | | 39 | % | | |
| | |
| | (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. | | 37 |
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, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 12.20 | | | | $ | 13.44 | | | | $ | 11.77 | | | | $ | 12.47 | | | | $ | 9.69 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.31 | | | | | 0.24 | | | | | 0.19 | | | | | 0.18 | | | | | 0.23 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.29 | | | | | (1.21 | ) | | | | 1.74 | | | | | (0.65 | ) | | | | 2.82 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.60 | | | | | (0.97 | ) | | | | 1.93 | | | | | (0.47 | ) | | | | 3.05 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.32 | ) | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.19 | ) | | | | (0.24 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | | | – | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.02 | ) | | | | (0.03 | ) | | | | – | | | | | (0.04 | ) | | | | (0.03 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.34 | ) | | | | (0.27 | ) | | | | (0.26 | ) | | | | (0.23 | ) | | | | (0.27 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.46 | | | | $ | 12.20 | | | | $ | 13.44 | | | | $ | 11.77 | | | | $ | 12.47 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 5.09 | % | | | | (7.25 | )% | | | | 16.55 | % | | | | (3.64 | )% | | | | 31.63 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 112,270 | | | | $ | 128,064 | | | | $ | 166,430 | | | | $ | 160,304 | | | | $ | 187,335 | | | |
| | | | | | | |
| | 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 | | | | 1.12 | % | | | | 1.04 | % | | | | 1.07 | % | | | | 1.18 | % | | | | 1.11 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.55 | % | | | | 1.86 | % | | | | 1.51 | % | | | | 1.57 | % | | | | 1.94 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 26 | % | | | | 36 | % | | | | 50 | % | | | | 57 | % | | | | 39 | % | | |
| | |
| | (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 GLOBAL INFRASTRUCTURE FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Infrastructure Fund |
| | |
| | | | | Class P Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 12.19 | | | | $ | 13.44 | | | | $ | 11.76 | | | | $ | 12.47 | | | | $ | 9.68 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.30 | | | | | 0.24 | | | | | 0.19 | | | | | 0.21 | | | | | 0.23 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.31 | | | | | (1.22 | ) | | | | 1.75 | | | | | (0.69 | ) | | | | 2.83 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.61 | | | | | (0.98 | ) | | | | 1.94 | | | | | (0.48 | ) | | | | 3.06 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.32 | ) | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.17 | ) | | | | (0.24 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | | | – | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | (0.02 | ) | | | | (0.03 | ) | | | | – | | | | | (0.06 | ) | | | | (0.03 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.34 | ) | | | | (0.27 | ) | | | | (0.26 | ) | | | | (0.23 | ) | | | | (0.27 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.46 | | | | $ | 12.19 | | | | $ | 13.44 | | | | $ | 11.76 | | | | $ | 12.47 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 5.17 | % | | | | (7.32 | )% | | | | 16.66 | % | | | | (3.72 | )% | | | | 31.77 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 79,927 | | | | $ | 107,173 | | | | $ | 117,473 | | | | $ | 12,085 | | | | $ | 3,936 | | | |
| | | | | | | |
| | 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 | | | | 1.12 | % | | | | 1.04 | % | | | | 1.07 | % | | | | 1.18 | % | | | | 1.12 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.50 | % | | | | 1.87 | % | | | | 1.51 | % | | | | 1.77 | % | | | | 1.99 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 26 | % | | | | 36 | % | | | | 50 | % | | | | 57 | % | | | | 39 | % | | |
| | |
| | (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 GLOBAL REAL ESTATE SECURITIES FUND
|
Financial Highlights Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs Global Real Estate Securities Fund |
| | |
| | | | | Class A Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 8.85 | | | | $ | 12.65 | | | | $ | 10.25 | | | | $ | 11.14 | | | | $ | 9.79 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.20 | | | | | 0.19 | | | | | 0.09 | | | | | 0.12 | | | | | 0.17 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.93 | | | | | (3.72 | ) | | | | 2.55 | | | | | (0.88 | ) | | | | 2.01 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.13 | | | | | (3.53 | ) | | | | 2.64 | | | | | (0.76 | ) | | | | 2.18 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.05 | ) | | | | (0.24 | ) | | | | (0.10 | ) | | | | (0.53 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.13 | ) | | | | – | | | | | (0.02 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | – | | | | | (0.09 | ) | | | | – | | | | | (0.01 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.15 | ) | | | | (0.27 | ) | | | | (0.24 | ) | | | | (0.13 | ) | | | | (0.83 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.83 | | | | $ | 8.85 | | | | $ | 12.65 | | | | $ | 10.25 | | | | $ | 11.14 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 12.92 | % | | | | (27.99 | )% | | | | 25.92 | % | | | | (6.63 | )% | | | | 22.47 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 1,178 | | | | $ | 1,202 | | | | $ | 54 | | | | $ | 50 | | | | $ | 54 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.34 | % | | | | 1.34 | % | | | | 1.34 | % | | | | 1.35 | % | | | | 1.36 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.70 | % | | | | 1.70 | % | | | | 1.58 | % | | | | 1.60 | % | | | | 1.52 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.17 | % | | | | 1.93 | % | | | | 0.80 | % | | | | 1.21 | % | | | | 1.55 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 47 | % | | | | 80 | % | | | | 52 | % | | | | 75 | % | | | | 42 | % | | |
| | |
| | (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 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, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 8.76 | | | | $ | 12.55 | | | | $ | 10.18 | | | | $ | 11.09 | | | | $ | 9.79 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.12 | | | | | 0.07 | | | | | 0.01 | | | | | 0.04 | | | | | 0.11 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.92 | | | | | (3.65 | ) | | | | 2.53 | | | | | (0.87 | ) | | | | 1.98 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.04 | | | | | (3.58 | ) | | | | 2.54 | | | | | (0.83 | ) | | | | 2.09 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.08 | ) | | | | (0.03 | ) | | | | (0.17 | ) | | | | (0.05 | ) | | | | (0.49 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.13 | ) | | | | – | | | | | (0.02 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | – | | | | | (0.05 | ) | | | | – | | | | | (0.01 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.08 | ) | | | | (0.21 | ) | | | | (0.17 | ) | | | | (0.08 | ) | | | | (0.79 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.72 | | | | $ | 8.76 | | | | $ | 12.55 | | | | $ | 10.18 | | | | $ | 11.09 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 12.03 | % | | | | (28.55 | )% | | | | 25.01 | % | | | | (7.39 | )% | | | | 21.60 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 35 | | | | $ | 52 | | | | $ | 63 | | | | $ | 50 | | | | $ | 66 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 2.09 | % | | | | 2.09 | % | | | | 2.09 | % | | | | 2.10 | % | | | | 2.11 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.46 | % | | | | 2.41 | % | | | | 2.33 | % | | | | 2.34 | % | | | | 2.29 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.36 | % | | | | 0.71 | % | | | | 0.05 | % | | | | 0.45 | % | | | | 0.96 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 47 | % | | | | 80 | % | | | | 52 | % | | | | 75 | % | | | | 42 | % | | |
| | |
| | (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 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, | |
| | | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | $ | 8.86 | | | $ | 12.65 | | | $ | 10.25 | | | $ | 11.13 | | | $ | 9.82 | | | | | |
| | | |
| | | | | | | |
| | Net investment income(a) | | | 0.17 | | | | 0.22 | | | | 0.13 | | | | 0.15 | | | | 0.22 | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | 0.98 | | | | (3.71 | ) | | | 2.55 | | | | (0.87 | ) | | | 2.00 | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | 1.15 | | | | (3.49 | ) | | | 2.68 | | | | (0.72 | ) | | | 2.22 | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | (0.17 | ) | | | (0.08 | ) | | | (0.28 | ) | | | (0.13 | ) | | | (0.61 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | – | | | | (0.13 | ) | | | – | | | | (0.02 | ) | | | (0.30 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | – | | | | (0.09 | ) | | | – | | | | (0.01 | ) | | | – | | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | (0.17 | ) | | | (0.30 | ) | | | (0.28 | ) | | | (0.16 | ) | | | (0.91 | ) | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | $ | 9.84 | | | $ | 8.86 | | | $ | 12.65 | | | $ | 10.25 | | | $ | 11.13 | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | 13.21 | % | | | (27.72 | )% | | | 26.38 | % | | | (6.26 | )% | | | 22.91 | % | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 1,155 | | | $ | 4,225 | | | $ | 411 | | | $ | 2,150 | | | $ | 2,131 | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | 0.97 | % | | | 0.97 | % | | | 0.97 | % | | | 0.97 | % | | | 0.97 | % | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | 1.32 | % | | | 1.32 | % | | | 1.21 | % | | | 1.22 | % | | | 1.15 | % | | | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | 1.84 | % | | | 2.26 | % | | | 1.17 | % | | | 1.60 | % | | | 1.98 | % | | | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | 47 | % | | | 80 | % | | | 52 | % | | | 75 | % | | | 42 | % | | | | |
| | | |
| | (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 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, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 8.83 | | | | $ | 12.62 | | | | $ | 10.23 | | | | $ | 11.11 | | | | $ | 9.80 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.23 | | | | | 0.19 | | | | | 0.12 | | | | | 0.14 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.91 | | | | | (3.69 | ) | | | | 2.54 | | | | | (0.87 | ) | | | | 2.00 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.14 | | | | | (3.50 | ) | | | | 2.66 | | | | | (0.73 | ) | | | | 2.21 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.16 | ) | | | | (0.08 | ) | | | | (0.27 | ) | | | | (0.12 | ) | | | | (0.60 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.13 | ) | | | | – | | | | | (0.02 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | – | | | | | (0.08 | ) | | | | – | | | | | (0.01 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.16 | ) | | | | (0.29 | ) | | | | (0.27 | ) | | | | (0.15 | ) | | | | (0.90 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.81 | | | | $ | 8.83 | | | | $ | 12.62 | | | | $ | 10.23 | | | | $ | 11.11 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 13.18 | % | | | | (27.85 | )% | | | | 26.20 | % | | | | (6.37 | )% | | | | 22.79 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 137 | | | | $ | 63 | | | | $ | 40 | | | | $ | 32 | | | | $ | 34 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.09 | % | | | | 1.09 | % | | | | 1.09 | % | | | | 1.10 | % | | | | 1.11 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.48 | % | | | | 1.42 | % | | | | 1.33 | % | | | | 1.34 | % | | | | 1.29 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.60 | % | | | | 1.90 | % | | | | 1.05 | % | | | | 1.45 | % | | | | 1.85 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 47 | % | | | | 80 | % | | | | 52 | % | | | | 75 | % | | | | 42 | % | | |
| | |
| | (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. | | 43 |
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, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 8.84 | | | | $ | 12.63 | | | | $ | 10.23 | | | | $ | 11.11 | | | | $ | 9.80 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.24 | | | | | 0.18 | | | | | 0.14 | | | | | 0.15 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.92 | | | | | (3.67 | ) | | | | 2.55 | | | | | (0.87 | ) | | | | 2.01 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.16 | | | | | (3.49 | ) | | | | 2.69 | | | | | (0.72 | ) | | | | 2.22 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.17 | ) | | | | (0.11 | ) | | | | (0.29 | ) | | | | (0.13 | ) | | | | (0.61 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.13 | ) | | | | – | | | | | (0.02 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | – | | | | | (0.06 | ) | | | | – | | | | | (0.01 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.17 | ) | | | | (0.30 | ) | | | | (0.29 | ) | | | | (0.16 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.83 | | | | $ | 8.84 | | | | $ | 12.63 | | | | $ | 10.23 | | | | $ | 11.11 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 13.38 | % | | | | (27.76 | )% | | | | 26.45 | % | | | | (6.27 | )% | | | | 22.97 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 95,978 | | | | $ | 67,730 | | | | $ | 126,806 | | | | $ | 144,290 | | | | $ | 193,139 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.96 | % | | | | 0.96 | % | | | | 0.96 | % | | | | 0.96 | % | | | | 0.96 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.32 | % | | | | 1.27 | % | | | | 1.20 | % | | | | 1.20 | % | | | | 1.14 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.64 | % | | | | 1.71 | % | | | | 1.18 | % | | | | 1.58 | % | | | | 1.90 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 47 | % | | | | 80 | % | | | | 52 | % | | | | 75 | % | | | | 42 | % | | |
| | |
| | (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 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 P Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 8.83 | | | | $ | 12.62 | | | | $ | 10.22 | | | | $ | 11.11 | | | | $ | 9.80 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.23 | | | | | 0.19 | | | | | 0.14 | | | | | 0.15 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.93 | | | | | (3.68 | ) | | | | 2.55 | | | | | (0.88 | ) | | | | 2.01 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.16 | | | | | (3.49 | ) | | | | 2.69 | | | | | (0.73 | ) | | | | 2.23 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.17 | ) | | | | (0.09 | ) | | | | (0.29 | ) | | | | (0.13 | ) | | | | (0.62 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | (0.13 | ) | | | | – | | | | | (0.02 | ) | | | | (0.30 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | – | | | | | (0.08 | ) | | | | – | | | | | (0.01 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.17 | ) | | | | (0.30 | ) | | | | (0.29 | ) | | | | (0.16 | ) | | | | (0.92 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 9.82 | | | | $ | 8.83 | | | | $ | 12.62 | | | | $ | 10.22 | | | | $ | 11.11 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 13.39 | % | | | | (27.78 | )% | | | | 26.48 | % | | | | (6.36 | )% | | | | 22.98 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 49,417 | | | | $ | 46,093 | | | | $ | 50,241 | | | | $ | 33,176 | | | | $ | 43,099 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.96 | % | | | | 0.96 | % | | | | 0.96 | % | | | | 0.96 | % | | | | 0.96 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.32 | % | | | | 1.28 | % | | | | 1.20 | % | | | | 1.20 | % | | | | 1.14 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.55 | % | | | | 1.91 | % | | | | 1.18 | % | | | | 1.56 | % | | | | 1.98 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 47 | % | | | | 80 | % | | | | 52 | % | | | | 75 | % | | | | 42 | % | | |
| | |
| | (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 Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Real Estate Securities Fund |
| | |
| | | | | Class A Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 10.23 | | | | $ | 14.90 | | | | $ | 11.03 | | | | $ | 13.27 | | | | $ | 12.61 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.21 | | | | | 0.13 | | | | | 0.07 | | | | | 0.12 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.45 | | | | | (4.29 | ) | | | | 4.75 | | | | | (1.22 | ) | | | | 2.92 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.66 | | | | | (4.16 | ) | | | | 4.82 | | | | | (1.10 | ) | | | | 3.14 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.16 | ) | | | | (0.15 | ) | | | | (0.13 | ) | | | | (0.14 | ) | | | | (0.22 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.29 | ) | | | | (0.36 | ) | | | | (0.82 | ) | | | | (1.00 | ) | | | | (2.26 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.45 | ) | | | | (0.51 | ) | | | | (0.95 | ) | | | | (1.14 | ) | | | | (2.48 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.44 | | | | $ | 10.23 | | | | $ | 14.90 | | | | $ | 11.03 | | | | $ | 13.27 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 16.58 | % | | | | (28.07 | )% | | | | 44.33 | % | | | | (7.85 | )% | | | | 25.49 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 14,175 | | | | $ | 14,224 | | | | $ | 23,278 | | | | $ | 19,177 | | | | $ | 27,488 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.22 | % | | | | 1.26 | % | | | | 1.28 | % | | | | 1.29 | % | | | | 1.30 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.55 | % | | | | 1.57 | % | | | | 1.55 | % | | | | 1.62 | % | | | | 1.57 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.94 | % | | | | 1.03 | % | | | | 0.55 | % | | | | 1.06 | % | | | | 1.51 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 35 | % | | | | 35 | % | | | | 37 | % | | | | 57 | % | | | | 37 | % | | |
| | |
| | (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 |
| | |
| | | | | Class C Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 9.44 | | | | $ | 13.82 | | | | $ | 10.31 | | | | $ | 12.50 | | | | $ | 11.99 | | | |
| | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.12 | | | | | 0.03 | | | | | (0.02 | ) | | | | 0.03 | | | | | 0.10 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.33 | | | | | (3.96 | ) | | | | 4.41 | | | | | (1.14 | ) | | | | 2.78 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.45 | | | | | (3.93 | ) | | | | 4.39 | | | | | (1.11 | ) | | | | 2.88 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (0.09 | ) | | | | (0.06 | ) | | | | (0.08 | ) | | | | (0.11 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.29 | ) | | | | (0.36 | ) | | | | (0.82 | ) | | | | (1.00 | ) | | | | (2.26 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.40 | ) | | | | (0.45 | ) | | | | (0.88 | ) | | | | (1.08 | ) | | | | (2.37 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 10.49 | | | | $ | 9.44 | | | | $ | 13.82 | | | | $ | 10.31 | | | | $ | 12.50 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 15.63 | % | | | | (28.54 | )% | | | | 43.12 | % | | | | (8.50 | )% | | | | 24.62 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 730 | | | | $ | 807 | | | | $ | 1,540 | | | | $ | 1,332 | | | | $ | 2,615 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.97 | % | | | | 2.01 | % | | | | 2.03 | % | | | | 2.04 | % | | | | 2.05 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.30 | % | | | | 2.32 | % | | | | 2.29 | % | | | | 2.37 | % | | | | 2.32 | % | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 1.18 | % | | | | 0.24 | % | | | | (0.20 | )% | | | | 0.26 | % | | | | 0.69 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 35 | % | | | | 35 | % | | | | 37 | % | | | | 57 | % | | | | 37 | % | | |
| | |
| | (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 |
| | |
| | | | | Institutional Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 10.80 | | | | $ | 15.67 | | | | $ | 11.56 | | | | $ | 13.83 | | | | $ | 13.05 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.27 | | | | | 0.18 | | | | | 0.13 | | | | | 0.17 | | | | | 0.28 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.52 | | | | | (4.51 | ) | | | | 4.97 | | | | | (1.26 | ) | | | | 3.03 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.79 | | | | | (4.33 | ) | | | | 5.10 | | | | | (1.09 | ) | | | | 3.31 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.18 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | | | (0.27 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.29 | ) | | | | (0.36 | ) | | | | (0.82 | ) | | | | (1.00 | ) | | | | (2.26 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.48 | ) | | | | (0.54 | ) | | | | (0.99 | ) | | | | (1.18 | ) | | | | (2.53 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.11 | | | | $ | 10.80 | | | | $ | 15.67 | | | | $ | 11.56 | | | | $ | 13.83 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 16.92 | % | | | | (27.77 | )% | | | | 44.74 | % | | | | (7.48 | )% | | | | 26.01 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 26,104 | | | | $ | 24,348 | | | | $ | 37,235 | | | | $ | 23,409 | | | | $ | 30,069 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.89 | % | | | | 0.91 | % | | | | 0.91 | % | | | | 0.91 | % | | | | 0.92 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.19 | % | | | | 1.20 | % | | | | 1.17 | % | | | | 1.24 | % | | | | 1.19 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.38 | % | | | | 1.42 | % | | | | 0.92 | % | | | | 1.47 | % | | | | 1.86 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 35 | % | | | | 35 | % | | | | 37 | % | | | | 57 | % | | | | 37 | % | | |
| | |
| | (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 | |
| | |
| | | | | Service Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | $ | 10.36 | | | $ | 15.07 | | | $ | 11.15 | | | $ | 13.40 | | | $ | 12.71 | | | | | |
| | | |
| | | | | | | |
| | Net investment income(a) | | | 0.20 | | | | 0.08 | | | | 0.05 | | | | 0.11 | | | | 0.21 | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.46 | | | | (4.30 | ) | | | 4.80 | | | | (1.23 | ) | | | 2.94 | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | 1.66 | | | | (4.22 | ) | | | 4.85 | | | | (1.12 | ) | | | 3.15 | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | (0.15 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.13 | ) | | | (0.20 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.29 | ) | | | (0.36 | ) | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | (0.44 | ) | | | (0.49 | ) | | | (0.93 | ) | | | (1.13 | ) | | | (2.46 | ) | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | $ | 11.58 | | | $ | 10.36 | | | $ | 15.07 | | | $ | 11.15 | | | $ | 13.40 | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | 16.34 | % | | | (28.12 | )% | | | 44.13 | % | | | (7.95 | )% | | | 25.40 | % | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 362 | | | $ | 312 | | | $ | 893 | | | $ | 940 | | | $ | 1,608 | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | 1.39 | % | | | 1.41 | % | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | 1.69 | % | | | 1.70 | % | | | 1.68 | % | | | 1.74 | % | | | 1.69 | % | | | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | 1.84 | % | | | 0.66 | % | | | 0.42 | % | | | 0.95 | % | | | 1.43 | % | | | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | 35 | % | | | 35 | % | | | 37 | % | | | 57 | % | | | 37 | % | | | | |
| | | |
| | (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 | |
| | |
| | | | | Investor Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | $ | 10.40 | | | $ | 15.13 | | | $ | 11.19 | | | $ | 13.43 | | | $ | 12.73 | | | | | |
| | | |
| | | | | | | |
| | Net investment income(a) | | | 0.22 | | | | 0.15 | | | | 0.11 | | | | 0.14 | | | | 0.24 | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.50 | | | | (4.35 | ) | | | 4.81 | | | | (1.22 | ) | | | 2.97 | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | 1.72 | | | | (4.20 | ) | | | 4.92 | | | | (1.08 | ) | | | 3.21 | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | (0.18 | ) | | | (0.17 | ) | | | (0.16 | ) | | | (0.16 | ) | | | (0.25 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.29 | ) | | | (0.36 | ) | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | (0.47 | ) | | | (0.53 | ) | | | (0.98 | ) | | | (1.16 | ) | | | (2.51 | ) | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | $ | 11.65 | | | $ | 10.40 | | | $ | 15.13 | | | $ | 11.19 | | | $ | 13.43 | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | 16.91 | % | | | (27.90 | )% | | | 44.58 | % | | | (7.59 | )% | | | 25.84 | % | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 843 | | | $ | 1,428 | | | $ | 2,678 | | | $ | 2,289 | | | $ | 4,532 | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | 0.98 | % | | | 1.01 | % | | | 1.03 | % | | | 1.04 | % | | | 1.05 | % | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | 1.31 | % | | | 1.32 | % | | | 1.30 | % | | | 1.36 | % | | | 1.32 | % | | | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | 2.03 | % | | | 1.22 | % | | | 0.80 | % | | | 1.17 | % | | | 1.64 | % | | | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | 35 | % | | | 35 | % | | | 37 | % | | | 57 | % | | | 37 | % | | | | |
| | | |
| | (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 Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Goldman Sachs Real Estate Securities Fund | |
| | |
| | | | | Class R6 Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | $ | 10.79 | | | $ | 15.67 | | | $ | 11.56 | | | $ | 13.83 | | | $ | 13.05 | | | | | |
| | | |
| | | | | | | |
| | Net investment income(a) | | | 0.26 | | | | 0.30 | | | | 0.12 | | | | 0.18 | | | | 0.30 | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.54 | | | | (4.64 | ) | | | 4.98 | | | | (1.27 | ) | | | 3.01 | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | 1.80 | | | | (4.34 | ) | | | 5.10 | | | | (1.09 | ) | | | 3.31 | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | (0.19 | ) | | | (0.18 | ) | | | (0.17 | ) | | | (0.18 | ) | | | (0.27 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.29 | ) | | | (0.36 | ) | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | (0.48 | ) | | | (0.54 | ) | | | (0.99 | ) | | | (1.18 | ) | | | (2.53 | ) | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | $ | 12.11 | | | $ | 10.79 | | | $ | 15.67 | | | $ | 11.56 | | | $ | 13.83 | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | 17.04 | % | | | (27.82 | )% | | | 44.74 | % | | | (7.47 | )% | | | 26.02 | % | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 2,564 | | | $ | 2,385 | | | $ | 443 | | | $ | 1,116 | | | $ | 973 | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | 0.88 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | 1.18 | % | | | 1.23 | % | | | 1.18 | % | | | 1.24 | % | | | 1.18 | % | | | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | 2.31 | % | | | 2.47 | % | | | 0.93 | % | | | 1.52 | % | | | 1.98 | % | | | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | 35 | % | | | 35 | % | | | 37 | % | | | 57 | % | | | 37 | % | | | | |
| | | |
| | (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. | | 51 |
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, | |
| | | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | $ | 10.04 | | | $ | 14.64 | | | $ | 10.87 | | | $ | 13.09 | | | $ | 12.47 | | | | | |
| | | |
| | | | | | | |
| | Net investment income(a) | | | 0.17 | | | | 0.10 | | | | 0.04 | | | | 0.09 | | | | 0.18 | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.43 | | | | (4.21 | ) | | | 4.66 | | | | (1.19 | ) | | | 2.88 | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | 1.60 | | | | (4.11 | ) | | | 4.70 | | | | (1.10 | ) | | | 3.06 | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | (0.14 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.12 | ) | | | (0.18 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.29 | ) | | | (0.36 | ) | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | (0.43 | ) | | | (0.49 | ) | | | (0.93 | ) | | | (1.12 | ) | | | (2.44 | ) | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | $ | 11.21 | | | $ | 10.04 | | | $ | 14.64 | | | $ | 10.87 | | | $ | 13.09 | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | 16.26 | % | | | (28.22 | )% | | | 43.82 | % | | | (8.00 | )% | | | 25.14 | % | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 512 | | | $ | 841 | | | $ | 1,134 | | | $ | 910 | | | $ | 1,440 | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | 1.47 | % | | | 1.51 | % | | | 1.53 | % | | | 1.54 | % | | | 1.55 | % | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | 1.81 | % | | | 1.82 | % | | | 1.79 | % | | | 1.87 | % | | | 1.82 | % | | | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | 1.63 | % | | | 0.84 | % | | | 0.93 | % | | | 0.79 | % | | | 1.22 | % | | | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | 35 | % | | | 35 | % | | | 37 | % | | | 57 | % | | | 37 | % | | | | |
| | | |
| | (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. |
| | |
| 52 | | 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 P Shares | |
| | |
| | | | | Year Ended December 31, | |
| | | | | | | |
| | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | $ | 10.79 | | | $ | 15.66 | | | $ | 11.55 | | | $ | 13.82 | | | $ | 13.04 | | | | | |
| | | |
| | | | | | | |
| | Net investment income(a) | | | 0.25 | | | | 0.18 | | | | 0.13 | | | | 0.17 | | | | 0.29 | | | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | 1.54 | | | | (4.51 | ) | | | 4.97 | | | | (1.26 | ) | | | 3.02 | | | | | |
| | | |
| | | | | | | |
| | Total from investment operations | | | 1.79 | | | | (4.33 | ) | | | 5.10 | | | | (1.09 | ) | | | 3.31 | | | | | |
| | | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | (0.19 | ) | | | (0.18 | ) | | | (0.17 | ) | | | (0.18 | ) | | | (0.27 | ) | | | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | (0.29 | ) | | | (0.36 | ) | | | (0.82 | ) | | | (1.00 | ) | | | (2.26 | ) | | | | |
| | | |
| | | | | | | |
| | Total distributions | | | (0.48 | ) | | | (0.54 | ) | | | (0.99 | ) | | | (1.18 | ) | | | (2.53 | ) | | | | |
| | | |
| | | | | | | |
| | Net asset value, end of year | | $ | 12.10 | | | $ | 10.79 | | | $ | 15.66 | | | $ | 11.55 | | | $ | 13.82 | | | | | |
| | | |
| | | | | | | |
| | Total Return(b) | | | 16.94 | % | | | (27.78 | )% | | | 44.79 | % | | | (7.48 | )% | | | 26.04 | % | | | | |
| | | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | $ | 56,585 | | | $ | 70,378 | | | $ | 109,444 | | | $ | 70,215 | | | $ | 89,616 | | | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | 0.88 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | 1.18 | % | | | 1.19 | % | | | 1.16 | % | | | 1.23 | % | | | 1.18 | % | | | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | 2.22 | % | | | 1.42 | % | | | 0.93 | % | | | 1.47 | % | | | 1.90 | % | | | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | 35 | % | | | 35 | % | | | 37 | % | | | 57 | % | | | 37 | % | | | | |
| | | |
| | (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. | | 53 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements December 31, 2023 |
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 |
| | |
| Global Infrastructure | | A, C, Institutional, Investor, R6 and P | | Non-diversified |
| | |
| Global Real Estate Securities | | A, C, Institutional, Investor, R6 and P | | Diversified |
| | |
| Real Estate Securities | | A, C, Institutional, Service, Investor, R6, R and P | | Non-diversified |
Class A Shares of the Global Infrastructure, Global 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, 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.
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
GOLDMAN SACHS REAL ESTATE SECURITIES 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 |
| | |
| Global Infrastructure | | Quarterly | | Annually |
| | |
| Global Real Estate Securities | | Quarterly | | Annually |
| | |
| 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).
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. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ ask price is available, the equity security will be valued pursuant to the Valuation Procedures 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 the Valuation Procedures and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Money Market Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. 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 classified in the fair value hierarchy as of December 31, 2023:
| | | | | | | | | | | | |
| Global Infrastructure | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | — | | | $ | 4,579,834 | | | $ | — | |
| | | |
Europe | | | — | | | | 46,117,477 | | | | — | |
| | | |
North America | | | 135,183,824 | | | | 4,791,544 | | | | — | |
| | | |
Oceania | | | — | | | | 7,600,675 | | | | — | |
| | | |
Investment Company | | | 1,751,375 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 136,935,199 | | | $ | 63,089,530 | | | $ | — | |
|
| |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
|
| |
| | | |
| Global Real Estate Securities | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 2,100,394 | | | $ | 24,160,022 | | | $ | — | |
| | | |
Europe | | | — | | | | 19,793,102 | | | | — | |
| | | |
North America | | | 94,160,799 | | | | — | | | | — | |
| | | |
Oceania | | | — | | | | 4,839,989 | | | | — | |
| | | |
Investment Company | | | 1,511,286 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 97,772,479 | | | $ | 48,793,113 | | | $ | — | |
|
| |
| | | |
| Real Estate Securities | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
North America | | $ | 100,794,145 | | | $ | — | | | $ | — | |
| | | |
Investment Company | | | 262,850 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 101,056,995 | | | $ | — | | | $ | — | |
|
| |
| | (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, 2023, 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^ | |
|
| |
| | | | | | | |
Global Infrastructure | | | 0.90 | % | | | 0.81 | % | | | 0.77 | % | | | 0.75 | % | | | 0.74 | % | | | 0.90 | % | | | 0.90% | |
|
| |
| | | | | | | |
Global Real Estate Securities | | | 0.93 | | | | 0.84 | | | | 0.80 | | | | 0.78 | | | | 0.76 | | | | 0.93 | | | | 0.93 | |
|
| |
| | | | | | | |
Real Estate Securities | | | 0.87 | | | | 0.78 | | | | 0.74 | | | | 0.73 | | | | 0.71 | | | | 0.87 | | | | 0.84 * | |
|
| |
| | ^ | 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. |
| | * | Effective April 28, 2023 GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.83% as an annual percentage of the Fund’s average daily net assets. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Trustees. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
4. 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, 2023, GSAM waived $4,119, $3,029 and $970 of the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities 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 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 Plan | | 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 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, 2023, Goldman Sachs retained the following amounts:
| | | | | | | | |
| | |
| | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| | |
| Fund | | Class A | | | Class C | |
| |
| | |
Global Infrastructure | | $ | 45 | | | $ | — | |
| |
| | |
Global Real Estate Securities | | | 29 | | | | — | |
| |
| | |
Real Estate Securities | | | 482 | | | | — | |
| |
D. Service and/or 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.
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
|
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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: 0.15% 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. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R Shares was 0.16%. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.07% and 0.03% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Global Infrastructure Fund and the Real Estate Securities Fund, respectively. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees. Prior to April 28, 2023, Goldman Sachs waived a portion equal to 0.01% of the average daily net assets attributable to class A, class C, Investor and Class R shares of the Global Infrastructure Fund.
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 28, 2024, 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.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan, Service Plan and Shareholder Administration Plan, and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| Fund | | Management
Fee Waiver | | | Transfer Agency
Waiver/Credits | | | Other Expense
Reimbursements | | | Total Expense
Reductions | |
| |
| | | | |
Global Infrastructure | | $ | 4,119 | | | $ | 986 | | | $ | 299,701 | | | $ | 304,806 | |
| |
| | | | |
Global Real Estate Securities | | | 3,029 | | | | – | | | | 433,076 | | | | 436,105 | |
| |
| | | | |
Real Estate Securities | | | 29,302 | | | | 4,885 | | | | 294,515 | | | | 328,702 | |
| |
G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 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, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2023, Goldman Sachs earned $688 and $344 in brokerage commissions from portfolio transactions, on behalf of the Global Real Estate Securities and Real Estate Securities Fund, respectively. The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Global Infrastructure | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Underlying Fund | | Beginning value
as of December
31, 2022 | | | Purchases at Cost | | | Proceeds from
Sales | | | Ending value as
of December 31,
2023 | | | Shares as of
December 31,
2023 | | | Dividend Income | |
| |
|
Goldman Sachs Financial Square Government Fund - Institutional Shares | |
| | | | | | |
| | $ | 2,802,075 | | | $ | 53,189,918 | | | $ | (54,240,618 | ) | | $ | 1,751,375 | | | | 1,751,375 | | | $ | 124,003 | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Global Real Estate Securities | | | | | | | | | | | | | | | | | |
| | | | | | |
| Underlying Fund | | Beginning value
as of December
31, 2022 | | | Purchases at Cost | | | Proceeds from
Sales | | | Ending value as
of December 31,
2023 | | | Shares as of
December 31,
2023 | | | Dividend Income | |
| |
|
Goldman Sachs Financial Square Government Fund - Institutional Shares | |
| | | | | | |
| | $ | 1,830,817 | | | $ | 49,107,228 | | | $ | (49,426,759 | ) | | $ | 1,511,286 | | | | 1,511,286 | | | $ | 89,004 | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Underlying Fund | | Beginning value
as of December
31, 2022 | | | Purchases at Cost | | | Proceeds from
Sales | | | Ending value as
of December 31,
2023 | | | Shares as of
December 31,
2023 | | | Dividend Income | |
| |
|
Goldman Sachs Financial Square Government Fund - Institutional Shares | |
| | | | | | |
| | $ | 1,144,583 | | | $ | 21,390,123 | | | $ | (22,271,856 | ) | | $ | 262,850 | | | | 262,850 | | | $ | 27,434 | |
| |
As of December 31, 2023, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
| | | | |
| | |
| Fund | | Class C | | Investor |
|
| | |
Global Real Estate Securities | | 86% | | 24% |
|
As of December 31, 2023, the following Goldman Sachs Funds were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | |
| Fund | | Goldman Sachs
Enhanced Dividend
Global Equity
Portfolio | | Goldman Sachs
Satellite Strategies
Portfolio | | Goldman Sachs Tax-Advantaged Global Equity Portfolio |
|
| | | |
Global Infrastructure | | –% | | 6% | | 34% |
|
| | | |
Global Real Estate Securities | | 5 | | – | | 43 |
|
|
|
5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2023, were as follows:
| | | | | | | | |
| | |
| Fund | | Purchases | | | Sales | |
| |
| | |
Global Infrastructure | | $ | 58,487,123 | | | $ | 111,450,764 | |
| |
| | |
Global Real Estate Securities | | | 73,619,287 | | | | 56,194,329 | |
| |
| | |
Real Estate Securities | | | 37,608,525 | | | | 62,242,657 | |
| |
The Real Estate Securities Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the Securities and Exchange Commission
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
|
6. SECURITIES LENDING (continued) |
(“SEC”) and the terms and conditions contained therein, the Global Real Estate Securities 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 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 Global 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 and BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2023, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
The Funds, GSAL, and BNYM 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, 2023, 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, 2023 | | | | |
| Fund | | Earnings of GSAL
Relating to
Securities Loaned | | | Amounts Received
by the Funds from Lending to Goldman Sachs | | | Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of December 31, 2023 | |
| |
| | | |
Global Real Estate Securities | | $ | 483 | | | $ | — | | | $ | — | |
| |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
6. 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, 2023.
| | | | | | | | | | | | | | | | |
| Fund | | Beginning value as
of December 31, 2022 | | | Purchases at Cost | | | Proceeds from Sales | | | Ending value as
of December 31, 2023 | |
| |
| | | | |
Global Real Estate Securities | | $ | 1,018,728 | | | $ | 3,945,338 | | | $ | (4,964,066 | ) | | $ | — | |
| |
| | | | |
Real Estate Securities | | | — | | | | 455,907 | | | | (455,907 | ) | | | — | |
| |
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | | | | | | | | | |
| | | Global Infrastructure | | | Global Real Estate
Securities | | | Real Estate Securities | |
| |
| | | |
Distributions paid from: | | | | | | | | | | | | |
| | | |
Ordinary Income | | $ | 5,687,584 | | | $ | 2,251,905 | | | $ | 1,806,762 | |
| | | |
Net long-term capital gains | | | — | | | | — | | | | 2,581,380 | |
| |
| | | |
Total distributions | | $ | 5,687,584 | | | $ | 2,251,905 | | | $ | 4,388,142 | |
| |
| | | |
Return of Capital | | $ | 312,357 | | | $ | — | | | $ | — | |
| |
The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:
| | | | | | | | | | | | |
| | | Global Infrastructure | | | Global Real Estate
Securities | | | Real Estate Securities | |
| |
| | | |
Distributions paid from: | | | | | | | | | | | | |
| | | |
Ordinary Income | | $ | 5,012,637 | | | $ | 3,251,319 | | | $ | 3,042,606 | |
| | | |
Net long-term capital gains | | | — | | | | 109,481 | | | | 2,609,579 | |
| |
| | | |
Total distributions | | $ | 5,012,637 | | | $ | 3,360,800 | | | $ | 5,652,185 | |
| |
| | | |
Return of Capital | | $ | 671,649 | | | $ | 1,054,332 | | | $ | — | |
| |
As of December 31, 2023, the components of accumulated earnings (losses) on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Global
Infrastructure | | | Global Real Estate
Securities | | | Real Estate
Securities | |
| |
| | | |
Undistributed ordinary income — net | | $ | — | | | $ | 1,643,776 | | | $ | 541,959 | |
| |
| | | |
Capital loss carryforwards: | | | | | | | | | | | | |
| | | |
Perpetual Short-Term | | | (378,718 | ) | | | (10,281,353 | ) | | | (541,863) | |
| | | |
Perpetual Long-Term | | | (3,294,571 | ) | | | (18,286,346 | ) | | | — | |
|
| |
| | | |
Total capital loss carryforwards | | | (3,673,289 | ) | | | (28,567,699 | ) | | | (541,863) | |
|
| |
| | | |
Timing differences — (Real Estate Investment Trusts, Qualified Late Year Ordinary Loss Deferral and Post October Capital Loss Deferral) | | | (177,728 | ) | | | (273,341 | ) | | | 57,851 | |
| | | |
Unrealized gains (losses) — net | | | 34,490,518 | | | | 10,860,033 | | | | 35,853,779 | |
|
| |
| | | |
Total accumulated earnings (losses) — net | | $ | 30,639,501 | | | $ | (16,337,231 | ) | | $ | 35,911,726 | |
| |
As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
|
7. TAX INFORMATION (continued) |
| | | | | | | | | | | | |
| | | Global
Infrastructure | | | Global Real Estate Securities | | | Real Estate
Securities | |
| | | |
Tax Cost | | $ | 165,546,042 | | | $ | 135,705,863 | | | $ | 65,203,216 | |
|
| |
| | | |
Gross unrealized gain | | | 39,731,068 | | | | 13,944,716 | | | | 36,964,622 | |
| | | |
Gross unrealized loss | | | (5,240,550 | ) | | | (3,084,683 | ) | | | (1,110,843) | |
|
| |
| | | |
Net unrealized gain (loss) | | $ | 34,490,518 | | | $ | 10,860,033 | | | $ | 35,853,779 | |
|
| |
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 Infrastructure Fund reclassified $527 from paid-in capital to distributable earnings for the year ending December 31, 2023. 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 return of capital distributions.
The Global Real Estate Securities Fund reclassified $99,670 from distributable earnings to paid-in capital for the year ending December 31, 2023. 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 return of capital distributions.
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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
8. OTHER RISKS (continued) |
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.
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.
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.
Non-Diversification Risk — The Global Infrastructure and Real Estate Securities Funds are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in one or more issuers or 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.
REIT Risk — Risks associated with investments in the real estate industry (such as REITs) include, among others: possible declines in the value of real estate; risks related to general and local economic conditions; possible lack of availability of mortgage financing, variations in rental income, neighborhood values or the appeal of property to tenants; interest rates; overbuilding; extended vacancies of properties; increases in competition, property taxes and operating expenses; and changes in zoning laws. REITs whose underlying properties are concentrated in a particular industry or geographic region are subject to risks affecting such industries and regions. The securities of REITs involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements because of interest rate changes, economic conditions and other factors. Securities of such issuers may lack sufficient market liquidity to enable the Fund to effect sales at an advantageous time or without a substantial drop in price.
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.
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
All other subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
|
|
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Global Infrastructure | |
| | |
| | | For the Fiscal Year Ended | | | For the Fiscal Year Ended | |
| | | December 31, 2023 | | | December 31, 2022 | |
| | | | | | | | | | | | | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 9,035 | | | $ | 113,990 | | | | 53,821 | | | $ | 678,391 | |
| | | | |
Reinvestment of distributions | | | 442 | | | | 5,336 | | | | 1,664 | | | | 20,540 | |
| | | | |
Shares redeemed | | | (18,908 | ) | | | (238,555 | ) | | | (128,119 | ) | | | (1,630,077) | |
|
| |
| | | | |
| | | (9,431 | ) | | | (119,229 | ) | | | (72,634 | ) | | | (931,146) | |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 421 | | | | 5,258 | | | | 226 | | | | 2,827 | |
| | | | |
Reinvestment of distributions | | | 404 | | | | 4,805 | | | | 396 | | | | 4,839 | |
| | | | |
Shares redeemed | | | (17,588 | ) | | | (210,788 | ) | | | (9,695 | ) | | | (125,902) | |
|
| |
| | | | |
| | | (16,763 | ) | | | (200,725 | ) | | | (9,073 | ) | | | (118,236) | |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 692,396 | | | | 8,542,051 | | | | 744,825 | | | | 9,817,114 | |
| | | | |
Reinvestment of distributions | | | 17,423 | | | | 208,093 | | | | 26,992 | | | | 332,438 | |
| | | | |
Shares redeemed | | | (1,130,844 | ) | | | (13,731,615 | ) | | | (329,917 | ) | | | (4,066,594) | |
|
| |
| | | | |
| | | (421,025 | ) | | | (4,981,471 | ) | | | 441,900 | | | | 6,082,958 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 13,243 | | | | 156,319 | | | | 132,487 | | | | 1,717,435 | |
| | | | |
Reinvestment of distributions | | | 3,181 | | | | 38,222 | | | | 2,105 | | | | 25,678 | |
| | | | |
Shares redeemed | | | (61,481 | ) | | | (740,655 | ) | | | (12,126 | ) | | | (153,253) | |
|
| |
| | | | |
| | | (45,057 | ) | | | (546,114 | ) | | | 122,466 | | | | 1,589,860 | |
|
| |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
|
| |
| | | | | | | | | | | | | | | | |
| | | Global Infrastructure | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | | | | | | | | | | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,246,217 | | | $ | 14,228,398 | | | | 606,873 | | | $ | 7,979,849 | |
| | | | |
Reinvestment of distributions | | | 255,933 | | | | 3,068,447 | | | | 241,433 | | | | 2,983,172 | |
| | | | |
Shares redeemed | | | (2,992,554 | ) | | | (35,921,599 | ) | | | (2,730,028 | ) | | | (35,474,324) | |
|
| |
| | | | |
| | | (1,490,404 | ) | | | (18,624,754 | ) | | | (1,881,722 | ) | | | (24,511,303) | |
|
| |
| | | | |
Class R Shares* | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | — | | | | — | | | | — | | | | — | |
| | | | |
Reinvestment of distributions | | | 30 | | | | 364 | | | | 42 | | | | 517 | |
| | | | |
Shares redeemed | | | (2,824 | ) | | | (34,908 | ) | | | — | | | | — | |
|
| |
| | | | |
| | | (2,794 | ) | | | (34,544 | ) | | | 42 | | | | 517 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 444,587 | | | | 5,445,181 | | | | 2,127,621 | | | | 27,443,867 | |
| | | | |
Reinvestment of distributions | | | 223,630 | | | | 2,674,682 | | | | 187,346 | | | | 2,309,254 | |
| | | | |
Shares redeemed | | | (3,042,255 | ) | | | (36,620,904 | ) | | | (2,267,472 | ) | | | (29,654,491) | |
|
| |
| | | | |
| | | (2,374,038 | ) | | | (28,501,041 | ) | | | 47,495 | | | | 98,630 | |
|
| |
| | | | |
NET DECREASE IN SHARES | | | (4,359,512 | ) | | $ | (53,007,878 | ) | | | (1,351,526 | ) | | $ | (17,788,720) | |
|
| |
|
* Class R shares liquidated on July 14, 2023. | |
| |
| | | Global Real Estate Securities | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | | | | | | | | | | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,462 | | | $ | 31,846 | | | | 7,767 | | | $ | 76,660 | |
| | | | |
Proceeds received in connection with merger | | | — | | | | — | | | | 135,552 | | | | 1,602,224 | |
| | | | |
Reinvestment of distributions | | | 2,057 | | | | 18,019 | | | | 3,755 | | | | 34,203 | |
| | | | |
Shares redeemed | | | (21,474 | ) | | | (196,260 | ) | | | (15,500 | ) | | | (152,222) | |
|
| |
| | | | |
| | | (15,955 | ) | | | (146,395 | ) | | | 131,574 | | | | 1,560,865 | |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 69 | | | | 615 | | | | 47 | | | | 611 | |
| | | | |
Proceeds received in connection with merger | | | — | | | | — | | | | 983 | | | | 11,514 | |
| | | | |
Reinvestment of distributions | | | 49 | | | | 422 | | | | 139 | | | | 1,247 | |
| | | | |
Shares redeemed | | | (2,471 | ) | | | (22,319 | ) | | | (218 | ) | | | (2,058) | |
|
| |
| | | | |
| | | (2,353 | ) | | | (21,282 | ) | | | 951 | | | | 11,314 | |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 10,744 | | | | 99,924 | | | | 7,686 | | | | 94,569 | |
| | | | |
Proceeds received in connection with merger | | | — | | | | — | | | | 453,687 | | | | 5,362,585 | |
| | | | |
Reinvestment of distributions | | | 2,397 | | | | 20,999 | | | | 14,233 | | | | 129,798 | |
| | | | |
Shares redeemed | | | (372,843 | ) | | | (3,508,562 | ) | | | (30,937 | ) | | | (287,701) | |
|
| |
| | | | |
| | | (359,702 | ) | | | (3,387,639 | ) | | | 444,669 | | | | 5,299,251 | |
|
| |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
|
| |
| | | Global Real Estate Securities | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | | | | | | | | | | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 58,488 | | | $ | 529,153 | | | | 584 | | | $ | 5,893 | |
| | | | |
Proceeds received in connection with merger | | | — | | | | — | | | | 4,062 | | | | 47,895 | |
| | | | |
Reinvestment of distributions | | | 656 | | | | 5,777 | | | | 206 | | | | 1,887 | |
| | | | |
Shares redeemed | | | (52,305 | ) | | | (476,040 | ) | | | (868 | ) | | | (8,379) | |
|
| |
| | | | |
| | | 6,839 | | | | 58,890 | | | | 3,984 | | | | 47,296 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 2,225,762 | | | | 20,612,967 | | | | 1,092,123 | | | | 10,663,966 | |
| | | | |
Proceeds received in connection with merger | | | — | | | | — | | | | 5,184 | | | | 61,174 | |
| | | | |
Reinvestment of distributions | | | 151,096 | | | | 1,321,028 | | | | 265,236 | | | | 2,477,956 | |
| | | | |
Shares redeemed | | | (270,955 | ) | | | (2,539,047 | ) | | | (3,744,828 | ) | | | (35,481,477) | |
|
| |
| | | | |
| | | 2,105,903 | | | | 19,394,948 | | | | (2,382,285 | ) | | | (22,278,381) | |
|
| |
| | | | |
Class R Shares* | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | — | | | | — | | | | — | | | | 83 | |
| | | | |
Reinvestment of distributions | | | 28 | | | | 248 | | | | 83 | | | | 761 | |
| | | | |
Shares redeemed | | | (3,178 | ) | | | (29,655 | ) | | | — | | | | — | |
|
| |
| | | | |
| | | (3,150 | ) | | | (29,407 | ) | | | 83 | | | | 844 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 977,612 | | | | 8,797,524 | | | | 4,622,273 | | | | 44,353,247 | |
| | | | |
Proceeds received in connection with merger | | | — | | | | — | | | | 2,668,812 | | | | 31,465,295 | |
| | | | |
Reinvestment of distributions | | | 101,287 | | | | 885,231 | | | | 191,737 | | | | 1,768,798 | |
| | | | |
Shares redeemed | | | (1,263,706 | ) | | | (11,507,768 | ) | | | (6,246,636 | ) | | | (61,314,352 | ) |
|
| |
| | | | |
| | | (184,807 | ) | | | (1,825,013 | ) | | | 1,236,186 | | | | 16,272,988 | |
|
| |
| | | | |
NET INCREASE (DECREASE) IN SHARES | | | 1,546,775 | | | $ | 14,044,102 | | | | (564,838 | ) | | $ | 914,177 | |
|
| |
* Class R shares liquidated on July 14, 2023. | | | | | | | | | | | | | | | | |
| | | Real Estate Securities | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | | | | | | | | | | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 78,045 | | | $ | 833,276 | | | | 91,671 | | | $ | 1,161,245 | |
| | | | |
Reinvestment of distributions | | | 50,741 | | | | 552,999 | | | | 63,944 | | | | 690,238 | |
| | | | |
Shares redeemed | | | (279,776 | ) | | | (3,001,682 | ) | | | (327,913 | ) | | | (3,900,137) | |
|
| |
| | | | |
| | | (150,990 | ) | | | (1,615,407 | ) | | | (172,298 | ) | | | (2,048,654) | |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 6,398 | | | | 63,049 | | | | 31,440 | | | | 371,138 | |
| | | | |
Reinvestment of distributions | | | 3,005 | | | | 30,256 | | | | 4,135 | | | | 41,004 | |
| | | | |
Shares redeemed | | | (25,243 | ) | | | (255,145 | ) | | | (61,493 | ) | | | (702,574) | |
|
| |
| | | | |
| | | (15,840 | ) | | | (161,840 | ) | | | (25,918 | ) | | | (290,432) | |
|
| |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
|
| |
| | | Real Estate Securities | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | | | | | | | | | | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 741,044 | | | $ | 8,553,213 | | | | 213,269 | | | $ | 2,952,959 | |
| | | | |
Reinvestment of distributions | | | 93,602 | | | | 1,075,478 | | | | 105,920 | | | | 1,211,714 | |
| | | | |
Shares redeemed | | | (933,328 | ) | | | (10,271,408 | ) | | | (440,179 | ) | | | (5,806,996) | |
|
| |
| | | | |
| | | (98,682 | ) | | | (642,717 | ) | | | (120,990 | ) | | | (1,642,323) | |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 4,394 | | | | 48,430 | | | | 4,394 | | | | 56,747 | |
| | | | |
Reinvestment of distributions | | | 1,238 | | | | 13,675 | | | | 1,344 | | | | 14,610 | |
| | | | |
Shares redeemed | | | (4,468 | ) | | | (45,485 | ) | | | (34,850 | ) | | | (475,167) | |
|
| |
| | | | |
| | | 1,164 | | | | 16,620 | | | | (29,112 | ) | | | (403,810) | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 5,744 | | | | 64,666 | | | | 28,120 | | | | 380,913 | |
| | | | |
Reinvestment of distributions | | | 3,308 | | | | 36,541 | | | | 6,986 | | | | 77,090 | |
| | | | |
Shares redeemed | | | (73,913 | ) | | | (803,948 | ) | | | (74,835 | ) | | | (902,453) | |
|
| |
| | | | |
| | | (64,861 | ) | | | (702,741 | ) | | | (39,729 | ) | | | (444,450) | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 11,987 | | | | 135,720 | | | | 208,011 | | | | 2,559,921 | |
| | | | |
Reinvestment of distributions | | | 8,387 | | | | 96,384 | | | | 9,529 | | | | 108,012 | |
| | | | |
Shares redeemed | | | (29,608 | ) | | | (332,739 | ) | | | (24,826 | ) | | | (299,563) | |
|
| |
| | | | |
| | | (9,234 | ) | | | (100,635 | ) | | | 192,714 | | | | 2,368,370 | |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 6,871 | | | | 72,765 | | | | 13,770 | | | | 162,618 | |
| | | | |
Reinvestment of distributions | | | 1,856 | | | | 19,874 | | | | 3,742 | | | | 39,440 | |
| | | | |
Shares redeemed | | | (46,838 | ) | | | (490,637 | ) | | | (11,142 | ) | | | (129,742) | |
|
| |
| | | | |
| | | (38,111 | ) | | | (397,998 | ) | | | 6,370 | | | | 72,316 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 339,457 | | | | 3,782,101 | | | | 1,294,182 | | | | 15,347,751 | |
| | | | |
Reinvestment of distributions | | | 221,476 | | | | 2,538,845 | | | | 300,817 | | | | 3,439,977 | |
| | | | |
Shares redeemed | | | (2,407,462 | ) | | | (27,468,361 | ) | | | (2,060,825 | ) | | | (24,731,148) | |
|
| |
| | | | |
| | | (1,846,529 | ) | | | (21,147,415 | ) | | | (465,826 | ) | | | (5,943,420) | |
|
| |
| | | | |
NET DECREASE IN SHARES | | | (2,223,083 | ) | | $ | (24,752,133 | ) | | | (654,789 | ) | | $ | (8,332,403 | ) |
|
| |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Global Infrastructure Fund, Goldman Sachs Global Real Estate Securities Fund and Goldman Sachs Real Estate Securities Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Global Infrastructure Fund, Goldman Sachs Global Real Estate Securities Fund and Goldman Sachs Real Estate Securities Fund (three of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 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
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Fund Expenses — Six Month Period Ended December 31, 2023 (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, 2023, through December 31, 2023, 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Global Infrastructure | | Global Real Estate Securities | | Real Estate Securities |
| Share Class | | Beginning Account Value 7/1/23 | | Ending
Account Value
12/31/23 | | Expenses
Paid for the 6 months
ended 12/31/23* | | Beginning Account Value
7/1/23 | | Ending
Account Value 12/31/23 | | Expenses
Paid for the 6 months ended 12/31/23* | | Beginning
Account Value 7/1/23 | | Ending
Account Value 12/31/23 | | Expenses
Paid for the 6 months
ended 12/31/23* |
| Class A | | | | | | | | | | | | | | | | | | |
Actual | | $1,000.00 | | $1,035.50 | | $6.57 | | $1,000.00 | | $1,091.00 | | $7.01 | | $1,000.00 | | $1,081.90 | | $6.35 |
Hypothetical 5% return | | 1,000.00 | | 1,018.75+ | | 6.51 | | 1,000.00 | | 1,018.50+ | | 6.77 | | 1,000.00 | | 1,019.11+ | | 6.16 |
| Class C | | | | | | | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,031.00 | | 10.39 | | 1,000.00 | | 1,086.00 | | 10.94 | | 1,000.00 | | 1,077.80 | | 10.26 |
Hypothetical 5% return | | 1,000.00 | | 1,014.97+ | | 10.31 | | 1,000.00 | | 1,014.72+ | | 10.56 | | 1,000.00 | | 1,015.32+ | | 9.96 |
| Institutional | | | | | | | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,037.50 | | 5.08 | | 1,000.00 | | 1,092.00 | | 5.11 | | 1,000.00 | | 1,083.80 | | 4.62 |
Hypothetical 5% return | | 1,000.00 | | 1,020.21+ | | 5.04 | | 1,000.00 | | 1,020.32+ | | 4.94 | | 1,000.00 | | 1,020.77+ | | 4.48 |
| Service | | | | | | | | | | | | | | | | | | |
Actual | | N/A | | N/A | | N/A | | N/A | | N/A | | N/A | | 1,000.00 | | 1,080.40 | | 7.24 |
Hypothetical 5% return | | N/A | | N/A | | N/A | | N/A | | N/A | | N/A | | 1,000.00 | | 1,018.25+ | | 7.02 |
| Investor | | | | | | | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,036.40 | | 5.29 | | 1,000.00 | | 1,090.60 | | 5.69 | | 1,000.00 | | 1,083.10 | | 5.04 |
Hypothetical 5% return | | 1,000.00 | | 1,020.01+ | | 5.24 | | 1,000.00 | | 1,019.76+ | | 5.50 | | 1,000.00 | | 1,020.37+ | | 4.89 |
| Class R6 | | | | | | | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,036.80 | | 5.03 | | 1,000.00 | | 1,092.10 | | 5.06 | | 1,000.00 | | 1,083.80 | | 4.57 |
Hypothetical 5% return | | 1,000.00 | | 1,020.27+ | | 4.99 | | 1,000.00 | | 1,020.37+ | | 4.89 | | 1,000.00 | | 1,020.82+ | | 4.43 |
| Class R | | | | | | | | | | | | | | | | | | |
Actual | | N/A | | N/A | | N/A | | N/A | | N/A | | N/A | | 1,000.00 | | 1,080.00 | | 7.65 |
Hypothetical 5% return | | N/A | | N/A | | N/A | | N/A | | N/A | | N/A | | 1,000.00 | | 1,017.85+ | | 7.43 |
| Class P | | | | | | | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,037.60 | | 5.03 | | 1,000.00 | | 1,092.20 | | 5.06 | | 1,000.00 | | 1,082.90 | | 4.57 |
Hypothetical 5% return | | 1,000.00 | | 1,020.27+ | | 4.99 | | 1,000.00 | | 1,020.37+ | | 4.89 | | 1,000.00 | | 1,020.82+ | | 4.43 |
| * | 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, 2023. 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. |
| + | 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. |
| | The annualized net expense ratios for the period were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class R | | | Class P | | | |
Global Infrastructure | | | 1.28 | % | | | 2.03 | % | | | 0.99% | | | | N/A | | | | 1.03 | % | | | 0.98 | % | | | N/A | | | | 0.98 | % | | |
Global Real Estate Securities | | | 1.33 | | | | 2.08 | | | | 0.97 | | | | N/A | | | | 1.08 | | | | 0.96 | | | | N/A | | | | 0.96 | | | |
Real Estate Securities | | | 1.21 | | | | 1.96 | | | | 0.88 | | | | 1.38 | % | | | 0.96 | | | | 0.87 | | | | 1.46 | % | | | 0.87 | | | |
70
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and act upon the proposal below. At the Meeting, Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth were elected to the Trust’s Board of Trustees. In electing Trustees, the Trust’s shareholders voted as follows:
| | | | |
Proposal Election of Trustees | | For | | Withheld |
| | |
Cheryl K. Beebe | | 169,452,067,796 | | 5,900,273,020 |
| | |
John G. Chou | | 173,279,757,273 | | 2,072,583,543 |
| | |
Eileen H. Dowling | | 173,287,456,218 | | 2,064,884,598 |
| | |
Lawrence Hughes | | 173,486,691,901 | | 1,865,648,915 |
| | |
John F. Killian | | 173,511,167,174 | | 1,841,173,642 |
| | |
Steven D. Krichmar | | 173,484,256,228 | | 1,868,084,588 |
| | |
Michael Latham | | 173,498,020,286 | | 1,854,320,530 |
| | |
Lawrence W. Stranghoener | | 173,455,949,165 | | 1,896,391,651 |
| | |
Paul C. Wirth | | 173,324,070,424 | | 2,028,270,391 |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications Inc. |
| | | | | |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a datadriven, digital financial platform) |
| | | | | |
Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
| | | | | |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011-Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019-2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
| | | | | | | | | | |
GOLDMAN SACHS REAL ESTATE SECURITIES 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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017-2021), Multinational Corporations (2019-2021), the Institutional Product Group (2015-2019) and Institutional Marketing (2013-2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023 – Present) Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
GOLDMAN SACHS REAL ESTATE SECURITIES 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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. |
| 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, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and 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.
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| | | |
| Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and Length of Time Served2 | | Principal Occupations During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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 ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary—Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II; (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). |
| * | 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, 2023. |
| 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 — Real Estate Securities and Global Infrastructure Funds — Tax Information (Unaudited)
For the year ended December 31, 2023, 45.37%, 0.14%, and 0.38% of the dividends paid from net investment company taxable income by the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities Funds, respectively, qualify for the dividends received deduction available to corporations.
For the year ended December 31, 2023, 79.23% and 98.82% of the dividends paid from net investment company taxable income by the Global Real Estate Securities and Real Estate Securities Funds, respectively, qualify as section 199A dividends.
For the year ended December 31, 2023, 100%, 20.77%, and 1.18% of the dividends paid from net investment company taxable income by the Global Infrastructure, Global Real Estate Securities, and Real Estate Securities 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 Fund designate $2,581,380, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2023.
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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 $2.54 trillion in assets under supervision as of December 31, 2023, 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 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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 TRUSTEES (continued) Gregory G. Weaver, Chair James A. McNamara Cheryl K. Beebe* Lawrence W. Stranghoener* Dwight L. Bush Paul C. Wirth Kathryn A. Cassidy *Effective January 1, 2024 John G. Chou Joaquin Delgado OFFICERS Eileen H. Dowling James A. McNamara, President Lawrence Hughes* Joseph F. DiMaria, Principal Financial Officer, John F. Killian* Principal Accounting Officer and Treasurer Steven D. Krichmar* Robert Griffith, Secretary Michael Latham* GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent 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 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. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (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 data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data 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. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. 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, 2023 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). 2024 Goldman Sachs. All rights reserved. 356457-OTU-022024 RESAR-24
Goldman Sachs Funds Annual Report December 31, 2023 Tax-Advantaged Equity Funds I International Tax-Managed Equity U.S. Tax-Managed Equity
Goldman Sachs Tax-Advantaged Equity Funds
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| ∎ | | INTERNATIONAL TAX-MANAGED EQUITY |
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| ∎ | | U.S. TAX-MANAGED EQUITY |
TABLE OF CONTENTS
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Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024. |
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| 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, 2023 (the “Reporting Period”), the international and U.S. equity markets recorded double-digit gains. The positive performance was influenced most by inflation trends and macroeconomic data, changing expectations about central bank monetary policy, interest rate volatility and geopolitical events.
International Equities
International equities rallied strongly but lagged 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 18.24%.1
International equities performed well during the first quarter of 2023 overall. Markets gained in January on the back of consensus expectations around peaking inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. China finally lifted its stringent zero-COVID policy, which increased global hopes around the resolution of supply-chain disruptions and economic recovery driven by strong domestic consumption. Several companies announced job cuts, but the overall job market remained in good shape, raising optimism around the mild impact of a potential impending global recession. February saw a pullback in international equity market performance, as market sentiment was governed by dampening expectations around potential peaking of interest rate hikes, ongoing geopolitical tensions between Russia and Ukraine, and a re-escalation of U.S./China tensions. Japan saw its highest level of inflation in 40 years. However, international equities rebounded in March, with market sentiment most influenced by speculation around the potential peaking of inflation, the slowing pace of central bank interest rate hikes and receding concerns about a global recession—all despite U.S. and European regional banking tensions.
During the second quarter of 2023, international equities gained, albeit more modestly than in the prior quarter. International equity markets recovered slightly in April from the banking turmoil that plagued March. In Europe, although manufacturing lagged, headline inflation fell sharply as energy prices fell globally. China enjoyed strong economic growth, but geopolitical concerns around U.S./China tensions continued to weaken investor sentiment toward the country. The Japanese equity market rose for the fourth consecutive month, particularly notable in light of the new Bank of Japan governor declaring a commitment to a loose monetary easing policy and famed investor Warren Buffett declaring that he planned to add to his Japanese equity investments. In May, international equities declined. Globally, high inflation rates persisted, dampening market sentiment, while sustained wage growth raised concerns around peak central bank policy rates potentially being higher than consensus expected. In the U.K., inflation hit a 31-year high. Concerns surrounding the U.S. debt ceiling also loomed over the markets during the month. International equities then rebounded in June. The Bank of England (“BoE”) hiked its interest rates more than consensus expected to combat persistent inflation, encouraging other central banks to continue policy tightening. China’s recovery-fueled momentum slowed. In Japan, import prices began to ease along with other inflation drivers.
The third quarter of 2023 was a challenging one for international equities, marked by persistent inflation, contractionary economic concerns, particularly in Europe, and further interest rate hikes. Recession fears were renewed by a steep rise in oil prices. Further, a selloff in global bond markets put increased pressure on risk assets. In Europe, concerns persisted around the contractionary effect of elevated interest rates on the economy as the European Central Bank (“ECB”) raised rates twice in the quarter. However, inflation in Europe fell to a two-year low, and the ECB suggested its September hike may be the last. The U.K. equity market gained modestly for the quarter, largely supported by its energy sector, which benefited from increased oil prices. The market also benefited from sterling, its currency, depreciating relative to the U.S. dollar. Additionally, U.K. markets showed signs of improving consumer confidence. The BoE raised rates more than consensus expected in July and once more in August before ending its run of 14 consecutive rate hikes in September. The Japanese equity market also gained modestly during the quarter, with weakness in the yen and strong domestic demand major tailwinds. In July, the Bank of Japan endorsed higher bond yields and signaled toward a potential end to negative interest rates by calendar year end. In China, lower economic growth and real estate market concerns continued to plague its equity market, despite new stimulus policies.
1 All index returns are expressed in U.S. dollar terms.
*Source: MSCI
MARKET REVIEW
International equities rallied strongly in the fourth quarter of 2023, fueled by expectations of interest rate cuts in 2024 amid falling inflation numbers and a fizzling out of the “higher for longer” narrative. In Europe, equities were weak in October but then recovered to close out the year. Headline inflation in December ticked up from November; however, core inflation fell. U.K. equities posted positive returns overall but lagged other geographies during the quarter due to sterling appreciation and a large exposure to the underperforming energy sector.
Although U.K. GDP growth entered negative territory during the quarter, markets were buoyed by expectations of an ending rate hike cycle. As a result, domestic small-cap and mid-cap stocks performed especially well. The Japanese equity market similarly posted positive, albeit modest, returns for the quarter. Yen appreciation was a headwind for Japanese equities. Further, expectations of rate cuts and dovish U.S. Federal Reserve moves were positive news for Japanese equities. (Dovish suggests lower interest rates; opposite of hawkish.) The December 2023 Bank of Japan Tankan survey signaled toward improving business sentiment. However, the Bank of Japan’s December meeting, though not featuring any policy or rate changes, slightly dampened consensus expectations of an imminent end to its negative policy rates.
For the Reporting Period overall, all 11 sectors of the MSCI EAFE Index gained, led by information technology, industrials and consumer discretionary. Consumer staples, real estate and health care were the weakest performers on the basis of total return, though still produced positive absolute returns during the Reporting Period.
From a country perspective, Italy, Ireland and Spain were the strongest constituents of the MSCI EAFE Index during the Reporting Period, based on total return. The only individual country constituents of the MSCI EAFE Index to post negative absolute returns during the Reporting Period were Hong Kong, Canada and Finland.
U.S. Equities
In a sharp reversal from 2022, the S&P 500® Index (the “S&P 500 Index”), representing the U.S. equity market, returned 26.29% during the Reporting Period, closing the 2023 calendar year with the best fourth quarter since 2003. Such strong performance, however, masked volatility and a wide range of challenges.
In the first quarter of 2023, the S&P 500 Index gained 7.53%, marking its second straight quarterly gain. Among the factors behind the market’s strength were disinflation narrative momentum, soft economic landing expectations, and a lowered bar for fourth quarter 2022 corporate earnings. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) Following a stellar start to the year, February proved to be a setback for the disinflation path after nonfarm payrolls illustrated the largest job growth in six months, and the unemployment rate fell to a 53-year low, which pushed market forecasts for the Federal Reserve’s (“Fed”) terminal rate up. In addition, January inflation data saw their largest monthly increases since mid-2022, illustrating that more work was needed to combat inflation. While fourth quarter 2022 corporate earnings did disappoint as margins came under pressure by persistently high input costs and weaker demand, the labor market outlook appeared to be positive due to supply-chain enhancements, ongoing consumer resilience and consensus expectations for inflation pressures to diminish as 2023 progressed. Consensus forecasts for the Fed’s interest rate path took a dovish turn in March due to an abrupt banking crisis that escalated the risk of raising rates. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Economic data in March also contributed to the dovish sentiment.
The S&P 500 Index returned 8.74% in the second quarter of 2023. The market’s strength was predominately driven by disinflation momentum, an upswing in soft landing expectations, consumer resilience, a better than consensus expected first quarter corporate earnings season, and persistent enthusiasm around artificial intelligence (“AI”), including the possibility for a boom in AI-related chipmakers. Growth stocks significantly outperformed their value counterparts, as mega-cap technology stocks accounted for the vast majority of the S&P 500 Index’s rally in the quarter. Inflation reached its lowest level in more than two years on the back of lower energy prices. The soft landing narrative took form with a still-tight labor market and robust housing market helping to counteract the possibility of a recession. First quarter corporate earnings metrics, though supported by a lower bar, were well above their one-year averages due to a combination of pricing power, supply-chain normalizations, cost-cutting initiatives and margin expansion. Despite U.S. equity market strength in the quarter, the implacable “higher for longer” messaging from the Fed remained
MARKET REVIEW
an overhang. Concentrated leadership was another critical concern for investors that raised doubts about the sustainability of the U.S. equity market rally. On the geopolitical front, a slower than consensus expected economic recovery in China presented a setback for the market.
In the third quarter of 2023, the S&P 500 Index returned -3.27%, marking its first quarterly decline of the calendar year. The S&P 500 Index started off strong in the first two months of the quarter, reaching its year-to-date 2023 high at the end of July before a sharp pullback in September. Although economic activity remained resilient, the market declined mostly due to a pickup in soft landing concerns, surging energy prices and disinflationary pressures on corporate earnings. Concerns about a looming threat of a federal government shutdown, consumer impacts from student loan repayments resuming, and a strike against automakers by the United Auto Workers union that began in September further weighed on investor sentiment. The Fed acted in line with consensus forecasts, hiking interest rates by 25 basis points in July and keeping rates unchanged at 5.25%-5.50% in September. (A basis point is 1/100th of a percentage point.) However, the Fed’s “higher for longer” narrative appeared to gain further recognition from investors. On the earnings front, S&P 500 Index companies saw earnings decline by 4.21% in the second calendar quarter from a year earlier, marking the third consecutive quarter of negative earnings growth.
The S&P 500 Index gained 11.69% in the fourth quarter of 2023, finishing the year nearly eclipsing its all-time high. The quarter saw a broadening of market leadership following the mega-cap dominance for most of the calendar year. U.S. equity markets began the quarter with negative momentum, as investors digested a more resilient than consensus expected U.S. economy and a “higher for longer” Fed interest rate regime. The market then shifted direction in November and December. November saw the most significant easing in financial conditions of any month in more than four decades. Market sentiment took a positive turn on the back of an overall shift in tonality from Fed officials signaling potential easing of monetary policy in 2024, a gradual cooldown in economic activity while the labor market remained resilient, and a rally across U.S. Treasuries marking one of the best monthly performances on record—all underpinning soft landing and disinflation traction themes. The Fed held interest rates unchanged throughout the quarter, as growth of the U.S. economy slowed, the unemployment rate remained low despite abating job gains, and inflationary pressures continued to trend downwards. Near the end of the quarter, there was a major shift in the Fed’s policy path expectations, with the Summary of Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. (The Fed’s dot plot shows the interest rate projections of the members of the Federal Open Market Committee.) U.S. economic data provided further evidence of disinflation momentum, with November’s annualized core Consumer Price Index dropping to its lowest level since September 2021 and core Personal Consumption Expenditure Index increasing 1.9% on a six-month annualized basis, measuring below the Fed’s inflation target of 2% for the first time in more than three years. Market seasonality proved to be another tailwind to equities during the quarter, as November and December historically represent the strongest two-month period for U.S. stocks.
For the Reporting Period overall, nine of the 11 sectors in the S&P 500 Index posted positive absolute returns. Information technology was the best performing sector in the S&P 500 Index, as measured by total return, followed by communication services and consumer discretionary. The weakest performing sectors in the S&P 500 Index during the Reporting Period were utilities and energy—the only two to post negative absolute returns.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, with large-cap stocks, as measured by the Russell 1000® Index, performing best. Mid-cap stocks, as measured by the Russell Midcap® Index, and small-cap stocks, as measured by the Russell 2000® Index, followed, with these two market segments posting returns similar to each other. From a style perspective, growth-oriented stocks materially outperformed value-oriented stocks across the capitalization spectrum but most significantly within the large-cap segment of the market. (All as measured by the FTSE Russell indices.)
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.
MARKET REVIEW
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.
Enhancements Made to Proprietary Quantitative Model during the 12-Month Period Ended December 31, 2023
We continuously look for ways to improve our investment process. Accordingly, we implemented a number of enhancements to our proprietary quantitative model during the 12-month period ended December 31, 2023 (the “Reporting Period”).
International Regions
Within our Sentiment Analysis investment theme, we implemented an enhancement across all regions except Japan that aims to improve our sentiment identification in earnings call reports by utilizing many of the latest developments in machine learning and natural language processing (“NLP”). In our High Quality Business Models investment theme, we implemented a new signal across all regions that aims to apply U.S. consumer spending data to non-U.S. companies to help predict their future returns. Across all regions, we implemented two new signals within our Market Themes & Trends investment theme. The first signal leverages advanced machine learning algorithms to capture nuanced behavior of our existing suite of more than a hundred alpha factors. The second signal aims to apply NLP techniques to account for fine-grained linguistic meaning of documents when quantifying company linkages for text-based cross-stock momentum factors.
In fact, we introduced several new signals and enhancements during the Reporting Period that leverage machine learning techniques, such as NLP as well as those that are based on different types of alternative data sources. The new NLP-based signals utilize the transformer architecture to be able to extract insights from different bodies of text. For example, within the Sentiment Analysis investment theme, we introduced a suite of signals that seeks to identify changes in sentiment within company regulatory filings and documents by using advanced NLP models to synthesize the context of the language used within the document. In addition to the NLP-based signals, we also introduced a new signal that seeks to capture the level of attention stocks receive as a result of being mentioned in news articles and blog posts. We believe companies that receive outsized attention in the media experience positive, but temporary, price trends that ultimately revert over the longer term. We also introduced new signals within the Market Themes & Trends investment theme. The first signal introduced in all regions except Japan leverages NLP and topic modeling techniques to identify economic linkages between companies based on their current descriptions. Additionally, we implemented a suite of signals that leverage word embedding techniques to capture the meanings of the words and language used with employer reviews in order to identify the economic linkages between companies mentioned.
Lastly, we extended a signal from our U.S. regional models to the U.K. and Europe regional models that focuses on consumers’ spending growth trends, as we believe companies with exposure to segments of the market that are exhibiting changes in consumer spending trends may also experience a similar impact to their expected sales growth.
U.S. Region
Within our Sentiment Analysis investment theme, we implemented two new signals during the Reporting Period. The first enhancement implemented aims to improve our sentiment identification in earnings call reports by utilizing many of the latest developments in machine learning and natural language processing (“NLP”). The second signal implemented aims to capitalize upon price dislocations that are caused by uninformed exchange-traded fund trading. Finally, we implemented two new signals within our Market Themes & Trends investment theme. The first signal leverages advanced machine learning algorithms to capture nuanced behavior of our existing suite of more than a hundred alpha factors. The second signal aims to apply NLP techniques to account for fine-grained linguistic meaning of documents when quantifying company linkages for text-based cross-stock momentum factors
MARKET REVIEW
In fact, we introduced several new signals and enhancements during the Reporting Period that leverage machine learning techniques, such as NLP as well as those that are based on different types of alternative data sources. The new NLP-based signals utilize the transformer architecture to be able to extract insights from different bodies of text. For example, within the Sentiment Analysis investment theme, we introduced a suite of signals that seeks to identify changes in sentiment within company regulatory filings and documents by using advanced NLP models to synthesize the context of the language used within the document. In addition to the NLP-based signals, we also introduced a new signal that seeks to capture the level of attention stocks receive as a result of being mentioned in news articles and blog posts. We believe companies that receive outsized attention in the media experience positive, but temporary, price trends that ultimately revert over the longer term. We also introduced new signals within the Market Themes & Trends investment theme. The first signal introduced leverages NLP and topic modeling techniques to identify economic linkages between companies based on their current descriptions. Additionally, we implemented a suite of signals that leverage word embedding techniques to capture the meanings of the words and language used with employer reviews in order to identify the economic linkages between companies mentioned.
Lastly, within our High Quality Business Models investment theme, we introduced two suites of signals within the U.S. that are both based on jobs posting data. The first signals focus on the duration that jobs postings remain outstanding. We believe companies that are appealing to prospective employees can fulfill jobs postings quicker and are therefore better positioned for growth over the long term. The second suite of signals focus on the types of roles the company is trying to hire for, as we believe companies seeking to employ for high-in-demand roles will have to pay increased costs for the set of skills required and thus have their prospects for future growth be more challenged.
PORTFOLIO RESULTS
International Tax-Managed Equity Fund
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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, 2023 (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 19.96%, 18.98%, 20.23%, 20.26%, 20.30% and 20.28%, respectively. This compares to the 18.24% 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 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. |
| 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 contributed positively to the Fund’s relative performance. Sentiment Analysis was the Fund’s best performing theme. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Fundamental Mispricings, High Quality Business Models and Market Themes & Trends also bolstered the Fund’s relative returns during the Reporting Period. 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. 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 |
*Source: MSCI
PORTFOLIO RESULTS
| | 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. |
| 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, ranging from large- to small-cap stocks. During the Reporting Period, the Fund benefited from stock selection in the industrials sector and, to a lesser extent, in the information technology and consumer discretionary sectors. Investments in only two sectors—materials and energy—detracted from the Fund’s relative performance during the Reporting Period. |
| Q | Which individual stock holdings contributed most positively to the Fund’s relative results? |
| A | Compared to the Index, the Fund benefited from its overweight positions in UniCredit, an Italy-headquartered international banking group; SCREEN Holdings, a Japanese semiconductor and electronics company; and Mitsubishi, Japan’s largest trading company. Our Fundamental Mispricings and High Quality Business Models investment themes drove the Fund’s overweight in UniCredit. The overweights in SCREEN Holdings and Mitsubishi were largely due to our Fundamental Mispricings and Sentiment Analysis investment themes. |
| Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
| A | During the Reporting Period, the Fund was hampered by its overweight positions in U.K.-headquarter tobacco company British American Tobacco, Anglo-Australian mining company Rio Tinto and Danish biotechnology company Genmab. The overweight in British American Tobacco was based on all four of our investment themes. Our High Quality Business Models and Market Themes & Trends investment themes led to the Fund’s overweight in Rio Tinto. The overweight in Genmab was mostly because of our High Quality Business Models and Sentiment Analysis 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 relative to the Index in the financials, information technology and real estate sectors. It was underweight compared to the Index in the consumer staples and health care sectors. The Fund was relatively neutral versus the Index in the communication services, consumer discretionary, energy, industrials, materials and utilities sectors at the end of the Reporting Period. |
| | At the end of the Reporting Period, the Fund was overweight compared to the Index in Italy, Norway, Japan, Germany and Denmark. It was underweight Australia, Spain and the U.K. In relative terms, the Fund was rather neutrally weighted in the remaining country constituents of the Index at the end of the Reporting Period. |
FUND BASICS
International Tax-Managed Equity Fund
as of December 31, 2023
|
|
TOP TEN HOLDINGS AS OF 12/31/231 |
| | | | | | |
| | | |
Holding | | % of
Net Assets | | Line of Business | | Country |
| | | |
Novo Nordisk A/S, Class B | | 2.7% | | Pharmaceuticals | | Denmark |
| | | |
Nestle SA | | 2.4 | | Food Products | | United States |
| | | |
ASML Holding NV | | 2.4 | | Semiconductors & Semiconductor Equipment | | Netherlands |
| | | |
Novartis AG | | 2.0 | | Pharmaceuticals | | Switzerland |
| | | |
SAP SE | | 1.6 | | Software | | Germany |
| | | |
Airbus SE | | 1.4 | | Aerospace & Defense | | France |
| | | |
Siemens AG | | 1.4 | | Industrial Conglomerates | | Germany |
| | | |
UBS Group AG | | 1.3 | | Capital Markets | | Switzerland |
| | | |
Air Liquide SA | | 1.3 | | Chemicals | | France |
| | | |
AIA Group Ltd. | | 1.2 | | Insurance | | Hong Kong |
| | 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
|
|
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 percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at December 31, 2023. 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. |
*Source: MSCI
FUND BASICS
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.
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Performance Summary
December 31, 2023
The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014, 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, 2014 through December 31, 2023. |
| | | | | | | | | | | | | | |
| | | | |
Average Annual Total Returns through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
| | | | |
Class A | | | | | | | | | | | | | | |
| | | | |
Excluding sales charges | | | 19.96% | | | | 8.18% | | | | 4.59% | | | — |
| | | | |
Including sales charges | | | 13.32% | | | | 6.96% | | | | 4.00% | | | — |
| | | | |
Class C | | | | | | | | | | | | | | |
| | | | |
Excluding contingent deferred sales charges | | | 18.98% | | | | 7.35% | | | | 3.80% | | | — |
| | | | |
Including contingent deferred sales charges | | | 17.97% | | | | 7.35% | | | | 3.80% | | | — |
| | | | |
Institutional | | | 20.23% | | | | 8.52% | | | | 4.96% | | | — |
| | | | |
Investor | | | 20.26% | | | | 8.45% | | | | 4.84% | | | — |
| | | | |
Class R6 (Commenced on April 30, 2018) | | | 20.30% | | | | 8.54% | | | | — | | | 4.00% |
| | | | |
Class P (Commenced on April 17, 2018) | | | 20.28% | | | | 8.53% | | | | — | | | 3.74% |
| | * | 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 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns. |
*Source: MSCI
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, 2023 (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 23.41%, 22.50%, 23.81%, 23.17%, 23.71%, 23.85% and 23.84%, respectively. This compares to the 25.96% 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 responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund posted double-digit positive absolute returns but underperformed the Index, with three of our quantitative model’s four investment themes detracting from relative performance. Stock selection driven by these investment themes hampered 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, three of our investment themes detracted from the Fund’s relative performance. Market Themes & Trends and Sentiment Analysis were the Fund’s worst performing themes, followed at some distance by the High Quality Business Models investment theme. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. 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. |
| | Our Fundamental Mispricings investment theme had a rather neutral impact on the Fund’s performance during the Reporting Period. 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. |
| 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 |
PORTFOLIO RESULTS
| | 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. |
| 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, ranging from large- to small-cap stocks. During the Reporting Period, the Fund was hampered by stock selection in the real estate, communication services and industrials sectors. Conversely, the Fund benefited from its investments in the utilities and consumer staples sectors during the Reporting Period. |
| Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
| A | Compared to the Index, the Fund was hurt by its underweight positions in Meta Platforms and Tesla during the Reporting Period. An overweight in Elevance Health also hindered relative returns. The Fund was underweight social media platform conglomerate Meta Platforms mainly because of our High Quality Business Models investment theme and, to a lesser degree, our Fundamental Mispricings and Market Themes & Trends investment themes. Our Market Themes & Trends and Sentiment Analysis investment themes resulted in the Fund’s underweight in Tesla, an electric vehicle and clean energy company. The overweight in health insurance provider Elevance Health was largely based on our Sentiment Analysis and High Quality Business Models investment themes. |
| Q | Which individual stock holdings contributed most positively to the Fund’s relative results? |
| A | During the Reporting Period, the Fund was helped by its overweight positions in information technology company Super Micro Computer, home builder M/I Homes and fast casual restaurant chain Chipotle Mexican Grill. The overweight in Super Micro Computer was driven by our High Quality Business Models investment theme and, to a lesser extent, by our Sentiment Analysis and Market Themes & Trends investment themes. The Fund’s overweights in M/I Homes and Chipotle Mexican Grill were mostly due to our High Quality Business Models and Sentiment Analysis 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 relative to the Index in the information technology and consumer discretionary sectors. It was underweight compared to the Index in the utilities and consumer staples sectors. The Fund was relatively neutral versus the Index in the health care, real estate, industrials, energy, materials, communication services and financials sectors at the end of the Reporting Period. |
FUND BASICS
U.S. Tax-Managed Equity Fund
as of December 31, 2023
|
|
TOP TEN HOLDINGS AS OF 12/31/231 |
| | | | |
| | |
Holding | | % of Net Assets | | Line of Business |
| | |
Microsoft Corp. | | 7.1% | | Information Technology |
| | |
Apple, Inc. | | 5.9 | | Information Technology |
| | |
Amazon.com, Inc. | | 3.8 | | Consumer Discretionary |
| | |
NVIDIA Corp. | | 2.5 | | Information Technology |
| | |
Alphabet, Inc., Class A | | 2.0 | | Communication Services |
| | |
Visa, Inc., Class A | | 1.9 | | Financials |
| | |
UnitedHealth Group, Inc. | | 1.9 | | Health Care |
| | |
Meta Platforms, Inc., Class A | | 1.8 | | Communication Services |
| | |
Berkshire Hathaway, Inc., Class B | | 1.7 | | Financials |
| | |
Adobe, Inc. | | 1.6 | | Information Technology |
| | 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
|
|
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 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Performance Summary
December 31, 2023
The following graph shows the value as of December 31, 2023, of a $10,000 investment made on January 1, 2014, 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 $10,000 Investment, with distributions reinvested, from January 1, 2014 through December 31, 2023. |
| | | | | | | | | | | | | | |
| | | | |
Average Annual Total Returns through December 31, 2023* | | | One Year | | | | Five Years | | | | Ten Years | | | Since Inception |
| | | | |
Class A | | | | | | | | | | | | | | |
| | | | |
Excluding sales charges | | | 23.41% | | | | 13.16% | | | | 9.68% | | | — |
| | | | |
Including sales charges | | | 16.64% | | | | 11.89% | | | | 9.06% | | | — |
| | | | |
Class C | | | | | | | | | | | | | | |
| | | | |
Excluding contingent deferred sales charges | | | 22.50% | | | | 12.33% | | | | 8.86% | | | — |
| | | | |
Including contingent deferred sales charges | | | 21.50% | | | | 12.33% | | | | 8.86% | | | — |
| | | | |
Institutional | | | 23.81% | | | | 13.54% | | | | 10.08% | | | — |
| | | | |
Service | | | 23.17% | | | | 12.98% | | | | 9.53% | | | — |
| | | | |
Investor | | | 23.71% | | | | 13.46% | | | | 9.95% | | | — |
| | | | |
Class R6 (Commenced on April 30, 2018) | | | 23.85% | | | | 13.56% | | | | — | | | 10.08% |
| | | | |
Class P (Commenced on April 17, 2018) | | | 23.84% | | | | 13.56% | | | | — | | | 9.61% |
| | * | 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 and Class P Shares do not involve sales charge, such a charge is not applied to their Average Annual Total Returns. |
FUND BASICS
Index Definitions
Definitions of Non-Benchmark Related Indices
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.
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.
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.
It is not possible to invest directly in an unmanaged index.
*Source: MSCI
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – 97.2% | |
| |
| | Australia – 4.7% | |
| | 174,123 | | BHP Group Ltd. (Materials) | | $ | 5,948,846 | |
| | 233,315 | | BlueScope Steel Ltd. (Materials) | | | 3,719,618 | |
| | 599,512 | | Brambles Ltd. (Commercial & Professional Services) | | | 5,556,810 | |
| | 29,512 | | Cochlear Ltd. (Health Care Equipment & Services) | | | 6,004,094 | |
| | 3,371 | | Commonwealth Bank of Australia (Banks) | | | 256,928 | |
| | 29,106 | | Goodman Group REIT (Equity Real Estate Investment Trusts (REITs)) | | | 501,114 | |
| | 877,716 | | Insurance Australia Group Ltd. (Insurance) | | | 3,392,699 | |
| | 45,719 | | Macquarie Group Ltd. (Financial Services) | | | 5,723,187 | |
| | 283,064 | | Scentre Group REIT (Equity Real Estate Investment Trusts (REITs)) | | | 576,434 | |
| | 1,226,940 | | Stockland REIT (Equity Real Estate Investment Trusts (REITs)) | | | 3,720,861 | |
| | 133,901 | | Telstra Group Ltd. (Telecommunication Services) | | | 361,838 | |
| | 61,074 | | Woolworths Group Ltd. (Consumer Staples Distribution & Retail) | | | 1,549,444 | |
| | | | | | | | |
| | | | | | | 37,311,873 | |
| | | |
| |
| | Austria – 0.3% | |
| | 46,695 | | Erste Group Bank AG (Banks) | | | 1,891,378 | |
| | 50,417 | | UNIQA Insurance Group AG (Insurance) | | | 415,026 | |
| | | | | | | | |
| | | | | | | 2,306,404 | |
| | | |
| |
| | Belgium – 1.1% | |
| | 7,418 | | D’ieteren Group (Consumer Discretionary Distribution & Retail) | | | 1,451,053 | |
| | 26,662 | | Euronav NV (Energy) | | | 470,053 | |
| | 54,145 | | Fagron (Health Care Equipment & Services) | | | 994,467 | |
| | 65,157 | | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 5,679,843 | |
| | | | | | | | |
| | | | | | | 8,595,416 | |
| | | |
| |
| | China – 0.9% | |
| | 224,513 | | Prosus NV (Consumer Discretionary Distribution & Retail)* | | | 6,688,264 | |
| | | |
| |
| | Denmark – 4.3% | |
| | 16,772 | | Genmab A/S (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 5,347,803 | |
| | 60,747 | | Jyske Bank A/S (Banks) | | | 4,355,981 | |
| | 203,399 | | Novo Nordisk A/S, Class B (Pharmaceuticals, | | | | |
| | | | Biotechnology & Life Sciences) | | | 21,078,480 | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Denmark – (continued) | |
| | 22,499 | | Pandora A/S (Consumer Durables & Apparel) | | $ | 3,110,602 | |
| | 5,194 | | Per Aarsleff Holding A/S (Capital Goods) | | | 248,056 | |
| | | | | | | | |
| | | | | | | 34,140,922 | |
| | | |
| |
| | Finland – 0.9% | |
| | 131,110 | | Nokia OYJ (Technology Hardware & Equipment) | | | 446,552 | |
| | 548,711 | | Nordea Bank Abp (Banks) | | | 6,811,918 | |
| | | | | | | | |
| | | | | | | 7,258,470 | |
| | | |
| |
| | France – 11.2% | |
| | 92,278 | | Adevinta ASA (Media & Entertainment)* | | | 1,019,471 | |
| | 51,065 | | Air Liquide SA (Materials) | | | 9,942,123 | |
| | 71,229 | | Airbus SE (Capital Goods) | | | 11,004,055 | |
| | 2,419 | | Christian Dior SE (Consumer Durables & Apparel) | | | 1,894,272 | |
| | 100,989 | | Cie de Saint-Gobain SA (Capital Goods) | | | 7,447,668 | |
| | 27,437 | | Dassault Aviation SA (Capital Goods) | | | 5,436,099 | |
| | 93,463 | | Dassault Systemes (Software & Services) | | | 4,574,764 | |
| | 2,337 | | Edenred SE (Financial Services) | | | 139,857 | |
| | 37,698 | | Eiffage SA (Capital Goods) | | | 4,046,905 | |
| | 203,252 | | Engie SA (Utilities) | | | 3,580,549 | |
| | 3,929 | | Hermes International SCA (Consumer Durables & Apparel) | | | 8,351,151 | |
| | 8,559 | | Ipsen SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,020,997 | |
| | 59,336 | | Legrand SA (Capital Goods) | | | 6,179,032 | |
| | 3,343 | | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel) | | | 2,716,312 | |
| | 72,358 | | Publicis Groupe SA (Media & Entertainment) | | | 6,722,917 | |
| | 82,118 | | Rexel SA (Capital Goods) | | | 2,253,830 | |
| | 42,906 | | Safran SA (Capital Goods) | | | 7,564,776 | |
| | 71,226 | | SCOR SE (Insurance) | | | 2,086,996 | |
| | 18,775 | | Thales SA (Capital Goods) | | | 2,780,067 | |
| | | | | | | | |
| | | | | | | 88,761,841 | |
| | | |
| |
| | Georgia – 0.2% | |
| | 49,057 | | TBC Bank Group PLC (Banks) | | | 1,769,615 | |
| | | |
| |
| | Germany – 9.5% | |
| | 18,190 | | Allianz SE (Insurance) | | | 4,861,120 | |
| | 26,170 | | Brenntag SE (Capital Goods) | | | 2,405,219 | |
| | 25,583 | | Deutsche Boerse AG (Financial Services) | | | 5,268,431 | |
| | 354,790 | | Deutsche Telekom AG (Telecommunication Services) | | | 8,530,325 | |
| | 17,816 | | DWS Group GmbH & Co. KGaA (Financial Services)(a) | | | 684,743 | |
| | 480,206 | | E.ON SE (Utilities) | | | 6,451,599 | |
| | 14,058 | | GEA Group AG (Capital Goods) | | | 584,450 | |
| | |
| 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) | |
| |
| | Germany – (continued) | |
| | 19,421 | | Hannover Rueck SE (Insurance) | | $ | 4,643,638 | |
| | 220,694 | | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | | | 9,216,760 | |
| | 18,163 | | Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (Insurance) | | | 7,534,264 | |
| | 5,319 | | Nemetschek SE (Software & Services) | | | 459,214 | |
| | 1,094 | | Rheinmetall AG (Capital Goods) | | | 346,947 | |
| | 83,568 | | SAP SE (Software & Services) | | | 12,862,922 | |
| | 1,538 | | Scout24 SE (Media & Entertainment)(a) | | | 108,754 | |
| | 57,514 | | Siemens AG (Capital Goods) | | | 10,790,164 | |
| | 14,782 | | TeamViewer SE (Software & Services)*(a) | | | 229,602 | |
| | | | | | | | |
| | | | | | | 74,978,152 | |
| | | |
| |
| | Hong Kong – 1.2% | |
| | 1,125,000 | | AIA Group Ltd. (Insurance) | | | 9,790,743 | |
| | | |
| |
| | Italy – 2.7% | |
| | 9,200 | | Azimut Holding SpA (Financial Services) | | | 240,492 | |
| | 11,581 | | Banca Mediolanum SpA (Financial Services) | | | 109,382 | |
| | 981,229 | | Banco BPM SpA (Banks) | | | 5,199,480 | |
| | 1,157,547 | | BPER Banca (Banks) | | | 3,880,980 | |
| | 67,620 | | Leonardo SpA (Capital Goods) | | | 1,117,293 | |
| | 21,979 | | Prysmian SpA (Capital Goods) | | | 1,001,914 | |
| | 3,877 | | Recordati Industria Chimica e Farmaceutica SpA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 209,059 | |
| | 358,745 | | UniCredit SpA (Banks) | | | 9,768,517 | |
| | | | | | | | |
| | | | | | | 21,527,117 | |
| | | |
| |
| | Japan – 24.2% | |
| | 17,600 | | Air Water, Inc. (Materials) | | | 240,140 | |
| | 14,500 | | Aisan Industry Co. Ltd. (Automobiles & Components) | | | 120,789 | |
| | 142,400 | | Aisin Corp. (Automobiles & Components) | | | 4,964,243 | |
| | 9,000 | | Alfresa Holdings Corp. (Health Care Equipment & Services) | | | 152,786 | |
| | 24,200 | | Aoyama Trading Co. Ltd. (Consumer Discretionary Distribution & Retail) | | | 253,713 | |
| | 15,600 | | Brother Industries Ltd. (Technology Hardware & Equipment) | | | 248,430 | |
| | 24,700 | | Canon Marketing Japan, Inc. (Technology Hardware & Equipment) | | | 747,424 | |
| | 75,100 | | Central Japan Railway Co. (Transportation) | | | 1,906,059 | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Japan – (continued) | |
| | 5,700 | | Central Security Patrols Co. Ltd. (Commercial & Professional Services) | | $ | 102,792 | |
| | 34,800 | | Chubu Electric Power Co., Inc. (Utilities) | | | 449,315 | |
| | 33,700 | | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | | | 995,195 | |
| | 6,400 | | Daiichi Jitsugyo Co. Ltd. (Capital Goods) | | | 89,017 | |
| | 158,200 | | Dai-ichi Life Holdings, Inc. (Insurance) | | | 3,355,885 | |
| | 44,900 | | Daiwa House Industry Co. Ltd. (Real Estate Management & Development) | | | 1,357,345 | |
| | 267,500 | | Daiwa Securities Group, Inc. (Financial Services) | | | 1,795,508 | |
| | 1,034,300 | | ENEOS Holdings, Inc. (Energy) | | | 4,102,278 | |
| | 7,600 | | Fujitsu Ltd. (Software & Services) | | | 1,143,752 | |
| | 14,500 | | Fuso Pharmaceutical Industries Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 194,295 | |
| | 7,000 | | Heiwa Real Estate Co. Ltd. (Real Estate Management & Development) | | | 186,675 | |
| | 673,900 | | Honda Motor Co. Ltd. (Automobiles & Components) | | | 6,951,425 | |
| | 486,600 | | Hulic Co. Ltd. (Real Estate Management & Development) | | | 5,083,077 | |
| | 162,200 | | Isuzu Motors Ltd. (Automobiles & Components) | | | 2,079,352 | |
| | 17,100 | | ITOCHU Corp. (Capital Goods) | | | 696,651 | |
| | 6,200 | | Itoham Yonekyu Holdings, Inc. (Food, Beverage & Tobacco) | | | 169,447 | |
| | 34,500 | | Itoki Corp. (Commercial & Professional Services) | | | 328,284 | |
| | 16,100 | | J Front Retailing Co. Ltd. (Consumer Discretionary Distribution & Retail) | | | 146,209 | |
| | 180,300 | | Japan Post Bank Co. Ltd. (Banks) | | | 1,834,900 | |
| | 346,600 | | JFE Holdings, Inc. (Materials) | | | 5,362,322 | |
| | 7,900 | | J-Oil Mills, Inc. (Food, Beverage & Tobacco) | | | 108,228 | |
| | 3,800 | | Kaga Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 164,664 | |
| | 26,700 | | Kandenko Co. Ltd. (Capital Goods) | | | 260,453 | |
| | 135,000 | | KDDI Corp. (Telecommunication Services) | | | 4,281,998 | |
| | 51,300 | | Keiyo Bank Ltd. (The) (Banks) | | | 247,085 | |
| | 8,300 | | Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products) | | | 399,280 | |
| | 463,300 | | Kobe Steel Ltd. (Materials) | | | 5,971,688 | |
| | |
| 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, 2023 |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Japan – (continued) | |
| | 5,100 | | Kohnan Shoji Co. Ltd. (Consumer Discretionary Distribution & Retail) | | $ | 141,825 | |
| | 39,200 | | Kurita Water Industries Ltd. (Capital Goods) | | | 1,529,003 | |
| | 16,400 | | Kyoto Financial Group, Inc. (Banks) | | | 254,816 | |
| | 108,600 | | Kyowa Kirin Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,822,193 | |
| | 140,700 | | Marubeni Corp. (Capital Goods) | | | 2,215,257 | |
| | 60,700 | | Marusan Securities Co. Ltd. (Financial Services) | | | 361,796 | |
| | 492,500 | | Mazda Motor Corp. (Automobiles & Components) | | | 5,264,375 | |
| | 122,400 | | Mitsubishi Corp. (Capital Goods) | | | 1,949,742 | |
| | 193,000 | | Mitsubishi Electric Corp. (Capital Goods) | | | 2,729,808 | |
| | 306,200 | | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | | | 4,197,412 | |
| | 942,400 | | Mitsubishi HC Capital, Inc. (Financial Services) | | | 6,313,895 | |
| | 53,800 | | Mitsubishi Shokuhin Co. Ltd. (Consumer Staples Distribution & Retail) | | | 1,831,482 | |
| | 65,100 | | Mitsui Fudosan Co. Ltd. (Real Estate Management & Development) | | | 1,591,676 | |
| | 383,700 | | Mizuho Financial Group, Inc. (Banks) | | | 6,545,084 | |
| | 13,700 | | Mizuho Leasing Co. Ltd. (Financial Services) | | | 469,115 | |
| | 144,200 | | MS&AD Insurance Group Holdings, Inc. (Insurance) | | | 5,669,776 | |
| | 67,800 | | NEC Corp. (Software & Services) | | | 4,006,042 | |
| | 13,100 | | NGK Insulators Ltd. (Capital Goods) | | | 156,229 | |
| | 51,400 | | Nippn Corp. (Food, Beverage & Tobacco) | | | 810,025 | |
| | 239,500 | | Nippon Steel Corp. (Materials) | | | 5,471,085 | |
| | 5,000 | | Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco) | | | 152,043 | |
| | 101,200 | | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | | | 1,362,874 | |
| | 186,400 | | Nomura Real Estate Holdings, Inc. (Real Estate Management & Development) | | | 4,891,220 | |
| | 21,900 | | Oki Electric Industry Co. Ltd. (Technology Hardware & Equipment) | | | 141,153 | |
| | 48,200 | | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 857,455 | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Japan – (continued) | |
| | 70,800 | | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 2,647,708 | |
| | 5,900 | | Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services) | | | 115,722 | |
| | 329,600 | | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,279,250 | |
| | 72,800 | | SCREEN Holdings Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 6,136,370 | |
| | 117,700 | | SCSK Corp. (Software & Services) | | | 2,330,272 | |
| | 229,500 | | Sekisui House Ltd. (Consumer Durables & Apparel) | | | 5,087,149 | |
| | 72,800 | | Shikoku Electric Power Co., Inc. (Utilities) | | | 522,947 | |
| | 5,400 | | Showa Sangyo Co. Ltd. (Food, Beverage & Tobacco) | | | 121,074 | |
| | 103,200 | | SoftBank Group Corp. (Telecommunication Services) | | | 4,555,090 | |
| | 42,000 | | Sojitz Corp. (Capital Goods) | | | 946,214 | |
| | 114,500 | | Sompo Holdings, Inc. (Insurance) | | | 5,602,299 | |
| | 279,300 | | Subaru Corp. (Automobiles & Components) | | | 5,094,268 | |
| | 59,500 | | Sumitomo Corp. (Capital Goods) | | | 1,294,818 | |
| | 7,500 | | Sumitomo Electric Industries Ltd. (Automobiles & Components) | | | 95,164 | |
| | 18,200 | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 885,609 | |
| | 183,800 | | Sumitomo Realty & Development Co. Ltd. (Real Estate Management & Development) | | | 5,446,733 | |
| | 68,900 | | Suntory Beverage & Food Ltd. (Food, Beverage & Tobacco) | | | 2,265,425 | |
| | 13,400 | | Suzuken Co. Ltd. (Health Care Equipment & Services) | | | 443,149 | |
| | 31,400 | | Taisho Pharmaceutical Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,918,902 | |
| | 108,500 | | Takashimaya Co. Ltd. (Consumer Discretionary Distribution & Retail) | | | 1,476,416 | |
| | 14,100 | | Toho Holdings Co. Ltd. (Health Care Equipment & Services) | | | 321,878 | |
| | 173,900 | | Tokai Tokyo Financial Holdings, Inc. (Financial Services) | | | 647,295 | |
| | 241,400 | | Tokio Marine Holdings, Inc. (Insurance) | | | 6,011,100 | |
| | 459,200 | | Tokyo Century Corp. (Financial Services) | | | 4,958,112 | |
| | |
| 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) | |
| |
| | Japan – (continued) | |
| | 8,000 | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | $ | 1,421,919 | |
| | 11,200 | | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 686,889 | |
| | 35,600 | | Tokyo Steel Manufacturing Co. Ltd. (Materials) | | | 435,325 | |
| | 62,700 | | Tokyo Tatemono Co. Ltd. (Real Estate Management & Development) | | | 936,258 | |
| | 6,700 | | Tokyo Tekko Co. Ltd. (Materials) | | | 195,340 | |
| | 780,700 | | Tokyu Fudosan Holdings Corp. (Real Estate Management & Development) | | | 4,974,945 | |
| | 43,400 | | Toyo Tire Corp. (Automobiles & Components) | | | 723,996 | |
| | 44,100 | | Toyota Motor Corp. (Automobiles & Components) | | | 808,076 | |
| | 27,000 | | Trend Micro, Inc. (Software & Services) | | | 1,440,991 | |
| | | | | | | | |
| | | | | | | 191,052,788 | |
| | | |
| |
| | Luxembourg – 0.1% | |
| | 9,983 | | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | | | 651,215 | |
| | | |
| |
| | Netherlands – 3.7% | |
| | 25,283 | | ASML Holding NV (Semiconductors & Semiconductor Equipment) | | | 19,085,820 | |
| | 16,381 | | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | | | 2,473,138 | |
| | 243,461 | | Shell PLC (Energy) | | | 8,010,669 | |
| | | | | | | | |
| | | | | | | 29,569,627 | |
| | | |
| |
| | New Zealand – 0.4% | |
| | 372,513 | | Spark New Zealand Ltd. (Telecommunication Services) | | | 1,219,808 | |
| | 25,083 | | Xero Ltd. (Software & Services)* | | | 1,913,546 | |
| | | | | | | | |
| | | | | | | 3,133,354 | |
| | | |
| |
| | Norway – 1.7% | |
| | 249,322 | | Aker BP ASA (Energy) | | | 7,242,208 | |
| | 4,235 | | DNB Bank ASA (Banks) | | | 90,041 | |
| | 91,715 | | Kongsberg Gruppen ASA (Capital Goods) | | | 4,198,802 | |
| | 34,386 | | Orkla ASA (Food, Beverage & Tobacco) | | | 267,033 | |
| | 1,037,184 | | PGS ASA (Energy)* | | | 871,792 | |
| | 4,831 | | Schibsted ASA, Class B (Media & Entertainment) | | | 131,522 | |
| | 32,737 | | SpareBank 1 SR-Bank ASA (Banks) | | | 415,171 | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Norway – (continued) | |
| | 25,782 | | Wallenius Wilhelmsen ASA (Transportation) | | $ | 225,849 | |
| | | | | | | | |
| | | | | | | 13,442,418 | |
| | | |
| |
| | Portugal – 0.6% | |
| | 193,619 | | Jeronimo Martins SGPS SA (Consumer Staples Distribution & Retail) | | | 4,927,707 | |
| | | |
| |
| | Singapore – 0.7% | |
| | 191,282 | | Hafnia Ltd. (Energy) | | | 1,320,422 | |
| | 75,700 | | Keppel Corp. Ltd. (Capital Goods) | | | 405,056 | |
| | 179,400 | | Oversea-Chinese Banking Corp. Ltd. (Banks) | | | 1,765,190 | |
| | 1,444,037 | | Seatrium Ltd. (Capital Goods)* | | | 128,941 | |
| | 91,100 | | Singapore Exchange Ltd. (Financial Services) | | | 677,728 | |
| | 59,600 | | United Overseas Bank Ltd. (Banks) | | | 1,286,359 | |
| | | | | | | | |
| | | | | | | 5,583,696 | |
| | | |
| |
| | South Africa – 0.3% | |
| | 77,689 | | Anglo American PLC (Materials) | | | 1,944,301 | |
| | | |
| |
| | Spain – 2.1% | |
| | 53,417 | | Amadeus IT Group SA (Consumer Services) | | | 3,836,493 | |
| | 370,607 | | Bankinter SA (Banks) | | | 2,376,940 | |
| | 215,532 | | Industria de Diseno Textil SA (Consumer Discretionary Distribution & Retail) | | | 9,404,536 | |
| | 80,371 | | Merlin Properties Socimi SA REIT (Equity Real Estate Investment Trusts (REITs)) | | | 892,366 | |
| | | | | | | | |
| | | | | | | 16,510,335 | |
| | | |
| |
| | Sweden – 2.7% | |
| | 132,841 | | Fortnox AB (Software & Services) | | | 794,726 | |
| | 28,394 | | Saab AB, Class B (Capital Goods) | | | 1,711,126 | |
| | 260,948 | | Skandinaviska Enskilda Banken AB, Class A (Banks) | | | 3,601,266 | |
| | 68,177 | | SKF AB, Class B (Capital Goods) | | | 1,366,305 | |
| | 652,161 | | SSAB AB, Class B (Materials) | | | 4,993,288 | |
| | 28,510 | | Swedbank AB, Class A (Banks) | | | 576,405 | |
| | 37,844 | | Trelleborg AB, Class B (Capital Goods) | | | 1,270,199 | |
| | 280,017 | | Volvo AB, Class B (Capital Goods) | | | 7,286,044 | |
| | | | | | | | |
| | | | | | | 21,599,359 | |
| | | |
| |
| | Switzerland – 6.8% | |
| | 202,270 | | ABB Ltd. (Capital Goods) | | | 8,980,416 | |
| | 131,310 | | Aryzta AG (Food, Beverage & Tobacco)* | | | 242,516 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Switzerland – (continued) | |
| | 10 | | Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco) | | $ | 1,213,187 | |
| | 11 | | Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco) | | | 132,040 | |
| | 8,439 | | Galenica AG (Health Care Equipment & Services)(a) | | | 730,009 | |
| | 119,111 | | IWG PLC (Real Estate Management & Development)* | | | 287,405 | |
| | 51,280 | | Logitech International SA (Technology Hardware & Equipment) | | | 4,876,133 | |
| | 3,011 | | Lonza Group AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,269,397 | |
| | 155,129 | | Novartis AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 15,669,656 | |
| | 10,554 | | Sandoz Group AG (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 339,565 | |
| | 12,265 | | Temenos AG (Software & Services) | | | 1,142,953 | |
| | 332,155 | | UBS Group AG (Financial Services) | | | 10,317,261 | |
| | 16,456 | | Zurich Insurance Group AG (Insurance) | | | 8,603,644 | |
| | | | | | | | |
| | | | | | | 53,804,182 | |
| | | |
| |
| | United Kingdom – 9.5% | |
| | 36,991 | | AstraZeneca PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,491,344 | |
| | 665,010 | | Aviva PLC (Insurance) | | | 3,679,791 | |
| | 246,605 | | BAE Systems PLC (Capital Goods) | | | 3,490,693 | |
| | 64,716 | | BP PLC ADR (Energy) | | | 2,290,946 | |
| | 4,268 | | British American Tobacco PLC (Food, Beverage & Tobacco) | | | 124,878 | |
| | 144,955 | | British American Tobacco PLC ADR (Food, Beverage & Tobacco) | | | 4,245,732 | |
| | 1,389,911 | | Centrica PLC (Utilities) | | | 2,491,700 | |
| | 684,000 | | CK Hutchison Holdings Ltd. (Capital Goods) | | | 3,674,861 | |
| | 299,227 | | Compass Group PLC (Consumer Services) | | | 8,187,854 | |
| | 121,501 | | HSBC Holdings PLC (Banks) | | | 982,940 | |
| | 68,600 | | Imperial Brands PLC (Food, Beverage & Tobacco) | | | 1,579,708 | |
| | 110,404 | | Informa PLC (Media & Entertainment) | | | 1,098,124 | |
| | 274,775 | | Investec PLC (Financial Services) | | | 1,858,286 | |
| | 1,203,347 | | M&G PLC (Financial Services) | | | 3,405,612 | |
| | 1,596,116 | | Marks & Spencer Group PLC (Consumer Staples Distribution & Retail) | | | 5,531,516 | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | United Kingdom – (continued) | |
| | 58,379 | | Melrose Industries PLC (Capital Goods) | | $ | 421,986 | |
| | 156,204 | | National Grid PLC (Utilities) | | | 2,104,276 | |
| | 21,344 | | National Grid PLC ADR (Utilities)(b)(c) | | | 1,451,179 | |
| | 5,032 | | Next PLC (Consumer Discretionary Distribution & Retail) | | | 520,183 | |
| | 107,108 | | Pearson PLC (Consumer Services) | | | 1,315,602 | |
| | 66,949 | | Pearson PLC ADR (Consumer Services) | | | 822,803 | |
| | 2,054,458 | | Rolls-Royce Holdings PLC (Capital Goods)* | | | 7,836,468 | |
| | 277,229 | | Sage Group PLC (The) (Software & Services) | | | 4,138,704 | |
| | 171,106 | | Smiths Group PLC (Capital Goods) | | | 3,840,550 | |
| | 100,072 | | SSE PLC (Utilities) | | | 2,362,301 | |
| | 771,641 | | Taylor Wimpey PLC (Consumer Durables & Apparel) | | | 1,444,449 | |
| | 838,160 | | Tesco PLC (Consumer Staples Distribution & Retail) | | | 3,105,156 | |
| | 10,302 | | Unilever PLC (Household & Personal Products) | | | 498,731 | |
| | | | | | | | |
| | | | | | | 74,996,373 | |
| | | |
| |
| | United States – 7.4% | |
| | 110,311 | | CRH PLC (Materials) | | | 7,629,109 | |
| | 40,474 | | GSK PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,499,966 | |
| | 235,089 | | Haleon PLC ADR (Household & Personal Products) | | | 1,934,783 | |
| | 42,117 | | Holcim AG (Materials)* | | | 3,307,929 | |
| | 165,766 | | Nestle SA (Food, Beverage & Tobacco) | | | 19,215,575 | |
| | 12,688 | | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,688,320 | |
| | 39,000 | | Samsonite International SA (Consumer Durables & Apparel)*(a) | | | 128,670 | |
| | 72,983 | | Sanofi SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,252,523 | |
| | 367,173 | | Stellantis NV (Automobiles & Components) | | | 8,603,103 | |
| | 299,133 | | Tenaris SA (Energy) | | | 5,202,873 | |
| | | | | | | | |
| | | | | | | 58,462,851 | |
| | | |
| | TOTAL COMMON STOCKS
(Cost $624,948,247) | | | 768,807,023 | |
| | | |
| | | | | | | | | | | | | | |
| | | Shares | | | Description | | Rate | | Value | |
| |
| | | Preferred Stocks – 0.7% | |
| |
| | Germany – 0.7% | |
| | | | | 6,518 | | | FUCHS SE (Materials) | | 2.65% | | | 289,986 | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
| | | | | | | | | | | | | | |
| | | | |
| | | Shares | | | Description | | Rate | | Value | |
| |
| | | Preferred Stocks – (continued) | |
| |
| | Germany – (continued) | |
| | | | | 69,881 | | | Henkel AG & Co. KGaA (Household & Personal Products) | | 2.54% | | $ | 5,621,371 | |
| | | |
| | |
| | TOTAL PREFERRED STOCKS
(Cost $5,461,795) | | | 5,911,357 | |
| | | |
| | |
| | TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE
(Cost $630,410,042) | | | 774,718,380 | |
| | | |
| | | | |
| | | Shares | | | Dividend Rate | | | | Value | |
| |
| | Securities Lending Reinvestment Vehicle – 0.0%(d) | |
| | |
| | Goldman Sachs Financial Square Government Fund – Institutional Shares | | | | |
| | | | | 258,075 | | | 5.248% | | | | | 258,075 | |
| | |
| | (Cost $258,075) | | | | |
| | | |
| | |
| | TOTAL INVESTMENTS – 97.9%
(Cost $630,668,117) | | $ | 774,976,455 | |
| | | |
| | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 2.1% | | | 16,381,165 | |
| | | |
| | |
| | NET ASSETS – 100.0% | | $ | 791,357,620 | |
| | | |
| | |
| 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) | | All or portion of security is pledged as collateral for futures contracts. Total market value of securities pledged as collateral on futures contracts amounts to $1,182,346, which represents approximately 0.1% of net assets as of December 31, 2023. |
| |
| (d) | | Represents an affiliated issuer. |
| | |
|
|
| Investment Abbreviations: |
| ADR | | —American Depositary Receipt |
| PLC | | —Public Limited Company |
| REIT | | —Real Estate Investment Trust |
|
|
| | | | |
| Sector Name | | % of Market Value | |
| |
Financials | | | 21.1 | % |
| |
Industrials | | | 16.6 | |
| |
Consumer Discretionary | | | 11.8 | |
| |
Health Care | | | 11.1 | |
| |
Information Technology | | | 10.4 | |
| |
Consumer Staples | | | 7.5 | |
| |
Materials | | | 7.1 | |
| |
Real Estate | | | 4.5 | |
| |
Energy | | | 3.8 | |
| |
Communication Services | | | 3.6 | |
| |
Utilities | | | 2.5 | |
| |
Securities Lending Reinvestment Vehicle | | | 0.0 | |
| |
TOTAL INVESTMENTS | | | 100.0 | % |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2023, 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 | | | 85 | | | | 03/15/24 | | | $ | 4,262,959 | | | $ | (32,147 | ) |
FTSE 100 Index | | | 14 | | | | 03/15/24 | | | | 1,384,156 | | | | 32,605 | |
MSCI Singapore Index | | | 5 | | | | 01/30/24 | | | | 108,998 | | | | 5,239 | |
SPI 200 Index | | | 5 | | | | 03/21/24 | | | | 646,100 | | | | 4,212 | |
TOPIX Index | | | 13 | | | | 03/07/24 | | | | 2,181,418 | | | | 6,324 | |
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| | | | |
| Total Futures Contracts | | | | | | | | | | | | | | $ | 16,233 | |
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| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – 98.8% | |
| |
| | Aerospace & Defense – 1.5% | |
| | 3,982 | | Curtiss-Wright Corp. | | $ | 887,150 | |
| | 6,878 | | HEICO Corp., Class A | | | 979,702 | |
| | 12,658 | | Hexcel Corp. | | | 933,528 | |
| | 111,232 | | Howmet Aerospace, Inc. | | | 6,019,876 | |
| | 12,408 | | Lockheed Martin Corp. | | | 5,623,802 | |
| | 32,459 | | Northrop Grumman Corp. | | | 15,195,356 | |
| | 149,820 | | RTX Corp. | | | 12,605,855 | |
| | | | | | | | |
| | | | | | | 42,245,269 | |
| | | |
| |
| | Automobile Components – 0.2% | |
| | 16,119 | | Autoliv, Inc. (Sweden) | | | 1,776,153 | |
| | 279,774 | | Goodyear Tire & Rubber Co. (The)* | | | 4,006,364 | |
| | | | | | | | |
| | | | | | | 5,782,517 | |
| | | |
| |
| | Automobiles – 1.5% | |
| | 97,923 | | General Motors Co. | | | 3,517,394 | |
| | 159,038 | | Tesla, Inc.* | | | 39,517,762 | |
| | | | | | | | |
| | | | | | | 43,035,156 | |
| | | |
| |
| | Banks – 1.4% | |
| | 406,778 | | Bank of America Corp. | | | 13,696,215 | |
| | 1 | | Cadence Bank | | | 29 | |
| | 77,539 | | Cullen/Frost Bankers, Inc. | | | 8,412,206 | |
| | 11,346 | | East West Bancorp, Inc. | | | 816,345 | |
| | 40,192 | | First BanCorp. (Puerto Rico) | | | 661,158 | |
| | 777 | | First Citizens BancShares, Inc., Class A | | | 1,102,540 | |
| | 19,845 | | International Bancshares Corp. | | | 1,077,980 | |
| | 40,827 | | JPMorgan Chase & Co. | | | 6,944,673 | |
| | 19,795 | | OFG Bancorp (Puerto Rico) | | | 741,917 | |
| | 5,054 | | PNC Financial Services Group, Inc. (The) | | | 782,612 | |
| | 87,133 | | Prosperity Bancshares, Inc. | | | 5,901,518 | |
| | | | | | | | |
| | | | | | | 40,137,193 | |
| | | |
| |
| | Beverages – 0.1% | |
| | 279,525 | | Primo Water Corp. | | | 4,206,851 | |
| | | |
| |
| | Biotechnology – 3.8% | |
| | 279,233 | | AbbVie, Inc. | | | 43,272,738 | |
| | 11,499 | | Biogen, Inc.* | | | 2,975,596 | |
| | 160,006 | | Gilead Sciences, Inc. | | | 12,962,086 | |
| | 132,083 | | Moderna, Inc.* | | | 13,135,655 | |
| | 4,775 | | Regeneron Pharmaceuticals, Inc.* | | | 4,193,835 | |
| | 76,297 | | Vertex Pharmaceuticals, Inc.* | | | 31,044,486 | |
| | | | | | | | |
| | | | | | | 107,584,396 | |
| | | |
| |
| | Broadline Retail – 4.2% | |
| | 696,858 | | Amazon.com, Inc.* | | | 105,880,604 | |
| | 34,974 | | eBay, Inc. | | | 1,525,566 | |
| | 6,782 | | MercadoLibre, Inc. (Brazil)* | | | 10,658,184 | |
| | | | | | | | |
| | | | | | | 118,064,354 | |
| | | |
| |
| | Building Products – 0.7% | |
| | 3,357 | | AAON, Inc. | | | 247,981 | |
| | 21,989 | | Johnson Controls International PLC | | | 1,267,446 | |
| | 39,269 | | Lennox International, Inc. | | | 17,573,663 | |
| | | | | | | | |
| | | | | | | 19,089,090 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Capital Markets – 2.9% | |
| | 160,197 | | CME Group, Inc. | | $ | 33,737,488 | |
| | 36,239 | | Coinbase Global, Inc., Class A* | | | 6,302,687 | |
| | 26,498 | | Federated Hermes, Inc. | | | 897,222 | |
| | 31,838 | | Interactive Brokers Group, Inc., Class A | | | 2,639,370 | |
| | 107,848 | | Jefferies Financial Group, Inc. | | | 4,358,138 | |
| | 9,250 | | LPL Financial Holdings, Inc. | | | 2,105,485 | |
| | 82,450 | | Morgan Stanley | | | 7,688,463 | |
| | 189,281 | | Nasdaq, Inc. | | | 11,004,797 | |
| | 153,054 | | Northern Trust Corp. | | | 12,914,697 | |
| | | | | | | | |
| | | | | | | 81,648,347 | |
| | | |
| |
| | Chemicals – 1.4% | |
| | 47,477 | | CF Industries Holdings, Inc. | | | 3,774,421 | |
| | 8,601 | | Dow, Inc. | | | 471,679 | |
| | 71,308 | | Element Solutions, Inc. | | | 1,650,067 | |
| | 26,262 | | Mosaic Co. (The) | | | 938,341 | |
| | 16,316 | | Olin Corp. | | | 880,248 | |
| | 38,322 | | PPG Industries, Inc. | | | 5,731,055 | |
| | 2,636 | | RPM International, Inc. | | | 294,257 | |
| | 85,742 | | Sherwin-Williams Co. (The) | | | 26,742,930 | |
| | | | | | | | |
| | | | | | | 40,482,998 | |
| | | |
| |
| | Commercial Services & Supplies – 0.5% | |
| | 23,605 | | Cintas Corp. | | | 14,225,789 | |
| | | |
| |
| | Communications Equipment – 0.7% | |
| | 74,650 | | Arista Networks, Inc.* | | | 17,580,821 | |
| | 43,784 | | Cisco Systems, Inc. | | | 2,211,968 | |
| | | | | | | | |
| | | | | | | 19,792,789 | |
| | | |
| |
| | Construction Materials – 0.7% | |
| | 32,458 | | Eagle Materials, Inc. | | | 6,583,781 | |
| | 6,646 | | Martin Marietta Materials, Inc. | | | 3,315,756 | |
| | 35,390 | | Summit Materials, Inc., Class A* | | | 1,361,099 | |
| | 35,514 | | Vulcan Materials Co. | | | 8,062,033 | |
| | | | | | | | |
| | | | | | | 19,322,669 | |
| | | |
| |
| | Consumer Finance – 2.1% | |
| | 234,665 | | Capital One Financial Corp. | | | 30,769,275 | |
| | 96,351 | | Discover Financial Services | | | 10,829,852 | |
| | 131,102 | | OneMain Holdings, Inc. | | | 6,450,218 | |
| | 316,003 | | Synchrony Financial | | | 12,068,155 | |
| | | | | | | | |
| | | | | | | 60,117,500 | |
| | | |
| |
| | Consumer Staples Distribution & Retail – 0.8% | |
| | 8,547 | | Casey’s General Stores, Inc. | | | 2,348,203 | |
| | 30,578 | | Costco Wholesale Corp. | | | 20,183,926 | |
| | 2,087 | | Target Corp. | | | 297,231 | |
| | | | | | | | |
| | | | | | | 22,829,360 | |
| | | |
| |
| | Diversified Consumer Services – 0.7% | |
| | 370,165 | | Coursera, Inc.* | | | 7,170,096 | |
| | 21,793 | | Frontdoor, Inc.* | | | 767,550 | |
| | 1,587 | | Graham Holdings Co., Class B | | | 1,105,377 | |
| | 34,371 | | Grand Canyon Education, Inc.* | | | 4,538,347 | |
| | 14,814 | | H&R Block, Inc. | | | 716,553 | |
| | 63,661 | | Service Corp. International | | | 4,357,595 | |
| | 24,298 | | Strategic Education, Inc. | | | 2,244,406 | |
| | | | | | | | |
| | | | | | | 20,899,924 | |
| | | |
| | |
| 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) | |
| |
| | Diversified Telecommunication Services – 0.0% | |
| | 9,063 | | Iridium Communications, Inc. | | $ | 373,033 | |
| | | |
| |
| | Electric Utilities – 0.1% | |
| | 79,822 | | Exelon Corp. | | | 2,865,610 | |
| | | |
| |
| | Electrical Equipment – 2.3% | |
| | 195,946 | | AMETEK, Inc. | | | 32,309,536 | |
| | 32,336 | | Atkore, Inc.* | | | 5,173,760 | |
| | 32,308 | | Emerson Electric Co. | | | 3,144,538 | |
| | 85,947 | | Encore Wire Corp. | | | 18,358,279 | |
| | 101,799 | | nVent Electric PLC | | | 6,015,303 | |
| | 1,996 | | Powell Industries, Inc. | | | 176,446 | |
| | | | | | | | |
| | | | | | | 65,177,862 | |
| | | |
| |
| | Electronic Equipment, Instruments & Components – 0.6% | |
| | 94,239 | | Keysight Technologies, Inc.* | | | 14,992,482 | |
| | 2,989 | | Teledyne Technologies, Inc.* | | | 1,333,961 | |
| | 1 | | Vontier Corp. | | | 35 | |
| | | | | | | | |
| | | | | | | 16,326,478 | |
| | | |
| |
| | Energy Equipment & Services – 0.5% | |
| | 94,650 | | Schlumberger NV | | | 4,925,586 | |
| | 476,743 | | TechnipFMC PLC (United Kingdom) | | | 9,601,604 | |
| | | | | | | | |
| | | | | | | 14,527,190 | |
| | | |
| |
| | Entertainment – 0.6% | |
| | 14,055 | | Electronic Arts, Inc. | | | 1,922,865 | |
| | 28,089 | | Netflix, Inc.* | | | 13,675,972 | |
| | 3,903 | | Spotify Technology SA* | | | 733,413 | |
| | | | | | | | |
| | | | | | | 16,332,250 | |
| | | |
| |
| | Financial Services – 4.6% | |
| | 29,759 | | Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 736,238 | |
| | 133,530 | | Berkshire Hathaway, Inc., Class B* | | | 47,624,810 | |
| | 343,965 | | Equitable Holdings, Inc. | | | 11,454,034 | |
| | 119,426 | | MGIC Investment Corp. | | | 2,303,728 | |
| | 119,179 | | Pagseguro Digital Ltd., Class A (Brazil)* | | | 1,486,162 | |
| | 73,466 | | StoneCo Ltd., Class A (Brazil)* | | | 1,324,592 | |
| | 205,078 | | Visa, Inc., Class A | | | 53,392,057 | |
| | 151,167 | | Voya Financial, Inc. | | | 11,029,144 | |
| | | | | | | | |
| | | | | | | 129,350,765 | |
| | | |
| |
| | Food Products – 0.9% | |
| | 22,882 | | Cal-Maine Foods, Inc. | | | 1,313,198 | |
| | 39,594 | | Darling Ingredients, Inc.* | | | 1,973,365 | |
| | 14,700 | | Freshpet, Inc.* | | | 1,275,372 | |
| | 271,323 | | General Mills, Inc. | | | 17,673,980 | |
| | 9,833 | | Lancaster Colony Corp. | | | 1,636,113 | |
| | | | | | | | |
| | | | | | | 23,872,028 | |
| | | |
| |
| | Gas Utilities – 0.0% | |
| | 8,650 | | National Fuel Gas Co. | | | 433,970 | |
| | | |
| |
| | Ground Transportation – 0.9% | |
| | 94,059 | | CSX Corp. | | | 3,261,025 | |
| | 12,022 | | Norfolk Southern Corp. | | | 2,841,760 | |
| | 36,542 | | Ryder System, Inc. | | | 4,204,523 | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Ground Transportation – (continued) | |
| | 61,767 | | Union Pacific Corp. | | $ | 15,171,211 | |
| | | | | | | | |
| | | | | | | 25,478,519 | |
| | | |
| |
| | Health Care Equipment & Supplies – 1.7% | |
| | 507,954 | | Boston Scientific Corp.* | | | 29,364,821 | |
| | 12,201 | | IDEXX Laboratories, Inc.* | | | 6,772,165 | |
| | 35,822 | | Intuitive Surgical, Inc.* | | | 12,084,910 | |
| | | | | | | | |
| | | | | | | 48,221,896 | |
| | | |
| |
| | Health Care Providers & Services – 4.9% | |
| | 96,982 | | Centene Corp.* | | | 7,197,034 | |
| | 21,748 | | Cigna Group (The) | | | 6,512,439 | |
| | 71,276 | | Elevance Health, Inc. | | | 33,610,911 | |
| | 6,544 | | Encompass Health Corp. | | | 436,616 | |
| | 43,802 | | HCA Healthcare, Inc. | | | 11,856,325 | |
| | 93,317 | | HealthEquity, Inc.* | | | 6,186,917 | |
| | 34,579 | | Humana, Inc. | | | 15,830,612 | |
| | 6,269 | | Molina Healthcare, Inc.* | | | 2,265,052 | |
| | 101,034 | | UnitedHealth Group, Inc. | | | 53,191,370 | |
| | | | | | | | |
| | | | | | | 137,087,276 | |
| | | |
| |
| | Health Care REITs – 0.1% | |
| | 28,435 | | Ventas, Inc. REIT | | | 1,417,200 | |
| | | |
| |
| | Hotel & Resort REITs – 1.5% | |
| | 1,485,784 | | Host Hotels & Resorts, Inc. REIT | | | 28,928,214 | |
| | 531,112 | | Park Hotels & Resorts, Inc. REIT | | | 8,126,014 | |
| | 268,199 | | RLJ Lodging Trust REIT | | | 3,143,292 | |
| | 24,877 | | Ryman Hospitality Properties, Inc. REIT | | | 2,737,963 | |
| | | | | | | | |
| | | | | | | 42,935,483 | |
| | | |
| |
| | Hotels, Restaurants & Leisure – 2.8% | |
| | 58,550 | | Airbnb, Inc., Class A* | | | 7,970,997 | |
| | 18,628 | | Chipotle Mexican Grill, Inc.* | | | 42,601,491 | |
| | 53,406 | | International Game Technology PLC | | | 1,463,858 | |
| | 281,607 | | Las Vegas Sands Corp. | | | 13,857,880 | |
| | 14,177 | | Wingstop, Inc. | | | 3,637,535 | |
| | 81,196 | | Wynn Resorts Ltd. | | | 7,397,768 | |
| | 5,222 | | Yum! Brands, Inc. | | | 682,307 | |
| | | | | | | | |
| | | | | | | 77,611,836 | |
| | | |
| |
| | Household Durables – 2.1% | |
| | 188,174 | | D.R. Horton, Inc. | | | 28,598,685 | |
| | 187,169 | | M/I Homes, Inc.* | | | 25,780,658 | |
| | 40,583 | | PulteGroup, Inc. | | | 4,188,977 | |
| | | | | | | | |
| | | | | | | 58,568,320 | |
| | | |
| |
| | Household Products – 0.5% | |
| | 103,911 | | Kimberly-Clark Corp. | | | 12,626,226 | |
| | 8,185 | | Procter & Gamble Co. (The) | | | 1,199,430 | |
| | | | | | | | |
| | | | | | | 13,825,656 | |
| | | |
| |
| | Industrial REITs – 0.5% | |
| | 62,315 | | First Industrial Realty Trust, Inc. REIT | | | 3,282,131 | |
| | 65,403 | | Prologis, Inc. REIT | | | 8,718,220 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Industrial REITs – (continued) | |
| | 16,598 | | Rexford Industrial Realty, Inc. REIT | | $ | 931,148 | |
| | | | | | | | |
| | | | | | | 12,931,499 | |
| | | |
| |
| | Insurance – 2.7% | |
| | 303,068 | | American Equity Investment Life Holding Co.* | | | 16,911,194 | |
| | 35,396 | | American Financial Group, Inc. | | | 4,208,231 | |
| | 49,985 | | Arch Capital Group Ltd.* | | | 3,712,386 | |
| | 41,284 | | CNO Financial Group, Inc. | | | 1,151,824 | |
| | 11,633 | | Globe Life, Inc. | | | 1,415,969 | |
| | 62,028 | | Goosehead Insurance, Inc., Class A* | | | 4,701,722 | |
| | 999 | | Kinsale Capital Group, Inc. | | | 334,575 | |
| | 15,650 | | Marsh & McLennan Cos., Inc. | | | 2,965,206 | |
| | 32,867 | | Principal Financial Group, Inc. | | | 2,585,647 | |
| | 122,680 | | Progressive Corp. (The) | | | 19,540,470 | |
| | 6,559 | | Reinsurance Group of America, Inc. | | | 1,061,115 | |
| | 65,766 | | Travelers Cos., Inc. (The) | | | 12,527,765 | |
| | 65,442 | | W R Berkley Corp. | | | 4,628,058 | |
| | | | | | | | |
| | | | | | | 75,744,162 | |
| | | |
| |
| | Interactive Media & Services – 5.4% | |
| | 393,518 | | Alphabet, Inc., Class A* | | | 54,970,529 | |
| | 315,000 | | Alphabet, Inc., Class C* | | | 44,392,950 | |
| | 36,293 | | Bumble, Inc., Class A* | | | 534,959 | |
| | 141,176 | | Meta Platforms, Inc., Class A* | | | 49,970,657 | |
| | 74,468 | | Vimeo, Inc.* | | | 291,915 | |
| | | | | | | | |
| | | | | | | 150,161,010 | |
| | | |
| |
| | IT Services – 2.7% | |
| | 5,074 | | EPAM Systems, Inc.* | | | 1,508,703 | |
| | 52,678 | | Gartner, Inc.* | | | 23,763,573 | |
| | 112,139 | | International Business Machines Corp. | | | 18,340,333 | |
| | 13,789 | | MongoDB, Inc.* | | | 5,637,633 | |
| | 5,663 | | Perficient, Inc.* | | | 372,739 | |
| | 121,344 | | VeriSign, Inc.* | | | 24,992,010 | |
| | | | | | | | |
| | | | | | | 74,614,991 | |
| | | |
| |
| | Life Sciences Tools & Services – 1.3% | |
| | 7,809 | | IQVIA Holdings, Inc.* | | | 1,806,846 | |
| | 67,528 | | Medpace Holdings, Inc.* | | | 20,699,358 | |
| | 6,958 | | Mettler-Toledo International, Inc.* | | | 8,439,776 | |
| | 3,494 | | Thermo Fisher Scientific, Inc. | | | 1,854,580 | |
| | 6,675 | | West Pharmaceutical Services, Inc. | | | 2,350,401 | |
| | | | | | | | |
| | | | | | | 35,150,961 | |
| | | |
| |
| | Machinery – 1.4% | |
| | 5,761 | | AGCO Corp. | | | 699,443 | |
| | 1 | | Fortive Corp. | | | 74 | |
| | 97,597 | | Illinois Tool Works, Inc. | | | 25,564,558 | |
| | 151,534 | | Mueller Industries, Inc. | | | 7,144,828 | |
| | 15,142 | | Snap-on, Inc. | | | 4,373,615 | |
| | 17,147 | | Trinity Industries, Inc. | | | 455,939 | |
| | | | | | | | |
| | | | | | | 38,238,457 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Media – 1.0% | |
| | 538,121 | | News Corp., Class A | | $ | 13,210,871 | |
| | 338,717 | | Paramount Global, Class B | | | 5,009,624 | |
| | 130,537 | | Trade Desk, Inc. (The), Class A* | | | 9,393,442 | |
| | | | | | | | |
| | | | | | | 27,613,937 | |
| | | |
| |
| | Metals & Mining – 0.5% | |
| | 185,942 | | Carpenter Technology Corp. | | | 13,164,694 | |
| | | |
| |
| | Multi-Utilities – 0.0% | |
| | 20,817 | | Avista Corp. | | | 744,000 | |
| | | |
| |
| | Office REITs – 0.0% | |
| | 1 | | Vornado Realty Trust REIT | | | 28 | |
| | | |
| |
| | Oil, Gas & Consumable Fuels – 2.5% | |
| | 134,719 | | Antero Midstream Corp. | | | 1,688,029 | |
| | 65,325 | | Antero Resources Corp.* | | | 1,481,571 | |
| | 89,779 | | Cheniere Energy, Inc. | | | 15,326,173 | |
| | 10,708 | | CONSOL Energy, Inc. | | | 1,076,475 | |
| | 89,256 | | EOG Resources, Inc. | | | 10,795,513 | |
| | 11,147 | | Exxon Mobil Corp. | | | 1,114,477 | |
| | 12,264 | | Hess Corp. | | | 1,767,978 | |
| | 354,007 | | Kinder Morgan, Inc. | | | 6,244,684 | |
| | 14,840 | | Marathon Petroleum Corp. | | | 2,201,662 | |
| | 763,677 | | Nordic American Tankers Ltd. | | | 3,207,444 | |
| | 8,760 | | ONEOK, Inc. | | | 615,127 | |
| | 33,190 | | Pioneer Natural Resources Co. | | | 7,463,767 | |
| | 28,683 | | Scorpio Tankers, Inc. (Monaco) | | | 1,743,927 | |
| | 108,374 | | Teekay Tankers Ltd., Class A (Canada) | | | 5,415,449 | |
| | 31,484 | | Valero Energy Corp. | | | 4,092,920 | |
| | 156,754 | | Williams Cos., Inc. (The) | | | 5,459,742 | |
| | | | | | | | |
| | | | | | | 69,694,938 | |
| | | |
| |
| | Personal Care Products – 0.5% | |
| | 77,714 | | elf Beauty, Inc.* | | | 11,217,239 | |
| | 99,538 | | Herbalife Ltd.* | | | 1,518,950 | |
| | | | | | | | |
| | | | | | | 12,736,189 | |
| | | |
| |
| | Pharmaceuticals – 1.4% | |
| | 2,529 | | Eli Lilly & Co. | | | 1,474,205 | |
| | 88,523 | | Johnson & Johnson | | | 13,875,095 | |
| | 26,154 | | Merck & Co., Inc. | | | 2,851,309 | |
| | 111,485 | | Zoetis, Inc. | | | 22,003,794 | |
| | | | | | | | |
| | | | | | | 40,204,403 | |
| | | |
| |
| | Professional Services – 1.1% | |
| | 42,630 | | Equifax, Inc. | | | 10,541,973 | |
| | 294,208 | | ExlService Holdings, Inc.* | | | 9,076,317 | |
| | 28,293 | | Genpact Ltd. | | | 982,050 | |
| | 156,109 | | Parsons Corp.* | | | 9,789,595 | |
| | 65,046 | | Upwork, Inc.* | | | 967,234 | |
| | | | | | | | |
| | | | | | | 31,357,169 | |
| | | |
| |
| | Real Estate Management & Development – 0.3% | |
| | 71,280 | | CoStar Group, Inc.* | | | 6,229,159 | |
| | 32,161 | | Zillow Group, Inc., Class C* | | | 1,860,835 | |
| | | | | | | | |
| | | | | | | 8,089,994 | |
| | | |
| |
| | Residential REITs – 1.0% | |
| | 83,486 | | American Homes 4 Rent, Class A REIT | | | 3,002,157 | |
| | |
| 24 | | 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) | |
| |
| | Residential REITs – (continued) | |
| | 1 | | Apartment Income REIT Corp. REIT | | $ | 35 | |
| | 1 | | Apartment Investment and Management Co., Class A REIT* | | | 8 | |
| | 49,476 | | AvalonBay Communities, Inc. REIT | | | 9,262,897 | |
| | 13,563 | | Camden Property Trust REIT | | | 1,346,670 | |
| | 42,893 | | Equity LifeStyle Properties, Inc. REIT | | | 3,025,672 | |
| | 26,815 | | Equity Residential REIT | | | 1,640,005 | |
| | 190,064 | | Invitation Homes, Inc. REIT | | | 6,483,083 | |
| | 26,742 | | Mid-America Apartment Communities, Inc. REIT | | | 3,595,730 | |
| | | | | | | | |
| | | | | | | 28,356,257 | |
| | | |
| |
| | Retail REITs – 0.1% | |
| | 21,275 | | Brixmor Property Group, Inc. REIT | | | 495,069 | |
| | 12,469 | | Kite Realty Group Trust REIT | | | 285,041 | |
| | 63,218 | | NNN REIT, Inc. REIT | | | 2,724,696 | |
| | 2 | | Simon Property Group, Inc. REIT | | | 285 | |
| | | | | | | | |
| | | | | | | 3,505,091 | |
| | | |
| |
| | Semiconductors & Semiconductor Equipment – 6.0% | |
| | 218,165 | | Applied Materials, Inc. | | | 35,358,002 | |
| | 25,132 | | Axcelis Technologies, Inc.* | | | 3,259,369 | |
| | 38,684 | | Broadcom, Inc. | | | 43,181,015 | |
| | 3,264 | | KLA Corp. | | | 1,897,363 | |
| | 4,959 | | Lam Research Corp. | | | 3,884,186 | |
| | 143,748 | | NVIDIA Corp. | | | 71,186,885 | |
| | 63,128 | | Texas Instruments, Inc. | | | 10,760,799 | |
| | | | | | | | |
| | | | | | | 169,527,619 | |
| | | |
| |
| | Software – 11.9% | |
| | 75,274 | | Adobe, Inc.* | | | 44,908,468 | |
| | 183,165 | | Fortinet, Inc.* | | | 10,720,647 | |
| | 38,058 | | Intuit, Inc. | | | 23,787,392 | |
| | 9,452 | | Manhattan Associates, Inc.* | | | 2,035,205 | |
| | 527,437 | | Microsoft Corp.(a) | | | 198,337,409 | |
| | 18,506 | | Oracle Corp. | | | 1,951,088 | |
| | 20,331 | | Palo Alto Networks, Inc.* | | | 5,995,205 | |
| | 6,145 | | Qualys, Inc.* | | | 1,206,141 | |
| | 35,444 | | Salesforce, Inc.* | | | 9,326,734 | |
| | 24,029 | | ServiceNow, Inc.* | | | 16,976,248 | |
| | 55,448 | | Splunk, Inc.* | | | 8,447,503 | |
| | 1,599 | | SPS Commerce, Inc.* | | | 309,950 | |
| | 8,354 | | Varonis Systems, Inc.* | | | 378,269 | |
| | 43,289 | | Zscaler, Inc.* | | | 9,591,111 | |
| | | | | | | | |
| | | | | | | 333,971,370 | |
| | | |
| |
| | Specialized REITs – 0.2% | |
| | 5,206 | | CubeSmart REIT | | | 241,298 | |
| | 9,634 | | Lamar Advertising Co., Class A REIT | | | 1,023,901 | |
| | 16,714 | | SBA Communications Corp. REIT | | | 4,240,175 | |
| | | | | | | | |
| | | | | | | 5,505,374 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Specialty Retail – 1.4% | |
| | 1,486 | | Asbury Automotive Group, Inc.* | | $ | 334,305 | |
| | 17,213 | | CarMax, Inc.* | | | 1,320,926 | |
| | 11,149 | | Carvana Co.* | | | 590,228 | |
| | 13,467 | | Foot Locker, Inc. | | | 419,497 | |
| | 1,019 | | Home Depot, Inc. (The) | | | 353,135 | |
| | 91,859 | | Lowe’s Cos., Inc. | | | 20,443,220 | |
| | 5,074 | | Murphy USA, Inc. | | | 1,809,185 | |
| | 347 | | O’Reilly Automotive, Inc.* | | | 329,678 | |
| | 994 | | Penske Automotive Group, Inc. | | | 159,547 | |
| | 78,444 | | Ross Stores, Inc. | | | 10,855,865 | |
| | 1 | | Victoria’s Secret & Co.* | | | 27 | |
| | 9,118 | | Williams-Sonoma, Inc. | | | 1,839,830 | |
| | | | | | | | |
| | | | | | | 38,455,443 | |
| | | |
| |
| | Technology Hardware, Storage & Peripherals – 8.1% | |
| | 853,932 | | Apple, Inc. | | | 164,407,528 | |
| | 385,943 | | Dell Technologies, Inc., Class C | | | 29,524,639 | |
| | 42,942 | | NetApp, Inc. | | | 3,785,767 | |
| | 5,355 | | Seagate Technology Holdings PLC | | | 457,156 | |
| | 103,433 | | Super Micro Computer, Inc.* | | | 29,401,865 | |
| | | | | | | | |
| | | | | | | 227,576,955 | |
| | | |
| |
| | Textiles, Apparel & Luxury Goods – 1.1% | |
| | 3,902 | | Deckers Outdoor Corp.* | | | 2,608,214 | |
| | 38,986 | | G-III Apparel Group Ltd.* | | | 1,324,744 | |
| | 280,291 | | Levi Strauss & Co., Class A | | | 4,636,013 | |
| | 31,898 | | Lululemon Athletica, Inc.* | | | 16,309,129 | |
| | 7,992 | | Ralph Lauren Corp. | | | 1,152,446 | |
| | 75,785 | | Skechers USA, Inc., Class A* | | | 4,724,437 | |
| | | | | | | | |
| | | | | | | 30,754,983 | |
| | | |
| |
| | Trading Companies & Distributors – 0.4% | |
| | 39,394 | | Ferguson PLC | | | 7,605,800 | |
| | 5,515 | | United Rentals, Inc. | | | 3,162,411 | |
| | | | | | | | |
| | | | | | | 10,768,211 | |
| | | |
| | TOTAL INVESTMENTS – 98.8%
(Cost $1,560,734,992) | | $ | 2,772,737,309 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% | | | 33,868,203 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 2,806,605,512 | |
| | | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
| * | | Non-income producing security. |
| |
| (a) | | All or portion of security is pledged as collateral for futures contracts. Total market value of securities pledged as collateral on futures contracts amounts to $627,987, which represents approximately 0.0% of net assets as of December 31, 2023. |
| | |
|
| Investment Abbreviations: |
| PLC | | —Public Limited Company |
| REIT | | —Real Estate Investment Trust |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Schedule of Investments (continued) December 31, 2023 |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2023, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
Long position contracts: | | | | | | | | | | | | | | | | |
Russell 2000 E-Mini Index | | | 2 | | | | 03/15/24 | | | $ | 204,770 | | | $ | 14,535 | |
S&P 500 E-Mini Index | | | 10 | | | | 03/15/24 | | | | 2,410,000 | | | | 79,948 | |
|
| |
| | | | |
| Total Futures Contracts | | | | | | | | | | | | | | $ | 94,483 | |
|
| |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Statements of Assets and Liabilities December 31, 2023 |
| | | | | | | | | | | | | | |
| | | | | International Tax-
Managed Equity Fund | | | | U.S. Tax-Managed
Equity Fund | | |
| | | | | |
| | | Assets: | | | | | | | | | | | | |
| | | | | |
| | Investments, at value (cost $630,410,042 and $1,560,734,992, respectively)(a) | | $ | 774,718,380 | | | | | $ | 2,772,737,309 | | | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 258,075 | | | | | | — | | | |
| | Cash | | | 3,881,723 | | | | | | 31,900,901 | | | |
| | Foreign Currency, at value (cost $12,485,780 and $–, respectively) | | | 8,716,127 | | | | | | — | | | |
| | Receivables: | | | | | | | | | | | | |
| | Foreign tax reclaims | | | 4,014,987 | | | | | | 3,732 | | | |
| | Dividends | | | 650,685 | | | | | | 4,010,122 | | | |
| | Reimbursement from investment adviser | | | 86,625 | | | | | | — | | | |
| | Fund shares sold | | | 26,640 | | | | | | 169,731 | | | |
| | Securities lending income | | | 2,764 | | | | | | — | | | |
| | Variation margin on futures contracts | | | 7,461 | | | | | | — | | | |
| | Other assets | | | 34,670 | | | | | | 58,456 | | | |
| | |
| | Total assets | | | 792,398,137 | | | | | | 2,808,880,251 | | | |
| | |
| | | | | | | | | | | | | | |
| | | | | |
| | Liabilities: | | | | | | | | | | | | |
| | | | | |
| | Variation margin on futures contracts | | | — | | | | | | 9,285 | | | |
| | Payables: | | | | | | | | | | | | |
| | Management fees | | | 574,312 | | | | | | 1,511,437 | | | |
| | Payable upon return of securities loaned | | | 258,075 | | | | | | — | | | |
| | Fund shares redeemed | | | 100,732 | | | | | | 121,965 | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 23,083 | | | | | | 126,103 | | | |
| | Accrued expenses | | | 84,315 | | | | | | 505,949 | | | |
| | |
| | Total liabilities | | | 1,040,517 | | | | | | 2,274,739 | | | |
| | |
| | | | | |
| | Net Assets: | | | | | | | | | | | | |
| | | | | |
| | Paid-in Capital | | | 718,256,093 | | | | | | 1,608,269,798 | | | |
| | Total distributable earnings (loss) | | | 73,101,527 | | | | | | 1,198,335,714 | | | |
| | |
| | NET ASSETS | | $ | 791,357,620 | | | | | $ | 2,806,605,512 | | | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | $ | 4,851,940 | | | | | $ | 87,893,464 | | | |
| | | Class C | | | 696,378 | | | | | | 15,603,949 | | | |
| | | Institutional | | | 12,638,103 | | | | | | 55,767,102 | | | |
| | | Service | | | — | | | | | | 3,499,224 | | | |
| | | Investor | | | 11,560,425 | | | | | | 19,127,068 | | | |
| | | Class R6 | | | 692,951,937 | | | | | | 2,407,117,985 | | | |
| | | Class P | | | 68,658,837 | | | | | | 217,596,720 | | | |
| | | Total Net Assets | | $ | 791,357,620 | | | | | $ | 2,806,605,512 | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 409,787 | | | | | | 2,354,435 | | | |
| | | Class C | | | 60,054 | | | | | | 450,574 | | | |
| | | Institutional | | | 1,065,198 | | | | | | 1,455,973 | | | |
| | | Service | | | — | | | | | | 93,308 | | | |
| | | Investor | | | 973,820 | | | | | | 503,921 | | | |
| | | Class R6 | | | 58,846,362 | | | | | | 63,416,697 | | | |
| | | Class P | | | 5,826,573 | | | | | | 5,731,188 | | | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | | | | | |
| | | Class A | | $ | 11.84 | | | | | $ | 37.33 | | | |
| | | Class C | | | 11.60 | | | | | | 34.63 | | | |
| | | Institutional | | | 11.86 | | | | | | 38.30 | | | |
| | | Service | | | — | | | | | | 37.50 | | | |
| | | Investor | | | 11.87 | | | | | | 37.96 | | | |
| | | Class R6 | | | 11.78 | | | | | | 37.96 | | | |
| | | Class P | | | 11.78 | | | | | | 37.97 | | | |
| (a) | Includes loaned securities having a market value of $251,563 and $–, respectively. |
| (b) | 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 $12.53 and $39.50, 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. | | 27 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Statements of Operations For the Fiscal Year Ended December 31, 2023 |
| | | | | | | | | | | | |
| | | | | International Tax- Managed Equity Fund | | | U.S. Tax-Managed Equity Fund | | | |
| | | | |
| | | Investment income: | | | | | | | | | | |
| | | | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $1,994,501 and $15,775, respectively) | | $ | 24,187,644 | | | $ | 33,620,452 | | | |
| | | | |
| | Securities lending income, net of rebates received or paid to borrowers – affiliated issuer | | | 39,269 | | | | — | | | |
| | | | |
| | Dividends — affiliated issuers | | | — | | | | 28,873 | | | |
| | |
| | | | |
| | Total Investment Income | | | 24,226,913 | | | | 33,649,325 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | |
| | | | |
| | Management fees | | | 6,162,287 | | | | 16,547,244 | | | |
| | | | |
| | Custody, accounting and administrative services | | | 360,677 | | | | 72,520 | | | |
| | | | |
| | Transfer Agency fees(a) | | | 238,740 | | | | 915,711 | | | |
| | | | |
| | Professional fees | | | 165,876 | | | | 105,979 | | | |
| | | | |
| | Registration fees | | | 88,367 | | | | 91,910 | | | |
| | | | |
| | Printing and mailing costs | | | 34,265 | | | | 59,100 | | | |
| | | | |
| | Trustee fees | | | 28,517 | | | | 23,830 | | | |
| | | | |
| | Distribution and/or Service (12b-1) fees(a) | | | 18,403 | | | | 337,543 | | | |
| | | | |
| | Service fees — Class C | | | 1,751 | | | | 39,683 | | | |
| | | | |
| | Shareholder meeting expense | | | 1,630 | | | | 2,818 | | | |
| | | | |
| | Shareholder Administration fees — Service Shares | | | — | | | | 7,503 | | | |
| | | | |
| | Other | | | 30,431 | | | | 22,207 | | | |
| | |
| | | | |
| | Total expenses | | | 7,130,944 | | | | 18,226,048 | | | |
| | |
| | | | |
| | Less — expense reductions | | | (616,730 | ) | | | (48,236 | ) | | |
| | |
| | | | |
| | Net expenses | | | 6,514,214 | | | | 18,177,812 | | | |
| | |
| | | | |
| | NET INVESTMENT INCOME | | | 17,712,699 | | | | 15,471,513 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Realized and Unrealized gain (loss): | | | | | | | | | | |
| | | | |
| | Net realized gain (loss) from: | | | | | | | | | | |
| | | | |
| | Investments — unaffiliated issuers | | | 12,247,908 | | | | (8,157,218 | ) | | |
| | | | |
| | In-kind redemptions | | | 27,221,319 | | | | 61,617,366 | | | |
| | | | |
| | Futures contracts | | | 1,092,277 | | | | 311,486 | | | |
| | | | |
| | Foreign currency transactions | | | (106,807 | ) | | | 31 | | | |
| | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | |
| | | | |
| | Investments — unaffiliated issuers | | | 76,563,266 | | | | 480,823,901 | | | |
| | | | |
| | Futures contracts | | | 203,924 | | | | 486,347 | | | |
| | | | |
| | Foreign currency translations | | | 157,972 | | | | — | | | |
| | |
| | | | |
| | Net realized and unrealized gain | | | 117,379,859 | | | | 535,081,913 | | | |
| | |
| | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 135,092,558 | | | $ | 550,553,426 | | | |
| | |
| | (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 A | | | Class C | | | Institutional | | | Service | | | Investor | | | Class R6 | | | Class P | | | |
| International Tax-Managed Equity Fund | | | $13,151 | | | | $5,252 | | | | $– | | | | $8,156 | | | | $1,087 | | | | $4,537 | | | | $– | | | | $15,640 | | | | $189,861 | | | | $19,459 | | | |
| U.S. Tax-Managed Equity Fund | | | 210,992 | | | | 119,048 | | | | 7,503 | | | | 130,870 | | | | 24,619 | | | | 23,569 | | | | 1,200 | | | | 26,977 | | | | 650,459 | | | | 58,017 | | | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
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, 2023 | | | For the Fiscal Year Ended December 31, 2022 | | | For the Fiscal Year Ended
December 31, 2023 | | | For the Fiscal Year Ended
December 31, 2022 | | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | $ | 17,712,699 | | | $ | 22,095,228 | | | $ | 15,471,513 | | | $ | 14,667,256 | | | |
| | | | | | |
| | Net realized gain (loss) | | | 40,454,697 | | | | 19,642,836 | | | | 53,771,665 | | | | (2,089,993 | ) | | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | 76,925,162 | | | | (168,486,250 | ) | | | 481,310,248 | | | | (539,122,981 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 135,092,558 | | | | (126,748,186 | ) | | | 550,553,426 | | | | (526,545,718 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (94,610 | ) | | | (162,210 | ) | | | (202,802 | ) | | | (342,379 | ) | | |
| | | | | | |
| | Class C Shares | | | (8,889 | ) | | | (17,250 | ) | | | – | | | | – | | | |
| | | | | | |
| | Institutional Shares | | | (291,337 | ) | | | (346,285 | ) | | | (293,294 | ) | | | (421,368 | ) | | |
| | | | | | |
| | Service Shares | | | – | | | | – | | | | (3,951 | ) | | | (7,142 | ) | | |
| | | | | | |
| | Investor Shares | | | (258,344 | ) | | | (300,562 | ) | | | (89,406 | ) | | | (97,323 | ) | | |
| | | | | | |
| | Class R6 Shares | | | (15,920,795 | ) | | | (21,935,527 | ) | | | (13,036,248 | ) | | | (14,183,905 | ) | | |
| | | | | | |
| | Class P Shares | | | (1,586,920 | ) | | | (2,154,500 | ) | | | (1,179,388 | ) | | | (1,252,858 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (18,160,895 | ) | | | (24,916,334 | ) | | | (14,805,089 | ) | | | (16,304,975 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 17,872,937 | | | | 81,602,420 | | | | 72,656,637 | | | | 423,239,765 | | | |
| | | | | | |
| | Proceeds paid in connection with in-kind transactions | | | (65,000,000 | ) | | | (40,000,055 | ) | | | (75,750,000 | ) | | | – | | | |
| | | | | | |
| | Reinvestment of distributions | | | 18,160,808 | | | | 24,916,127 | | | | 14,704,015 | | | | 16,142,013 | | | |
| | | | | | |
| | Cost of shares redeemed | | | (13,706,369 | ) | | | (36,436,968 | ) | | | (75,518,598 | ) | | | (107,632,492 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (42,672,624 | ) | | | 30,081,524 | | | | (63,907,946 | ) | | | 331,749,286 | | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 74,259,039 | | | | (121,582,996 | ) | | | 471,840,391 | | | | (211,101,407 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net Assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 717,098,581 | | | | 838,681,577 | | | | 2,334,765,121 | | | | 2,545,866,528 | | | |
| | |
| | | | | | |
| | End of year | | $ | 791,357,620 | | | $ | 717,098,581 | | | $ | 2,806,605,512 | | | $ | 2,334,765,121 | | | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Financial Highlights Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund |
| | |
| | | | | Class A Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.07 | | | | $ | 12.28 | | | | $ | 11.32 | | | | $ | 10.43 | | | | $ | 8.93 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.24 | (b),(c) | | | | 0.29 | | | | | 0.28 | | | | | 0.10 | | | | | 0.18 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.76 | | | | | (2.18 | ) | | | | 1.07 | | | | | 0.92 | | | | | 1.49 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.00 | | | | | (1.89 | ) | | | | 1.35 | | | | | 1.02 | | | | | 1.67 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.23 | ) | | | | (0.32 | ) | | | | (0.39 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.84 | | | | $ | 10.07 | | | | $ | 12.28 | | | | $ | 11.32 | | | | $ | 10.43 | | | |
| | |
| | | | | | | |
| | Total Return(d) | | | | 19.96 | % | | | | (15.36 | )% | | | | 12.02 | % | | | | 9.75 | % | | | | 18.66 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 4,852 | | | | $ | 5,139 | | | | $ | 7,235 | | | | $ | 6,662 | | | | $ | 8,419 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.22 | % | | | | 1.22 | % | | | | 1.22 | % | | | | 1.23 | % | | | | 1.25 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.35 | % | | | | 1.32 | % | | | | 1.33 | % | | | | 1.36 | % | | | | 1.37 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.15 | %(b),(c) | | | | 2.74 | % | | | | 2.33 | % | | | | 1.07 | % | | | | 1.81 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 132 | % | | | | 226 | % | | | | 162 | % | | | | 177 | % | | | | 231 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets. |
| | (c) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets. |
| | (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund |
| | |
| | | | | Class C Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 9.87 | | | | $ | 12.03 | | | | $ | 11.04 | | | | $ | 10.18 | | | | $ | 8.68 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.16 | (b),(c) | | | | 0.21 | | | | | 0.20 | | | | | 0.03 | | | | | 0.12 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.72 | | | | | (2.13 | ) | | | | 1.03 | | | | | 0.88 | | | | | 1.42 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.88 | | | | | (1.92 | ) | | | | 1.23 | | | | | 0.91 | | | | | 1.54 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.24 | ) | | | | (0.24 | ) | | | | (0.05 | ) | | | | (0.04 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.60 | | | | $ | 9.87 | | | | $ | 12.03 | | | | $ | 11.04 | | | | $ | 10.18 | | | |
| | |
| | | | | | | |
| | Total Return(d) | | | | 18.98 | % | | | | (15.96 | )% | | | | 11.19 | % | | | | 8.89 | % | | | | 17.74 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 696 | | | | $ | 728 | | | | $ | 1,009 | | | | $ | 1,060 | | | | $ | 1,308 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.97 | % | | | | 1.97 | % | | | | 1.96 | % | | | | 1.98 | % | | | | 2.01 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.10 | % | | | | 2.07 | % | | | | 2.07 | % | | | | 2.11 | % | | | | 2.12 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.46 | %(b),(c) | | | | 2.01 | % | | | | 1.59 | % | | | | 0.33 | % | | | | 1.25 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 132 | % | | | | 226 | % | | | | 162 | % | | | | 177 | % | | | | 231 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets. |
| | (c) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets. |
| | (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund |
| | |
| | | | | Institutional Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.10 | | | | $ | 12.31 | | | | $ | 11.29 | | | | $ | 10.40 | | | | $ | 8.91 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.27 | (b),(c) | | | | 0.32 | | | | | 0.32 | | | | | 0.13 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.77 | | | | | (2.17 | ) | | | | 1.07 | | | | | 0.92 | | | | | 1.48 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.04 | | | | | (1.85 | ) | | | | 1.39 | | | | | 1.05 | | | | | 1.69 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.28 | ) | | | | (0.36 | ) | | | | (0.37 | ) | | | | (0.16 | ) | | | | (0.20 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.86 | | | | $ | 10.10 | | | | $ | 12.31 | | | | $ | 11.29 | | | | $ | 10.40 | | | |
| | |
| | | | | | | |
| | Total Return(d) | | | | 20.23 | % | | | | (15.02 | )% | | | | 12.42 | % | | | | 10.11 | % | | | | 19.01 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 12,638 | | | | $ | 9,934 | | | | $ | 11,247 | | | | $ | 9,998 | | | | $ | 15,783 | | | |
| | | | | | | |
| | 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 | | | | 0.99 | % | | | | 0.95 | % | | | | 0.96 | % | | | | 0.99 | % | | | | 0.99 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.45 | %(b),(c) | | | | 3.01 | % | | | | 2.65 | % | | | | 1.36 | % | | | | 2.11 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 132 | % | | | | 226 | % | | | | 162 | % | | | | 177 | % | | | | 231 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets. |
| | (c) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets. |
| | (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund |
| | |
| | | | | Investor Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.10 | | | | $ | 12.32 | | | | $ | 11.30 | | | | $ | 10.40 | | | | $ | 8.91 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.26 | (b),(c) | | | | 0.32 | | | | | 0.31 | | | | | 0.13 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.78 | | | | | (2.19 | ) | | | | 1.07 | | | | | 0.92 | | | | | 1.48 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.04 | | | | | (1.87 | ) | | | | 1.38 | | | | | 1.05 | | | | | 1.68 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.27 | ) | | | | (0.35 | ) | | | | (0.36 | ) | | | | (0.15 | ) | | | | (0.19 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.87 | | | | $ | 10.10 | | | | $ | 12.32 | | | | $ | 11.30 | | | | $ | 10.40 | | | |
| | |
| | | | | | | |
| | Total Return(d) | | | | 20.26 | % | | | | (15.15 | )% | | | | 12.31 | % | | | | 10.09 | % | | | | 18.90 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 11,560 | | | | $ | 8,699 | | | | $ | 7,290 | | | | $ | 9,085 | | | | $ | 18,290 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.97 | % | | | | 0.97 | % | | | | 0.97 | % | | | | 0.98 | % | | | | 1.00 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.10 | % | | | | 1.08 | % | | | | 1.08 | % | | | | 1.11 | % | | | | 1.12 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.33 | %(b),(c) | | | | 3.08 | % | | | | 2.58 | % | | | | 1.38 | % | | | | 2.06 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 132 | % | | | | 226 | % | | | | 162 | % | | | | 177 | % | | | | 231 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets. |
| | (c) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets. |
| | (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund |
| | |
| | | | | Class R6 Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.02 | | | | $ | 12.23 | | | | $ | 11.22 | | | | $ | 10.33 | | | | $ | 8.85 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.27 | (b),(c) | | | | 0.32 | | | | | 0.32 | | | | | 0.14 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.77 | | | | | (2.17 | ) | | | | 1.06 | | | | | 0.92 | | | | | 1.47 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.04 | | | | | (1.85 | ) | | | | 1.38 | | | | | 1.06 | | | | | 1.68 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.28 | ) | | | | (0.36 | ) | | | | (0.37 | ) | | | | (0.17 | ) | | | | (0.20 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.78 | | | | $ | 10.02 | | | | $ | 12.23 | | | | $ | 11.22 | | | | $ | 10.33 | | | |
| | |
| | | | | | | |
| | Total Return(d) | | | | 20.30 | % | | | | (15.11 | )% | | | | 12.43 | % | | | | 10.20 | % | | | | 19.05 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 692,952 | | | | $ | 630,799 | | | | $ | 730,126 | | | | $ | 640,212 | | | | $ | 660,555 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.98 | % | | | | 0.94 | % | | | | 0.95 | % | | | | 0.97 | % | | | | 0.98 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.44 | %(b),(c) | | | | 3.06 | % | | | | 2.66 | % | | | | 1.42 | % | | | | 2.12 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 132 | % | | | | 226 | % | | | | 162 | % | | | | 177 | % | | | | 231 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets. |
| | (c) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets. |
| | (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Tax-Managed Equity Fund |
| | |
| | | | | Class P Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 10.03 | | | | $ | 12.23 | | | | $ | 11.22 | | | | $ | 10.34 | | | | $ | 8.86 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.27 | (b),(c) | | | | 0.33 | | | | | 0.32 | | | | | 0.14 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.76 | | | | | (2.17 | ) | | | | 1.06 | | | | | 0.91 | | | | | 1.47 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.03 | | | | | (1.84 | ) | | | | 1.38 | | | | | 1.05 | | | | | 1.68 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.28 | ) | | | | (0.36 | ) | | | | (0.37 | ) | | | | (0.17 | ) | | | | (0.20 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 11.78 | | | | $ | 10.03 | | | | $ | 12.23 | | | | $ | 11.22 | | | | $ | 10.34 | | | |
| | |
| | | | | | | |
| | Total Return(d) | | | | 20.28 | % | | | | (15.03 | )% | | | | 12.42 | % | | | | 10.09 | % | | | | 19.02 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 68,659 | | | | $ | 61,800 | | | | $ | 81,775 | | | | $ | 68,788 | | | | $ | 67,038 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.98 | % | | | | 0.94 | % | | | | 0.95 | % | | | | 0.98 | % | | | | 0.98 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.47 | %(b),(c) | | | | 3.10 | % | | | | 2.66 | % | | | | 1.45 | % | | | | 2.15 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 132 | % | | | | 226 | % | | | | 162 | % | | | | 177 | % | | | | 231 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from special dividends which amounts to $0.04 per share and 0.34% of average net assets. |
| | (c) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.12% of average net assets. |
| | (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Class A Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 30.32 | | | | $ | 38.29 | | | | $ | 29.78 | | | | $ | 25.54 | | | | $ | 20.43 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.10 | | | | | 0.10 | | | | | 0.05 | | | | | 0.06 | | | | | 0.11 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 7.00 | | | | | (7.95 | ) | | | | 8.52 | | | | | 4.31 | | | | | 5.09 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 7.10 | | | | | (7.85 | ) | | | | 8.57 | | | | | 4.37 | | | | | 5.20 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.09 | ) | | | | (0.12 | ) | | | | (0.06 | ) | | | | (0.09 | ) | | | | (0.09 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.09 | ) | | | | (0.12 | ) | | | | (0.06 | ) | | | | (0.13 | ) | | | | (0.09 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 37.33 | | | | $ | 30.32 | | | | $ | 38.29 | | | | $ | 29.78 | | | | $ | 25.54 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 23.41 | % | | | | (20.51 | )% | | | | 28.80 | % | | | | 17.06 | % | | | | 25.48 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 87,893 | | | | $ | 90,164 | | | | $ | 111,821 | | | | $ | 75,584 | | | | $ | 68,427 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.03 | % | | | | 1.03 | % | | | | 1.06 | % | | | | 1.08 | % | | | | 1.10 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.07 | % | | | | 1.10 | % | | | | 1.11 | % | | | | 1.12 | % | | | | 1.13 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.29 | % | | | | 0.29 | % | | | | 0.16 | % | | | | 0.24 | % | | | | 0.47 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Class C Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 28.27 | | | | $ | 35.84 | | | | $ | 28.04 | | | | $ | 24.11 | | | | $ | 19.36 | | | |
| | |
| | | | | | | |
| | Net investment loss(a) | | | | (0.14 | ) | | | | (0.14 | ) | | | | (0.19 | ) | | | | (0.13 | ) | | | | (0.06 | ) | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 6.50 | | | | | (7.43 | ) | | | | 7.99 | | | | | 4.06 | | | | | 4.81 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 6.36 | | | | | (7.57 | ) | | | | 7.80 | | | | | 3.93 | | | | | 4.75 | | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 34.63 | | | | $ | 28.27 | | | | $ | 35.84 | | | | $ | 28.04 | | | | $ | 24.11 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 22.50 | % | | | | (21.12 | )% | | | | 27.82 | % | | | | 16.25 | % | | | | 24.54 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 15,604 | | | | $ | 16,096 | | | | $ | 21,720 | | | | $ | 19,502 | | | | $ | 18,341 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.78 | % | | | | 1.78 | % | | | | 1.81 | % | | | | 1.83 | % | | | | 1.85 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.82 | % | | | | 1.85 | % | | | | 1.86 | % | | | | 1.87 | % | | | | 1.88 | % | | |
| | | | | | | |
| | Ratio of net investment loss to average net assets | | | | (0.46 | )% | | | | (0.46 | )% | | | | (0.59 | )% | | | | (0.53 | )% | | | | (0.28 | )% | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Institutional Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 31.10 | | | | $ | 39.28 | | | | $ | 30.53 | | | | $ | 26.16 | | | | $ | 20.91 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.21 | | | | | 0.21 | | | | | 0.17 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 7.19 | | | | | (8.17 | ) | | | | 8.74 | | | | | 4.43 | | | | | 5.23 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 7.40 | | | | | (7.96 | ) | | | | 8.91 | | | | | 4.58 | | | | | 5.43 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.20 | ) | | | | (0.22 | ) | | | | (0.16 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.20 | ) | | | | (0.22 | ) | | | | (0.16 | ) | | | | (0.21 | ) | | | | (0.18 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 38.30 | | | | $ | 31.10 | | | | $ | 39.28 | | | | $ | 30.53 | | | | $ | 26.16 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 23.81 | % | | | | (20.26 | )% | | | | 29.23 | % | | | | 17.48 | % | | | | 25.90 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 55,767 | | | | $ | 60,342 | | | | $ | 56,035 | | | | $ | 47,997 | | | | $ | 45,718 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.71 | % | | | | 0.70 | % | | | | 0.74 | % | | | | 0.74 | % | | | | 0.74 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.71 | % | | | | 0.72 | % | | | | 0.75 | % | | | | 0.75 | % | | | | 0.75 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.62 | % | | | | 0.64 | % | | | | 0.48 | % | | | | 0.56 | % | | | | 0.83 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Service Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 30.48 | | | | $ | 38.52 | | | | $ | 29.96 | | | | $ | 25.70 | | | | $ | 20.57 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.04 | | | | | 0.04 | | | | | – | (b) | | | | 0.02 | | | | | 0.08 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 7.02 | | | | | (7.99 | ) | | | | 8.56 | | | | | 4.33 | | | | | 5.13 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 7.06 | | | | | (7.95 | ) | | | | 8.56 | | | | | 4.35 | | | | | 5.21 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.04 | ) | | | | (0.09 | ) | | | | – | (b) | | | | (0.05 | ) | | | | (0.08 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | – | | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.04 | ) | | | | (0.09 | ) | | | | – | (b) | | | | (0.09 | ) | | | | (0.08 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 37.50 | | | | $ | 30.48 | | | | $ | 38.52 | | | | $ | 29.96 | | | | $ | 25.70 | | | |
| | |
| | | | | | | |
| | Total Return(c) | | | | 23.17 | % | | | | (20.65 | )% | | | | 28.58 | % | | | | 16.87 | % | | | | 25.31 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 3,499 | | | | $ | 2,568 | | | | $ | 2,476 | | | | $ | 1,932 | | | | $ | 1,649 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.21 | % | | | | 1.22 | % | | | | 1.23 | % | | | | 1.24 | % | | | | 1.24 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.21 | % | | | | 1.25 | % | | | | 1.24 | % | | | | 1.25 | % | | | | 1.25 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.12 | % | | | | 0.13 | % | | | | 0.01 | % | | | | 0.08 | % | | | | 0.33 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Amount is less than $0.005 per share. |
| | (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Investor Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 30.83 | | | | $ | 38.93 | | | | $ | 30.26 | | | | $ | 25.93 | | | | $ | 20.73 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.19 | | | | | 0.18 | | | | | 0.14 | | | | | 0.12 | | | | | 0.17 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 7.12 | | | | | (8.09 | ) | | | | 8.67 | | | | | 4.40 | | | | | 5.18 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 7.31 | | | | | (7.91 | ) | | | | 8.81 | | | | | 4.52 | | | | | 5.35 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.18 | ) | | | | (0.19 | ) | | | | (0.14 | ) | | | | (0.15 | ) | | | | (0.15 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.18 | ) | | | | (0.19 | ) | | | | (0.14 | ) | | | | (0.19 | ) | | | | (0.15 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 37.96 | | | | $ | 30.83 | | | | $ | 38.93 | | | | $ | 30.26 | | | | $ | 25.93 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 23.71 | % | | | | (20.31 | )% | | | | 29.13 | % | | | | 17.38 | % | | | | 25.82 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 19,127 | | | | $ | 15,645 | | | | $ | 20,599 | | | | $ | 15,938 | | | | $ | 21,591 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.78 | % | | | | 0.78 | % | | | | 0.82 | % | | | | 0.83 | % | | | | 0.85 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.82 | % | | | | 0.85 | % | | | | 0.87 | % | | | | 0.87 | % | | | | 0.88 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.54 | % | | | | 0.54 | % | | | | 0.40 | % | | | | 0.46 | % | | | | 0.72 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Class R6 Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 30.82 | | | | $ | 38.93 | | | | $ | 30.26 | | | | $ | 25.93 | | | | $ | 20.73 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.21 | | | | | 0.21 | | | | | 0.17 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 7.14 | | | | | (8.10 | ) | | | | 8.67 | | | | | 4.40 | | | | | 5.18 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 7.35 | | | | | (7.89 | ) | | | | 8.84 | | | | | 4.55 | | | | | 5.38 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.21 | ) | | | | (0.22 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | | | (0.18 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.21 | ) | | | | (0.22 | ) | | | | (0.17 | ) | | | | (0.22 | ) | | | | (0.18 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 37.96 | | | | $ | 30.82 | | | | $ | 38.93 | | | | $ | 30.26 | | | | $ | 25.93 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 23.85 | % | | | | (20.26 | )% | | | | 29.24 | % | | | | 17.49 | % | | | | 25.96 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 2,407,118 | | | | $ | 1,975,694 | | | | $ | 2,111,315 | | | | $ | 1,536,722 | | | | $ | 1,575,990 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.70 | % | | | | 0.69 | % | | | | 0.73 | % | | | | 0.73 | % | | | | 0.73 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.70 | % | | | | 0.72 | % | | | | 0.74 | % | | | | 0.74 | % | | | | 0.74 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.63 | % | | | | 0.65 | % | | | | 0.49 | % | | | | 0.57 | % | | | | 0.84 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
|
Financial Highlights (continued) Selected Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Tax-Managed Equity Fund |
| | |
| | | | | Class P Shares |
| | |
| | | | | Year Ended December 31, |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 30.83 | | | | $ | 38.94 | | | | $ | 30.27 | | | | $ | 25.94 | | | | $ | 20.74 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.21 | | | | | 0.21 | | | | | 0.17 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 7.14 | | | | | (8.10 | ) | | | | 8.67 | | | | | 4.40 | | | | | 5.18 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 7.35 | | | | | (7.89 | ) | | | | 8.84 | | | | | 4.55 | | | | | 5.38 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.21 | ) | | | | (0.22 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | | | (0.18 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | – | | | | | – | | | | | – | | | | | (0.04 | ) | | | | – | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.21 | ) | | | | (0.22 | ) | | | | (0.17 | ) | | | | (0.22 | ) | | | | (0.18 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 37.97 | | | | $ | 30.83 | | | | $ | 38.94 | | | | $ | 30.27 | | | | $ | 25.94 | | | |
| | |
| | | | | | | |
| | Total Return(b) | | | | 23.84 | % | | | | (20.25 | )% | | | | 29.23 | % | | | | 17.48 | % | | | | 25.94 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000’s) | | | $ | 217,597 | | | | $ | 174,254 | | | | $ | 221,902 | | | | $ | 152,775 | | | | $ | 138,399 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.70 | % | | | | 0.69 | % | | | | 0.73 | % | | | | 0.73 | % | | | | 0.73 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.70 | % | | | | 0.72 | % | | | | 0.74 | % | | | | 0.74 | % | | | | 0.74 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.63 | % | | | | 0.64 | % | | | | 0.49 | % | | | | 0.59 | % | | | | 0.83 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | 184 | % | | | | 246 | % | | | | 116 | % | | | | 177 | % | | | | 205 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements December 31, 2023 |
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 Fund | | A, C, Institutional, Investor, R6 and P | | Diversified |
| | |
| U.S. Tax-Managed Equity Fund | | 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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
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 Tax-Managed Equity Fund | | Annually | | Annually |
| | |
| U.S. Tax-Managed Equity Fund | | 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 each 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
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
(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. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures 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 the Valuation Procedures 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 either due to broker/receivable for collateral on certain derivative 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,
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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 the Valuation Procedures. 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, 2023:
| | | | | | | | | | | | |
| International Tax-Managed Equity Fund | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Africa | | $ | — | | | $ | 1,944,301 | | | $ | — | |
| | | |
Asia | | | 8,457,879 | | | | 206,427,227 | | | | — | |
| | | |
Europe | | | 16,247,091 | | | | 442,733,804 | | | | — | |
| | | |
North America | | | 11,063,858 | | | | 47,398,993 | | | | — | |
| | | |
Oceania | | | 1,219,808 | | | | 39,225,419 | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 258,075 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 37,246,711 | | | $ | 737,729,744 | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Futures Contracts(b) | | $ | 48,380 | | | $ | — | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Futures Contracts(b) | | $ | (32,147 | ) | | $ | — | | | $ | — | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
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) | | | | | | | | | | | | |
| | | |
Europe | | $ | 13,121,684 | | | $ | — | | | $ | — | |
| | | |
North America | | | 2,746,146,687 | | | | — | | | | — | |
| | | |
South America | | | 13,468,938 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 2,772,737,309 | | | $ | — | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Futures Contracts(b) | | $ | 94,483 | | | $ | — | | | $ | — | |
|
| |
| | (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 (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedules of Investments.
|
|
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2023. 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:
| | | | | | | | | | | | |
| International Tax-Managed Equity Fund | | | | | | | | | | |
| | | | |
| Risk | | Statements for Assets and Liabilities | | Assets1 | | | Statements for Assets and Liabilities | | Liabilities1 | |
| | | | |
| Equity | | Variation margin on futures contracts | | $ | 48,380 | | | Variation margin on futures contracts | | $ | (32,147 | ) |
| | | |
| U.S. Tax-Managed Equity Fund | | | | | | | | | | |
| | | | |
| Risk | | Statements for Assets and Liabilities | | Assets1 | | | Statements for Assets and Liabilities | | Liabilities1 | |
| | | | |
| Equity | | Variation margin on futures contracts | | $ | 94,483 | | | | | $ | — | |
| | 1 | 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, 2023 is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the year ended December 31, 2023. 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
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | |
| International Tax-Managed Equity Fund | | | | | |
| | | |
| Risk | | Statement of Operations | | Net Realized Gain (Loss) | | | Net Change in Unrealized Gain (Loss) | |
| | | |
| Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | $ | 1,092,277 | | | $ | 203,924 | |
| |
| U.S. Tax-Managed Equity Fund | | | | | |
| | | |
| Risk | | Statement of Operations | | Net Realized Gain (Loss) | | | Net Change in Unrealized Gain (Loss) | |
| | | |
| Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | 311,486 | | | | 486,347 | |
For the year ended December 31, 2023, the relevant values for each derivative type was as follows:
| | |
| | Average number of Contracts(a) |
| |
| Fund | | Futures Contracts |
| |
| International Tax-Managed Equity Fund | | 122 |
| |
| U.S. Tax-Managed Equity Fund | | 52 |
| | (a) | 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 the Fund held such derivatives during the fiscal year ended December 31, 2023. |
|
|
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, 2023, 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^ |
|
|
| | | | | | | |
International Tax-Managed Equity Fund | | 0.85% | | 0.77% | | 0.73% | | 0.72% | | 0.71% | | 0.85% | | 0.85% |
|
|
| | | | | | | |
U.S. Tax-Managed Equity Fund | | 0.70 | | 0.63 | | 0.60 | | 0.59 | | 0.58 | | 0.65 | | 0.65 |
|
|
| | ^ | 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 U.S. Tax-Managed Equity Fund 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,
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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, 2023, GSAM waived $1,157 of the U.S. Tax-Managed Equity Fund’s management fees.
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.
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 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 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, 2023, Goldman Sachs retained the following amounts:
| | | | | | |
| | | Front End Sales Charge | | Contingent Deferred Sales Charge | |
| | | | | | |
| | |
| Fund | | Class A | | Class C | |
|
| |
| | |
International Tax-Managed Equity Fund | | $ 125 | | | $ — | |
|
| |
| | |
U.S. Tax-Managed Equity Fund | | 4,370 | | | — | |
|
| |
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: 0.15% of the average daily net assets of Class A, Class C and Investor Shares; 0.03% of the average daily net assets of
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2023, the rate for Class A, Class C, Investor and Class R Shares was 0.16%. 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 28, 2024, 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 28, 2024, 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.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Management Fee Waiver | | | Transfer Agency Waiver/Credits | | | Other Expense Reimbursements | | | Total Expense Reductions | |
|
| |
| | | | |
International Tax-Managed Equity Fund | | $ | – | | | $ | 8,035 | | | $ | 608,695 | | | $ | 616,730 | |
|
| |
| | | | |
U.S. Tax-Managed Equity Fund | | | 1,157 | | | | 47,079 | | | | — | | | | 48,236 | |
|
| |
G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 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, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2023, 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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| U.S. Tax-Managed Equity Fund | | | | | | | | | |
| | | | | | |
| Underlying Fund | | Beginning value as of December 31, 2022 | | | Purchases at Cost | | | Proceeds from Sales | | | Ending value as of December 31, 2023 | | | Shares as of December 31, 2023 | | | Dividend Income | |
|
| |
| | |
Goldman Sachs Financial Square Government Fund - Institutional Shares | | | | | | | | | |
| | | | | | |
| | $ | 151,297 | | | $ | 115,348,690 | | | $ | (115,499,987 | ) | | $ | – | | | | – | | | $ | 28,873 | |
|
| |
|
| |
As of December 31, 2023, the Goldman Sachs Global Tax-Aware Equity Portfolio was beneficial owner of 5% or more of total outstanding shares of the following Funds:
| | |
Fund | | Goldman Sachs Global Tax-Aware Equity Portfolio |
|
|
| |
International Tax-Managed Equity Fund | | 87% |
|
|
| |
U.S. Tax-Managed Equity Fund | | 86 |
|
|
|
|
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, 2023, were as follows:
| | | | | | | | | | | | |
| Fund | | Purchases | | | Sales | | | Sales In-Kind | |
|
| |
| | | |
International Tax-Managed Equity Fund | | $ | 957,954,979 | | | $ | 936,968,621 | | | $ | 64,785,003 | |
|
| |
| | | |
U.S. Tax-Managed Equity Fund | | | 4,662,695,568 | | | | 4,648,824,342 | | | | 73,035,695 | |
|
| |
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
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
7. SECURITIES LENDING (continued) |
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, 2023, 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, 2023, 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, 2023 | | | | |
| | | | | | | |
| Fund | | Earnings of GSAL Relating to Securities Loaned | | | Amounts Received by the Funds from Lending to Goldman Sachs | | | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2023 | |
|
| |
| | | |
International Tax-Managed Equity Fund | | $ | 4,329 | | | $ | 4,784 | | | $ | — | |
|
| |
The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended December 31, 2023:
| | | | | | | | | | | | | | | | |
| Fund | | Beginning value as of December 31, 2022 | | | Purchases at Cost | | | Proceeds from Sales | | | Ending value as of December 31, 2023 | |
|
| |
| | | | |
International Tax-Managed Equity Fund | | $ | 828,871 | | | $ | 16,697,746 | | | $ | (17,268,542 | ) | | $ | 258,075 | |
|
| |
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | | | | | |
| | | International Tax- Managed Equity Fund | | | U.S. Tax-Managed Equity Fund | |
|
| |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary Income | | $ | 18,160,895 | | | $ | 14,805,089 | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
8. TAX INFORMATION (continued) |
The tax character of distributions paid during the fiscal year ended December 31, 2022, was as follows:
| | | | | | | | |
| | | International Tax- Managed Equity Fund | | | U.S. Tax-Managed Equity Fund | |
|
| |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary Income | | $ | 24,916,334 | | | $ | 15,860,542 | |
| | |
Net long-term capital gains | | | — | | | | 444,433 | |
|
| |
| | |
Total distributions | | $ | 24,916,334 | | | $ | 16,304,975 | |
|
| |
As of December 31, 2023, the components of accumulated earnings (losses) on a tax-basis were as follows:
| | | | | | | | |
| | | International Tax- Managed Equity Fund | | | U.S. Tax-Managed Equity Fund | |
|
| |
| | |
Undistributed ordinary income — net | | $ | 1,274,813 | | | $ | 839,341 | |
|
| |
| | |
Capital loss carryforwards: | | | | | | | | |
| | |
Perpetual Short-Term | | | (71,003,744 | ) | | | (4,629,537) | |
|
| |
| | |
Timing differences — (Real Estate Investment Trusts and post October loss deferral) | | | — | | | | (9,064,676) | |
| | |
Unrealized gains (losses) — net | | | 142,830,458 | | | | 1,211,190,586 | |
|
| |
| | |
Total accumulated earnings (losses) — net | | $ | 73,101,527 | | | $ | 1,198,335,714 | |
|
| |
For the period ended December 31, 2023, the International Tax-Managed Equity Fund utilized $7,528,105 in Capital Loss Carryforwards.
As of December 31, 2023, 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 Fund | | | U.S. Tax-Managed Equity Fund | |
|
| |
| | |
Tax Cost | | $ | 632,389,834 | | | $ | 1,561,641,206 | |
|
| |
| | |
Gross unrealized gain | | | 146,995,925 | | | | 1,212,728,462 | |
| | |
Gross unrealized loss | | | (4,165,467 | ) | | | (1,537,876) | |
|
| |
| | |
Net unrealized gain (loss) | | $ | 142,830,458 | | | $ | 1,211,190,586 | |
|
| |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts, and differences in the tax treatment of passive foreign investment company investments and underlying fund investments.
The International Tax-Managed Equity and US Tax-Managed Equity Funds reclassified $27,221,319 and $61,698,171, respectively, from distributable earnings to paid in capital for the year ending December 31, 2023. 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 transactions.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
The Funds’ risks include, but are not limited to, the following:
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.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
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.
Management Risk — A strategy used by the Investment Adviser may fail to produce the intended results.
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.
Tax-Managed Investment Risk — Because the Investment Adviser balances investment considerations and tax considerations, the pre-tax performance of the Goldman Sachs Tax-Advantaged Global Equity Portfolio may be lower than the performance of similar funds that are not tax-managed. This is because the Investment Adviser may choose not to make certain investments that may result in taxable distributions to the Goldman Sachs Tax-Advantaged Global Equity Portfolio. Even though tax managed
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
9. OTHER RISKS (continued) |
strategies are being used, they may not reduce the amount of taxable income and capital gains distributed by the Goldman Sachs Tax-Advantaged Global Equity Portfolio to 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 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.
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W. Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
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.
|
|
13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Tax-Managed Equity Fund | |
| | | | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 39,765 | | | $ | 437,162 | | | | 79,392 | | | $ | 830,279 | |
| | | | |
Reinvestment of distributions | | | 8,191 | | | | 94,610 | | | | 16,140 | | | | 162,210 | |
| | | | |
Shares redeemed | | | (148,274 | ) | | | (1,611,524 | ) | | | (174,490 | ) | | | (1,818,871) | |
|
| |
| | | | |
| | | (100,318 | ) | | | (1,079,752 | ) | | | (78,958 | ) | | | (826,382) | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
|
| |
| | | International Tax-Managed Equity Fund | |
| | | | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 4,224 | | | $ | 46,057 | | | | 3,667 | | | $ | 37,902 | |
| | | | |
Reinvestment of distributions | | | 785 | | | | 8,889 | | | | 1,751 | | | | 17,250 | |
| | | | |
Shares redeemed | | | (18,672 | ) | | | (200,149 | ) | | | (15,530 | ) | | | (157,634) | |
|
| |
| | | | |
| | | (13,663 | ) | | | (145,203 | ) | | | (10,112 | ) | | | (102,482) | |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 186,496 | | | | 2,052,357 | | | | 164,985 | | | | 1,752,311 | |
| | | | |
Reinvestment of distributions | | | 25,151 | | | | 291,250 | | | | 34,368 | | | | 346,078 | |
| | | | |
Shares redeemed | | | (130,139 | ) | | | (1,464,199 | ) | | | (128,928 | ) | | | (1,364,822) | |
|
| |
| | | | |
| | | 81,508 | | | | 879,408 | | | | 70,425 | | | | 733,567 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 287,861 | | | | 3,183,834 | | | | 626,918 | | | | 6,852,125 | |
| | | | |
Reinvestment of distributions | | | 22,310 | | | | 258,344 | | | | 29,817 | | | | 300,562 | |
| | | | |
Shares redeemed | | | (197,230 | ) | | | (2,173,352 | ) | | | (387,470 | ) | | | (3,947,483) | |
|
| |
| | | | |
| | | 112,941 | | | | 1,268,826 | | | | 269,265 | | | | 3,205,204 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 889,773 | | | | 9,525,227 | | | | 6,465,095 | | | | 65,731,507 | |
| | | | |
Reinvestment of distributions | | | 1,385,622 | | | | 15,920,795 | | | | 2,193,553 | | | | 21,935,527 | |
| | | | |
Shares redeemed | | | (42,160 | ) | | | (464,727 | ) | | | (1,389,237 | ) | | | (15,547,544) | |
| | | | |
| Shares redeemed in connection with in-kind transactions | | | (6,310,680 | ) | | | (65,000,000 | ) | | | (4,052,691 | ) | | | (40,000,055) | |
|
| |
| | | | |
| | | (4,077,445 | ) | | | (40,018,705 | ) | | | 3,216,720 | | | | 32,119,435 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 237,205 | | | | 2,628,300 | | | | 607,521 | | | | 6,398,296 | |
| | | | |
Reinvestment of distributions | | | 137,993 | | | | 1,586,920 | | | | 215,235 | | | | 2,154,500 | |
| | | | |
Shares redeemed | | | (709,510 | ) | | | (7,792,418 | ) | | | (1,345,989 | ) | | | (13,600,614) | |
|
| |
| | | | |
| | | (334,312 | ) | | | (3,577,198 | ) | | | (523,233 | ) | | | (5,047,818) | |
|
| |
| | | | |
NET INCREASE (DECREASE) IN SHARES | | | (4,331,289 | ) | | $ | (42,672,624 | ) | | | 2,944,107 | | | $ | 30,081,524 | |
|
| |
| |
| | | U.S. Tax-Managed Equity Fund | |
| | | | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 185,487 | | | $ | 6,252,891 | | | | 414,966 | | | $ | 13,329,198 | |
| | | | |
Reinvestment of distributions | | | 5,256 | | | | 193,480 | | | | 10,768 | | | | 325,726 | |
| | | | |
Shares redeemed | | | (809,867 | ) | | | (26,316,008 | ) | | | (372,296 | ) | | | (11,726,564) | |
|
| |
| | | | |
| | | (619,124 | ) | | | (19,869,637 | ) | | | 53,438 | | | | 1,928,360 | |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 31,176 | | | | 965,454 | | | | 85,536 | | | | 2,572,479 | |
| | | | |
Shares redeemed | | | (149,896 | ) | | | (4,677,611 | ) | | | (122,269 | ) | | | (3,676,334) | |
|
| |
| | | | |
| | | (118,720 | ) | | | (3,712,157 | ) | | | (36,733 | ) | | | (1,103,855) | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
|
|
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
|
| |
| | | U.S. Tax-Managed Equity Fund | |
| | | | |
| | |
| | | For the Fiscal Year Ended December 31, 2023 | | | For the Fiscal Year Ended December 31, 2022 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 479,052 | | | $ | 15,945,500 | | | | 931,634 | | | $ | 31,212,600 | |
| | | | |
Reinvestment of distributions | | | 5,341 | | | | 201,655 | | | | 8,880 | | | | 275,453 | |
| | | | |
Shares redeemed | | | (968,545 | ) | | | (32,832,489 | ) | | | (427,054 | ) | | | (14,120,423) | |
|
| |
| | | | |
| | | (484,152 | ) | | | (16,685,334 | ) | | | 513,460 | | | | 17,367,630 | |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 17,271 | | | | 582,408 | | | | 30,211 | | | | 929,113 | |
| | | | |
Reinvestment of distributions | | | 107 | | | | 3,951 | | | | 235 | | | | 7,142 | |
| | | | |
Shares redeemed | | | (8,337 | ) | | | (281,968 | ) | | | (10,452 | ) | | | (346,170) | |
|
| |
| | | | |
| | | 9,041 | | | | 304,391 | | | | 19,994 | | | | 590,085 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 58,696 | | | | 1,953,761 | | | | 52,280 | | | | 1,759,876 | |
| | | | |
Reinvestment of distributions | | | 2,386 | | | | 89,293 | | | | 3,152 | | | | 96,929 | |
| | | | |
Shares redeemed | | | (64,681 | ) | | | (2,201,547 | ) | | | (77,086 | ) | | | (2,497,408) | |
|
| |
| | | | |
| | | (3,599 | ) | | | (158,493 | ) | | | (21,654 | ) | | | (640,603) | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,064,557 | | | | 36,406,797 | | | | 10,664,975 | | | | 345,473,590 | |
| | | | |
Reinvestment of distributions | | | 348,377 | | | | 13,036,248 | | | | 461,415 | | | | 14,183,905 | |
| | | | |
Shares redeemed | | | (11,187 | ) | | | (369,466 | ) | | | (1,266,443 | ) | | | (44,311,354) | |
| | | | |
| Shares redeemed in connection with in-kind transactions | | | (2,079,300 | ) | | | (75,750,000 | ) | | | — | | | | — | |
|
| |
| | | | |
| | | (677,553 | ) | | | (26,676,421 | ) | | | 9,859,947 | | | | 315,346,141 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 309,593 | | | | 10,549,826 | | | | 850,031 | | | | 27,962,909 | |
| | | | |
Reinvestment of distributions | | | 31,509 | | | | 1,179,388 | | | | 40,743 | | | | 1,252,858 | |
| | | | |
Shares redeemed | | | (261,503 | ) | | | (8,839,509 | ) | | | (937,999 | ) | | | (30,954,239) | |
|
| |
| | | | |
| | | 79,599 | | | | 2,889,705 | | | | (47,225 | ) | | | (1,738,472) | |
|
| |
| | | | |
NET INCREASE (DECREASE) IN SHARES | | | (1,814,508 | ) | | $ | (63,907,946 | ) | | | 10,341,227 | | | $ | 331,749,286 | |
|
| |
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, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 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
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended December 31, 2023 (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 1, 2023, through December 31, 2023, 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 7/1/23 | | Ending Account Value 12/31/23 | | Expenses Paid for the 6 months ended 12/31/23* | | Beginning Account Value 7/1/23 | | Ending Account Value 12/31/23 | | Expenses Paid for the 6 months ended 12/31/23* |
| Class A | | | | | | | | | | | | |
Actual | | $1,000.00 | | $1,069.00 | | $6.31 | | $1,000.00 | | $1,069.70 | | $5.32 |
Hypothetical 5% return | | 1,000.00 | | 1,019.11+ | | 6.16 | | 1,000.00 | | 1,020.06+ | | 5.19 |
| Class C | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,064.70 | | 10.20 | | 1,000.00 | | 1,065.50 | | 9.21 |
Hypothetical 5% return | | 1,000.00 | | 1,015.32+ | | 9.96 | | 1,000.00 | | 1,016.28+ | | 9.00 |
| Institutional | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,070.80 | | 4.70 | | 1,000.00 | | 1,071.30 | | 3.65 |
Hypothetical 5% return | | 1,000.00 | | 1,020.67+ | | 4.58 | | 1,000.00 | | 1,021.68+ | | 3.57 |
| Service | | | | | | | | | | | | |
Actual | | N/A | | N/A | | N/A | | 1,000.00 | | 1,068.70 | | 6.26 |
Hypothetical 5% return | | N/A | | N/A | | N/A | | 1,000.00 | | 1,019.16+ | | 6.11 |
| Investor | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,071.10 | | 5.01 | | 1,000.00 | | 1,071.00 | | 4.02 |
Hypothetical 5% return | | 1,000.00 | | 1,020.37+ | | 4.89 | | 1,000.00 | | 1,021.32+ | | 3.92 |
| Class R6 | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,070.50 | | 4.64 | | 1,000.00 | | 1,071.60 | | 3.60 |
Hypothetical 5% return | | 1,000.00 | | 1,020.72+ | | 4.53 | | 1,000.00 | | 1,021.73+ | | 3.52 |
| Class P | | | | | | | | | | | | |
Actual | | 1,000.00 | | 1,071.40 | | 4.65 | | 1,000.00 | | 1,071.60 | | 3.60 |
Hypothetical 5% return | | 1,000.00 | | 1,020.72+ | | 4.53 | | 1,000.00 | | 1,021.73+ | | 3.52 |
| | + | 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, 2023. 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 | | | Service | | | Investor | | | Class R6 | | | Class P | | | |
International Tax-Managed Equity Fund | | | 1.21 | % | | | 1.96 | % | | | 0.90 | % | | | N/A | | | | 0.96 | % | | | 0.89 | % | | | 0.89 | % | | |
U.S. Tax-Managed Equity Fund | | | 1.02 | | | | 1.77 | | | | 0.70 | | | | 1.20 | % | | | 0.77 | | | | 0.69 | | | | 0.69 | | | |
59
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:
| | | | |
Proposal Election of Trustees | | For | | Withheld |
| | |
Cheryl K. Beebe | | 169,452,067,796 | | 5,900,273,020 |
| | |
John G. Chou | | 173,279,757,273 | | 2,072,583,543 |
| | |
Eileen H. Dowling | | 173,287,456,218 | | 2,064,884,598 |
| | |
Lawrence Hughes | | 173,486,691,901 | | 1,865,648,915 |
| | |
John F. Killian | | 173,511,167,174 | | 1,841,173,642 |
| | |
Steven D. Krichmar | | 173,484,256,228 | | 1,868,084,588 |
| | |
Michael Latham | | 173,498,020,286 | | 1,854,320,530 |
| | |
Lawrence W. Stranghoener | | 173,455,949,165 | | 1,896,391,651 |
| | |
Paul C. Wirth | | 173,324,070,424 | | 2,028,270,391 |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications Inc. |
| | | | | |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a datadriven, digital financial platform) |
| | | | | |
Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
| | | | | |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011-Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019-2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
| | | | | | | | | | |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017-2021), Multinational Corporations (2019-2021), the Institutional Product Group (2015-2019) and Institutional Marketing (2013- 2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023 – Present) Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. |
| 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 November 30, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and 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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| | | | | | |
| | | |
| Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and Length of Time Served2 | | Principal Occupations During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary—Goldman Sachs Trust; (previously Assistant Secretary (2022));Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II; (previously Assistant Secretary (2022));and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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 Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (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, 2023. |
| 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 I — Tax Information (Unaudited)
For the fiscal year ended December 31, 2023, 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, 2023, 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 $0.3028 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 95.77%. The total amount of taxes paid by the International Tax-Managed Equity Fund to such countries was $0.0302 per share.
For the fiscal year ended December 31, 2023, 100% 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.
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 $2.54 trillion in assets under supervision as of December 31, 2023, 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 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Strategic Volatility Premium Fund |
| ∎ | 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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 TRUSTEES (continued) Gregory G. Weaver, Chair James A. McNamara Cheryl K. Beebe* Lawrence W. Stranghoener* Dwight L. Bush Paul C. Wirth Kathryn A. Cassidy *Effective January 1, 2024 John G. Chou Joaquin Delgado OFFICERS Eileen H. Dowling James A. McNamara, President Lawrence Hughes* Joseph F. DiMaria, Principal Financial Officer, John F. Killian* Principal Accounting Officer and Treasurer Steven D. Kirchmar* Robert Griffith, Secretary Michael Latham* GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent Investment Adviser Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282 The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on 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, 2023 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. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (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 data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data 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. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (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 data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data 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. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. 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 Intermediary or from Goldman Sachs & Co LLC by calling (Class A Shares or Class C Shares – 1-800-526-7384) (all other share classes – 1-800-621-2550). 2024 Goldman Sachs. All rights reserved. 356271-OTU-1967043 TAXADVAR-24
Goldman Sachs Funds Annual Report December 31, 2023 Tax-Advantaged Equity Funds II International Equity Dividend and Premium U.S. Equity Dividend and Premium
Goldman Sachs Tax-Advantaged Equity Funds II
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| ∎ | | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM |
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| ∎ | | U.S. EQUITY DIVIDEND AND PREMIUM |
TABLE OF CONTENTS
Effective January 24, 2023, open-end mutual funds and exchange traded funds will be required to provide shareholders with streamlined annual and semi-annual shareholder reports (“Tailored Shareholder Reports”). Funds will be required to prepare a separate Tailored Shareholder Report for each share class of a fund that highlights key information to investors. Other information, including financial statements, will no longer appear in a fund’s shareholder report, but will be available online, delivered free of charge upon request, and filed with the SEC on a semi-annual basis on Form N-CSR. The new requirements have a compliance date of July 24, 2024.
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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, 2023 (the “Reporting Period”), the international and U.S. equity markets recorded double-digit gains. The positive performance was driven by inflation trends and macroeconomic data, changing expectations about central bank monetary policy, interest rate volatility and geopolitical events.
International Equities
International equities rallied strongly but lagged 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 18.24%.1
International equities performed well during the first quarter of 2023 overall. Markets gained in January on the back of consensus expectations around peaking inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. China finally lifted its stringent zero-COVID policy, which increased global hopes around the resolution of supply-chain disruptions and economic recovery driven by strong domestic consumption. Several companies announced job cuts, but the overall job market remained in good shape, raising optimism around the mild impact of a potential impending global recession. February saw a pullback in international equity market performance, as market sentiment was governed by dampening expectations around potential peaking of interest rate hikes, ongoing geopolitical tensions between Russia and Ukraine, and a re-escalation of U.S./China tensions. Japan saw its highest level of inflation in 40 years. However, international equities rebounded in March, with market sentiment most influenced by speculation around the potential peaking of inflation, the slowing pace of central bank interest rate hikes and receding concerns about a global recession—all despite U.S. and European regional banking tensions.
During the second quarter of 2023, international equities gained, albeit more modestly than in the prior quarter. International equity markets recovered slightly in April from the banking turmoil that plagued March. In Europe, although manufacturing lagged, headline inflation fell sharply as energy prices fell globally. China enjoyed strong economic growth, but geopolitical concerns around U.S./China tensions continued to weaken investor sentiment toward the country. The Japanese equity market rose for the fourth consecutive month, particularly notable in light of the new Bank of Japan governor declaring a commitment to a loose monetary easing policy and famed investor Warren Buffett declaring that he planned to add to his Japanese equity investments. In May, international equities declined. Globally, high inflation rates persisted, dampening market sentiment, while sustained wage growth raised concerns around peak central bank policy rates potentially being higher than consensus expected. In the U.K., inflation hit a 31-year high. Concerns surrounding the U.S. debt ceiling also loomed over the markets during the month. International equities then rebounded in June. The Bank of England (“BoE”) hiked its interest rates more than consensus expected to combat persistent inflation, encouraging other central banks to continue policy tightening. China’s recovery-fueled momentum slowed. In Japan, import prices began to ease along with other inflation drivers.
The third quarter of 2023 was a challenging one for international equities, marked by persistent inflation, contractionary economic concerns, particularly in Europe, and further interest rate hikes. Recession fears were renewed by a steep rise in oil prices. Further, a selloff in global bond markets put increased pressure on risk assets. In Europe, concerns persisted around the contractionary effect of elevated interest rates on the economy as the European Central Bank (“ECB”) raised rates twice in the quarter. However, inflation in Europe fell to a two-year low, and the ECB suggested its September hike may be the last. The U.K. equity market gained modestly for the quarter, largely supported by its energy sector, which benefited from increased oil prices. The market also benefited from sterling, its currency, depreciating relative to the U.S. dollar. Additionally, U.K. markets showed signs of improving consumer confidence. The BoE raised rates more than consensus expected in July and once more in August before ending its run of 14 consecutive rate hikes in September. The Japanese equity market also gained modestly during the quarter, with weakness in the yen and strong domestic demand major tailwinds. In July, the Bank of Japan endorsed higher bond yields and signaled toward a potential end to negative interest rates by calendar year end. In China, lower economic growth and real estate market concerns continued to plague its equity market, despite new stimulus policies.
International equities rallied strongly in the fourth quarter of 2023, fueled by expectations of interest rate cuts in 2024 amid falling inflation numbers and a fizzling out of the “higher for longer” narrative. In Europe, equities were weak in October but then recovered to close out the year. Headline inflation in December ticked up from November; however, core inflation fell. U.K.
| 1 | All index returns are expressed in U.S. dollar terms. |
MARKET REVIEW
equities posted positive returns overall but lagged other geographies during the quarter due to sterling appreciation and a large exposure to the underperforming energy sector. Although U.K. GDP growth entered negative territory during the quarter, markets were buoyed by expectations of an ending rate hike cycle. As a result, domestic small-cap and mid-cap stocks performed especially well. The Japanese equity market similarly posted positive, albeit modest, returns for the quarter. Yen appreciation was a headwind for Japanese equities. Further, expectations of rate cuts and dovish U.S. Federal Reserve moves were positive news for Japanese equities. (Dovish suggests lower interest rates; opposite of hawkish.) The December 2023 Bank of Japan Tankan survey signaled toward improving business sentiment. However, the Bank of Japan’s December meeting, though not featuring any policy or rate changes, slightly dampened consensus expectations of an imminent end to its negative policy rates.
For the Reporting Period overall, all 11 sectors of the MSCI* EAFE Index gained, led by information technology, industrials and consumer discretionary. Consumer staples, real estate and health care were the weakest performers on the basis of total return, though still produced positive absolute returns during the Reporting Period.
From a country perspective, Italy, Ireland and Spain were the strongest constituents of the MSCI EAFE Index during the Reporting Period, based on total return. The only individual country constituents of the MSCI EAFE Index to post negative absolute returns during the Reporting Period were Hong Kong, Canada and Finland.
U.S. Equities
In a sharp reversal from 2022, the S&P 500® Index (the “S&P 500 Index”), representing the U.S. equity market, returned 26.29% during the Reporting Period, closing the 2023 calendar year with the best fourth quarter since 2003. Such strong performance, however, masked volatility and a wide range of challenges.
In the first quarter of 2023, the S&P 500 Index gained 7.53%, marking its second straight quarterly gain. Among the factors behind the market’s strength were disinflation narrative momentum, soft economic landing expectations, and a lowered bar for fourth quarter 2022 corporate earnings. (A soft landing, in economics, is a cyclical downturn that avoids recession. It typically describes attempts by central banks to raise interest rates just enough to stop an economy from overheating and experiencing high inflation, without causing a significant increase in unemployment, or a hard landing.) Following a stellar start to the year, February proved to be a setback for the disinflation path after nonfarm payrolls illustrated the largest job growth in six months, and the unemployment rate fell to a 53-year low, which pushed market forecasts for the Federal Reserve’s (“Fed”) terminal rate up. In addition, January inflation data saw their largest monthly increases since mid-2022, illustrating that more work was needed to combat inflation. While fourth quarter 2022 corporate earnings did disappoint as margins came under pressure by persistently high input costs and weaker demand, the labor market outlook appeared to be positive due to supply-chain enhancements, ongoing consumer resilience and consensus expectations for inflation pressures to diminish as 2023 progressed. Consensus forecasts for the Fed’s interest rate path took a dovish turn in March due to an abrupt banking crisis that escalated the risk of raising rates. Economic data in March also contributed to the dovish sentiment.
The S&P 500 Index returned 8.74% in the second quarter of 2023. The market’s strength was predominately driven by disinflation momentum, an upswing in soft landing expectations, consumer resilience, a better than consensus expected first quarter corporate earnings season, and persistent enthusiasm around artificial intelligence (“AI”), including the possibility for a boom in AI-related chipmakers. Growth stocks significantly outperformed their value counterparts, as mega-cap technology stocks accounted for the vast majority of the S&P 500 Index’s rally in the quarter. Inflation reached its lowest level in more than two years on the back of lower energy prices. The soft landing narrative took form with a still-tight labor market and robust housing market helping to counteract the possibility of a recession. First quarter corporate earnings metrics, though supported by a lower bar, were well above their one-year averages due to a combination of pricing power, supply-chain normalizations, cost-cutting initiatives and margin expansion. Despite U.S. equity market strength in the quarter, the implacable “higher for longer” messaging from the Fed remained an overhang. Concentrated leadership was another critical concern for investors that raised doubts about the sustainability of the U.S. equity market rally. On the geopolitical front, a slower than consensus expected economic recovery in China presented a setback for the market.
MARKET REVIEW
In the third quarter of 2023, the S&P 500 Index returned -3.27%, marking its first quarterly decline of the calendar year. The S&P 500 Index started off strong in the first two months of the quarter, reaching its year-to-date 2023 high at the end of July before a sharp pullback in September. Although economic activity remained resilient, the market declined mostly due to a pickup in soft landing concerns, surging energy prices and disinflationary pressures on corporate earnings. Concerns about a looming threat of a federal government shutdown, consumer impacts from student loan repayments resuming, and a strike against automakers by the United Auto Workers union that began in September further weighed on investor sentiment. The Fed acted in line with consensus forecasts, hiking interest rates by 25 basis points in July and keeping rates unchanged at 5.25%-5.50% in September. (A basis point is 1/100th of a percentage point.) However, the Fed’s “higher for longer” narrative appeared to gain further recognition from investors. On the earnings front, S&P 500 Index companies saw earnings decline by 4.21% in the second calendar quarter from a year earlier, marking the third consecutive quarter of negative earnings growth.
The S&P 500 Index gained 11.69% in the fourth quarter of 2023, finishing the year nearly eclipsing its all-time high. The quarter saw a broadening of market leadership following the mega-cap dominance for most of the calendar year. U.S. equity markets began the quarter with negative momentum, as investors digested a more resilient than consensus expected U.S. economy and a “higher for longer” Fed interest rate regime. The market then shifted direction in November and December. November saw the most significant easing in financial conditions of any month in more than four decades. Market sentiment took a positive turn on the back of an overall shift in tonality from Fed officials signaling potential easing of monetary policy in 2024, a gradual cooldown in economic activity while the labor market remained resilient, and a rally across U.S. Treasuries marking one of the best monthly performances on record—all underpinning soft landing and disinflation traction themes. The Fed held interest rates unchanged throughout the quarter, as growth of the U.S. economy slowed, the unemployment rate remained low despite abating job gains, and inflationary pressures continued to trend downwards. Near the end of the quarter, there was a major shift in the Fed’s policy path expectations, with the Summary of Economic Projections median dot plot signaling 75 basis points of rate cuts in 2024. (The Fed’s dot plot shows the interest rate projections of the members of the Federal Open Market Committee.) U.S. economic data provided further evidence of disinflation momentum, with November’s annualized core Consumer Price Index dropping to its lowest level since September 2021 and core Personal Consumption Expenditure Index increasing 1.9% on a six-month annualized basis, measuring below the Fed’s inflation target of 2% for the first time in more than three years. Market seasonality proved to be another tailwind to equities during the quarter, as November and December historically represent the strongest two-month period for U.S. stocks.
For the Reporting Period overall, nine of the 11 sectors in the S&P 500 Index posted positive absolute returns. Information technology was the best performing sector in the S&P 500 Index, as measured by total return, followed by communication services and consumer discretionary. The weakest performing sectors in the S&P 500 Index during the Reporting Period were utilities and energy—the only two to post negative absolute returns.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, with large-cap stocks, as measured by the Russell 1000® Index, performing best. Mid-cap stocks, as measured by the Russell Midcap® Index, and small-cap stocks, as measured by the Russell 2000® Index, followed, with these two market segments posting returns similar to each other. From a style perspective, growth-oriented stocks materially outperformed value-oriented stocks across the capitalization spectrum but most significantly within the large-cap segment of the market. (All as measured by the FTSE Russell indices.)
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.
FUND RESULTS
Goldman Sachs International Equity Dividend and Premium Fund
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Investment Objective The Fund seeks to maximize total return with an emphasis on income. |
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Equity Solutions 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, 2023 (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 15.91%, 14.99%, 16.15%, 16.13%, 16.17% and 16.14%, respectively. These returns compare to the 18.24% 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 5.72%. |
| | 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 | 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. |
| | The Fund benefited from stock selection, particularly its bias toward stocks with higher dividend yields. On a sector level, stock selection in the information technology and, to a lesser extent, the financials, health care and materials sectors added to relative performance. Stock selection in the real estate, consumer discretionary, industrials and communication services sectors detracted from relative returns during the Reporting Period. |
| 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 19.69% compared to the realized volatility of the MSCI EAFE Index of 18.08%. During the Reporting Period, the realized daily volatility of the Fund was 11.68% compared to the realized volatility of the MSCI EAFE Index of 12.77%.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 4.74% compared to 3.21% 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.) The Fund’s dividend yield served to enhance its quarterly net |
| 1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations. |
FUND RESULTS
| | income distributions. As of December 31, 2023, the Standardized 30-Day Subsidized Yield was 3.15% and the Standardized 30-Day Unsubsidized Yield was 3.00%.2 |
| 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 was helped by its overweight positions versus the MSCI* EAFE Index in Credit Agricole Group, a French international bank holding company; DISCO, a Japanese precision tools maker; and Equinor, a Norwegian state-owned energy company. The attractive dividend yield and/or risk metrics of these three stocks drove the Fund’s positioning. |
| Q | Which individual stock holdings detracted significantly from relative performance? |
| A | Compared to the MSCI EAFE Index, the Fund was hurt by overweights in Hong Kong-based Link Real Estate Investment Trust and Dutch payment company Adyen as well as by its underweight in Swiss multinational investment bank UBS Group. We chose to overweight Link Real Estate Investment Trust and Adyen largely because of their attractive dividend yields and/or risk metrics. The underweight in UBS Group was based on 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. |
*Source: MSCI
FUND BASICS
International Equity Dividend and Premium Fund
as of December 31, 2023
|
|
TOP TEN HOLDINGS AS OF 12/31/23‡ |
| | | | | | |
| | | |
Holding | | % of Net Assets | | Line of Business | | Country |
Nestle SA | | 2.6% | | Food Products | | Switzerland |
ASML Holding NV | | 2.3 | | Semiconductors & Semiconductor Equipment | | Netherlands |
Novo Nordisk AS | | 2.1 | | Pharmaceuticals | | Denmark |
LVMH Moet Hennessy Louis Vuitton SE | | 1.9 | | Textiles, Apparel & Luxury Goods | | France |
HSBC Holdings PLC | | 1.9 | | Banks | | United Kingdom |
Shell PLC | | 1.8 | | Oil, Gas & Consumable Fuels | | United Kingdom |
BHP Group Ltd. | | 1.7 | | Metals & Mining | | Australia |
Rio Tinto PLC | | 1.7 | | Metals & Mining | | United Kingdom |
Novartis AG | | 1.6 | | Pharmaceuticals | | Switzerland |
Zurich Insurance Group AG | | 1.5 | | Insurance | | Switzerland |
| | ‡ | The top 10 holdings may not be representative of the Fund’s future investments. |
|
|
FUND VS. BENCHMARK SECTOR ALLOCATION† |
As of December 31, 2023
| | † | 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 the market value. The graph does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.8% of the Fund’s net assets as of December 31, 2023. 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2023
| | | The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014, in Institutional 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, 2014 through December 31, 2023.
| | | | | | | | | | | | |
| | | | | |
| | | Average Annual Total Return through December 31, 2023* | | One Year | | Five Years | | Ten Years | | Since Inception |
| | | | | | |
| | Class A | | | | | | | | | | |
| | | Excluding sales charges | | 15.91% | | 5.52% | | 2.41% | | — | | |
| | | | | | |
| | Including sales charges | | 9.54% | | 4.34% | | 1.83% | | — | | |
| | | | |
| | | | | | |
| | Class C | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | 14.99% | | 4.73% | | 1.62% | | — | | |
| | | | | | |
| | Including contingent deferred sales charges | | 13.97% | | 4.73% | | 1.62% | | — | | |
| | | | |
| | | | | | |
| | Institutional | | 16.15% | | 5.84% | | 2.76% | | — | | |
| | | | |
| | | | | | |
| | Investor | | 16.13% | | 5.75% | | 2.63% | | — | | |
| | | | |
| | | | | | |
| | Class R6 (Commenced April 30, 2018) | | 16.17% | | 5.89% | | N/A | | 2.57% | | |
| | | | |
| | | | | | |
| | Class P (Commenced April 17, 2018) | | 16.14% | | 5.88% | | N/A | | 2.31% | | |
| | | | |
| | * | 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 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.
#Source: MSCI
FUND RESULTS
Goldman Sachs U.S. Equity Dividend and Premium Fund
December 31, 2023
|
| |
Investment Objective The Fund seeks to maximize income and total return. |
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Equity Solutions 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, 2023 (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 21.04%, 20.12%, 21.34%, 21.23%, 21.36% and 21.44%, respectively. These returns compare to the 26.29% 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 5.53%. |
| | 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 performance. In particular, the Fund was hampered by its bias toward stocks with higher dividend yields. On a sector level, investments in industrials, health care and consumer staples hurt relative results. The Fund was helped by stock selection in the utilities, materials and financials sectors. |
| | The sale of call options on the S&P 500®Index also 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 performance. |
| | Call option writing has the potential to reduce Fund volatility. Since its inception, the realized daily volatility of the Fund has been 18.18% compared to the realized volatility of the S&P 500® Index of 19.58%. During the Reporting Period, the realized daily volatility of the Fund was 11.16% compared to the realized volatility of the S&P 500® Index of 13.13%.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 Institutional Share class during the Reporting Period was 2.02% compared to 1.48% 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 |
| | 1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on Goldman Sachs Asset Management calculations. |
FUND RESULTS
| | income distributions. As of December 31, 2023, the Standardized 30-Day Subsidized Yield was 1.36% and the Standardized 30-Day Unsubsidized Yield was 1.25%.2 |
| Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
| A | The Fund was hurt by overweight positions versus the S&P 500® Index in Truist Financial, a bank holding company; Walgreens Boots Alliance, which owns pharmacy chains and several pharmaceutical manufacturing and distribution companies; and Duke Energy, an electric power and natural gas holding company. The Fund was overweight all three stocks largely because of their attractive dividend yields and/or risk metrics. |
| Q | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | Relative to the S&P 500® Index, the Fund benefited from its lack of exposure to clean energy company NextEra Energy as well as from its overweight positions in alternative investments manager Ares Management and hydrocarbon exploration company Pioneer Natural Resources. The Fund did not hold NextEra Energy mostly because of its unattractive dividend yield and/or risk metrics, while it was overweight Ares Management and Pioneer Natural Resources primarily due to 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. |
FUND BASICS
U.S. Equity Dividend and Premium Fund
as of December 31, 2023
|
|
TOP TEN HOLDINGS AS OF 12/31/23‡ |
| | | | |
Holding | | % of Net Assets | | Line of Business |
Microsoft Corp. | | 7.3% | | Software |
Apple, Inc. | | 7.1 | | Technology Hardware, Storage & Peripherals |
Alphabet, Inc. | | 3.7 | | Interactive Media & Services |
Amazon.com, Inc. | | 3.4 | | Broadline Retail |
NVIDIA Corp. | | 3.3 | | Semiconductors & Semiconductor Equipment |
Meta Platforms, Inc. | | 2.1 | | Interactive Media & Services |
Tesla, Inc. | | 1.9 | | Automobiles |
UnitedHealth Group, Inc. | | 1.3 | | Health Care Providers & Services |
Exxon Mobil Corp. | | 1.3 | | Oil, Gas & Consumable Fuels |
Broadcom, Inc. | | 1.3 | | Semiconductors & Semiconductor Equipment |
| | ‡ | The top 10 holdings may not be representative of the Fund’s future investments. |
|
|
FUND VS. BENCHMARK SECTOR ALLOCATION† |
As of December 31, 2023
| | † | 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 the market value. The graph does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.0% of the Fund’s net assets as of December 31, 2023. 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2023
| | | The following graph shows the value as of December 31, 2023, of a $1,000,000 investment made on January 1, 2014, 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. |
|
|
U.S. Equity Dividend and Premium Fund’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2014 through December 31, 2023.
| | | | | | | | | | | | |
| | | | | |
| | | Average Annual Total Return through December 31, 2023* | | One Year | | Five Years | | Ten Years | | Since Inception |
| | | | | | |
| | Class A | | | | | | | | | | |
| | Excluding sales charges | | 21.04% | | 12.31% | | 9.31% | | — | | |
| | | | | | |
| | Including sales charges | | 14.42% | | 11.04% | | 8.69% | | — | | |
| | | | |
| | | | | | |
| | Class C | | | | | | | | | | |
| | Excluding contingent deferred sales charges | | 20.12% | | 11.48% | | 8.49% | | — | | |
| | | | | | |
| | Including contingent deferred sales charges | | 18.94% | | 11.48% | | 8.49% | | — | | |
| | | | |
| | | | | | |
| | Institutional | | 21.34% | | 12.70% | | 9.71% | | — | | |
| | | | |
| | | | | | |
| | Investor | | 21.23% | | 12.60% | | 9.58% | | — | | |
| | | | |
| | | | | | |
| | Class R6 (Commenced April 30, 2018) | | 21.36% | | 12.72% | | N/A | | 10.17% | | |
| | | | |
| | | | | | |
| | Class P (Commenced April 17, 2018) | | 21.44% | | 12.71% | | N/A | | 9.70% | | |
| | | | |
| | * | 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 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.
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.
*Source: MSCI
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 100.1% | |
| |
| | Australia – 8.7% | |
| | 66,716 | | ANZ Group Holdings Ltd. (Banks) | | $ | 1,178,740 | |
| | 79,385 | | APA Group (Gas Utilities) | | | 461,984 | |
| | 34,815 | | Aurizon Holdings Ltd. (Ground Transportation) | | | 90,134 | |
| | 77,041 | | BHP Group Ltd. (Metals & Mining) | | | 2,632,076 | |
| | 36,463 | | Coles Group Ltd. (Consumer Staples Distribution & Retail) | | | 400,548 | |
| | 9,012 | | Commonwealth Bank of Australia (Banks) | | | 686,867 | |
| | 24 | | CSL Ltd. (Biotechnology) | | | 4,679 | |
| | 64,958 | | Fortescue Ltd. (Metals & Mining) | | | 1,280,799 | |
| | 177,918 | | Medibank Pvt Ltd. (Insurance) | | | 431,944 | |
| | 98,273 | | National Australia Bank Ltd. (Banks) | | | 2,053,994 | |
| | 27,915 | | Origin Energy Ltd. (Electric Utilities) | | | 161,089 | |
| | 416 | | Rio Tinto Ltd. (Metals & Mining) | | | 38,521 | |
| | 9,879 | | Sonic Healthcare Ltd. (Health Care Providers & Services) | | | 215,863 | |
| | 87,631 | | Transurban Group (Transportation Infrastructure) | | | 818,857 | |
| | 34,759 | | Wesfarmers Ltd. (Broadline Retail) | | | 1,351,740 | |
| | 19,438 | | Westpac Banking Corp. (Banks) | | | 303,281 | |
| | 57,204 | | Woodside Energy Group Ltd. (Oil, Gas & Consumable Fuels) | | | 1,207,954 | |
| | | | | | | | |
| | | | | | | 13,319,070 | |
| | | |
| |
| | Austria – 0.6% | |
| | 22,876 | | OMV AG (Oil, Gas & Consumable Fuels) | | | 1,003,632 | |
| | | |
| |
| | Belgium – 0.3% | |
| | 5,547 | | Ageas SA (Insurance) | | | 241,131 | |
| | 3,027 | | KBC Group NV (Banks) | | | 196,450 | |
| | 2,645 | | Warehouses De Pauw CVA (Industrial REITs) | | | 83,260 | |
| | | | | | | | |
| | | | | | | 520,841 | |
| | | |
| |
| | China(a) –0.1% | |
| | 50,600 | | Budweiser Brewing Co. APAC Ltd. (Beverages) | | | 94,860 | |
| | 90,400 | | ESR Group Ltd. (Real Estate Management & Development) | | | 125,019 | |
| | | | | | | | |
| | | | | | | 219,879 | |
| | | |
| |
| | Denmark – 3.0% | |
| | 157 | | AP Moller - Maersk AS Class B (Marine Transportation) | | | 282,604 | |
| | 177 | | AP Moller - Maersk AS Class A (Marine Transportation) | | | 314,403 | |
| | 4,380 | | Coloplast AS Class B (Health Care Equipment & Supplies) | | | 500,485 | |
| | 1 | | Danske Bank AS (Banks) | | | 27 | |
| | 30,996 | | Novo Nordisk AS Class B (Pharmaceuticals) | | | 3,212,151 | |
| | 2,108 | | Tryg AS (Insurance) | | | 45,875 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Denmark (continued) | |
| | 9,993 | | Vestas Wind Systems AS* (Electrical Equipment) | | $ | 316,196 | |
| | | | | | | | |
| | | | | | | 4,671,741 | |
| | | |
| |
| | Finland – 2.6% | |
| | 20,276 | | Kesko OYJ Class B (Consumer Staples Distribution & Retail) | | | 401,945 | |
| | 17,606 | | Kone OYJ Class B (Machinery) | | | 880,671 | |
| | 1,060 | | Mandatum OYJ* (Insurance) | | | 4,752 | |
| | 28,500 | | Metso OYJ (Machinery) | | | 289,329 | |
| | 647 | | Neste OYJ (Oil, Gas & Consumable Fuels) | | | 23,001 | |
| | 167,330 | | Nordea Bank Abp (Banks) | | | 2,077,300 | |
| | 4,538 | | Orion OYJ Class B (Pharmaceuticals) | | | 196,638 | |
| | 1,060 | | Sampo OYJ Class A (Insurance) | | | 46,441 | |
| | 3 | | Stora Enso OYJ Class R (Paper & Forest Products) | | | 41 | |
| | | | | | | | |
| | | | | | | 3,920,118 | |
| | | |
| |
| | France – 12.1% | |
| | 11,512 | | Amundi SA(a) (Capital Markets) | | | 785,228 | |
| | 36,191 | | AXA SA (Insurance) | | | 1,181,869 | |
| | 31,098 | | BNP Paribas SA (Banks) | | | 2,159,621 | |
| | 21,873 | | Bouygues SA (Construction & Engineering) | | | 825,251 | |
| | 1,425 | | Capgemini SE (IT Services) | | | 297,813 | |
| | 130,141 | | Credit Agricole SA (Banks) | | | 1,850,170 | |
| | 12,806 | | Danone SA (Food Products) | | | 830,834 | |
| | 9,273 | | Dassault Systemes SE (Software) | | | 453,888 | |
| | 1 | | Edenred SE (Financial Services) | | | 60 | |
| | 81,770 | | Engie SA (Multi-Utilities) | | | 1,440,484 | |
| | 18,052 | | Getlink SE (Transportation Infrastructure) | | | 330,620 | |
| | 120 | | Hermes International SCA (Textiles, Apparel & Luxury Goods) | | | 255,062 | |
| | 974 | | Kering SA (Textiles, Apparel & Luxury Goods) | | | 431,383 | |
| | 1,669 | | L’Oreal SA (Personal Products) | | | 831,997 | |
| | 3,617 | | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | | | 2,938,946 | |
| | 14,431 | | Orange SA (Diversified Telecommunication Services) | | | 164,816 | |
| | 3,671 | | Pernod Ricard SA (Beverages) | | | 648,746 | |
| | 10,227 | | Sanofi SA (Pharmaceuticals) | | | 1,016,285 | |
| | 548 | | Sartorius Stedim Biotech (Life Sciences Tools & Services) | | | 145,320 | |
| | 1,743 | | Schneider Electric SE (Electrical Equipment) | | | 350,877 | |
| | 7,777 | | TotalEnergies SE (Oil, Gas & Consumable Fuels) | | | 525,193 | |
| | 8,158 | | Vinci SA (Construction & Engineering) | | | 1,026,645 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | France (continued) | |
| | 1 | | Vivendi SE (Media) | | $ | 11 | |
| | | | | | | | |
| | | | | 18,491,119 | |
| | | |
| |
| | Germany – 7.1% | |
| | 1,665 | | Allianz SE (Insurance) | | | 444,957 | |
| | 39,138 | | BASF SE (Chemicals) | | | 2,107,467 | |
| | 7,180 | | Bayer AG (Pharmaceuticals) | | | 266,406 | |
| | 1,547 | | Bayerische Motoren Werke AG (Automobiles) | | | 172,137 | |
| | 4,413 | | Bechtle AG (IT Services) | | | 221,036 | |
| | 2,013 | | Carl Zeiss Meditec AG (Health Care Equipment & Supplies) | | | 219,124 | |
| | 13,128 | | Daimler Truck Holding AG (Machinery) | | | 493,141 | |
| | 11,652 | | Deutsche Post AG (Air Freight & Logistics) | | | 576,728 | |
| | 101 | | HelloFresh SE* (Consumer Staples Distribution & Retail) | | | 1,592 | |
| | 28,382 | | Mercedes-Benz Group AG (Automobiles) | | | 1,958,296 | |
| | 1,426 | | Nemetschek SE (Software) | | | 123,113 | |
| | 357 | | Rheinmetall AG (Aerospace & Defense) | | | 113,218 | |
| | 10,338 | | SAP SE (Software) | | | 1,591,241 | |
| | 7,615 | | Siemens AG (Industrial Conglomerates) | | | 1,428,645 | |
| | 4,920 | | Siemens Healthineers AG(a) (Health Care Equipment & Supplies) | | | 285,648 | |
| | 337,545 | | Telefonica Deutschland Holding AG (Diversified Telecommunication Services) | | | 876,908 | |
| | | | | | | | |
| | | | | 10,879,657 | |
| | | |
| |
| | Hong Kong – 1.8% | |
| | 74,400 | | AIA Group Ltd. (Insurance) | | | 647,494 | |
| | 28,000 | | Galaxy Entertainment Group Ltd. (Hotels, Restaurants & Leisure) | | | 156,824 | |
| | 28,000 | | Hang Lung Properties Ltd. (Real Estate Management & Development) | | | 38,929 | |
| | 98 | | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | | | 75 | |
| | 14,596 | | Hong Kong Exchanges & Clearing Ltd. (Capital Markets) | | | 500,647 | |
| | 300 | | Jardine Matheson Holdings Ltd. (Industrial Conglomerates) | | | 12,349 | |
| | 190,784 | | Link REIT (Retail REITs) | | | 1,071,262 | |
| | 15,368 | | MTR Corp. Ltd. (Ground Transportation) | | | 59,648 | |
| | 27,245 | | Sino Land Co. Ltd. (Real Estate Management & Development) | | | 29,628 | |
| | 500 | | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | | | 5,411 | |
| | 400 | | Swire Properties Ltd. (Real Estate Management & Development) | | | 810 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Hong Kong (continued) | |
| | 16,500 | | Techtronic Industries Co. Ltd. (Machinery) | | $ | 196,599 | |
| | | | | | | | |
| | | | | 2,719,676 | |
| | | |
| |
| | Ireland – 1.1% | |
| | 23,511 | | CRH PLC (Construction Materials) | | | 1,626,021 | |
| | | |
| |
| | Israel – 0.3% | |
| | 40,263 | | Bank Hapoalim BM (Banks) | | | 361,706 | |
| | 281 | | CyberArk Software Ltd.* (Software) | | | 61,553 | |
| | 6,560 | | ICL Group Ltd. (Chemicals) | | | 32,981 | |
| | 2,950 | | Teva Pharmaceutical Industries Ltd.* (Pharmaceuticals) | | | 30,798 | |
| | 285 | | Wix.com Ltd.* (IT Services) | | | 35,061 | |
| | | | | | | | |
| | | | | 522,099 | |
| | | |
| |
| | Italy – 1.8% | |
| | 274 | | Amplifon SpA (Health Care Providers & Services) | | | 9,494 | |
| | 1,234 | | DiaSorin SpA (Health Care Equipment & Supplies) | | | 127,181 | |
| | 43,048 | | Eni SpA (Oil, Gas & Consumable Fuels) | | | 730,154 | |
| | 18,517 | | Intesa Sanpaolo SpA (Banks) | | | 54,188 | |
| | 62,695 | | Mediobanca Banca di Credito Finanziario SpA (Banks) | | | 776,902 | |
| | 10,994 | | Moncler SpA (Textiles, Apparel & Luxury Goods) | | | 676,893 | |
| | 6,836 | | Recordati Industria Chimica e Farmaceutica SpA (Pharmaceuticals) | | | 368,616 | |
| | | | | | | | |
| | | | | 2,743,428 | |
| | | |
| |
| | Japan – 21.9% | |
| | 4,800 | | Advantest Corp. (Semiconductors & Semiconductor Equipment) | | | 161,739 | |
| | 14,400 | | AGC, Inc. (Building Products) | | | 533,727 | |
| | 1,600 | | Asahi Group Holdings Ltd. (Beverages) | | | 59,578 | |
| | 4,200 | | Asahi Intecc Co. Ltd. (Health Care Equipment & Supplies) | | | 85,171 | |
| | 16,600 | | Asahi Kasei Corp. (Chemicals) | | | 122,514 | |
| | 14,200 | | Astellas Pharma, Inc. (Pharmaceuticals) | | | 168,884 | |
| | 1,700 | | BayCurrent Consulting, Inc. (Professional Services) | | | 59,510 | |
| | 22,600 | | Bridgestone Corp. (Automobile Components) | | | 933,411 | |
| | 31,600 | | Canon, Inc. (Technology Hardware, Storage & Peripherals) | | | 810,657 | |
| | 11,600 | | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals) | | | 438,229 | |
| | 1,500 | | Dai-ichi Life Holdings, Inc. (Insurance) | | | 31,819 | |
| | 16,700 | | Daiichi Sankyo Co. Ltd. (Pharmaceuticals) | | | 457,191 | |
| | | |
| | |
| 14 | | 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) | |
| | 600 | | Daikin Industries Ltd. (Building Products) | | $ | 97,332 | |
| | 1,000 | | Daito Trust Construction Co. Ltd. (Real Estate Management & Development) | | | 115,746 | |
| | 1,200 | | Daiwa House Industry Co. Ltd. (Real Estate Management & Development) | | | 36,276 | |
| | 76,200 | | Daiwa Securities Group, Inc. (Capital Markets) | | | 511,468 | |
| | 17,600 | | Denso Corp. (Automobile Components) | | | 264,217 | |
| | 1,900 | | Disco Corp. (Semiconductors & Semiconductor Equipment) | | | 469,237 | |
| | 4,800 | | Eisai Co. Ltd. (Pharmaceuticals) | | | 238,998 | |
| | 25,100 | | FANUC Corp. (Machinery) | | | 736,663 | |
| | 600 | | Fast Retailing Co. Ltd. (Specialty Retail) | | | 148,367 | |
| | 2,600 | | Fuji Electric Co. Ltd. (Electrical Equipment) | | | 111,441 | |
| | 700 | | GMO Payment Gateway, Inc. (Financial Services) | | | 48,513 | |
| | 1,300 | | Hikari Tsushin, Inc. (Industrial Conglomerates) | | | 214,850 | |
| | 1,916 | | Hirose Electric Co. Ltd. (Electronic Equipment, Instruments & Components) | | | 216,390 | |
| | 6,500 | | Hitachi Construction Machinery Co. Ltd. (Machinery) | | | 171,105 | |
| | 1,400 | | Hitachi Ltd. (Industrial Conglomerates) | | | 100,702 | |
| | 3,100 | | Hoya Corp. (Health Care Equipment & Supplies) | | | 386,071 | |
| | 2,400 | | Iida Group Holdings Co. Ltd. (Household Durables) | | | 35,847 | |
| | 20,600 | | Isuzu Motors Ltd. (Automobiles) | | | 264,085 | |
| | 33,300 | | ITOCHU Corp. (Trading Companies & Distributors) | | | 1,356,637 | |
| | 2,000 | | Japan Exchange Group, Inc. (Capital Markets) | | | 42,211 | |
| | 16,700 | | Japan Post Insurance Co. Ltd. (Insurance) | | | 296,435 | |
| | 18,000 | | Japan Tobacco, Inc. (Tobacco) | | | 464,854 | |
| | 4,400 | | JFE Holdings, Inc. (Metals & Mining) | | | 68,073 | |
| | 12,400 | | Kajima Corp. (Construction & Engineering) | | | 206,760 | |
| | 6,700 | | Kansai Electric Power Co., Inc. (Electric Utilities) | | | 88,923 | |
| | 1,700 | | Kao Corp. (Personal Products) | | | 69,879 | |
| | 800 | | Kawasaki Kisen Kaisha Ltd. (Marine Transportation) | | | 34,237 | |
| | 600 | | Keyence Corp. (Electronic Equipment, Instruments & Components) | | | 263,614 | |
| | 900 | | Kikkoman Corp. (Food Products) | | | 54,996 | |
| | 32,500 | | Kirin Holdings Co. Ltd. (Beverages) | | | 475,804 | |
| | 12,500 | | Komatsu Ltd. (Machinery) | | | 325,292 | |
| | 2,100 | | Kose Corp. (Personal Products) | | | 156,965 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Japan (continued) | |
| | 400 | | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | | $ | 105,011 | |
| | 20,600 | | Lixil Corp. (Building Products) | | | 256,774 | |
| | 9,700 | | M3, Inc. (Health Care Technology) | | | 160,072 | |
| | 900 | | Makita Corp. (Machinery) | | | 24,755 | |
| | 48,500 | | Marubeni Corp. (Trading Companies & Distributors) | | | 763,610 | |
| | 43,500 | | Mitsubishi Corp. (Trading Companies & Distributors) | | | 692,923 | |
| | 5,500 | | Mitsubishi Electric Corp. (Electrical Equipment) | | | 77,792 | |
| | 49,600 | | Mitsubishi HC Capital, Inc. (Financial Services) | | | 332,310 | |
| | 125,400 | | Mitsubishi UFJ Financial Group, Inc. (Banks) | | | 1,076,199 | |
| | 12,100 | | Mitsui & Co. Ltd. (Trading Companies & Distributors) | | | 453,313 | |
| | 11,800 | | Mitsui OSK Lines Ltd. (Marine Transportation) | | | 377,249 | |
| | 13,700 | | MS&AD Insurance Group Holdings, Inc. (Insurance) | | | 538,668 | |
| | 20,700 | | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | | | 437,432 | |
| | 400 | | NIDEC Corp. (Electrical Equipment) | | | 16,123 | |
| | 13,100 | | Nintendo Co. Ltd. (Entertainment) | | | 681,644 | |
| | 1,100 | | NIPPON EXPRESS HOLDINGS, Inc. (Air Freight & Logistics) | | | 62,414 | |
| | 1,000 | | Nippon Paint Holdings Co. Ltd. (Chemicals) | | | 8,066 | |
| | 151 | | Nippon Prologis REIT, Inc. (Industrial REITs) | | | 290,340 | |
| | 7,401 | | Nippon Steel Corp. (Metals & Mining) | | | 169,067 | |
| | 7,000 | | Nippon Yusen KK (Marine Transportation) | | | 216,185 | |
| | 400 | | Nissan Chemical Corp. (Chemicals) | | | 15,575 | |
| | 1,800 | | Nitto Denko Corp. (Chemicals) | | | 134,325 | |
| | 10,000 | | Nomura Research Institute Ltd. (IT Services) | | | 290,427 | |
| | 1,100 | | Obic Co. Ltd. (IT Services) | | | 189,260 | |
| | 300 | | Odakyu Electric Railway Co. Ltd. (Ground Transportation) | | | 4,568 | |
| | 5,100 | | Olympus Corp. (Health Care Equipment & Supplies) | | | 73,615 | |
| | 2,800 | | Open House Group Co. Ltd. (Household Durables) | | | 82,822 | |
| | 5,400 | | Otsuka Corp. (IT Services) | | | 222,237 | |
| | 34,400 | | Panasonic Holdings Corp. (Household Durables) | | | 338,757 | |
| | 12,500 | | Recruit Holdings Co. Ltd. (Professional Services) | | | 522,639 | |
| | 34,000 | | Resona Holdings, Inc. (Banks) | | | 172,357 | |
| | 13,900 | | Seiko Epson Corp. (Technology Hardware, Storage & Peripherals) | | | 207,540 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Japan (continued) | |
| | 7,600 | | Sekisui Chemical Co. Ltd. (Household Durables) | | $ | 109,311 | |
| | 31,600 | | Sekisui House Ltd. (Household Durables) | | | 700,452 | |
| | 1,600 | | Seven & i Holdings Co. Ltd. (Consumer Staples Distribution & Retail) | | | 63,279 | |
| | 3,700 | | Shimadzu Corp. (Electronic Equipment, Instruments & Components) | | | 103,167 | |
| | 19,500 | | Shin-Etsu Chemical Co. Ltd. (Chemicals) | | | 815,552 | |
| | 800 | | Shiseido Co. Ltd. (Personal Products) | | | 24,114 | |
| | 151,400 | | SoftBank Corp. (Wireless Telecommunication Services) | | | 1,886,706 | |
| | 1,200 | | SoftBank Group Corp. (Wireless Telecommunication Services) | | | 52,966 | |
| | 900 | | Sompo Holdings, Inc. (Insurance) | | | 44,036 | |
| | 7,500 | | Sony Group Corp. (Household Durables) | | | 709,746 | |
| | 2,700 | | SUMCO Corp. (Semiconductors & Semiconductor Equipment) | | | 40,390 | |
| | 11,800 | | Sumitomo Corp. (Trading Companies & Distributors) | | | 256,787 | |
| | 20,100 | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 978,062 | |
| | 600 | | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | | | 11,491 | |
| | 3,600 | | Sysmex Corp. (Health Care Equipment & Supplies) | | | 200,126 | |
| | 1,100 | | T&D Holdings, Inc. (Insurance) | | | 17,463 | |
| | 38,200 | | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | | | 1,095,501 | |
| | 3,000 | | TDK Corp. (Electronic Equipment, Instruments & Components) | | | 142,273 | |
| | 4,800 | | Tokio Marine Holdings, Inc. (Insurance) | | | 119,525 | |
| | 7,400 | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | | 1,315,275 | |
| | 300 | | Tokyo Gas Co. Ltd. (Gas Utilities) | | | 6,882 | |
| | 6,600 | | TOTO Ltd. (Building Products) | | | 173,380 | |
| | 128,100 | | Toyota Motor Corp. (Automobiles) | | | 2,347,267 | |
| | 40,500 | | USS Co. Ltd. (Specialty Retail) | | | 813,086 | |
| | 4,300 | | West Japan Railway Co. (Ground Transportation) | | | 179,174 | |
| | 100 | | Yamaha Corp. (Leisure Products) | | | 2,303 | |
| | 17,400 | | Yamaha Motor Co. Ltd. (Automobiles) | | | 154,831 | |
| | 200 | | Yamato Holdings Co. Ltd. (Air Freight & Logistics) | | | 3,691 | |
| | 900 | | Yaskawa Electric Corp. (Machinery) | | | 37,460 | |
| | 7,500 | | ZOZO, Inc. (Specialty Retail) | | | 169,268 | |
| | | | | | | | |
| | | | | | | 33,502,051 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Macau* – 0.1% | |
| | 77,600 | | Sands China Ltd. (Hotels, Restaurants & Leisure) | | $ | 227,132 | |
| | | |
| |
| | Netherlands – 4.8% | |
| | 3,522 | | Airbus SE (Aerospace & Defense) | | | 544,108 | |
| | 1 | | Akzo Nobel NV (Chemicals) | | | 83 | |
| | 414 | | Argenx SE* (Biotechnology) | | | 157,473 | |
| | 600 | | ASM International NV (Semiconductors & Semiconductor Equipment) | | | 312,285 | |
| | 4,575 | | ASML Holding NV (Semiconductors & Semiconductor Equipment) | | | 3,453,610 | |
| | 15,231 | | ASR Nederland NV (Insurance) | | | 719,511 | |
| | 1,542 | | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | | | 232,805 | |
| | 14,709 | | Ferrovial SE (Construction & Engineering) | | | 536,891 | |
| | 42 | | Heineken NV (Beverages) | | | 4,267 | |
| | 3,081 | | Koninklijke Philips NV (Health Care Equipment & Supplies) | | | 72,102 | |
| | 4,249 | | NN Group NV (Insurance) | | | 167,924 | |
| | 2,731 | | OCI NV (Chemicals) | | | 79,148 | |
| | 8,536 | | Prosus NV (Broadline Retail) | | | 254,288 | |
| | 10,222 | | Randstad NV (Professional Services) | | | 641,534 | |
| | 4,247 | | Universal Music Group NV (Entertainment) | | | 121,240 | |
| | | | | | | | |
| | | | | | | 7,297,269 | |
| | | |
| |
| | New Zealand – 1.1% | |
| | 16,592 | | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Supplies) | | | 247,443 | |
| | 36,471 | | Meridian Energy Ltd. (Independent Power and Renewable Electricity Producers) | | | 127,711 | |
| | 407,585 | | Spark New Zealand Ltd. (Diversified Telecommunication Services) | | | 1,334,652 | |
| | | | | | | | |
| | | | | | | 1,709,806 | |
| | | |
| |
| | Norway – 1.1% | |
| | 58 | | Gjensidige Forsikring ASA (Insurance) | | | 1,070 | |
| | 108,279 | | Norsk Hydro ASA (Metals & Mining) | | | 727,809 | |
| | 13,704 | | Telenor ASA (Diversified Telecommunication Services) | | | 157,274 | |
| | 20,786 | | Yara International ASA (Chemicals) | | | 738,456 | |
| | | | | | | | |
| | | | | | | 1,624,609 | |
| | | |
| |
| | Portugal – 0.1% | |
| | 9,319 | | Jeronimo Martins SGPS SA (Consumer Staples Distribution & Retail) | | | 237,173 | |
| | | |
| |
| | Singapore – 1.3% | |
| | 1,500 | | City Developments Ltd. (Real Estate Management & Development) | | | 7,553 | |
| | 28,646 | | DBS Group Holdings Ltd. (Banks) | | | 724,424 | |
| | | |
| | |
| 16 | | 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) | |
| |
| | Singapore (continued) | |
| | 27,900 | | Keppel Corp. Ltd. (Industrial Conglomerates) | | $ | 149,287 | |
| | 5,580 | | Keppel REIT (Office REITs) | | | 3,929 | |
| | 1,656 | | Sea Ltd.* (Entertainment) | | | 67,068 | |
| | 99,242 | | Seatrium Ltd.* (Machinery) | | | 8,861 | |
| | 17,600 | | Singapore Exchange Ltd. (Capital Markets) | | | 130,933 | |
| | 208,400 | | Singapore Technologies Engineering Ltd. (Aerospace & Defense) | | | 613,676 | |
| | 121,600 | | Singapore Telecommunications Ltd. (Diversified Telecommunication Services) | | | 227,636 | |
| | | | | | | | |
| | | | | 1,933,367 | |
| | | |
| |
| | Spain – 2.3% | |
| | 960 | | ACS Actividades de Construccion y Servicios SA (Construction & Engineering) | | | 42,638 | |
| | 169 | | Amadeus IT Group SA (Hotels, Restaurants & Leisure) | | | 12,138 | |
| | 65,098 | | Enagas SA (Gas Utilities) | | | 1,098,159 | |
| | 67,318 | | Endesa SA (Electric Utilities) | | | 1,373,361 | |
| | 11,487 | | Industria de Diseno Textil SA (Specialty Retail) | | | 501,225 | |
| | 117,376 | | Telefonica SA (Diversified Telecommunication Services) | | | 458,925 | |
| | | | | | | | |
| | | | | 3,486,446 | |
| | | |
| |
| | Sweden – 2.0% | |
| | 7,042 | | Atlas Copco AB Class A (Machinery) | | | 121,342 | |
| | 40,761 | | Atlas Copco AB Class B (Machinery) | | | 604,736 | |
| | 6,699 | | EQT AB (Capital Markets) | | | 189,673 | |
| | 13,850 | | H & M Hennes & Mauritz AB Class B (Specialty Retail) | | | 242,929 | |
| | 33,132 | | Nibe Industrier AB Class B (Building Products) | | | 232,667 | |
| | 6,928 | | Sagax AB Class B (Real Estate Management & Development) | | | 190,690 | |
| | 123,506 | | Tele2 AB Class B (Wireless Telecommunication Services) | | | 1,061,618 | |
| | 139,600 | | Telia Co. AB (Diversified Telecommunication Services) | | | 356,179 | |
| | | | | | | | |
| | | | | 2,999,834 | |
| | | |
| |
| | Switzerland – 11.8% | |
| | 2,250 | | ABB Ltd. (Electrical Equipment) | | | 99,896 | |
| | 13,082 | | Adecco Group AG (Professional Services) | | | 642,503 | |
| | 2,242 | | Bachem Holding AG (Life Sciences Tools & Services) | | | 173,623 | |
| | 501 | | Cie Financiere Richemont SA Class A (Textiles, Apparel & Luxury Goods) | | | 69,200 | |
| | 25,578 | | Coca-Cola HBC AG (Beverages) | | | 751,045 | |
| | 861 | | Geberit AG (Building Products) | | | 552,692 | |
| | 38,391 | | Glencore PLC (Metals & Mining) | | | 230,770 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Switzerland (continued) | |
| | 2,348 | | Kuehne & Nagel International AG (Marine Transportation) | | $ | 810,287 | |
| | 101 | | Lonza Group AG (Life Sciences Tools & Services) | | | 42,580 | |
| | 34,392 | | Nestle SA (Food Products) | | | 3,986,716 | |
| | 24,556 | | Novartis AG (Pharmaceuticals) | | | 2,480,414 | |
| | 713 | | Partners Group Holding AG (Capital Markets) | | | 1,030,962 | |
| | 5,448 | | Roche Holding AG (Pharmaceuticals) | | | 1,583,698 | |
| | 4,911 | | Sandoz Group AG* (Pharmaceuticals) | | | 158,007 | |
| | 6,900 | | SGS SA (Professional Services) | | | 595,682 | |
| | 5,513 | | SIG Group AG (Containers & Packaging) | | | 126,970 | |
| | 219 | | Sika AG (Chemicals) | | | 71,411 | |
| | 918 | | Sonova Holding AG (Health Care Equipment & Supplies) | | | 300,230 | |
| | 4,421 | | Straumann Holding AG (Health Care Equipment & Supplies) | | | 714,446 | |
| | 6,580 | | Swiss Re AG (Insurance) | | | 740,451 | |
| | 1,211 | | VAT Group AG(a) (Machinery) | | | 608,234 | |
| | 4,537 | | Zurich Insurance Group AG (Insurance) | | | 2,372,066 | |
| | | | | | | | |
| | | | | | | 18,141,883 | |
| | | |
| |
| | United Arab Emirates – 0.2% | |
| | 7,315 | | Experian PLC (Professional Services) | | | 298,418 | |
| | | |
| |
| | United Kingdom – 13.9% | |
| | 997 | | Anglo American PLC (Metals & Mining) | | | 24,952 | |
| | 1,429 | | Ashtead Group PLC (Trading Companies & Distributors) | | | 99,326 | |
| | 17,478 | | AstraZeneca PLC ADR (Pharmaceuticals) | | | 1,177,143 | |
| | 57,385 | | BAE Systems PLC (Aerospace & Defense) | | | 812,284 | |
| | 2,733 | | BP PLC ADR (Oil, Gas & Consumable Fuels) | | | 96,748 | |
| | 15,806 | | British American Tobacco PLC (Tobacco) | | | 462,471 | |
| | 4,415 | | Coca-Cola Europacific Partners PLC (Beverages) | | | 294,657 | |
| | 13,945 | | Diageo PLC (Beverages) | | | 506,136 | |
| | 74,513 | | Evraz PLC* (Metals & Mining) | | | — | |
| | 31,029 | | GSK PLC ADR (Pharmaceuticals) | | | 1,149,935 | |
| | 228,323 | | HSBC Holdings PLC(b) (Banks) | | | 2,910,836 | |
| | 21,602 | | Imperial Brands PLC (Tobacco) | | | 497,446 | |
| | 327,436 | | M&G PLC (Financial Services) | | | 926,681 | |
| | 43,746 | | National Grid PLC (Multi-Utilities) | | | 589,316 | |
| | 55,810 | | Persimmon PLC (Household Durables) | | | 986,507 | |
| | 112,066 | | Phoenix Group Holdings PLC (Insurance) | | | 763,073 | |
| | 1,916 | | Reckitt Benckiser Group PLC (Household Products) | | | 132,211 | |
| | 17,073 | | RELX PLC (Professional Services) | | | 677,351 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | United Kingdom (continued) | |
| | 1,647 | | Rentokil Initial PLC (Commerical Services & Supplies) | | $ | 47,121 | |
| | 1,416 | | Rio Tinto PLC (Metals & Mining) | | | 105,324 | |
| | 33,779 | | Rio Tinto PLC ADR (Metals & Mining) | | | 2,515,184 | |
| | 19 | | Rolls-Royce Holdings PLC* (Aerospace & Defense) | | | 72 | |
| | 15,392 | | Segro PLC (Industrial REITs) | | | 173,579 | |
| | 82,070 | | Shell PLC (Oil, Gas & Consumable Fuels) | | | 2,687,242 | |
| | 43,499 | | SSE PLC (Electric Utilities) | | | 1,026,836 | |
| | 9,344 | | St. James’s Place PLC (Capital Markets) | | | 81,296 | |
| | 55,000 | | Taylor Wimpey PLC (Household Durables) | | | 102,955 | |
| | 32,698 | | Unilever PLC (Personal Products) | | | 1,585,044 | |
| | 95,341 | | Vodafone Group PLC (Wireless Telecommunication Services) | | | 829,467 | |
| | | | | | | | |
| | | | | | | 21,261,193 | |
| | | |
| | TOTAL COMMON STOCKS (Cost $121,681,981) | | $ | 153,356,462 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Perferred Stocks – 1.5% | |
| |
| | Germany – 1.5% | |
| | Bayerische Motoren Werke AG (Automobiles) | |
| | 17,427 | | 9.483% | | $ | 1,734,035 | |
| | Sartorius AG (Life Sciences Tools & Services) | |
| | 847 | | 0.434 | | | 311,036 | |
| | Volkswagen AG (Automobiles) | |
| | 1,650 | | 7.837 | | | 203,373 | |
| | | |
| | TOTAL PREFERRED STOCKS (Cost $1,718,846) | | $ | 2,248,444 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Securities Lending Reinvestment Vehicle(c) – 0.8% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 1,285,948 | | 5.248% | | $ | 1,285,948 | |
| | (Cost $1,285,948) | |
| | | |
| | TOTAL INVESTMENTS – 102.4% (Cost $124,686,775) | | $ | 156,890,854 | |
| | | |
| | LIABILITIES IN EXCESS OF OTHER
ASSETS – (2.4)% | | | (3,653,532 | ) |
| | | |
| | NET ASSETS – 100.0% | | $ | 153,237,322 | |
| | | |
| | |
| 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. |
|
|
SECTOR ALLOCATION AS OF DECEMBER 31, 2023 |
| | | | |
| Sector | | % of Total
Market Value |
Financials | | | 19.9 | % |
Industrials | | | 16.2 | |
Consumer Discretionary | | | 12.4 | |
Health Care | | | 11.9 | |
Materials | | | 8.8 | |
Consumer Staples | | | 8.4 | |
Information Technology | | | 7.6 | |
Communication Services | | | 5.3 | |
Utilities | | | 4.1 | |
Energy | | | 4.0 | |
Real Estate | | | 1.4 | |
| | | | 100.0 | % |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2023, 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 | | 2 | | 03/15/24 | | $ | 100,305 | | | $ | (748 | ) |
|
| |
WRITTEN OPTIONS CONTRACTS—At December 31, 2023, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by
Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Nikkei 225 Index | | $ | 32,750.00 | | | | 03/08/2024 | | | | | | | | (68 | ) | | | | | | $ | (222,700,000 | ) | | | $ (663,120 | ) | | | $ (535,434 | ) | | | $(127,686 | ) |
Euro Stoxx 50 Index | | | 4,625.00 | | | | 03/15/2024 | | | | | | | | (667 | ) | | | | | | | (308,487,500 | ) | | | (489,663 | ) | | | (754,842 | ) | | | 265,179 | |
FTSE 100 Index | | | 7,725.00 | | | | 03/15/2024 | | | | | | | | (100 | ) | | | | | | | (77,250,000 | ) | | | (212,229 | ) | | | (164,267 | ) | | | (47,962 | ) |
|
| |
| | | | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | | (835 | ) | | | | | | | (608,437,500 | ) | | | $(1,365,012 | ) | | | $(1,454,543 | ) | | | $ 89,531 | |
|
| |
| | | | | | | | | |
| TOTAL | | | | | | | | | | | | | | | (835 | ) | | | | | | $ | (608,437,500 | ) | | | $(1,365,012 | ) | | | $(1,454,543 | ) | | | $ 89,531 | |
|
| |
| | | | |
| | |
| |
| 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. | | 19 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 101.4% | |
| |
| | Aerospace & Defense – 1.5% | |
| | 25,600 | | Boeing Co.* | | $ | 6,672,896 | |
| | 31,634 | | Lockheed Martin Corp. | | | 14,337,794 | |
| | 313,330 | | RTX Corp. | | | 26,363,586 | |
| | | | | | | | |
| | | | | | | 47,374,276 | |
| | | |
| |
| | Air Freight & Logistics – 0.6% | |
| | 126,998 | | United Parcel Service, Inc. | | | | |
| | | | Class B | | | 19,967,896 | |
| | | |
| |
| | Automobile Components – 0.1% | |
| | 23,300 | | Lear Corp. | | | 3,290,193 | |
| | 6,100 | | QuantumScape Corp.* | | | 42,395 | |
| | | | | | | | |
| | | | | | | 3,332,588 | |
| | | |
| |
| | Automobiles* – 1.9% | |
| | 11,500 | | Lucid Group, Inc.(a) | | | 48,415 | |
| | 238,233 | | Tesla, Inc. | | | 59,196,136 | |
| | | | | | | | |
| | | | | | | 59,244,551 | |
| | | |
| | |
| | Banks – 3.5% | | | | |
| | 441,079 | | Bank of America Corp. | | | 14,851,130 | |
| | 168,431 | | Columbia Banking System, Inc. | | | 4,493,739 | |
| | 6,300 | | Cullen/Frost Bankers, Inc. | | | 683,487 | |
| | 7,300 | | First Hawaiian, Inc. | | | 166,878 | |
| | 80,500 | | First Horizon Corp. | | | 1,139,880 | |
| | 66,000 | | FNB Corp. | | | 908,820 | |
| | 219,429 | | JPMorgan Chase & Co.(b) | | | 37,324,873 | |
| | 87,800 | | PNC Financial Services Group, Inc. | | | 13,595,830 | |
| | 339,600 | | U.S. Bancorp | | | 14,697,888 | |
| | 600 | | Webster Financial Corp. | | | 30,456 | |
| | 417,500 | | Wells Fargo & Co. | | | 20,549,350 | |
| | | | | | | | |
| | | | | | | 108,442,331 | |
| | | |
| |
| | Beverages – 1.8% | |
| | 568,300 | | Coca-Cola Co. | | | 33,489,919 | |
| | 127,882 | | PepsiCo, Inc. | | | 21,719,479 | |
| | | | | | | | |
| | | | | | | 55,209,398 | |
| | | |
| |
| | Biotechnology – 1.9% | |
| | 173,386 | | AbbVie, Inc. | | | 26,869,628 | |
| | 49,202 | | Amgen, Inc. | | | 14,171,160 | |
| | 10,307 | | Exact Sciences Corp.* | | | 762,512 | |
| | 199,394 | | Gilead Sciences, Inc. | | | 16,152,908 | |
| | 3,600 | | Mirati Therapeutics, Inc.* | | | 211,500 | |
| | 3,342 | | Natera, Inc.* | | | 209,343 | |
| | 974 | | Sarepta Therapeutics, Inc.* | | | 93,923 | |
| | | | | | | | |
| | | | | | | 58,470,974 | |
| | | |
| |
| | Broadline Retail – 3.4% | |
| | 695,068 | | Amazon.com, Inc.* | | | 105,608,632 | |
| | 918 | | MercadoLibre, Inc.* | | | 1,442,674 | |
| | 1,200 | | Nordstrom, Inc. | | | 22,140 | |
| | | | | | | | |
| | | | | | | 107,073,446 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Building Products – 0.5% | |
| | 1,800 | | Advanced Drainage Systems, Inc. | | $ | 253,152 | |
| | 250,600 | | Johnson Controls International PLC | | | 14,444,584 | |
| | 200 | | Lennox International, Inc. | | | 89,504 | |
| | | | | | | | |
| | | | | | | 14,787,240 | |
| | | |
| |
| | Capital Markets – 2.8% | |
| | 99,300 | | ARES Management Corp. Class A | | | 11,808,756 | |
| | 19,500 | | BlackRock, Inc. | | | 15,830,100 | |
| | 83,600 | | Blue Owl Capital, Inc. | | | 1,245,640 | |
| | 23,400 | | Carlyle Group, Inc. | | | 952,146 | |
| | 9,800 | | Evercore, Inc. Class A | | | 1,676,290 | |
| | 338,600 | | Franklin Resources, Inc. | | | 10,086,894 | |
| | 296,700 | | Janus Henderson Group PLC | | | 8,945,505 | |
| | 44,700 | | Jefferies Financial Group, Inc. | | | 1,806,327 | |
| | 1,138 | | LPL Financial Holdings, Inc. | | | 259,032 | |
| | 367,264 | | Morgan Stanley | | | 34,247,368 | |
| | 4,125 | | Robinhood Markets, Inc. Class A* | | | 52,552 | |
| | | | | | | | |
| | | | | | | 86,910,610 | |
| | | |
| |
| | Chemicals – 1.9% | |
| | 438,603 | | Dow, Inc. | | | 24,052,988 | |
| | 67,001 | | Huntsman Corp. | | | 1,683,735 | |
| | 35,691 | | Linde PLC | | | 14,658,651 | |
| | 182,600 | | LyondellBasell Industries NV Class A | | | 17,361,608 | |
| | | | | | | | |
| | | | | | | 57,756,982 | |
| | | |
| |
| | Commerical Services & Supplies – 0.1% | |
| | 600 | | MSA Safety, Inc. | | | 101,298 | |
| | 2,674 | | Tetra Tech, Inc. | | | 446,371 | |
| | 18,475 | | Veralto Corp. | | | 1,519,753 | |
| | 17,835 | | Vestis Corp.* | | | 377,032 | |
| | | | | | | | |
| | | | | | | 2,444,454 | |
| | | |
| |
| | Communications Equipment – 0.8% | |
| | 481,548 | | Cisco Systems, Inc. | | | 24,327,805 | |
| | | |
| |
| | Construction & Engineering – 0.0% | |
| | 50,500 | | MDU Resources Group, Inc. | | | 999,900 | |
| | 1,200 | | Valmont Industries, Inc. | | | 280,212 | |
| | | | | | | | |
| | | | | | | 1,280,112 | |
| | | |
| |
| | Consumer Finance – 0.6% | |
| | 91,336 | | American Express Co. | | | 17,110,886 | |
| | 5,600 | | OneMain Holdings, Inc. | | | 275,520 | |
| | 17,600 | | SLM Corp. | | | 336,512 | |
| | 18,700 | | SoFi Technologies, Inc.* | | | 186,065 | |
| | | | | | | | |
| | | | | | | 17,908,983 | |
| | | |
| |
| | Consumer Staples Distribution & Retail – 2.0% | |
| | 42,561 | | Costco Wholesale Corp. | | | 28,093,665 | |
| | 110,600 | | Target Corp. | | | 15,751,652 | |
| | | |
| | |
| 20 | | 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) | |
| |
| | Consumer Staples Distribution & Retail – (continued) | |
| | 112,145 | | Walmart, Inc. | | $ | 17,679,659 | |
| | | | | | | | |
| | | | | | | 61,524,976 | |
| | | |
| |
| | Containers & Packaging – 0.7% | |
| | 975,800 | | Amcor PLC | | | 9,406,712 | |
| | 60,800 | | Packaging Corp. of America | | | 9,904,928 | |
| | 44,400 | | Sonoco Products Co. | | | 2,480,628 | |
| | | | | | | | |
| | | | | | | 21,792,268 | |
| | | |
| |
| | Diversified Consumer Services – 0.0% | |
| | 19,674 | | ADT, Inc. | | | 134,177 | |
| | 24,800 | | H&R Block, Inc. | | | 1,199,576 | |
| | 4,283 | | Mister Car Wash, Inc.* | | | 37,005 | |
| | | | | | | | |
| | | | | | | 1,370,758 | |
| | | |
| |
| | Diversified REITs – 0.0% | |
| | 7,100 | | WP Carey, Inc. | | | 460,151 | |
| | | |
| |
| | Diversified Telecommunication Services – 1.6% | |
| | 1,201,328 | | AT&T, Inc. | | | 20,158,284 | |
| | 788,602 | | Verizon Communications, Inc.(b) | | | 29,730,295 | |
| | | | | | | | |
| | | | | | | 49,888,579 | |
| | | |
| |
| | Electric Utilities – 1.7% | |
| | 12,600 | | Avangrid, Inc. | | | 408,366 | |
| | 232,800 | | Duke Energy Corp. | | | 22,590,912 | |
| | 193,000 | | OGE Energy Corp. | | | 6,741,490 | |
| | 330,301 | | Southern Co. | | | 23,160,706 | |
| | | | | | | | |
| | | | | | | 52,901,474 | |
| | | |
| |
| | Electrical Equipment – 0.7% | |
| | 8,980 | | ChargePoint Holdings, Inc.*(a) | | | 21,013 | |
| | 68,362 | | Eaton Corp. PLC | | | 16,462,937 | |
| | 13,922 | | Hubbell, Inc. | | | 4,579,363 | |
| | 16,930 | | Plug Power, Inc.*(a) | | | 76,185 | |
| | 13,703 | | Sunrun, Inc.* | | | 268,990 | |
| | | | | | | | |
| | | | | | | 21,408,488 | |
| | | |
| |
| | Electronic Equipment, Instruments & Components – 0.1% | |
| | 69,300 | | Avnet, Inc. | | | 3,492,720 | |
| | | |
| |
| | Entertainment* – 0.6% | |
| | 1,870 | | AMC Entertainment Holdings, Inc. Class A | | | 11,444 | |
| | 36,117 | | Netflix, Inc. | | | 17,584,645 | |
| | 12,228 | | ROBLOX Corp. Class A | | | 559,064 | |
| | 5,480 | | Roku, Inc. | | | 502,297 | |
| | | | | | | | |
| | | | | | | 18,657,450 | |
| | | |
| |
| | Financial Services – 3.4% | |
| | 17,776 | | Affirm Holdings, Inc.* | | | 873,513 | |
| | 45,300 | | Apollo Global Management, Inc. | | | 4,221,507 | |
| | 77,014 | | Berkshire Hathaway, Inc. Class B* | | | 27,467,813 | |
| | | | | | | | |
| | 8,647 | | Block, Inc.* | | | 668,846 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Financial Services – (continued) | |
| | 110,700 | | Corebridge Financial, Inc. | | $ | 2,397,762 | |
| | 142,600 | | Equitable Holdings, Inc. | | | 4,748,580 | |
| | 55,627 | | Mastercard, Inc. Class A | | | 23,725,472 | |
| | 4,800 | | Shift4 Payments, Inc. Class A* | | | 356,832 | |
| | 136,841 | | Visa, Inc. Class A | | | 35,626,554 | |
| | 426,999 | | Western Union Co. | | | 5,089,828 | |
| | | | | | | | |
| | | | | | | 105,176,707 | |
| | | |
| |
| | Food Products – 0.5% | |
| | 78,000 | | Flowers Foods, Inc. | | | 1,755,780 | |
| | 340,500 | | Kraft Heinz Co. | | | 12,591,690 | |
| | | | | | | | |
| | | | | | | 14,347,470 | |
| | | |
| |
| | Ground Transportation – 0.6% | |
| | 100 | | Avis Budget Group, Inc.* | | | 17,726 | |
| | 17,300 | | Ryder System, Inc. | | | 1,990,538 | |
| | 10,500 | | Uber Technologies, Inc.* | | | 646,485 | |
| | 59,262 | | Union Pacific Corp. | | | 14,555,933 | |
| | | | | | | | |
| | | | | | | 17,210,682 | |
| | | |
| |
| | Health Care Equipment & Supplies – 2.5% | |
| | 159,206 | | Abbott Laboratories | | | 17,523,805 | |
| | 43,102 | | Intuitive Surgical, Inc.* | | | 14,540,891 | |
| | 323,253 | | Medtronic PLC | | | 26,629,582 | |
| | 10,738 | | Novocure Ltd.* | | | 160,318 | |
| | 3,741 | | Penumbra, Inc.* | | | 941,011 | |
| | 61,140 | | Stryker Corp. | | | 18,308,985 | |
| | 4,980 | | Tandem Diabetes Care, Inc.* | | | 147,308 | |
| | | | | | | | |
| | | | | | | 78,251,900 | |
| | | |
| |
| | Health Care Providers & Services – 2.5% | |
| | 15,824 | | agilon health, Inc.* | | | 198,591 | |
| | 31,484 | | Cigna Group | | | 9,427,884 | |
| | 161,878 | | CVS Health Corp. | | | 12,781,887 | |
| | 32,600 | | Elevance Health, Inc. | | | 15,372,856 | |
| | 78,436 | | UnitedHealth Group, Inc. | | | 41,294,201 | |
| | | | | | | | |
| | | | | | | 79,075,419 | |
| | | |
| |
| | Health Care REITs – 0.5% | |
| | 6,800 | | Healthcare Realty Trust, Inc. | | | 117,164 | |
| | 5 | | Omega Healthcare Investors, Inc. | | | 153 | |
| | 169,200 | | Welltower, Inc. | | | 15,256,764 | |
| | | | | | | | |
| | | | | | | 15,374,081 | |
| | | |
| |
| | Hotels, Restaurants & Leisure – 2.1% | |
| | 35,671 | | Aramark | | | 1,002,355 | |
| | 90,100 | | Darden Restaurants, Inc. | | | 14,803,430 | |
| | 1,400 | | DoorDash, Inc. Class A* | | | 138,446 | |
| | 18,300 | | DraftKings, Inc. Class A* | | | 645,075 | |
| | 20,919 | | Hyatt Hotels Corp. Class A | | | 2,728,047 | |
| | 2,700 | | Marriott Vacations Worldwide Corp. | | | 229,203 | |
| | 80,700 | | McDonald’s Corp. | | | 23,928,357 | |
| | 222,096 | | Starbucks Corp. | | | 21,323,437 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Hotels, Restaurants & Leisure – (continued) | |
| | 8,000 | | Travel & Leisure Co. | | $ | 312,720 | |
| | 6,500 | | Vail Resorts, Inc. | | | 1,387,555 | |
| | 9,500 | | Wendy’s Co. | | | 185,060 | |
| | | | | | | | |
| | | | | | | 66,683,685 | |
| | | |
| |
| | Household Durables – 0.2% | |
| | 175,900 | | Leggett & Platt, Inc. | | | 4,603,303 | |
| | 12,600 | | Tempur Sealy International, Inc. | | | 642,222 | |
| | 200 | | TopBuild Corp.* | | | 74,852 | |
| | | | | | | | |
| | | | | | | 5,320,377 | |
| | | |
| |
| | Household Products – 1.4% | |
| | 108,198 | | Kimberly-Clark Corp. | | | 13,147,139 | |
| | 194,298 | | Procter & Gamble Co. | | | 28,472,429 | |
| | 26,100 | | Reynolds Consumer Products, Inc. | | | 700,524 | |
| | | | | | | | |
| | | | | | | 42,320,092 | |
| | | |
| |
| | Independent Power and Renewable Electricity Producers – 0.0% | |
| | 1,667 | | Vistra Corp. | | | 64,213 | |
| | | |
| |
| | Industrial Conglomerates – 1.3% | |
| | 228,368 | | 3M Co. | | | 24,965,190 | |
| | 71,200 | | Honeywell International, Inc. | | | 14,931,352 | |
| | | | | | | | |
| | | | | | | 39,896,542 | |
| | | |
| |
| | Industrial REITs – 1.0% | |
| | 9,200 | | First Industrial Realty Trust, Inc. | | | 484,564 | |
| | 192,200 | | Prologis, Inc. | | | 25,620,260 | |
| | 82,100 | | Rexford Industrial Realty, Inc. | | | 4,605,810 | |
| | | | | | | | |
| | | | | | | 30,710,634 | |
| | | |
| |
| | Insurance – 2.6% | |
| | 10,300 | | American Financial Group, Inc. | | | 1,224,567 | |
| | 8,800 | | Axis Capital Holdings Ltd. | | | 487,256 | |
| | 32,300 | | CNA Financial Corp. | | | 1,366,613 | |
| | 7,200 | | Erie Indemnity Co. Class A | | | 2,411,424 | |
| | 192,200 | | Fidelity National Financial, Inc. | | | 9,806,044 | |
| | 42,600 | | First American Financial Corp. | | | 2,745,144 | |
| | 3,300 | | Hanover Insurance Group, Inc. | | | 400,686 | |
| | 99,300 | | Marsh & McLennan Cos., Inc. | | | 18,814,371 | |
| | 448,106 | | Old Republic International Corp. | | | 13,174,316 | |
| | 256,100 | | Prudential Financial, Inc. | | | 26,560,131 | |
| | 8,900 | | Reinsurance Group of America, Inc. | | | 1,439,842 | |
| | 42,700 | | Unum Group | | | 1,930,894 | |
| | | | | | | | |
| | | | | | | 80,361,288 | |
| | | |
| |
| | Interactive Media & Services* – 5.8% | |
| | 165,599 | | Alphabet, Inc. Class C | | | 23,337,867 | |
| | 655,653 | | Alphabet, Inc. Class A | | | 91,588,168 | |
| | 1 | | Match Group, Inc. | | | 36 | |
| | | | | | | | |
| | 182,123 | | Meta Platforms, Inc. Class A | | | 64,464,257 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Interactive Media & Services* – (continued) | |
| | 16,100 | | Pinterest, Inc. Class A | | $ | 596,344 | |
| | 64,300 | | Snap, Inc. Class A | | | 1,088,599 | |
| | | | | | | 181,075,271 | |
| | | |
| |
| | IT Services – 1.8% | |
| | 57,439 | | Accenture PLC Class A | | | 20,155,919 | |
| | 15,800 | | Amdocs Ltd. | | | 1,388,662 | |
| | 27,700 | | Cloudflare, Inc. Class A* | | | 2,306,302 | |
| | 148,501 | | International Business Machines Corp. | | | 24,287,339 | |
| | 3 | | Kyndryl Holdings, Inc.* | | | 62 | |
| | 7,688 | | MongoDB, Inc.* | | | 3,143,239 | |
| | 11,526 | | Okta, Inc.* | | | 1,043,449 | |
| | 15,200 | | Snowflake, Inc. Class A* | | | 3,024,800 | |
| | 10,000 | | Twilio, Inc. Class A* | | | 758,700 | |
| | | | | | | | |
| | | | | | | 56,108,472 | |
| | | |
| |
| | Leisure Products – 0.0% | |
| | 9,300 | | Brunswick Corp. | | | 899,775 | |
| | 25,500 | | Peloton Interactive, Inc. Class A* | | | 155,295 | |
| | | | | | | | |
| | | | | | | 1,055,070 | |
| | | |
| |
| | Life Sciences Tools & Services – 1.2% | |
| | 13,952 | | 10X Genomics, Inc. Class A* | | | 780,754 | |
| | 7,981 | | Azenta, Inc.* | | | 519,882 | |
| | 8,900 | | Bruker Corp. | | | 653,972 | |
| | 55,425 | | Danaher Corp. | | | 12,822,020 | |
| | 3,600 | | Maravai LifeSciences Holdings, Inc. Class A* | | | 23,580 | |
| | 21,400 | | Repligen Corp.* | | | 3,847,720 | |
| | 35,410 | | Thermo Fisher Scientific, Inc. | | | 18,795,274 | |
| | | | | | | | |
| | | | | | | 37,443,202 | |
| | | |
| |
| | Machinery – 1.5% | |
| | 59,305 | | Caterpillar, Inc. | | | 17,534,709 | |
| | 7,000 | | Flowserve Corp. | | | 288,540 | |
| | 111,750 | | Illinois Tool Works, Inc. | | | 29,271,795 | |
| | 1,600 | | Lincoln Electric Holdings, Inc. | | | 347,936 | |
| | | | | | | | |
| | | | | | | 47,442,980 | |
| | | |
| |
| | Media – 1.5% | |
| | 403,919 | | Comcast Corp. Class A | | | 17,711,848 | |
| | 409,500 | | Interpublic Group of Cos., Inc. | | | 13,366,080 | |
| | 162,600 | | Omnicom Group, Inc. | | | 14,066,526 | |
| | 3,500 | | Trade Desk, Inc. Class A* | | | 251,860 | |
| | | | | | | | |
| | | | | | | 45,396,314 | |
| | | |
| |
| | Metals & Mining – 0.4% | |
| | 59,400 | | Newmont Corp. | | | 2,458,566 | |
| | 126,300 | | Southern Copper Corp. | | | 10,870,641 | |
| | 12,600 | | SSR Mining, Inc. | | | 135,576 | |
| | | | | | | | |
| | | | | | | 13,464,783 | |
| | | |
| | |
| 22 | | 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) | |
| |
| | Multi-Utilities – 0.8% | |
| | 306,097 | | Dominion Energy, Inc. | | $ | 14,386,559 | |
| | 169,500 | | Public Service Enterprise Group, Inc. | | | 10,364,925 | |
| | | | | | | | |
| | | | | | | 24,751,484 | |
| | | |
| |
| | Office REITs – 0.0% | |
| | 473 | | NET Lease Office Properties | | | 8,741 | |
| | | |
| |
| | Oil, Gas & Consumable Fuels – 4.1% | |
| | 12,400 | | Chesapeake Energy Corp. | | | 954,056 | |
| | 175,398 | | Chevron Corp. | | | 26,162,366 | |
| | 5,200 | | DT Midstream, Inc. | | | 284,960 | |
| | 404,319 | | Exxon Mobil Corp.(b) | | | 40,423,813 | |
| | 1,425,000 | | Kinder Morgan, Inc. | | | 25,137,000 | |
| | 168,800 | | ONEOK, Inc. | | | 11,853,136 | |
| | 1 | | Vitesse Energy, Inc. | | | 22 | |
| | 636,300 | | Williams Cos., Inc. | | | 22,162,329 | |
| | | | | | | | |
| | | | | | | 126,977,682 | |
| | | |
| |
| | Paper & Forest Products – 0.0% | |
| | 7 | | Sylvamo Corp. | | | 344 | |
| | | |
| |
| | Personal Products – 0.2% | |
| | 334,419 | | Kenvue, Inc. | | | 7,200,041 | |
| | | |
| |
| | Pharmaceuticals – 4.6% | |
| | 332,501 | | Bristol-Myers Squibb Co. | | | 17,060,626 | |
| | 67,739 | | Eli Lilly & Co. | | | 39,486,418 | |
| | 226,743 | | Johnson & Johnson | | | 35,539,698 | |
| | 304,653 | | Merck & Co., Inc. | | | 33,213,270 | |
| | 7 | | Organon & Co. | | | 101 | |
| | 601,399 | | Pfizer, Inc. | | | 17,314,277 | |
| | 5 | | Viatris, Inc. | | | 54 | |
| | | | | | | | |
| | | | | | | 142,614,444 | |
| | | |
| |
| | Professional Services – 1.2% | |
| | 41,885 | | Automatic Data Processing, Inc. | | | 9,757,949 | |
| | 22,333 | | Booz Allen Hamilton Holding Corp. | | | 2,856,614 | |
| | 31,800 | | ManpowerGroup, Inc. | | | 2,527,146 | |
| | 172,600 | | Paychex, Inc. | | | 20,558,386 | |
| | | | | | | | |
| | | | | | | 35,700,095 | |
| | | |
| |
| | Residential REITs – 0.2% | |
| | 189,691 | | American Homes 4 Rent Class A | | | 6,821,288 | |
| | 1,193 | | Sun Communities, Inc. | | | 159,445 | |
| | | | | | | | |
| | | | | | | 6,980,733 | |
| | | |
| |
| | Retail REITs – 0.0% | |
| | 14,300 | | Brixmor Property Group, Inc. | | | 332,761 | |
| | 8,300 | | NNN REIT, Inc. | | | 357,730 | |
| | 1 | | Realty Income Corp. | | | 57 | |
| | 6,400 | | Spirit Realty Capital, Inc. | | | 279,616 | |
| | | | | | | | |
| | | | | | | 970,164 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Semiconductors & Semiconductor Equipment – 8.9% | |
| | 144,793 | | Advanced Micro Devices, Inc.* | | $ | 21,343,936 | |
| | 80,900 | | Analog Devices, Inc. | | | 16,063,504 | |
| | 109,000 | | Applied Materials, Inc. | | | 17,665,630 | |
| | 36,190 | | Broadcom, Inc. | | | 40,397,088 | |
| | 352,209 | | Intel Corp. | | | 17,698,502 | |
| | 13,953 | | Lam Research Corp. | | | 10,928,827 | |
| | 7,200 | | Lattice Semiconductor Corp.* | | | 496,728 | |
| | 1,759 | | Marvell Technology, Inc. | | | 106,085 | |
| | 119,900 | | Microchip Technology, Inc. | | | 10,812,582 | |
| | 206,476 | | NVIDIA Corp.(b) | | | 102,251,045 | |
| | 108,097 | | QUALCOMM, Inc. | | | 15,634,069 | |
| | 129,550 | | Texas Instruments, Inc. | | | 22,083,093 | |
| | | | | | | | |
| | | | | | | 275,481,089 | |
| | | |
| |
| | Software – 10.8% | |
| | 31,773 | | Adobe, Inc.* | | | 18,955,772 | |
| | 1,000 | | Alteryx, Inc. Class A* | | | 47,160 | |
| | 1,600 | | AppLovin Corp. Class A* | | | 63,760 | |
| | 9,800 | | Atlassian Corp. Class A* | | | 2,331,028 | |
| | 8,400 | | Bill Holdings, Inc.* | | | 685,356 | |
| | 18,633 | | Confluent, Inc. Class A* | | | 436,012 | |
| | 16,600 | | Crowdstrike Holdings, Inc. Class A* | | | 4,238,312 | |
| | 24,500 | | Datadog, Inc. Class A* | | | 2,973,810 | |
| | 7,168 | | DocuSign, Inc.* | | | 426,138 | |
| | 6,000 | | Elastic NV* | | | 676,200 | |
| | 4,900 | | Five9, Inc.* | | | 385,581 | |
| | 8,400 | | HubSpot, Inc.* | | | 4,876,536 | |
| | 29,220 | | Intuit, Inc. | | | 18,263,377 | |
| | 602,925 | | Microsoft Corp. | | | 226,723,917 | |
| | 3,000 | | nCino, Inc.* | | | 100,890 | |
| | 138,342 | | Oracle Corp. | | | 14,585,397 | |
| | 54,000 | | Palantir Technologies, Inc. Class A* | | | 927,180 | |
| | 2,800 | | RingCentral, Inc. Class A* | | | 95,060 | |
| | 60,336 | | Salesforce, Inc.* | | | 15,876,815 | |
| | 14,136 | | SentinelOne, Inc. Class A* | | | 387,892 | |
| | 23,862 | | ServiceNow, Inc.* | | | 16,858,264 | |
| | 23,400 | | Smartsheet, Inc. Class A* | | | 1,118,988 | |
| | 33,972 | | Unity Software, Inc.* | | | 1,389,115 | |
| | 15,200 | | Zscaler, Inc.* | | | 3,367,712 | |
| | | | | | | | |
| | | | | | | 335,790,272 | |
| | | |
| |
| | Specialized REITs – 0.5% | |
| | 17,100 | | CubeSmart | | | 792,585 | |
| | 15,200 | | Equinix, Inc. | | | 12,241,928 | |
| | 41,400 | | Gaming & Leisure Properties, Inc. | | | 2,043,090 | |
| | 3,100 | | Rayonier, Inc. | | | 103,571 | |
| | | | | | | | |
| | | | | | | 15,181,174 | |
| | | |
| |
| | Specialty Retail – 2.2% | |
| | 6,100 | | Chewy, Inc. Class A* | | | 144,143 | |
| | 18,100 | | Dick’s Sporting Goods, Inc. | | | 2,659,795 | |
| | 5,300 | | GameStop Corp. Class A*(a) | | | 92,909 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) December 31, 2023 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Specialty Retail – (continued) | |
| | 13,400 | | Gap, Inc. | | $ | 280,194 | |
| | 99,276 | | Home Depot, Inc. | | | 34,404,098 | |
| | 61,599 | | Lowe’s Cos., Inc. | | | 13,708,857 | |
| | 9,000 | | Penske Automotive Group, Inc. | | | 1,444,590 | |
| | 147,900 | | TJX Cos., Inc. | | | 13,874,499 | |
| | 1,400 | | Wayfair, Inc. Class A* | | | 86,380 | |
| | 2,200 | | Williams-Sonoma, Inc. | | | 443,916 | |
| | | | | | | | |
| | | | | | | 67,139,381 | |
| | | |
| |
| | Technology Hardware, Storage & Peripherals – 7.2% | |
| | 1,145,459 | | Apple, Inc.(b) | | | 220,535,221 | |
| | 28,900 | | Dell Technologies, Inc. Class C | | | 2,210,850 | |
| | | | | | | | |
| | | | | | | 222,746,071 | |
| | | |
| |
| | Textiles, Apparel & Luxury Goods – 0.1% | |
| | 16,200 | | Carter’s, Inc. | | | 1,213,218 | |
| | 900 | | Deckers Outdoor Corp.* | | | 601,587 | |
| | 2 | | Kontoor Brands, Inc. | | | 125 | |
| | | | | | | 1,814,930 | |
| | | |
| |
| | Tobacco – 0.6% | |
| | 479,463 | | Altria Group, Inc. | | | 19,341,537 | |
| | | |
| |
| | Trading Companies & Distributors – 0.4% | |
| | 78,500 | | MSC Industrial Direct Co., Inc. | | | | |
| | | | Class A | | | 7,948,910 | |
| | 10,499 | | Watsco, Inc. | | | 4,498,507 | |
| | | | | | | | |
| | | | | | | 12,447,417 | |
| | | |
| | TOTAL COMMON STOCKS (Cost $2,289,602,009) | | $ | 3,147,953,291 | |
| | | |
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(c) – 1.8% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 54,916,205 | | 5.248% | | $ | 54,916,205 | |
| | (Cost $54,916,205) | | | | |
| | | |
| | | |
| |
| | Securities Lending Reinvestment Vehicle(c) – 0.0% | |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 197,500 | | 5.248% | | $ | 197,500 | |
| | (Cost $197,500) | | | | |
| | | |
| | TOTAL INVESTMENTS – 103.2% (Cost $2,344,715,714) | | $ | 3,203,066,996 | |
| | | |
| | LIABILITIES IN EXCESS OF OTHER
ASSETS – (3.2)% | | | (99,558,974 | ) |
| | | |
| | NET ASSETS – 100.0% | | $ | 3,103,508,022 | |
| | | |
| | |
| 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) | | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
| |
| (c) | | Represents an affiliated Issuer. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2023, 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 | | (126) | | 03/15/24 | | $ | (30,366,000 | ) | | $ | (358,112 | ) |
|
| |
WRITTEN OPTIONS CONTRACTS—At December 31, 2023, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | 4,290.00 | | | | 01/31/2024 | | | | (900) | | | $ | (386,100,000 | ) | | $ | (45,301,500 | ) | | $ | (9,358,200 | ) | | $ | (35,943,300 | ) |
S&P 500 Index | | | 4,640.00 | | | | 02/29/2024 | | | | (887) | | | | (411,568,000 | ) | | | (18,471,775 | ) | | | (8,518,837 | ) | | | (9,952,938 | ) |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED INDEX OPTIONS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
S&P 500 Index | | | $4,860.00 | | | | 03/28/2024 | | | | (826) | | | $ | (401,436,000 | ) | | $ | (7,599,200 | ) | | $ | (7,762,748 | ) | | $ | 163,548 | |
|
| |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | (2,613 | ) | | | (1,199,104,000 | ) | | $ | (71,372,475 | ) | | $ | (25,639,785 | ) | | $ | (45,732,690 | ) |
|
| |
| | | | | | | |
| TOTAL | | | | | | | | | | | (2,613 | ) | | $ | (1,199,104,000 | ) | | $ | (71,372,475 | ) | | $ | (25,639,785 | ) | | $ | (45,732,690 | ) |
|
| |
| | | | |
| | |
| |
| Investment Abbreviations: | | |
| | |
| PLC | | —Public Limited Company | | |
| | |
| REIT | | —Real Estate Investment Trust | | |
| |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Statements of Assets and Liabilities December 31, 2023 |
| | | | | | | | | | | | | | | | | | |
| | | | | International Equity
Dividend and Premium Fund | | | | | U.S. Equity
Dividend and Premium Fund | | | |
| | | | | |
| | Assets: | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments in unaffiliated issuers, at value (cost $123,400,827 and $2,289,602,009, respectively)(a) | | | $155,604,906 | | | | | | | | $3,147,953,291 | | | | | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 1,285,948 | | | | | | | | 197,500 | | | | | |
| | Investments in affiliated issuers, at value (cost $0 and $54,916,205, respectively) | | | — | | | | | | | | 54,916,205 | | | | | |
| | Cash | | | — | | | | | | | | 6,201,540 | | | | | |
| | Foreign currencies, at value (cost $10,581 and $0, respectively) | | | 12,249 | | | | | | | | — | | | | | |
| | Variation margin on futures contracts | | | 149 | | | | | | | | 77,201 | | | | | |
| | Receivables: | | | | | | | | | | | | | | | | |
| | Foreign tax reclaims | | | 1,257,439 | | | | | | | | — | | | | | |
| | Dividends | | | 234,135 | | | | | | | | 2,929,867 | | | | | |
| | Fund shares sold | | | 31,700 | | | | | | | | 1,896,273 | | | | | |
| | Reimbursement from investment adviser | | | 19,142 | | | | | | | | 42,199 | | | | | |
| | Securities lending income | | | 216 | | | | | | | | 301 | | | | | |
| | Investments sold | | | — | | | | | | | | 7,762,748 | | | | | |
| | Other assets | | | 41,296 | | | | | | | | 67,728 | | | | | |
| | | |
| | Total assets | | | 158,487,180 | | | | | | | | 3,222,044,853 | | | | | |
| | | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Liabilities: | | | | | | | | | | | | | | | | |
| | | | | |
| | Written option contracts, at value (premium received $1,454,543 and $25,639,785, respectively) | | | 1,365,012 | | | | | | | | 71,372,475 | | | | | |
| | Due to custodian (overdraft) | | | 37,779 | | | | | | | | — | | | | | |
| | Payables: | | | | | | | | | | | | | | | | |
| | Fund shares redeemed | | | 2,108,652 | | | | | | | | 9,734,823 | | | | | |
| | Payable upon return of securities loaned | | | 1,285,948 | | | | | | | | 197,500 | | | | | |
| | Management fees | | | 104,332 | | | | | | | | 1,674,213 | | | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 4,551 | | | | | | | | 236,136 | | | | | |
| | Investments purchased | | | — | | | | | | | | 34,828,513 | | | | | |
| | Accrued expenses | | | 343,584 | | | | | | | | 493,171 | | | | | |
| | | |
| | Total liabilities | | | 5,249,858 | | | | | | | | 118,536,831 | | | | | |
| | | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Net Assets: | | | | | | | | | | | | | | | | |
| | | | | |
| | Paid-in capital | | | 203,831,177 | | | | | | | | 2,297,486,492 | | | | | |
| | Total distributable earnings (loss) | | | (50,593,855 | ) | | | | | | | 806,021,530 | | | | | |
| | | |
| | NET ASSETS | | | $153,237,322 | | | | | | | | $3,103,508,022 | | | | | |
| | | Net Assets: | | | | | | | | | | | | | | | | |
| | | Class A | | | $ 1,667,194 | | | | | | | | $ 176,352,361 | | | | | |
| | | Class C | | | 179,687 | | | | | | | | 70,396,058 | | | | | |
| | | Institutional | | | 4,247,762 | | | | | | | | 1,325,844,107 | | | | | |
| | | Investor | | | 1,295,742 | | | | | | | | 479,420,623 | | | | | |
| | | Class R6 | | | 76,461,604 | | | | | | | | 331,528,180 | | | | | |
| | | Class P | | | 69,385,333 | | | | | | | | 719,966,693 | | | | | |
| | | Total Net Assets | | | $153,237,322 | | | | | | | | $3,103,508,022 | | | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | | | | | |
| | | Class A | | | 227,537 | | | | | | | | 11,804,640 | | | | | |
| | | Class C | | | 25,526 | | | | | | | | 4,730,814 | | | | | |
| | | Institutional | | | 592,969 | | | | | | | | 89,090,950 | | | | | |
| | | Investor | | | 181,490 | | | | | | | | 32,186,799 | | | | | |
| | | Class R6 | | | 10,676,964 | | | | | | | | 22,289,916 | | | | | |
| | | Class P | | | 9,672,608 | | | | | | | | 48,387,895 | | | | | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | | | | | | | | | |
| | | Class A | | | $7.33 | | | | | | | | $14.94 | | | | | |
| | | Class C | | | 7.04 | | | | | | | | 14.88 | | | | | |
| | | Institutional | | | 7.16 | | | | | | | | 14.88 | | | | | |
| | | Investor | | | 7.14 | | | | | | | | 14.89 | | | | | |
| | | Class R6 | | | 7.16 | | | | | | | | 14.87 | | | | | |
| | | Class P | | | 7.17 | | | | | | | | 14.88 | | | | | |
| | (a) | Includes loaned securities having a market value of $1,260,794 and $183,329, respectively. |
| | (b) | Maximum public offering price per share for Class A Shares of the International Equity Dividend and Premium and U.S. Equity Dividend and Premium Funds is $7.76 and $15.81, 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. |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Statements of Operations For the Fiscal Year Ended December 31, 2023 |
| | | | | | | | | | | | | | | | |
| | | | | International Equity
Dividend and Premium Fund | | | | | U.S. Equity
Dividend and Premium Fund | | |
| | | | | |
| | | Investment Income: | | | | | | | | | | | | | | |
| | | | | |
| | Dividends — unaffiliated issuers (net of tax withholding of $727,455 and $2,480, respectively) | | | $ 6,840,071 | | | | | | | | $ 64,163,285 | | | |
| | | | | |
| | Securities lending income, net of rebates received or paid to borrowers | | | 21,254 | | | | | | | | 30,640 | | | |
| | | | | |
| | Dividends — affiliated issuers | | | 9,330 | | | | | | | | 1,847,202 | | | |
| | |
| | | | | |
| | Total investment income | | | 6,870,655 | | | | | | | | 66,041,127 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Expenses: | | | | | | | | | | | | | | |
| | | | | |
| | Management fees | | | 1,195,651 | | | | | | | | 20,296,035 | | | |
| | | | | |
| | Professional fees | | | 110,705 | | | | | | | | 100,787 | | | |
| | | | | |
| | Registration fees | | | 82,421 | | | | | | | | 164,910 | | | |
| | | | | |
| | Custody, accounting and administrative services | | | 53,166 | | | | | | | | 166,339 | | | |
| | | | | |
| | Transfer Agency fees(a) | | | 49,096 | | | | | | | | 1,860,320 | | | |
| | | | | |
| | Printing and mailing costs | | | 27,404 | | | | | | | | 50,701 | | | |
| | | | | |
| | Trustee fees | | | 21,654 | | | | | | | | 25,454 | | | |
| | | | | |
| | Distribution and Service (12b-1) fees | | | 5,523 | | | | | | | | 952,485 | | | |
| | | | | |
| | Shareholder meeting expense | | | 948 | | | | | | | | 53,226 | | | |
| | | | | |
| | Service fees — Class C | | | 460 | | | | | | | | 181,918 | | | |
| | | | | |
| | Other | | | 15,923 | | | | | | | | 58,670 | | | |
| | |
| | | | | |
| | Total expenses | | | 1,562,951 | | | | | | | | 23,910,845 | | | |
| | |
| | | | | |
| | Less — expense reductions | | | (248,417 | ) | | | | | | | (2,143,110 | ) | | |
| | |
| | | | | |
| | Net expenses | | | 1,314,534 | | | | | | | | 21,767,735 | | | |
| | |
| | | | | |
| | NET INVESTMENT INCOME | | | 5,556,121 | | | | | | | | 44,273,392 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | | | |
| | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | | | |
| | | | | |
| | Investments — unaffiliated issuers | | | (1,195,319 | ) | | | | | | | 164,299,437 | | | |
| | | | | |
| | Futures contracts | | | 158,747 | | | | | | | | 2,854,808 | | | |
| | | | | |
| | Written options | | | (1,809,035 | ) | | | | | | | (34,840,801 | ) | | |
| | | | | |
| | Foreign currency transactions | | | (13,843 | ) | | | | | | | — | | | |
| | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | | | |
| | | | | |
| | Investments — unaffiliated issuers | | | 19,323,684 | | | | | | | | 447,005,968 | | | |
| | | | | |
| | Futures contracts | | | 92,196 | | | | | | | | (531,202 | ) | | |
| | | | | |
| | Written options | | | (336,765 | ) | | | | | | | (60,679,449 | ) | | |
| | | | | |
| | Foreign currency translation | | | 17,236 | | | | | | | | — | | | |
| | |
| | | | | |
| | Net realized and unrealized gain | | | 16,236,901 | | | | | | | | 518,108,761 | | | |
| | |
| | | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $21,793,022 | | | | | | | | $562,382,153 | | | |
| | |
| | (a) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and/or Service (12b-1) Fees | | | | | Transfer Agency Fees | |
| | | | | | | | | |
Fund | | Class A | | Class C | | | | | Class A | | | Class C | | | Institutional | | | Investor | | | Class R6 | | | Class P | |
| | | | | | | | | |
International Equity Dividend and Premium | | $ 4,144 | | $ 1,379 | | | | | | $ | 2,569 | | | $ | 286 | | | $ | 1,615 | | | $ | 2,611 | | | $ | 22,023 | | | $ | 19,992 | |
U.S. Equity Dividend and Premium | | 406,731 | | 545,754 | | | | | | | 251,860 | | | | 112,798 | | | | 496,290 | | | | 701,381 | | | | 96,885 | | | | 201,106 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Statements of Changes in Net Assets |
| | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | U.S. Equity Dividend and Premium Fund | | | |
| | | | | For the Fiscal | | For the Fiscal | | For the Fiscal | | | For the Fiscal | | | |
| | | | | Year Ended | | Year Ended | | Year Ended | | | Year Ended | | | |
| | | | | December 31, 2023 | | December 31, 2022 | | December 31, 2023 | | | December 31, 2022 | | | |
| | | | | | |
| | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | Net investment income | | | $ 5,556,121 | | | | $ 6,045,532 | | | | $ 44,273,392 | | | | $ 40,909,114 | | | |
| | | | | | |
| | Net realized gain (loss) | | | (2,859,450 | ) | | | 2,132,278 | | | | 132,313,444 | | | | 149,068,335 | | | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | 19,096,351 | | | | (26,626,375 | ) | | | 385,795,317 | | | | (647,221,180 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 21,793,022 | | | | (18,448,565 | ) | | | 562,382,153 | | | | (457,243,731 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (55,946 | ) | | | (62,268 | ) | | | (10,230,466 | ) | | | (9,916,912 | ) | | |
| | | | | | |
| | Class C Shares | | | (4,551 | ) | | | (6,815 | ) | | | (3,823,808 | ) | | | (4,274,456 | ) | | |
| | | | | | |
| | Institutional Shares | | | (149,250 | ) | | | (148,489 | ) | | | (82,636,462 | ) | | | (76,955,281 | ) | | |
| | | | | | |
| | Investor Shares | | | (62,461 | ) | | | (74,939 | ) | | | (29,462,340 | ) | | | (28,036,804 | ) | | |
| | | | | | |
| | Class R6 Shares | | | (2,764,257 | ) | | | (2,968,445 | ) | | | (21,084,084 | ) | | | (21,283,391 | ) | | |
| | | | | | |
| | Class P Shares | | | (2,477,888 | ) | | | (2,608,753 | ) | | | (44,762,329 | ) | | | (40,415,122 | ) | | |
| | | | | | |
| | Return of capital: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | — | | | | (8,180 | ) | | | (52,807 | ) | | | — | | | |
| | | | | | |
| | Class C Shares | | | — | | | | (895 | ) | | | (19,738 | ) | | | — | | | |
| | | | | | |
| | Institutional Shares | | | — | | | | (19,506 | ) | | | (426,552 | ) | | | — | | | |
| | | | | | |
| | Investor Shares | | | — | | | | (9,844 | ) | | | (152,078 | ) | | | — | | | |
| | | | | | |
| | Class R6 Shares | | | — | | | | (389,942 | ) | | | (108,831 | ) | | | — | | | |
| | | | | | |
| | Class P Shares | | | — | | | | (342,692 | ) | | | (231,054 | ) | | | — | | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (5,514,353 | ) | | | (6,640,768 | ) | | | (192,990,549 | ) | | | (180,881,966 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 5,148,304 | | | | 14,582,923 | | | | 495,139,027 | | | | 648,905,775 | | | |
| | | | | | |
| | Reinvestment of distributions | | | 5,459,522 | | | | 6,561,948 | | | | 178,721,417 | | | | 164,922,109 | | | |
| | | | | | |
| | Cost of shares redeemed | | | (14,095,448 | ) | | | (40,689,520 | ) | | | (605,486,154 | ) | | | (646,012,765 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (3,487,622 | ) | | | (19,544,649 | ) | | | 68,374,290 | | | | 167,815,119 | | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 12,791,047 | | | | (44,633,982 | ) | | | 437,765,894 | | | | (470,310,578 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 140,446,275 | | | | 185,080,257 | | | | 2,665,742,128 | | | | 3,136,052,706 | | | |
| | |
| | | | | | |
| | End of year | | | $153,237,322 | | | | $140,446,275 | | | | $3,103,508,022 | | | | $2,665,742,128 | | | |
| | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of period | | | $ | 6.55 | | | | $ | 7.59 | | | | $ | 7.16 | | | | $ | 7.28 | | | | $ | 6.55 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.24 | (b) | | | | 0.24 | | | | | 0.21 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.77 | | | | | (1.02 | ) | | | | 0.42 | | | | | (0.11 | ) | | | | 0.73 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.01 | | | | | (0.78 | ) | | | | 0.63 | | | | | 0.04 | | | | | 0.93 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.23 | ) | | | | (0.23 | ) | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.20 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.23 | ) | | | | (0.26 | ) | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.20 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.33 | | | | $ | 6.55 | | | | $ | 7.59 | | | | $ | 7.16 | | | | $ | 7.28 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 15.91 | % | | | | (10.29 | )% | | | | 8.94 | % | | | | 0.93 | % | | | | 14.42 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,667 | | | | $ | 1,576 | | | | $ | 2,170 | | | | $ | 2,050 | | | | $ | 2,424 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.21 | % | | | | 1.23 | % | | | | 1.23 | % | | | | 1.27 | % | | | | 1.33 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.43 | % | | | | 1.58 | % | | | | 1.39 | % | | | | 1.48 | % | | | | 1.44 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.45 | % | | | | 3.63 | % | | | | 2.85 | % | | | | 2.39 | % | | | | 2.86 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 18 | % | | | | 26 | % | | | | 17 | % | | | | 34 | % | | | | 9 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets. |
| | (c) | Amount is less than $0.005 per share. |
| | (d) | Assumes investment at the net asset value at the beginning of the 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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of period | | | $ | 6.30 | | | | $ | 7.32 | | | | $ | 6.90 | | | | $ | 7.02 | | | | $ | 6.32 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.19 | (b) | | | | 0.18 | | | | | 0.14 | | | | | 0.10 | | | | | 0.14 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.73 | | | | | (0.98 | ) | | | | 0.42 | | | | | (0.11 | ) | | | | 0.71 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.92 | | | | | (0.80 | ) | | | | 0.56 | | | | | (0.01 | ) | | | | 0.85 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.18 | ) | | | | (0.20 | ) | | | | (0.14 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.02 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.18 | ) | | | | (0.22 | ) | | | | (0.14 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.04 | | | | $ | 6.30 | | | | $ | 7.32 | | | | $ | 6.90 | | | | $ | 7.02 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 14.99 | % | | | | (10.99 | )% | | | | 8.22 | % | | | | 0.18 | % | | | | 13.54 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 180 | | | | $ | 206 | | | | $ | 362 | | | | $ | 621 | | | | $ | 815 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.96 | % | | | | 1.98 | % | | | | 1.98 | % | | | | 2.02 | % | | | | 2.08 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.18 | % | | | | 2.33 | % | | | | 2.16 | % | | | | 2.23 | % | | | | 2.19 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.85 | % | | | | 2.77 | % | | | | 1.91 | % | | | | 1.63 | % | | | | 2.11 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 18 | % | | | | 26 | % | | | | 17 | % | | | | 34 | % | | | | 9 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets. |
| | (c) | Amount is less than $0.005 per share. |
| | (d) | Assumes investment at the net asset value at the beginning of the 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 Portfolio’s portfolio turnover rate may be higher. |
| | |
30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of period | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.14 | | | | $ | 6.42 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.25 | (b) | | | | 0.25 | | | | | 0.24 | | | | | 0.16 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.75 | | | | | (1.00 | ) | | | | 0.41 | | | | | (0.10 | ) | | | | 0.73 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.00 | | | | | (0.75 | ) | | | | 0.65 | | | | | 0.06 | | | | | 0.95 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.24 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.16 | | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.14 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 16.15 | % | | | | (9.99 | )% | | | | 9.38 | % | | | | 1.18 | % | | | | 14.82 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 4,248 | | | | $ | 3,391 | | | | $ | 4,417 | | | | $ | 4,897 | | | | $ | 12,005 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | | | 0.92 | % | | | | 0.95 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.06 | % | | | | 1.21 | % | | | | 1.04 | % | | | | 1.10 | % | | | | 1.06 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.71 | % | | | | 3.90 | % | | | | 3.19 | % | | | | 2.51 | % | | | | 3.28 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 18 | % | | | | 26 | % | | | | 17 | % | | | | 34 | % | | | | 9 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets. |
| | (c) | Amount is less than $0.005 per share. |
| | (d) | Assumes investment at the net asset value at the beginning of the 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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 6.39 | | | | $ | 7.41 | | | | $ | 7.00 | | | | $ | 7.12 | | | | $ | 6.41 | | | |
| | |
| | | | | | | |
| | | Net investment income(a) | | | | 0.26 | (b) | | | | 0.25 | | | | | 0.23 | | | | | 0.15 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.74 | | | | | (1.00 | ) | | | | 0.40 | | | | | (0.09 | ) | | | | 0.72 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.00 | | | | | (0.75 | ) | | | | 0.63 | | | | | 0.06 | | | | | 0.93 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.18 | ) | | | | (0.22 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.27 | ) | | | | (0.22 | ) | | | | (0.18 | ) | | | | (0.22 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.14 | | | | $ | 6.39 | | | | $ | 7.41 | | | | $ | 7.00 | | | | $ | 7.12 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 16.13 | % | | | | (10.09 | )% | | | | 9.15 | % | | | | 1.20 | % | | | | 14.71 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,296 | | | | $ | 1,362 | | | | $ | 5,313 | | | | $ | 4,288 | | | | $ | 8,915 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.96 | % | | | | 0.98 | % | | | | 0.98 | % | | | | 1.03 | % | | | | 1.08 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.18 | % | | | | 1.33 | % | | | | 1.14 | % | | | | 1.23 | % | | | | 1.19 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.82 | % | | | | 3.81 | % | | | | 3.09 | % | | | | 2.39 | % | | | | 3.14 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 18 | % | | | | 26 | % | | | | 17 | % | | | | 34 | % | | | | 9 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets. |
| | (c) | Amount is less than $0.005 per share. |
| | (d) | Assumes investment at the net asset value at the beginning of the 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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.13 | | | | $ | 6.42 | | | |
| | |
| | | | | | | |
| | | Net investment income(a) | | | | 0.25 | (b) | | | | 0.25 | | | | | 0.23 | | | | | 0.17 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.76 | | | | | (1.00 | ) | | | | 0.42 | | | | | (0.10 | ) | | | | 0.72 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.01 | | | | | (0.75 | ) | | | | 0.65 | | | | | 0.07 | | | | | 0.94 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.26 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.16 | | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.13 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 16.17 | % | | | | (9.99 | )% | | | | 9.38 | % | | | | 1.34 | % | | | | 14.85 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 76,462 | | | | $ | 68,864 | | | | $ | 91,208 | | | | $ | 102,041 | | | | $ | 136,241 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.88 | % | | | | 0.88 | % | | | | 0.88 | % | | | | 0.90 | % | | | | 0.94 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.05 | % | | | | 1.20 | % | | | | 1.02 | % | | | | 1.10 | % | | | | 1.05 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.77 | % | | | | 3.90 | % | | | | 3.14 | % | | | | 2.70 | % | | | | 3.23 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 18 | % | | | | 26 | % | | | | 17 | % | | | | 34 | % | | | | 9 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets. |
| | (c) | Amount is less than $0.005 per share. |
| | (d) | Assumes investment at the net asset value at the beginning of the 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 Portfolio’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 Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 6.42 | | | | $ | 7.44 | | | | $ | 7.02 | | | | $ | 7.14 | | | | $ | 6.43 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.26 | (b) | | | | 0.25 | | | | | 0.23 | | | | | 0.17 | | | | | 0.22 | | | |
| | | | | | | |
| | | Net realized and unrealized gain (loss) | | | | 0.75 | | | | | (1.00 | ) | | | | 0.42 | | | | | (0.10 | ) | | | | 0.72 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.01 | | | | | (0.75 | ) | | | | 0.65 | | | | | 0.07 | | | | | 0.94 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.26 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 7.17 | | | | $ | 6.42 | | | | $ | 7.44 | | | | $ | 7.02 | | | | $ | 7.14 | | | |
| | |
| | | | | | | |
| | Total return(d) | | | | 16.14 | % | | | | (9.97 | )% | | | | 9.37 | % | | | | 1.33 | % | | | | 14.83 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 69,385 | | | | $ | 65,048 | | | | $ | 81,611 | | | | $ | 86,949 | | | | $ | 138,381 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.88 | % | | | | 0.88 | % | | | | 0.88 | % | | | | 0.90 | % | | | | 0.94 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.05 | % | | | | 1.20 | % | | | | 1.02 | % | | | | 1.10 | % | | | | 1.05 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.77 | % | | | | 3.88 | % | | | | 3.17 | % | | | | 2.67 | % | | | | 3.26 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 18 | % | | | | 26 | % | | | | 17 | % | | | | 34 | % | | | | 9 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Reflects income recognized from withholding tax reclaims which amounted to $0.01 per share and 0.20% of average net assets. |
| | (c) | Amount is less than $0.005 per share. |
| | (d) | Assumes investment at the net asset value at the beginning of the 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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 13.12 | | | | $ | 16.43 | | | | $ | 14.20 | | | | $ | 13.38 | | | | $ | 11.46 | | | |
| | |
| | | | | | | |
| | | Net investment income(a) | | | | 0.18 | | | | | 0.17 | | | | | 0.15 | | | | | 0.18 | | | | | 0.21 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.56 | | | | | (2.59 | ) | | | | 3.01 | | | | | 1.61 | | | | | 2.57 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.74 | | | | | (2.42 | ) | | | | 3.16 | | | | | 1.79 | | | | | 2.78 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.17 | ) | | | | (0.15 | ) | | | | (0.19 | ) | | | | (0.21 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.73 | ) | | | | (0.72 | ) | | | | (0.78 | ) | | | | (0.78 | ) | | | | (0.65 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | (b) | | | | — | | | | | — | | | | | — | (b) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.92 | ) | | | | (0.89 | ) | | | | (0.93 | ) | | | | (0.97 | ) | | | | (0.86 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 14.94 | | | | $ | 13.12 | | | | $ | 16.43 | | | | $ | 14.20 | | | | $ | 13.38 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 21.04 | % | | | | (14.84 | )% | | | | 22.42 | % | | | | 13.62 | % | | | | 24.62 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 176,352 | | | | $ | 151,973 | | | | $ | 183,895 | | | | $ | 135,937 | | | | $ | 195,689 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.02 | % | | | | 1.05 | % | | | | 1.06 | % | | | | 1.09 | % | | | | 1.12 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.12 | % | | | | 1.14 | % | | | | 1.13 | % | | | | 1.15 | % | | | | 1.16 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.24 | % | | | | 1.18 | % | | | | 0.97 | % | | | | 1.41 | % | | | | 1.65 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 30 | % | | | | 38 | % | | | | 19 | % | | | | 39 | % | | | | 26 | % | | |
| | |
| | (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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.14 | | | | $ | 13.33 | | | | $ | 11.41 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.07 | | | | | 0.06 | | | | | 0.04 | | | | | 0.08 | | | | | 0.12 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.55 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | |
| | | Total from investment operations | | | | 2.62 | | | | | (2.51 | ) | | | | 3.03 | | | | | 1.68 | | | | | 2.69 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.08 | ) | | | | (0.06 | ) | | | | (0.03 | ) | | | | (0.09 | ) | | | | (0.12 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.73 | ) | | | | (0.72 | ) | | | | (0.78 | ) | | | | (0.78 | ) | | | | (0.65 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | (b) | | | | — | | | | | — | | | | | — | (b) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.81 | ) | | | | (0.78 | ) | | | | (0.81 | ) | | | | (0.87 | ) | | | | (0.77 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 14.88 | | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.14 | | | | $ | 13.33 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 20.12 | % | | | | (15.48 | )% | | | | 21.48 | % | | | | 12.83 | % | | | | 23.72 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 70,396 | | | | $ | 72,831 | | | | $ | 109,023 | | | | $ | 118,819 | | | | $ | 141,029 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.77 | % | | | | 1.80 | % | | | | 1.81 | % | | | | 1.84 | % | | | | 1.87 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.87 | % | | | | 1.89 | % | | | | 1.88 | % | | | | 1.90 | % | | | | 1.91 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.50 | % | | | | 0.42 | % | | | | 0.23 | % | | | | 0.64 | % | | | | 0.90 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 30 | % | | | | 38 | % | | | | 19 | % | | | | 39 | % | | | | 26 | % | | |
| | |
| | (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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 13.08 | | | | $ | 16.37 | | | | $ | 14.16 | | | | $ | 13.35 | | | | $ | 11.43 | | | |
| | |
| | | | | | | |
| | | Net investment income(a) | | | | 0.23 | | | | | 0.22 | | | | | 0.21 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.53 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.76 | | | | | (2.35 | ) | | | | 3.20 | | | | | 1.83 | | | | | 2.83 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.23 | ) | | | | (0.22 | ) | | | | (0.21 | ) | | | | (0.24 | ) | | | | (0.26 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.73 | ) | | | | (0.72 | ) | | | | (0.78 | ) | | | | (0.78 | ) | | | | (0.65 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | (b) | | | | — | | | | | — | | | | | — | (b) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.96 | ) | | | | (0.94 | ) | | | | (0.99 | ) | | | | (1.02 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 14.88 | | | | $ | 13.08 | | | | $ | 16.37 | | | | $ | 14.16 | | | | $ | 13.35 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 21.34 | % | | | | (14.53 | )% | | | | 22.82 | % | | | | 14.12 | % | | | | 25.06 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,325,844 | | | | $ | 1,122,307 | | | | $ | 1,329,450 | | | | $ | 1,252,383 | | | | $ | 1,242,858 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.69 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.72 | % | | | | 0.75 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.76 | % | | | | 0.77 | % | | | | 0.76 | % | | | | 0.78 | % | | | | 0.77 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.57 | % | | | | 1.52 | % | | | | 1.33 | % | | | | 1.73 | % | | | | 2.02 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 30 | % | | | | 38 | % | | | | 19 | % | | | | 39 | % | | | | 26 | % | | |
| | |
| | (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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 13.09 | | | | $ | 16.38 | | | | $ | 14.17 | | | | $ | 13.36 | | | | $ | 11.44 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.21 | | | | | 0.21 | | | | | 0.19 | | | | | 0.21 | | | | | 0.25 | | | |
| | | | | | | |
| | | Net realized and unrealized gain (loss) | | | | 2.54 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.75 | | | | | (2.36 | ) | | | | 3.18 | | | | | 1.81 | | | | | 2.82 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.22 | ) | | | | (0.21 | ) | | | | (0.19 | ) | | | | (0.22 | ) | | | | (0.25 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.73 | ) | | | | (0.72 | ) | | | | (0.78 | ) | | | | (0.78 | ) | | | | (0.65 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | (b) | | | | — | | | | | — | | | | | — | (b) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.95 | ) | | | | (0.93 | ) | | | | (0.97 | ) | | | | (1.00 | ) | | | | (0.90 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 14.89 | | | | $ | 13.09 | | | | $ | 16.38 | | | | $ | 14.17 | | | | $ | 13.36 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 21.23 | % | | | | (14.60 | )% | | | | 22.78 | % | | | | 13.90 | % | | | | 25.00 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 479,421 | | | | $ | 409,319 | | | | $ | 473,054 | | | | $ | 402,711 | | | | $ | 468,254 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.77 | % | | | | 0.80 | % | | | | 0.81 | % | | | | 0.83 | % | | | | 0.87 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.87 | % | | | | 0.89 | % | | | | 0.88 | % | | | | 0.90 | % | | | | 0.91 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.49 | % | | | | 1.44 | % | | | | 1.23 | % | | | | 1.64 | % | | | | 1.90 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 30 | % | | | | 38 | % | | | | 19 | % | | | | 39 | % | | | | 26 | % | | |
| | |
| | (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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.15 | | | | $ | 13.34 | | | | $ | 11.42 | | | |
| | |
| | | | | | | |
| | | Net investment income(a) | | | | 0.23 | | | | | 0.22 | | | | | 0.21 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.54 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.77 | | | | | (2.35 | ) | | | | 3.20 | | | | | 1.83 | | | | | 2.83 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.21 | ) | | | | (0.24 | ) | | | | (0.26 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.73 | ) | | | | (0.72 | ) | | | | (0.78 | ) | | | | (0.78 | ) | | | | (0.65 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | (b) | | | | — | | | | | — | | | | | — | (b) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.97 | ) | | | | (0.94 | ) | | | | (0.99 | ) | | | | (1.02 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 14.87 | | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.15 | | | | $ | 13.34 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 21.36 | % | | | | (14.53 | )% | | | | 22.85 | % | | | | 14.13 | % | | | | 25.09 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 331,528 | | | | $ | 304,083 | | | | $ | 336,827 | | | | $ | 208,584 | | | | $ | 275,973 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.68 | % | | | | 0.70 | % | | | | 0.70 | % | | | | 0.72 | % | | | | 0.74 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.75 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 0.76 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.58 | % | | | | 1.54 | % | | | | 1.33 | % | | | | 1.77 | % | | | | 2.03 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 30 | % | | | | 38 | % | | | | 19 | % | | | | 39 | % | | | | 26 | % | | |
| | |
| | (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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Goldman Sachs U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended December 31, | | |
| | | | | | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of period | | | $ | 13.07 | | | | $ | 16.37 | | | | $ | 14.15 | | | | $ | 13.34 | | | | $ | 11.43 | | | |
| | |
| | | | | | | |
| | | Net investment income(a) | | | | 0.23 | | | | | 0.22 | | | | | 0.21 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.55 | | | | | (2.58 | ) | | | | 3.00 | | | | | 1.60 | | | | | 2.56 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.78 | | | | | (2.36 | ) | | | | 3.21 | | | | | 1.83 | | | | | 2.82 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.21 | ) | | | | (0.24 | ) | | | | (0.26 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | (0.73 | ) | | | | (0.72 | ) | | | | (0.78 | ) | | | | (0.78 | ) | | | | (0.65 | ) | | |
| | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | (b) | | | | — | | | | | — | | | | | — | (b) | | | | — | | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.97 | ) | | | | (0.94 | ) | | | | (0.99 | ) | | | | (1.02 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of period | | | $ | 14.88 | | | | $ | 13.07 | | | | $ | 16.37 | | | | $ | 14.15 | | | | $ | 13.34 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 21.44 | % | | | | (14.59 | )% | | | | 22.93 | % | | | | 14.05 | % | | | | 25.07 | % | | |
| | |
| | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 719,967 | | | | $ | 605,229 | | | | $ | 703,803 | | | | $ | 593,220 | | | | $ | 679,431 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.68 | % | | | | 0.70 | % | | | | 0.70 | % | | | | 0.72 | % | | | | 0.74 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.75 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 0.76 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.58 | % | | | | 1.53 | % | | | | 1.34 | % | | | | 1.76 | % | | | | 2.03 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 30 | % | | | | 38 | % | | | | 19 | % | | | | 39 | % | | | | 26 | % | | |
| | |
| | (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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements December 31, 2023 |
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 Equity Dividend and Premium and U.S. 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 U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract.
C. 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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
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 Equity Dividend and Premium, U.S. 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. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures 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 the Valuation Procedures 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 either due to broker/receivable for collateral on certain derivative 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
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. 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.
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 the Valuation Procedures. 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, 2023:
| | | | | | | | | | | | |
| INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 127,412 | | | $ | 38,822,515 | | | $ | — | |
| | | |
Australia and Oceania | | | 1,334,652 | | | | 13,694,224 | | | | — | |
| | | |
Europe | | | 11,949,744 | | | | 87,253,638 | | | | — | |
| | | |
North America | | | 67,068 | | | | 107,209 | | | | — | |
| | | |
Preferred Stocks | | | — | | | | 2,248,444 | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 1,285,948 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 14,764,824 | | | $ | 142,126,030 | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Futures Contracts(b) | | $ | (748 | ) | | $ | — | | | $ | — | |
| | | |
Written Option Contracts | | | (1,365,012 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (1,365,760 | ) | | $ | — | | | $ | — | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| U.S. EQUITY DIVIDEND AND PREMIUM | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Europe | | $ | 115,734,440 | | | $ | — | | | $ | — | |
| | | |
North America | | | 3,032,218,851 | | | | — | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 197,500 | | | | — | | | | — | |
| | | |
Investment Company | | | 54,916,205 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 3,203,066,996 | | | $ | — | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Futures Contracts(b) | | $ | (358,112 | ) | | $ | — | | | $ | — | |
| | | |
Written Option Contracts | | | (71,372,475 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (71,730,587 | ) | | $ | — | | | $ | — | |
|
| |
| | (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| | (b) | Amount shown represents unrealized gain (loss) at period end. |
|
|
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, 2023. 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.
| | | | | | | | | | |
| International Equity Dividend and Premium | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Equity | | | | $— | | Variation margin on futures contracts; Written options, at value | | $ | (1,365,760 | )(a) |
| | | |
| U.S. Equity Dividend and Premium | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Equity | | | | $— | | Variation margin on futures contracts and Written options, at value | | $ | (71,730,587 | )(a) |
| | (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2023. 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
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | |
| International Equity Dividend and Premium | | | | | | | | |
| | | |
| Risk | | Statements of Operations | | Net Realized Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| | | |
| Equity | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | | $ | (1,650,288 | ) | | $ | (244,569 | ) |
| | |
| U.S. Equity Dividend and Premium | | | | | | | | |
| | | |
| Risk | | Statements of Operations | | Net Realized Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | |
| | | |
| Equity | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | | $ | (31,985,993 | ) | | $ | (61,210,651 | ) |
For the fiscal year ended December 31, 2023, the relevant values for each derivative type were as follows:
| | | | | | | | |
| | | Average Number of Contracts or Shares/Units(a) | |
| |
| | | | |
| | |
| Fund | | Futures Contracts | | | Written Options | |
|
| |
| | |
International Equity Dividend and Premium | | | 21 | | | | 9,219 | |
|
| |
| | |
U.S. Equity Dividend and Premium | | | 209 | | | | 275,150 | |
|
| |
| | (a) | Amounts disclosed represent average number of contracts for futures contracts, or shares/units outstanding for written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Fund held such derivatives during the Fiscal year ended December 31, 2023. |
|
|
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 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, 2023, 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# | |
|
| |
| | | | | | | |
International Equity Dividend and Premium | | | 0.81 | % | | | 0.73 | % | | | 0.69 | % | | | 0.68 | % | | | 0.67 | % | | | 0.81 | % | | | 0.81% | |
|
| |
| | | | | | | |
U.S. Equity Dividend and Premium | | | 0.75 | | | | 0.68 | | | | 0.65 | | | | 0.64 | | | | 0.63 | | | | 0.70 | | | | 0.64* | |
|
| |
| | # | The Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| | * | GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.64% as an annual percentage of the Fund’s average daily net assets. Prior to April 28, 2023, GSAM agreed to waive 0.04% of its management fee. This arrangement will remain in effect through at least April 28, 2024, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Trustees. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The International Equity Dividend and Premium Fund and U.S. Equity Dividend and Premium Fund 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, 2023, GSAM waived $320 and $61,201 of the management fee for the International Equity Dividend and Premium Fund and U.S. Equity Dividend and Premium Fund, 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% |
|
|
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, 2023, Goldman Sachs did not retain any of the Class C Shares’ CDSC. During the fiscal year ended December 31, 2023, Goldman Sachs retained the following amounts:
| | | | |
| | | Front End
Sales Charge | |
| |
| | | | |
| |
| Fund | | Class A | |
|
| |
| |
International Equity Dividend and Premium | | $ | 66 | |
|
| |
| |
U.S. Equity Dividend and Premium | | | 33,873 | |
|
| |
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: 0.15% 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. Prior to July 1, 2023, fees charged for such transfer agency services were 0.16% of the average daily net assets of Class A, Class C and Investor Shares.
Goldman Sachs has agreed to waive a portion of its transfer agency fee (a component of “Other Expenses”) equal to 0.06% and 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the International Equity Dividend and Premium and U.S. Equity Dividend and Premium Funds, respectively. These arrangements will
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
remain in effect through at least April 28, 2024, and prior to such date, Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees. Prior to April 28, 2023, Goldman Sachs waived its transfer agent fee equal to 0.03% of the International Equity Dividend and Premium Fund.
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 Equity Dividend and Premium and U.S. Equity Dividend and Premium Funds are 0.044% and 0.004%, respectively. These Other Expense limitations will remain in place through at least April 28, 2024, 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. Prior to April 28, 2023, the Other Expense limitations as an annual percentage rate of average daily net assets for the U.S. Equity Dividend and Premium Funds was 0.014%.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the fiscal year ended December 31, 2023, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | |
| Fund | | Management
Fee Waiver | | Transfer Agency Waivers/Credits | | Other Expense
Reimbursements | | Total
Expense
Reductions |
|
|
| | | | |
International Equity Dividend and Premium | | $ 320 | | $ 1,773 | | $246,324 | | $ 248,417 |
|
|
| | | | |
U.S. Equity Dividend and Premium | | 1,505,010 | | 277,563 | | 360,537 | | 2,143,110 |
|
|
G. Line of Credit Facility — As of December 31, 2023, the Funds participated in a $1,110,000,000 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, 2023, the Funds did not have any borrowings under the facility. Prior to April 19, 2023, the facility was $1,250,000,000.
H. Other Transactions with Affiliates — As of December 31, 2023, the following Goldman Sachs Funds were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | |
| Fund | | Goldman Sachs
Enhanced Dividend
Global Equity
Portfolio | |
|
| |
| |
International Equity Dividend and Premium | | | 50% | |
|
| |
| |
U.S. Equity Dividend and Premium | | | 7 | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Underlying Fund | | Beginning
Value as of
December 31,
2022 | | | Purchases at Cost | | | Proceeds from Sales | | | Ending Value as of
December 31,
2023 | | | Shares as of
December 31,
2023 | | | Dividend
Income | |
|
| |
| | | | | | | |
International Equity Dividend and Premium | | Goldman Sachs Financial Square Government Fund - Institutional Shares | | $ | — | | | $ | 5,220,501 | | | $ | (5,220,501 | ) | | $ | — | | | | — | | | $ | 9,330 | |
|
| |
| | | | | | | |
U.S. Equity Dividend and Premium | | Goldman Sachs Financial Square Government Fund - Institutional Shares | | | 25,633,271 | | | | 450,608,015 | | | | (421,325,081 | ) | | | 54,916,205 | | | | 54,916,205 | | | | 1,847,202 | |
|
| |
|
|
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, 2023, were as follows:
| | | | |
| Fund | | Purchases (Excluding
U.S. Government and
Agency Obligations) | | Sales and
Maturities of (Excluding
U.S. Government and
Agency Obligations) |
|
|
| | |
International Equity Dividend and Premium | | $ 25,819,408 | | $ 28,770,982 |
|
|
| | |
U.S. Equity Dividend and Premium | | 883,747,003 | | 964,062,865 |
|
|
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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
|
|
7. SECURITIES LENDING (continued) |
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, 2023, 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, 2023, 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, 2023 | | |
| Fund | | Earnings of GSAL
Relating to
Securities Loaned | | Amounts Received
by the Funds from Lending to Goldman Sachs | | Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of December 31, 2023 |
|
|
| | | |
International Equity Dividend and Premium | | $2,581 | | $23,231 | | $ — |
|
|
| | | |
U.S. Equity Dividend and Premium | | 8,901 | | 80,118 | | 92,200 |
|
|
The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended December 31, 2023:
| | | | | | | | | | |
| Fund | | Beginning Value as of
December 31, 2022 | | Purchases
at cost | | Proceeds
from Sales | | Ending Value as of
December 31, 2023 | | Shares as of
December 31, 2023 |
|
|
| | | | | |
International Equity Dividend And Premium Fund | | $ 44,400 | | $11,737,827 | | $(10,496,279) | | $1,285,948 | | 1,285,948 |
|
|
| | | | | |
U.S. Equity Dividend And Premium Fund | | 1,348,630 | | 7,727,031 | | (8,878,161) | | 197,500 | | 197,500 |
|
|
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
The tax character of distributions paid during the fiscal year ended December 31, 2023 was as follows:
| | | | | | | | |
| | | International Equity
Dividend and Premium Fund | | | U.S. Equity
Dividend and Premium Fund | |
| |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | | $5,514,353 | | | | $ 52,622,981 | |
| | |
Net long-term capital gains | | | — | | | | 139,376,508 | |
| |
| | |
Total taxable distributions | | | $5,514,353 | | | | $191,999,489 | |
| |
| | |
Tax return of capital | | | $ — | | | | $ 991,060 | |
| |
The tax character of distributions paid during the fiscal year ended December 31, 2022 was as follows:
| | | | | | | | |
| | | International Equity
Dividend and Premium Fund | | | U.S. Equity
Dividend and Premium Fund | |
| |
| | |
Distributions paid from: | | | | | | | | |
| | |
Ordinary income | | | $5,869,709 | | | | $ 51,716,801 | |
| | |
Net long-term capital gains | | | — | | | | 129,165,165 | |
| |
| | |
Total taxable distributions | | | $5,869,709 | | | | $180,881,966 | |
| |
| | |
Tax return of capital | | | $ 771,059 | | | | $ — | |
| |
As of the Funds’ most recent fiscal year end, December 31, 2023, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | |
| | | International Equity
Dividend and Premium Fund | | U.S. Equity
Dividend and Premium Fund |
|
| | |
Undistributed ordinary income — net | | $ 47,070 | | $ — |
|
| | |
Capital loss carryforwards: | | | | |
| | |
Perpetual Short-Term | | (8,892,027) | | — |
| | |
Perpetual Long-Term | | (72,876,730) | | — |
|
|
| | |
Total capital loss carryforwards | | (81,768,757) | | — |
|
|
| | |
Timing differences(Real Estate Investment Trusts/Late Year Loss Deferral and Post October Capital Loss Deferral) | | $ (919,525) | | $(51,405,965) |
| | |
Unrealized gains (loss) — net | | 32,047,357 | | 857,427,495 |
|
|
| | |
Total accumulated earnings (loss) net | | $(50,593,855) | | $806,021,530 |
|
As of December 31, 2023, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
| | | International Equity
Dividend and Premium Fund | | U.S. Equity
Dividend and Premium Fund |
|
| | |
Tax Cost | | $124,922,976 | | $2,299,548,699 |
|
| | |
Gross unrealized gain | | 39,354,352 | | 935,918,250 |
| | |
Gross unrealized loss | | (7,306,995) | | (78,490,755) |
|
| | |
Net unrealized gain | | $ 32,047,357 | | $ 857,427,495 |
|
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
| | |
| |
8. | | TAX INFORMATION (continued) |
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 passive foreign investment company investments.
The International Equity Dividend and Premium Fund reclassed $71,954 from paid in capital to distributable earnings for the year ending December 31, 2023. 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 differences in the tax treatment of 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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. 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 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 Fund invests in foreign securities, and as such 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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
| | |
| |
9. | | OTHER RISKS (continued) |
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.
Management Risk — A strategy used by the Investment Adviser may fail to produce the intended results.
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.
Option Writing Risk — Writing (selling) options may limit the opportunity to profit from an increase or decrease in the market value of a reference security in exchange for up-front cash (the premium) at the time of selling the option. In a sharp rising or falling market, the Fund could significantly underperform the market or other portfolios without an option writing strategy. The Fund could also experience a sudden, significant permanent loss due to dramatic movements in the market value of reference security, which may far exceed the premiums received for writing the option. Such significant losses could cause significant deteriorations in the Fund’s NAV. Furthermore, the premium received from the Fund’s option writing strategies may not fully protect it against market movements because the Fund will continue to bear the risk of movements in the value of its portfolio investments.
Tax-Managed Investment Risk — Because the Investment Adviser balances investment considerations and tax considerations, the pre-tax performance of the Goldman Sachs Tax-Advantaged Global Equity Portfolio may be lower than the performance of similar funds that are not tax-managed. This is because the Investment Adviser may choose not to make certain investments that may result in taxable distributions to the Goldman Sachs Tax-Advantaged Global Equity Portfolio. Even though tax managed strategies are being used, they may not reduce the amount of taxable income and capital gains distributed by the Goldman Sachs Tax-Advantaged Global Equity Portfolio to 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 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.
Pursuant to an effort to consolidate the membership of the Board of Trustees of the Trust (the “Board”) with the Board of Trustees of each of Goldman Sachs ETF Trust, Goldman Sachs ETF Trust II, Goldman Sachs Real Estate Diversified Income Fund, Goldman Sachs Trust II and Goldman Sachs Variable Insurance Trust, in July 2023, the Board voted to nominate Cheryl K. Beebe, John G. Chou, Eileen H. Dowling, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham, Lawrence W.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
| | |
| |
11. | | OTHER MATTERS (continued) |
Stranghoener and Paul C. Wirth (the “Nominees”) for election as Trustees of the Trust. Messrs. Chou and Wirth and Ms. Dowling were serving as Trustees of the Trust at the time of their nominations. At a virtual special joint meeting of shareholders held on November 16, 2023, each of the Nominees (except Messrs. Chou and Wirth and Ms. Dowling) was elected to serve as Trustees alongside the then current Trustees of the Trust, effective January 1, 2024. Each of Messrs. Chou and Wirth and Ms. Dowling was also elected at the meeting and continue to serve as Trustees of the Trust.
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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
| | |
| |
13. | | SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Equity Dividend and Premium Fund | |
| | | For the Fiscal Year Ended | | | For the Fiscal Year Ended | |
| | | December 31, 2023 | | | December 31, 2022 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 12,025 | | | $ | 84,952 | | | | 28,023 | | | $ | 181,941 | |
| | | | |
Reinvestment of distributions | | | 8,139 | | | | 55,946 | | | | 11,228 | | | | 70,448 | |
| | | | |
Shares redeemed | | | (33,126 | ) | | | (225,870 | ) | | | (84,566 | ) | | | (541,349 | ) |
|
| |
| | | | |
| | | (12,962 | ) | | | (84,972 | ) | | | (45,315 | ) | | | (288,960 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 794 | | | | 5,265 | | | | 4,220 | | | | 28,668 | |
| | | | |
Reinvestment of distributions | | | 689 | | | | 4,551 | | | | 1,278 | | | | 7,710 | |
| | | | |
Shares redeemed | | | (8,594 | ) | | | (57,564 | ) | | | (22,356 | ) | | | (143,638 | ) |
|
| |
| | | | |
| | | (7,111 | ) | | | (47,748 | ) | | | (16,858 | ) | | | (107,260 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 122,117 | | | | 836,732 | | | | 80,986 | | | | 548,621 | |
| | | | |
Reinvestment of distributions | | | 14,265 | | | | 95,941 | | | | 18,737 | | | | 114,899 | |
| | | | |
Shares redeemed | | | (72,030 | ) | | | (493,814 | ) | | | (165,697 | ) | | | (1,023,925 | ) |
|
| |
| | | | |
| | | 64,352 | | | | 438,859 | | | | (65,974 | ) | | | (360,405 | ) |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 102,799 | | | | 683,914 | | | | 28,803 | | | | 173,491 | |
| | | | |
Reinvestment of distributions | | | 9,328 | | | | 62,461 | | | | 13,812 | | | | 84,783 | |
| | | | |
Shares redeemed | | | (143,725 | ) | | | (955,673 | ) | | | (546,494 | ) | | | (3,781,060 | ) |
|
| |
| | | | |
| | | (31,598 | ) | | | (209,298 | ) | | | (503,879 | ) | | | (3,522,786 | ) |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 13 | | | | 84 | | | | 1,143,517 | | | | 7,318,612 | |
| | | | |
Reinvestment of distributions | | | 411,294 | | | | 2,764,257 | | | | 548,351 | | | | 3,358,387 | |
| | | | |
Shares redeemed | | | (473,941 | ) | | | (3,266,308 | ) | | | (3,233,966 | ) | | | (20,655,706 | ) |
|
| |
| | | | |
| | | (62,634 | ) | | | (501,967 | ) | | | (1,542,098 | ) | | | (9,978,707 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 518,046 | | | | 3,537,357 | | | | 1,011,964 | | | | 6,331,590 | |
| | | | |
Reinvestment of distributions | | | 367,584 | | | | 2,476,366 | | | | 476,539 | | | | 2,925,721 | |
| | | | |
Shares redeemed | | | (1,341,664 | ) | | | (9,096,219 | ) | | | (2,332,834 | ) | | | (14,543,842 | ) |
|
| |
| | | | |
| | | (456,034 | ) | | | (3,082,496 | ) | | | (844,331 | ) | | | (5,286,531 | ) |
|
| |
| | | | |
NET DECREASE | | | (505,987 | ) | | $ | (3,487,622 | ) | | | (3,018,455 | ) | | $ | (19,544,649 | ) |
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) December 31, 2023 |
| | |
| |
13. | | SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Dividend and Premium Fund | |
| | | For the Fiscal Year Ended | | | | For the Fiscal Year Ended | |
| | | December 31, 2023 | | | | December 31, 2022 | |
| | | Shares | | | | Dollars | | | | Shares | | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 2,107,608 | | | $ | 30,414,025 | | | | 3,146,086 | | | $ | 45,888,253 | |
| | | | |
Reinvestment of distributions | | | 610,621 | | | | 9,000,171 | | | | 632,453 | | | | 8,655,361 | |
| | | | |
Shares redeemed | | | (2,493,795 | ) | | | (35,600,722 | ) | | | (3,393,740 | ) | | | (48,285,060 | ) |
| |
| | | | |
| | | 224,434 | | | | 3,813,474 | | | | 384,799 | | | | 6,258,554 | |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 502,239 | | | | 7,248,548 | | | | 493,517 | | | | 7,179,638 | |
| | | | |
Reinvestment of distributions | | | 241,256 | | | | 3,545,109 | | | | 288,119 | | | | 3,916,606 | |
| | | | |
Shares redeemed | | | (1,583,819 | ) | | | (22,777,934 | ) | | | (1,875,786 | ) | | | (26,863,382 | ) |
| |
| | | | |
| | | (840,324 | ) | | | (11,984,277 | ) | | | (1,094,150 | ) | | | (15,767,138 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 19,466,138 | | | | 278,435,415 | | | | 22,570,666 | | | | 323,362,540 | |
| | | | |
Reinvestment of distributions | | | 5,186,511 | | | | 76,117,613 | | | | 5,063,940 | | | | 69,120,715 | |
| | | | |
Shares redeemed | | | (21,395,176 | ) | | | (307,013,838 | ) | | | (23,006,678 | ) | | | (328,725,682 | ) |
| |
| | | | |
| | | 3,257,473 | | | | 47,539,190 | | | | 4,627,928 | | | | 63,757,573 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 8,836,939 | | | | 126,421,798 | | | | 9,374,564 | | | | 134,822,661 | |
| | | | |
Reinvestment of distributions | | | 2,015,342 | | | | 29,614,250 | | | | 2,048,961 | | | | 27,976,575 | |
| | | | |
Shares redeemed | | | (9,944,613 | ) | | | (143,294,374 | ) | | | (9,019,169 | ) | | | (128,964,800 | ) |
| |
| | | | |
| | | 907,668 | | | | 12,741,674 | | | | 2,404,356 | | | | 33,834,436 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 259,341 | | | | 3,708,165 | | | | 4,163,853 | | | | 58,157,672 | |
| | | | |
Reinvestment of distributions | | | 1,052,941 | | | | 15,450,891 | | | | 1,087,932 | | | | 14,837,730 | |
| | | | |
Shares redeemed | | | (2,291,462 | ) | | | (33,112,466 | ) | | | (2,567,472 | ) | | | (37,056,923 | ) |
| |
| | | | |
| | | (979,180 | ) | | | (13,953,410 | ) | | | 2,684,313 | | | | 35,938,479 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,428,434 | | | | 48,911,076 | | | | 5,740,301 | | | | 79,495,011 | |
| | | | |
Reinvestment of distributions | | | 3,066,242 | | | | 44,993,383 | | | | 2,960,687 | | | | 40,415,122 | |
| | | | |
Shares redeemed | | | (4,403,511 | ) | | | (63,686,820 | ) | | | (5,402,384 | ) | | | (76,116,918 | ) |
| |
| | | | |
| | | 2,091,165 | | | | 30,217,639 | | | | 3,298,604 | | | | 43,793,215 | |
|
| |
| | | | |
NET INCREASE | | | 4,661,236 | | | $ | 68,374,290 | | | | 12,305,850 | | | $ | 167,815,119 | |
| |
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, hereafter collectively referred to as the “Funds”) as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (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, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended December 31, 2023 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, 2023 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
February 23, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs funds complex since 2000.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
| | |
| Fund Expenses — Six Month Period Ended December 31, 2023 (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, 2023 through December 31, 2023, which represents a period of 184 days of a 365-day year. This projection assumes that annualized expense ratios were in effect during the period.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | International Equity Dividend and
Premium Fund | | | U.S. Equity Dividend and Premium Fund | |
| Share Class | | Beginning Account Value 7/1/23 | | | Ending Account Value 12/31/23 | | | Expenses Paid for the 6 months ended
12/31/23* | | | Beginning Account Value 7/1/23 | | | Ending Account Value 12/31/23 | | | Expenses Paid for the 6 months ended
12/31/23* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,067.50 | | | | $ 6.23 | | | | $1,000.00 | | | | $1,058.80 | | | | $5.21 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.20 | + | | | 6.08 | | | | 1,000.00 | | | | 1,020.10 | + | | | 5.11 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,063.20 | | | | 10.12 | | | | 1,000.00 | | | | 1,054.70 | | | | 9.08 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,015.40 | + | | | 9.89 | | | | 1,000.00 | | | | 1,016.40 | + | | | 8.92 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.40 | | | | 4.67 | | | | 1,000.00 | | | | 1,060.10 | | | | 3.55 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.70 | + | | | 4.56 | | | | 1,000.00 | | | | 1,021.70 | + | | | 3.49 | |
| Investor | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.30 | | | | 4.93 | | | | 1,000.00 | | | | 1,059.60 | | | | 3.91 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.40 | + | | | 4.81 | | | | 1,000.00 | | | | 1,021.40 | + | | | 3.84 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.50 | | | | 4.61 | | | | 1,000.00 | | | | 1,060.20 | | | | 3.50 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.70 | + | | | 4.50 | | | | 1,000.00 | | | | 1,021.80 | + | | | 3.44 | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,069.30 | | | | 4.61 | | | | 1,000.00 | | | | 1,060.20 | | | | 3.50 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.70 | + | | | 4.50 | | | | 1,000.00 | | | | 1,021.80 | + | | | 3.44 | |
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2023. 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 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 | | | Investor | | | Class R6 | | | Class P | | | |
International Equity Dividend and Premium | | | 1.20 | % | | | 1.95 | % | | | 0.90 | % | | | 0.95 | % | | | 0.89 | % | | | 0.89 | % | | |
U.S. Equity Dividend and Premium | | | 1.01 | | | | 1.76 | | | | 0.69 | | | | 0.76 | | | | 0.68 | | | | 0.68 | | | |
58
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Voting Results of Annual Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders (the “Meeting”) of the Goldman Sachs Trust (the “Trust”) was held on November 16, 2023 to consider and elect nominees to the Trust’s Board of Trustees. At the Meeting, Cheryl K. Beebe, Lawrence Hughes, John F. Killian, Steven D. Krichmar, Michael Latham and Lawrence W. Stranghoener were elected to the Trust’s Board of Trustees. In addition, at the Meeting, John G. Chou, Eileen H. Dowling and Paul C. Wirth, each of whom was previously appointed to the Trust’s Board of Trustees rather than elected by shareholders, were elected. In electing the nominees, the Trust’s shareholders voted as follows:
| | | | | | |
Proposal Election of Trustees | | For | | Withheld | | Abstain |
Cheryl K. Beebe | | 169,452,067,796 | | 5,900,273,020 | | 0 |
John G. Chou | | 173,279,757,273 | | 2,072,583,543 | | 0 |
Eileen H. Dowling | | 173,287,456,218 | | 2,064,884,598 | | 0 |
Lawrence Hughes | | 173,486,691,901 | | 1,865,648,915 | | 0 |
John F. Killian | | 173,511,167,174 | | 1,841,173,642 | | 0 |
Steven D. Krichmar | | 173,484,256,228 | | 1,868,084,588 | | 0 |
Michael Latham | | 173,498,020,286 | | 1,854,320,530 | | 0 |
Lawrence W. Stranghoener | | 173,455,949,165 | | 1,896,391,651 | | 0 |
Paul C. Wirth | | 173,324,070,424 | | 2,028,270,391 | | 0 |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Gregory G. Weaver Age: 72 | | Chair of the Board of Trustees | | Since 2023 (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). Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | Verizon Communications Inc. |
| | | | | |
Dwight L. Bush Age: 66 | | Trustee | | Since 2020 | | The Honorable Dwight 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, he 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. | | 102 | | MoneyLion, Inc. (an operator of a data-driven, digital financial platform) |
| | | | | |
Kathryn A. Cassidy Age: 69 | | Trustee | | Since 2015 | | Ms. Cassidy is retired. She is Director, Vertical Aerospace Ltd. (an aerospace and technology company) (2021-Present). Formerly, Ms. Cassidy 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. | | 102 | | Vertical Aerospace Ltd. (an aerospace and technology company) |
| | | | | |
John G. Chou Age: 67 | | Trustee | | Since 2022 | | Mr. Chou is retired. Formerly, he was Executive Vice President and Special Advisor to the Chairman and CEO (2021-2022); Executive Vice President and Chief Legal Officer (2019-2021); Executive Vice President and Chief Legal & Business Officer (2017-2019); and Executive Vice President and General Counsel (2011-2017) of Cencora, Inc. (a pharmaceutical and healthcare company). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | |
Joaquin Delgado Age: 63 | | Trustee | | Since 2020 | | Dr. Delgado is retired. He is Director, Stepan Company (a specialty chemical manufacturer) (2011–Present); and was formerly Director, Hexion Inc. (a specialty chemical manufacturer) (2019–2022); 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. | | 102 | | Stepan Company (a specialty chemical manufacturer) |
| | | | | |
Eileen H. Dowling Age: 61 | | 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). As Managing Director, she held senior management positions, including Global Head of Global Consultant Relations (2017–2021), Multinational Corporations (2019–2021), the Institutional Product Group (2015–2019) and Institutional Marketing (2013–2016). Ms. Dowling was a member of the Global Operating Committee and Product Executive Committee of BlackRock. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
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 Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
Paul C. Wirth Age: 66 | | Trustee | | Since 2022 | | Mr. Wirth is retired. He is Executive Advisor, My Next Season LLC (a career transition advisory firm) (2023-Present). Formerly, he was Deputy Chief Financial Officer and Principal Accounting Officer (2011-2020); Finance Director and Principal Accounting Officer (2010-2011); and Managing Director, Global Controller, and Chief Accounting Officer (2005-2010) of Morgan Stanley. Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | | 102 | | None |
| | | | | | | | | | |
Interested Trustee*
| | | | | | | | | | |
| | | | | |
Name, Address and Age1 | | Position(s) Held with the Trust | | Term of Office and Length of Time Served2 | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by
Trustee3 | | Other Directorships Held by Trustee4 |
| | | | | |
James A. McNamara Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | | 192 | | 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: Robert Griffith. Information is provided as of December 31, 2023. |
| 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, 2023, Goldman Sachs Trust consisted of 87 portfolios; Goldman Sachs Variable Insurance Trust consisted of 15 portfolios (11 of which offered shares to the public); Goldman Sachs Trust II consisted of 18 portfolios (7 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 68 portfolios (37 of which offered shares to the public); Goldman Sachs ETF Trust II consisted of 2 portfolios; and 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. |
Information as of the date of this shareholder report. 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.
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 Occupations During Past 5 Years |
| | | |
James A. McNamara 200 West Street New York, NY 10282 Age: 61 | | 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 Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 55 | | 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 ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust II; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
| | | |
Robert Griffith 200 West Street New York, NY 10282 Age: 49 | | Secretary | | Since 2023 | | Managing Director, Goldman Sachs (September 2022 – Present); General Counsel, Exchange Traded Concepts, LLC (October 2021 – September 2022); Vice President, Goldman Sachs (August 2011 – October 2021); Associate General Counsel, Goldman Sachs (December 2014 – Present); Assistant General Counsel, Goldman Sachs (August 2011 – December 2014); Vice President and Counsel, Nomura Holding America, Inc. (2010 – 2011); and Associate, Simpson Thacher & Bartlett LLP (2005 – 2010). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2022)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2022)); Goldman Sachs Trust II (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust (previously Assistant Secretary (2022)); Goldman Sachs ETF Trust II (previously Assistant Secretary (2022)); and Goldman Sachs Real Estate Diversified Income Fund (previously Assistant Secretary (2022)). |
| | | | | | |
| * | 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, 2023. |
| 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, 2023, 99.46% 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, 2023, 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 $0.2904 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 99.65%. The total amount of taxes paid by the International Equity Dividend and Premium Fund to such countries was $0.0217 per share.
For the year ended December 31, 2023, 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 $139,376,508 or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2023.
During the year ended December 31, 2023, the U.S. Equity Dividend and Premium Fund designates $8,299,280 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
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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 $2.54 trillion in assets under supervision as of December 31, 2023, 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 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 |
| ∎ | Emerging Markets Credit Fund4 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Enhanced Core Equity Fund6 |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology 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 |
| ∎ | Emerging Markets Equity ex. China Fund |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Clean Energy Income Fund |
| ∎ | Real Estate Securities Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Energy Infrastructure Fund |
| ∎ | Multi-Strategy Alternatives Fund5 |
| ∎ | 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 |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Strategic Volatility Premium Fund |
| ∎ | 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 bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. Effective October 2, 2024, the Fund generally must impose a fee when net sales of Fund shares exceed certain levels. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 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. An investment in the Fund is not a bank account or 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 is not required to reimburse the Fund for losses, and you should not expect that the sponsor will provide financial support to the Fund at any time, including during periods of market stress. |
| 4 | Effective after the close of business on October 31, 2023, the Goldman Sachs Local Emerging Markets Debt Fund was renamed the Goldman Sachs Emerging Markets Credit Fund. |
| 5 | Effective after the close of business on September 22, 2023, the Goldman Sachs Multi-Manager Alternatives Fund was renamed the Goldman Sachs Multi-Strategy Alternatives Fund. |
| 6 | Effective after the close of business on February 13, 2024, the Goldman Sachs Flexible Cap Fund was renamed the Goldman Sachs Enhanced Core Equity 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 Gregory G. Weaver, Chair Cheryl K. Beebe* Dwight L. Bush Kathryn A. Cassidy John G. Chou Joaquin Delgado Eileen H. Dowling Lawrence Hughes* John F. Killian* Steven D. Krichmar* Michael Latham* James A. McNamara Lawrence W. Stranghoener* PaulC.Wirth *Effective January 1, 2024 GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Robert Griffith, Secretary GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns. Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282 Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (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 data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data 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. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov. The Fund will file 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, 2023 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 objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund 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). 2024 Goldman Sachs. All rights reserved. 356437-OTU-1972675 TAXADVAR2-24
(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 14(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. Kathryn A. Cassidy 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.
| | | | | | | | | | |
| | | 2023 | | | 2022 | | | Description of Services Rendered |
| | | |
| | | | | | | | | | |
| | | |
Audit Fees: | | | | | | | | | | |
| | | |
• PricewaterhouseCoopers LLP
(“PwC”) | | $ | 4,244,721 | | | $ | 4,132,693 | | | Financial Statement audits. |
| | | |
Audit-Related Fees: | | | | | | | | | | |
| | | |
• PwC | | $ | 239,400 | | | $ | 954,600 | | | Other attest services. |
| | | |
Tax Fees: | | | | | | | | | | |
| | | |
• PwC | | $ | 0 | | | $ | 0 | | | |
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. |
| | | 2023 | | | 2022 | | | Description of Services Rendered |
| | | |
| | | | | | | | | | |
| | | |
Audit-Related Fees: | | | | | | | | | | |
| | | |
• PwC | | $ | 2,122,312 | | | $ | 1,906,448 | | | 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, 2023 and December 31, 2022 were approximately $239,400 and $954,600, 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, 2022 and December 31, 2021 were approximately $17.1 million and $14.4 million, respectively. The figures for these entities are not yet available for twelve months ended December 31, 2023. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2022 and 2021 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 4(i) – Not applicable.
Item 4(j) – Not applicable.
| 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. |
| ITEM 13. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
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.
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| | | Goldman Sachs Trust |
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| By: | | /s/ James A. McNamara |
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| | |
| | James A. McNamara |
| | President/Chief Executive Officer |
| | Goldman Sachs Trust |
| |
| Date: | | March 1, 2024 |
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 1, 2024 |
| |
| By: | | /s/ Joseph F. DiMaria |
| |
| | |
| | Joseph F. DiMaria |
| | Principal Financial Officer |
| | Goldman Sachs Trust |
| |
| Date: | | March 1, 2024 |
