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:
| | |
Robert Griffith, Esq. Goldman Sachs & Co. LLC 200 West Street York, New York 10282 | | Stephen H. Bier, Esq. Dechert LLP 1095 Avenue of the Americas 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: June 30, 2024
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Report to Shareholders for the Goldman Sachs Absolute Return Tracker Fund, Goldman Sachs Commodity Strategy Fund, Goldman Sachs Dynamic Global Equity Fund, Goldman Sachs International Equity Dividend and Premium Fund, Goldman Sachs U.S. Equity Dividend and Premium Fund, Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, and Goldman Sachs Growth Strategy Portfolio is filed herewith.
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $49 | 0.97% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $87 | 1.72% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $31 | 0.60% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R | $62 | 1.22% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $31 | 0.60% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
GJRTX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $31 | 0.61% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Absolute Return Tracker Fund
This semi-annual shareholder report contains important information about Goldman Sachs Absolute Return Tracker Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $37 | 0.72% |
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| US Equity | 29.4 | 27.1 | 2.3 | 24.8 |
| Developed Markets ex US Equity | 27.3 | 18.4 | 9.0 | 9.4 |
| Emerging Markets Equity | 10.7 | 10.7 | - | 10.7 |
| Short-Term Fixed Income | 0.6 | 0.1 | 0.6 | |
| Long-Term Fixed Income | 15.7 | 10.9 | 4.8 | 6.0 |
| Credit | 17.4 | 17.4 | - | 17.4 |
| Developed Markets Currency | 5.3 | 0.3 | 5.1 | |
| Emerging Markets Currency | 2.8 | 0.8 | 2.0 | |
| Developed Markets Equity Volatility | 2.9 | 1.5 | 1.4 | 0.1 |
| Commodities | 2.4 | 1.6 | 0.8 | 0.8 |
| Master Limited Partnerships | 0.1 | 0.1 | - | 0.1 |
| Global Real Estate | 0.6 | 0.6 | - | 0.6 |
| Convertible Securities | 3.0 | 3.0 | - | 3.0 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets exposure within each asset class. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $4,199,412,735 |
| # of Portfolio Holdings | 940 |
| Portfolio Turnover Rate | 61% |
| Total Net Advisory Fees Paid | $11,671,314 |
Goldman Sachs Absolute Return Tracker Fund
2
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Absolute Return Tracker Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $48 | 0.94% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $86 | 1.69% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $31 | 0.60% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R | $61 | 1.19% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $31 | 0.60% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
GCCIX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $31 | 0.61% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Commodity Strategy Fund
This semi-annual shareholder report contains important information about Goldman Sachs Commodity Strategy Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $35 | 0.69% |
| Gross | Long | Short | Net |
| Energy | 72.0 | 52.3 | 19.7 | 32.5 |
| Agriculture | 54.9 | 40.0 | 15.0 | 25.0 |
| Precious Metals | 21.1 | 21.1 | - | 21.1 |
| Industrial Metals | 19.1 | 18.4 | 0.7 | 17.7 |
| Livestock | 10.9 | 7.3 | 3.6 | 3.6 |
| Cash and Short-term Investments | 100.6 | 100.6 | - | 100.6 |
* Sector exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given sector), divided by the Fund's net assets exposure within each sector. "Net Exposure" represents the net exposure within the Fund to a given sector, calculated as the difference between long and short exposures. Short-term Investments include money market funds and U.S. Treasury Bills and generally represent the collateral for Fund's derivative positions.
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $394,566,307 |
| # of Portfolio Holdings | 12 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,149,295 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Commodity Strategy Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Commodity Strategy Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $29 | 0.55% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $68 | 1.30% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $9 | 0.18% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R | $42 | 0.80% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $9 | 0.18% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
GAPIX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $10 | 0.19% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $16 | 0.30% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
This semi-annual shareholder report contains important information about Goldman Sachs Dynamic Global Equity Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Service | $36 | 0.69% |
| Exchange-Traded Funds | 61.0% |
| Equity | 30.2% |
| Investment Companies | 4.1% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $356,770,165 |
| # of Portfolio Holdings | 18 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $255,799 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Dynamic Global Equity Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Dynamic Global Equity Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs International Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs International Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $60 | 1.20% |
| Financials | 20.0% |
| Industrials | 16.2% |
| Health Care | 12.3% |
| Consumer Discretionary | 11.0% |
| Information Technology | 8.0% |
| Materials | 7.5% |
| Consumer Staples | 6.8% |
| Communication Services | 4.8% |
| Utilities | 3.9% |
| Others | 5.2% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $157,920,370 |
| # of Portfolio Holdings | 305 |
| Portfolio Turnover Rate | 12% |
| Total Net Advisory Fees Paid | $617,800 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs International Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs International Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs International Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs International Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $97 | 1.95% |
| Financials | 20.0% |
| Industrials | 16.2% |
| Health Care | 12.3% |
| Consumer Discretionary | 11.0% |
| Information Technology | 8.0% |
| Materials | 7.5% |
| Consumer Staples | 6.8% |
| Communication Services | 4.8% |
| Utilities | 3.9% |
| Others | 5.2% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $157,920,370 |
| # of Portfolio Holdings | 305 |
| Portfolio Turnover Rate | 12% |
| Total Net Advisory Fees Paid | $617,800 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs International Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs International Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs International Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs International Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $44 | 0.89% |
| Financials | 20.0% |
| Industrials | 16.2% |
| Health Care | 12.3% |
| Consumer Discretionary | 11.0% |
| Information Technology | 8.0% |
| Materials | 7.5% |
| Consumer Staples | 6.8% |
| Communication Services | 4.8% |
| Utilities | 3.9% |
| Others | 5.2% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $157,920,370 |
| # of Portfolio Holdings | 305 |
| Portfolio Turnover Rate | 12% |
| Total Net Advisory Fees Paid | $617,800 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs International Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs International Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs International Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs International Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $44 | 0.89% |
| Financials | 20.0% |
| Industrials | 16.2% |
| Health Care | 12.3% |
| Consumer Discretionary | 11.0% |
| Information Technology | 8.0% |
| Materials | 7.5% |
| Consumer Staples | 6.8% |
| Communication Services | 4.8% |
| Utilities | 3.9% |
| Others | 5.2% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $157,920,370 |
| # of Portfolio Holdings | 305 |
| Portfolio Turnover Rate | 12% |
| Total Net Advisory Fees Paid | $617,800 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs International Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs International Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs International Equity Dividend and Premium Fund
GIDHX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs International Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $45 | 0.90% |
| Financials | 20.0% |
| Industrials | 16.2% |
| Health Care | 12.3% |
| Consumer Discretionary | 11.0% |
| Information Technology | 8.0% |
| Materials | 7.5% |
| Consumer Staples | 6.8% |
| Communication Services | 4.8% |
| Utilities | 3.9% |
| Others | 5.2% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $157,920,370 |
| # of Portfolio Holdings | 305 |
| Portfolio Turnover Rate | 12% |
| Total Net Advisory Fees Paid | $617,800 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs International Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs International Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs International Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs International Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $47 | 0.95% |
| Financials | 20.0% |
| Industrials | 16.2% |
| Health Care | 12.3% |
| Consumer Discretionary | 11.0% |
| Information Technology | 8.0% |
| Materials | 7.5% |
| Consumer Staples | 6.8% |
| Communication Services | 4.8% |
| Utilities | 3.9% |
| Others | 5.2% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $157,920,370 |
| # of Portfolio Holdings | 305 |
| Portfolio Turnover Rate | 12% |
| Total Net Advisory Fees Paid | $617,800 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs International Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs International Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs U.S. Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs U.S. Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $53 | 1.00% |
| Information Technology | 33.2% |
| Health Care | 12.0% |
| Financials | 11.6% |
| Communication Services | 10.4% |
| Consumer Discretionary | 9.5% |
| Industrials | 7.7% |
| Consumer Staples | 5.7% |
| Energy | 4.3% |
| Materials | 2.8% |
| Others | 4.5% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $3,360,026,427 |
| # of Portfolio Holdings | 261 |
| Portfolio Turnover Rate | 10% |
| Total Net Advisory Fees Paid | $10,322,392 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs U.S. Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs U.S. Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs U.S. Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs U.S. Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $92 | 1.75% |
| Information Technology | 33.2% |
| Health Care | 12.0% |
| Financials | 11.6% |
| Communication Services | 10.4% |
| Consumer Discretionary | 9.5% |
| Industrials | 7.7% |
| Consumer Staples | 5.7% |
| Energy | 4.3% |
| Materials | 2.8% |
| Others | 4.5% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $3,360,026,427 |
| # of Portfolio Holdings | 261 |
| Portfolio Turnover Rate | 10% |
| Total Net Advisory Fees Paid | $10,322,392 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs U.S. Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs U.S. Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs U.S. Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs U.S. Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $35 | 0.67% |
| Information Technology | 33.2% |
| Health Care | 12.0% |
| Financials | 11.6% |
| Communication Services | 10.4% |
| Consumer Discretionary | 9.5% |
| Industrials | 7.7% |
| Consumer Staples | 5.7% |
| Energy | 4.3% |
| Materials | 2.8% |
| Others | 4.5% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $3,360,026,427 |
| # of Portfolio Holdings | 261 |
| Portfolio Turnover Rate | 10% |
| Total Net Advisory Fees Paid | $10,322,392 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs U.S. Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs U.S. Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs U.S. Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs U.S. Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $35 | 0.67% |
| Information Technology | 33.2% |
| Health Care | 12.0% |
| Financials | 11.6% |
| Communication Services | 10.4% |
| Consumer Discretionary | 9.5% |
| Industrials | 7.7% |
| Consumer Staples | 5.7% |
| Energy | 4.3% |
| Materials | 2.8% |
| Others | 4.5% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $3,360,026,427 |
| # of Portfolio Holdings | 261 |
| Portfolio Turnover Rate | 10% |
| Total Net Advisory Fees Paid | $10,322,392 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs U.S. Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs U.S. Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs U.S. Equity Dividend and Premium Fund
GSPKX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs U.S. Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $36 | 0.68% |
| Information Technology | 33.2% |
| Health Care | 12.0% |
| Financials | 11.6% |
| Communication Services | 10.4% |
| Consumer Discretionary | 9.5% |
| Industrials | 7.7% |
| Consumer Staples | 5.7% |
| Energy | 4.3% |
| Materials | 2.8% |
| Others | 4.5% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $3,360,026,427 |
| # of Portfolio Holdings | 261 |
| Portfolio Turnover Rate | 10% |
| Total Net Advisory Fees Paid | $10,322,392 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs U.S. Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs U.S. Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs U.S. Equity Dividend and Premium Fund
This semi-annual shareholder report contains important information about Goldman Sachs U.S. Equity Dividend and Premium Fund (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $40 | 0.75% |
| Information Technology | 33.2% |
| Health Care | 12.0% |
| Financials | 11.6% |
| Communication Services | 10.4% |
| Consumer Discretionary | 9.5% |
| Industrials | 7.7% |
| Consumer Staples | 5.7% |
| Energy | 4.3% |
| Materials | 2.8% |
| Others | 4.5% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $3,360,026,427 |
| # of Portfolio Holdings | 261 |
| Portfolio Turnover Rate | 10% |
| Total Net Advisory Fees Paid | $10,322,392 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs U.S. Equity Dividend and Premium Fund
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The sector allocation chart included herein categorizes investments using the Global Industry Classification Standard (GICS), which 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.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs U.S. Equity Dividend and Premium Fund
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $28 | 0.55% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $66 | 1.30% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $9 | 0.18% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R | $41 | 0.80% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $9 | 0.18% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
GIPIX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $10 | 0.19% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $15 | 0.30% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Balanced Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Balanced Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Service | $36 | 0.70% |
| Fixed Income | 39.8% |
| Exchange-Traded Funds | 39.0% |
| Equity | 15.4% |
| Dynamic | 2.1% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $535,119,164 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 6% |
| Total Net Advisory Fees Paid | $406,994 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Balanced Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Balanced Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $28 | 0.55% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $67 | 1.30% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $9 | 0.18% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R | $41 | 0.80% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $9 | 0.18% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
GOIIX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $10 | 0.19% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $15 | 0.30% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth and Income Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth and Income Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Service | $36 | 0.69% |
| Exchange-Traded Funds | 54.8% |
| Fixed Income | 20.0% |
| Equity | 19.6% |
| Dynamic | 2.0% |
| Investment Companies | 0.6% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $889,575,312 |
| # of Portfolio Holdings | 29 |
| Portfolio Turnover Rate | 4% |
| Total Net Advisory Fees Paid | $642,485 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth and Income Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth and Income Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| A | $29 | 0.55% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-526-7384.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| C | $68 | 1.30% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-526-7384.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $9 | 0.18% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R | $42 | 0.80% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $9 | 0.18% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
GGSIX: Institutional Class
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $10 | 0.19% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $16 | 0.30% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
1
Semi-Annual Shareholder Report
June 30, 2024
Goldman Sachs Growth Strategy Portfolio
This semi-annual shareholder report contains important information about Goldman Sachs Growth Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Service | $36 | 0.69% |
| Exchange-Traded Funds | 65.6% |
| Equity | 25.1% |
| Fixed Income | 3.2% |
| Dynamic | 1.9% |
| Investment Companies | 0.9% |
Key Fund Statistics (as of June 30, 2024)
| Total Net Assets | $930,190,322 |
| # of Portfolio Holdings | 27 |
| Portfolio Turnover Rate | 2% |
| Total Net Advisory Fees Paid | $667,695 |
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs Growth Strategy Portfolio
2
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Growth Strategy Portfolio
| | (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”). |
| | (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. |
| | (f) | A copy of the Code of Ethics is available as provided in Item 19(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 and Michael Latham are each an “audit committee financial expert” and “independent” (as each term is defined in Item 3 of Form N-CSR).
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
The information required by this Item is only required in an annual report on this Form N-CSR.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
Schedule of Investments is included in Item 7 of this report.
| ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Goldman Sachs Fund of Funds Portfolios
TABLE OF CONTENTS
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | |
Shares | | Description | | Value | |
| |
| | Underlying Funds – 96.3% | |
| |
| | Dynamic(a) – 2.1% | |
| | 1,105,447 | | Goldman Sachs Managed Futures Strategy Fund — Class R6 | | $ | 11,452,427 | |
| | | |
| |
| | Equity(a) – 15.4% | |
| | 562,250 | | Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 19,206,462 | |
| | 713,061 | | Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 17,327,372 | |
| | 1,007,137 | | Goldman Sachs International Equity Insights Fund — Class R6 | | | 15,147,338 | |
| | 283,508 | | Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 7,963,749 | |
| | 739,663 | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 6,612,585 | |
| | 447,374 | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 5,726,391 | |
| | 430,254 | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,283,514 | |
| | 509,769 | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 4,694,976 | |
| | 20,032 | | Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 255,215 | |
| | | | | | | | |
| | | |
| | | | | | | 82,217,602 | |
| | | |
| |
| | Exchange Traded Funds – 39.0% | |
| | 1,188,541 | | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | | | 53,781,480 | |
| | 689,178 | | Goldman Sachs MarketBeta U.S. Equity ETF(a) | | | 51,522,947 | |
| | 296,876 | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | | | 31,750,888 | |
| | 522,953 | | Goldman Sachs MarketBeta International Equity ETF(a) | | | 29,259,221 | |
| | 420,405 | | Goldman Sachs ActiveBeta International Equity ETF(a) | | | 14,146,628 | |
| | 252,746 | | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | | | 11,365,811 | |
| | 211,952 | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | | | 6,924,472 | |
| | 33,729 | | Industrial Select Sector SPDR Fund | | | 4,110,553 | |
| | 187,907 | | Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | | | 2,640,093 | |
| | 17,321 | | Energy Select Sector SPDR Fund | | | 1,578,809 | |
| | 9,054 | | iShares 7-10 Year Treasury Bond ETF | | | 847,907 | |
| | | |
| | | | | | | | |
| | |
Shares | | Description | | Value | |
| |
| | Underlying Funds – (continued) | |
| |
| | Exchange Traded Funds – (continued) | |
| | 4,258 | | Consumer Staples Select Sector SPDR Fund | | $ | 326,078 | |
| | 2,526 | | iShares MSCI Mexico ETF | | | 142,997 | |
| | | | | | | | |
| | | |
| | | | | | | 208,397,884 | |
| | | |
| |
| | Fixed Income(a) – 39.8% | |
| | 16,421,280 | | Goldman Sachs Global Core Fixed Income Fund — Class R6 | | | 185,232,035 | |
| | 1,136,148 | | Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | 10,691,150 | |
| | 1,036,825 | | Goldman Sachs High Yield Fund — Class R6 | | | 5,785,485 | |
| | 645,208 | | Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 5,735,901 | |
| | 601,231 | | Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 5,705,677 | |
| | | | | | | | |
| | | |
| | | | | | | 213,150,248 | |
| | | |
| | TOTAL UNDERLYING FUNDS – 96.3%
(Cost $484,524,399) | | $ | 515,218,161 | |
| | | |
| | | |
| | | Shares | | Dividend
Rate | | Value | |
| |
| | Investment Company(a) – 0.9% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 4,884,941 | | 5.213% | | $ | 4,884,941 | |
| | (Cost $ 4,884,941) | | | | |
| | | |
| | TOTAL INVESTMENTS – 97.2%
(Cost $ 489,409,340) | | $ | 520,103,102 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.8% | | | 15,016,062 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 535,119,164 | |
| | | |
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.
| | |
| The accompanying notes are an integral part of these financial statements. | | 1 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2024, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Gain | |
|
| |
| | | | |
MS & Co. Int. PLC | | USD | 2,414,783 | | | CHF | 2,140,000 | | | | 09/18/24 | | | $ | 9,916 | |
| | USD | 609,081 | | | DKK | 4,180,000 | | | | 09/18/24 | | | | 6,043 | |
| | USD | 9,467,958 | | | EUR | 8,720,000 | | | | 09/18/24 | | | | 93,348 | |
| | USD | 6,474,140 | | | GBP | 5,085,000 | | | | 09/18/24 | | | | 42,415 | |
| | USD | 53,413 | | | ILS | 200,000 | | | | 09/18/24 | | | | 276 | |
| | USD | 8,576,549 | | | JPY | 1,324,000,000 | | | | 09/18/24 | | | | 246,778 | |
| | USD | 30,558 | | | NZD | 50,000 | | | | 09/18/24 | | | | 103 | |
| | USD | 514,886 | | | SEK | 5,400,000 | | | | 09/18/24 | | | | 3,322 | |
| | USD | 193,362 | | | SGD | 260,000 | | | | 09/18/24 | | | | 901 | |
|
| |
| | | | |
| TOTAL | | | | | | | | | | | | | | $ | 403,102 | |
|
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Unrealized
Loss | |
|
| |
| | | | |
MS & Co. Int. PLC | | CHF | 770,000 | | | USD | 872,972 | | | | 09/18/24 | | | $ | (7,669 | ) |
| | JPY | 127,000,000 | | | USD | 823,407 | | | | 09/18/24 | | | | (24,403 | ) |
| | USD | 1,155,526 | | | AUD | 1,750,000 | | | | 09/18/24 | | | | (14,302 | ) |
| | USD | 305,457 | | | HKD | 2,380,000 | | | | 09/19/24 | | | | (3 | ) |
| | USD | 98,318 | | | NOK | 1,050,000 | | | | 09/18/24 | | | | (219 | ) |
|
| |
| | | | |
| TOTAL | | | | | | | | | | | | | | $ | (46,596 | ) |
|
| |
FUTURES CONTRACTS — At June 30, 2024, 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 | | | 166 | | | | 09/19/24 | | | $ | 18,257,406 | | | | $158,380 | |
Euro Stoxx 50 Index | | | 17 | | | | 09/20/24 | | | | 896,835 | | | | 1,704 | |
S&P 500 E-Mini Index | | | 70 | | | | 09/20/24 | | | | 19,325,250 | | | | (44,736 | ) |
STOXX Europe 600 | | | 15 | | | | 09/20/24 | | | | 295,743 | | | | 527 | |
TOPIX Futures | | | 13 | | | | 09/12/24 | | | | 2,270,900 | | | | 26,146 | |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $142,021 | |
|
| |
SWAP CONTRACTS — At June 30, 2024, the Portfolio had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | |
| Payments Made by the Portfolio(a) | | Payments
Received
by Portfolio(a) | | Termination
Date | | Notional
Amount
(000s) | | | Unrealized
Appreciation/
(Depreciation)* | |
|
| |
6M GBP | | 4.403% | | 09/12/33 | | | GBP 380 | | | | $16,349 | |
|
| |
| | (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. |
| | |
| 2 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2024, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Rate | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Y IRS | | MS & Co. Int. PLC | | | 3.440 | % | | | 01/24/2025 | | | | 400,000 | | | $ | 400,000 | | | $ | 6,352 | | | | $ 14,358 | | | | $ (8,006) | |
6M IRS | | MS & Co. Int. PLC | | | 3.750 | | | | 08/14/2024 | | | | 1,700,000 | | | | 1,700,000 | | | | 10,261 | | | | 39,355 | | | | (29,094) | |
6M IRS | | MS & Co. Int. PLC | | | 4.500 | | | | 09/13/2024 | | | | 1,760,000 | | | | 1,760,000 | | | | 8,002 | | | | 8,413 | | | | (411) | |
6M IRS | | MS & Co. Int. PLC | | | 3.200 | | | | 09/13/2024 | | | | 1,760,000 | | | | 1,760,000 | | | | 232 | | | | 1,174 | | | | (942) | |
7M IRS | | MS & Co. Int. PLC | | | 4.150 | | | | 09/13/2024 | | | | 1,740,000 | | | | 1,740,000 | | | | 3,338 | | | | 10,267 | | | | (6,929) | |
7M IRS | | MS & Co. Int. PLC | | | 3.100 | | | | 09/13/2024 | | | | 1,740,000 | | | | 1,740,000 | | | | 170 | | | | 2,468 | | | | (2,298) | |
7M IRS | | MS & Co. Int. PLC | | | 3.500 | | | | 10/16/2024 | | | | 670,000 | | | | 670,000 | | | | 6,135 | | | | 16,387 | | | | (10,252) | |
|
| |
| | | | | | |
| Total purchased option contracts | | | | | | | | 9,770,000 | | | $ | 9,770,000 | | | $ | 34,490 | | | | $ 92,422 | | | | $(57,932) | |
|
| |
| | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Y IRS | | MS & Co. Int. PLC | | | 2.916 | | | | 01/24/2025 | | | | (800,000 | ) | | | (800,000 | ) | | | (4,495 | ) | | | (14,434) | | | | 9,939 | |
6M IRS | | MS & Co. Int. PLC | | | 3.400 | | | | 08/14/2024 | | | | (1,700,000 | ) | | | (1,700,000 | ) | | | (2,334 | ) | | | (20,442) | | | | 18,108 | |
6M IRS | | MS & Co. Int. PLC | | | 3.950 | | | | 09/13/2024 | | | | (3,510,000 | ) | | | (3,510,000 | ) | | | (3,963 | ) | | | (7,103) | | | | 3,140 | |
7M IRS | | MS & Co. Int. PLC | | | 3.600 | | | | 09/13/2024 | | | | (3,480,000 | ) | | | (3,480,000 | ) | | | (1,478 | ) | | | (9,426) | | | | 7,948 | |
7M IRS | | MS & Co. Int. PLC | | | 3.100 | | | | 10/16/2024 | | | | (670,000 | ) | | | (670,000 | ) | | | (1,998 | ) | | | (7,435) | | | | 5,437 | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | (10,160,000 | ) | | $ | (10,160,000 | ) | | $ | (14,268 | ) | | | $(58,840) | | | | $ 44,572 | |
|
| |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7M IRS | | MS & Co. Int. PLC | | | 4.260 | | | | 10/16/2024 | | | | (670,000 | ) | | | (670,000 | ) | | | (5,216 | ) | | | (8,952) | | | | 3,736 | |
|
| |
| | | | | | |
| Total written option contracts | | | | | | | | (10,830,000 | ) | | $ | (10,830,000 | ) | | $ | (19,484 | ) | | | $(67,792) | | | | $ 48,308 | |
|
| |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | (1,060,000 | ) | | $ | (1,060,000 | ) | | $ | 15,006 | | | | $ 24,630 | | | | $ (9,624) | |
|
| |
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Portfolio | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SPXA Index | | MS & Co. Int. PLC | | | $1,681.700 | | | | 03/21/2025 | | | | 196 | | | | $ 32,961,320 | | | | $ 6,129 | | | | $21,674 | | | | $(15,545) | |
EWW Index | | MS & Co. Int. PLC | | | 65.808 | | | | 09/03/2024 | | | | 2,790 | | | | 18,360,432 | | | | 448 | | | | 2,232 | | | | (1,784) | |
|
| |
| | | | | | |
| Total purchased option contracts | | | | | | | | 2,986 | | | | $ 51,321,752 | | | | $ 6,577 | | | | $23,906 | | | | $(17,329) | |
|
| |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SPXA Index | | MS & Co. Int. PLC | | | 1,936.360 | | | | 03/21/2025 | | | | (196 | ) | | | (37,952,656 | ) | | | (377 | ) | | | (6,669) | | | | 6,292 | |
|
| |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EWW Index | | MS & Co. Int. PLC | | | 53.109 | | | | 09/03/2024 | | | | (2,790 | ) | | | (14,817,411 | ) | | | (2,491 | ) | | | (2,232) | | | | (259) | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 3 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON EQUITIES (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by
Portfolio | | Unrealized
Appreciation/
(Depreciation) |
|
|
| SPXA Index | | MS & Co. Int. PLC | | $ | 1,422.240 | | | | 03/21/2025 | | | | (196 | ) | | $ | (27,875,904 | ) | | $ | (7,285 | ) | | $(10,004) | | $ 2,719 |
|
|
| | | | | | | | |
| | | | | | | | | | | | | (2,986 | ) | | $ | (42,693,315 | ) | | $ | (9,776 | ) | | $(12,236) | | $ 2,460 |
|
|
| | | | | | |
| Total written option contracts | | | | | | | | (3,182 | ) | | $ | (80,645,971 | ) | | $ | (10,153 | ) | | $(18,905) | | $ 8,752 |
|
|
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | (196 | ) | | $ | (29,324,219 | ) | | $ | (3,576 | ) | | $ 5,001 | | $(8,577) |
|
|
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 | | $ | 5,560.000 | | | | 07/01/2024 | | | | (4) | | | $ | (2,224,000 | ) | | $ | (10 | ) | | | $ (1,964) | | | | $ 1,954 | |
S&P 500 Index | | | 5,500.000 | | | | 07/03/2024 | | | | (3) | | | | (1,650,000 | ) | | | (2,565 | ) | | | (3,326) | | | | 761 | |
S&P 500 Index | | | 5,565.000 | | | | 07/03/2024 | | | | (4) | | | | (2,226,000 | ) | | | (100 | ) | | | (993) | | | | 893 | |
S&P 500 Index | | | 5,550.000 | | | | 07/10/2024 | | | | (3) | | | | (1,665,000 | ) | | | (2,445 | ) | | | (6,440) | | | | 3,995 | |
S&P 500 Index | | | 5,700.000 | | | | 07/17/2024 | | | | (3) | | | | (1,710,000 | ) | | | (315 | ) | | | (2,199) | | | | 1,884 | |
S&P 500 Index | | | 5,650.000 | | | | 07/24/2024 | | | | (3) | | | | (1,695,000 | ) | | | (1,920 | ) | | | (2,823) | | | | 903 | |
S&P 500 Index | | | 5,475.000 | | | | 07/31/2024 | | | | (1) | | | | (547,500 | ) | | | (7,760 | ) | | | (4,756) | | | | (3,004) | |
S&P 500 Index | | | 5,490.000 | | | | 07/31/2024 | | | | (1) | | | | (549,000 | ) | | | (6,890 | ) | | | (2,679) | | | | (4,211) | |
|
| |
| | | | | | | | | | | (22) | | | $ | (12,266,500 | ) | | $ | (22,005 | ) | | | $(25,180) | | | | $ 3,175 | |
|
| |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 5,390.000 | | | | 07/01/2024 | | | | (8) | | | | (4,312,000 | ) | | | (420 | ) | | | (4,705) | | | | 4,285 | |
S&P 500 Index | | | 5,240.000 | | | | 07/03/2024 | | | | (2) | | | | (1,048,000 | ) | | | (65 | ) | | | (5,561) | | | | 5,496 | |
S&P 500 Index | | | 5,400.000 | | | | 07/03/2024 | | | | (8) | | | | (4,320,000 | ) | | | (2,420 | ) | | | (5,194) | | | | 2,774 | |
S&P 500 Index | | | 5,235.000 | | | | 07/10/2024 | | | | (6) | | | | (3,141,000 | ) | | | (1,035 | ) | | | (6,519) | | | | 5,484 | |
S&P 500 Index | | | 5,330.000 | | | | 07/17/2024 | | | | (6) | | | | (3,198,000 | ) | | | (7,440 | ) | | | (10,404) | | | | 2,964 | |
S&P 500 Index | | | 5,325.000 | | | | 07/24/2024 | | | | (6) | | | | (3,195,000 | ) | | | (10,350 | ) | | | (10,615) | | | | 265 | |
S&P 500 Index | | | 5,230.000 | | | | 07/31/2024 | | | | (1) | | | | (523,000 | ) | | | (1,400 | ) | | | (4,588) | | | | 3,188 | |
S&P 500 Index | | | 5,245.000 | | | | 07/31/2024 | | | | (1) | | | | (524,500 | ) | | | (1,515 | ) | | | (7,309) | | | | 5,794 | |
|
| |
| | | | | | | | | | | (38) | | | $ | (20,261,500 | ) | | $ | (24,645 | ) | | | $(54,895) | | | | $30,250 | |
|
| |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | (60) | | | $ | (32,528,000 | ) | | $ | (46,650 | ) | | | $(80,075) | | | | $33,425 | |
|
| |
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 | | $ | 95.250 | | | | 09/13/2024 | | | | 32 | | | | $80,000 | | | | $1,400 | | | | $129,170 | | | | $(127,770) | |
3 Month SOFR | | | 95.375 | | | | 09/13/2024 | | | | 12 | | | | 30,000 | | | | 450 | | | | 48,937 | | | | (48,487) | |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 46 | | | | 115,000 | | | | 1,150 | | | | 65,358 | | | | (64,208) | |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 99 | | | | 247,500 | | | | 1,238 | | | | 132,569 | | | | (131,331) | |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 50 | | | | 125,000 | | | | 4,375 | | | | 78,717 | | | | (74,342) | |
| | |
| 4 | | 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 | | 12/13/2024 | | 181 | | | $ | 452,500 | | | | $ | 6,788 | | | | $ | 291,998 | | | | $ | (285,210 | ) |
3 Month SOFR | | 98.000 | | 12/13/2024 | | 111 | | | | 277,500 | | | | | 1,388 | | | | | 22,457 | | | | | (21,069 | ) |
3 Month SOFR | | 96.500 | | 03/14/2025 | | 53 | | | | 132,500 | | | | | 10,931 | | | | | 89,746 | | | | | (78,815 | ) |
3 Month SOFR | | 97.000 | | 03/14/2025 | | 97 | | | | 242,500 | | | | | 11,519 | | | | | 128,750 | | | | | (117,231 | ) |
3 Month SOFR | | 97.250 | | 03/14/2025 | | 162 | | | | 405,000 | | | | | 14,175 | | | | | 296,628 | | | | | (282,453 | ) |
3 Month SOFR | | 98.000 | | 03/14/2025 | | 73 | | | | 182,500 | | | | | 2,738 | | | | | 22,982 | | | | | (20,244 | ) |
3 Month SOFR | | 96.250 | | 06/13/2025 | | 67 | | | | 167,500 | | | | | 38,106 | | | | | 95,080 | | | | | (56,974 | ) |
3 Month SOFR | | 96.625 | | 06/13/2025 | | 54 | | | | 135,000 | | | | | 20,587 | | | | | 93,046 | | | | | (72,459 | ) |
3 Month SOFR | | 97.250 | | 06/13/2025 | | 126 | | | | 315,000 | | | | | 25,200 | | | | | 155,988 | | | | | (130,788 | ) |
3 Month SOFR | | 96.000 | | 09/12/2025 | | 34 | | | | 85,000 | | | | | 36,975 | | | | | 33,229 | | | | | 3,746 | |
3 Month SOFR | | 96.500 | | 09/12/2025 | | 100 | | | | 250,000 | | | | | 67,500 | | | | | 135,619 | | | | | (68,119 | ) |
3 Month SOFR | | 96.625 | | 09/12/2025 | | 51 | | | | 127,500 | | | | | 30,600 | | | | | 94,864 | | | | | (64,264 | ) |
3 Month SOFR | | 97.500 | | 09/12/2025 | | 145 | | | | 362,500 | | | | | 36,250 | | | | | 163,461 | | | | | (127,211 | ) |
3 Month SOFR | | 96.125 | | 12/12/2025 | | 55 | | | | 137,500 | | | | | 69,094 | | | | | 62,003 | | | | | 7,091 | |
3 Month SOFR | | 96.500 | | 12/12/2025 | | 89 | | | | 222,500 | | | | | 80,656 | | | | | 137,994 | | | | | (57,338 | ) |
3 Month SOFR | | 97.500 | | 12/12/2025 | | 134 | | | | 335,000 | | | | | 46,900 | | | | | 161,111 | | | | | (114,211 | ) |
3 Month SOFR | | 96.250 | | 03/13/2026 | | 51 | | | | 127,500 | | | | | 68,531 | | | | | 63,868 | | | | | 4,663 | |
3 Month SOFR | | 96.625 | | 03/13/2026 | | 62 | | | | 155,000 | | | | | 61,225 | | | | | 92,369 | | | | | (31,144 | ) |
3 Month SOFR | | 96.750 | | 03/13/2026 | | 32 | | | | 80,000 | | | | | 28,400 | | | | | 52,074 | | | | | (23,674 | ) |
3 Month SOFR | | 96.250 | | 06/12/2026 | | 46 | | | | 115,000 | | | | | 70,150 | | | | | 65,404 | | | | | 4,746 | |
3 Month SOFR | | 96.625 | | 06/12/2026 | | 59 | | | | 147,500 | | | | | 67,112 | | | | | 93,062 | | | | | (25,950 | ) |
3 Month SOFR | | 96.750 | | 06/12/2026 | | 33 | | | | 82,500 | | | | | 33,825 | | | | | 51,226 | | | | | (17,401 | ) |
3 Month SOFR | | 96.375 | | 09/11/2026 | | 46 | | | | 115,000 | | | | | 69,862 | | | | | 66,232 | | | | | 3,630 | |
3 Month SOFR | | 96.625 | | 09/11/2026 | | 56 | | | | 140,000 | | | | | 70,700 | | | | | 93,230 | | | | | (22,530 | ) |
3 Month SOFR | | 96.375 | | 12/11/2026 | | 44 | | | | 110,000 | | | | | 70,950 | | | | | 68,302 | | | | | 2,648 | |
|
| | |
| | | | | | | |
TOTAL | | | | | | 2,200 | | | $ | 5,500,000 | | | | $ | 1,048,775 | | | | $ | 3,085,474 | | | | $ | (2,036,699 | ) |
|
| | |
| | |
|
|
| 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 |
| MSCI | | —Morgan Stanley Capital International |
| SPDR | | —Standard and Poor’s Depository Receipt |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 5 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | |
|
|
| Abbreviations: |
| 1Y IRS | | —1 Year Interest Rate Swaptions |
| 6M IRS | | —6 Month Interest Rate Swaptions |
| 7M IRS | | —7 Month Interest Rate Swaptions |
| MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
| SOFR | | —Secured Overnight Financing Rate |
|
|
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – 96.4% | |
| |
| | Dynamic(a) – 2.0% | |
| | 1,722,737 | | Goldman Sachs Managed Futures
Strategy Fund — Class R6 | | $ | 17,847,553 | |
| | | |
| |
| | Equity(a) – 19.6% | |
| | 1,371,736 | | Goldman Sachs Large Cap Growth
Insights Fund — Class R6 | | | 46,858,491 | |
| | 1,734,430 | | Goldman Sachs Large Cap Value
Insights Fund — Class R6 | | | 42,146,644 | |
| | 2,317,589 | | Goldman Sachs International
Equity Insights Fund — Class R6 | | | 34,856,540 | |
| | 1,979,668 | | Goldman Sachs Emerging Markets
Equity Insights Fund — Class R6 | | | 17,698,236 | |
| | 470,733 | | Goldman Sachs Small Cap Equity
Insights Fund — Class R6 | | | 13,222,888 | |
| | 708,906 | | Goldman Sachs International Small
Cap Insights Fund — Class R6 | | | 9,073,995 | |
| | 424,219 | | Goldman Sachs Global Infrastructure
Fund — Class R6 | | | 5,209,413 | |
| | 543,015 | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 5,001,170 | |
| | 23,297 | | Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 296,798 | |
| | | | | | | | |
| | | | | | | 174,364,175 | |
| | | |
| |
| | Exchange Traded Funds – 54.8% | |
| | 2,100,164 | | Goldman Sachs MarketBeta
U.S. Equity ETF(a) | | | 157,008,261 | |
| | 768,121 | | Goldman Sachs ActiveBeta
U.S. Large Cap Equity ETF(a) | | | 82,150,541 | |
| | 1,718,087 | | Goldman Sachs Access Investment
Grade Corporate Bond ETF(a) | | | 77,743,437 | |
| | 1,315,013 | | Goldman Sachs MarketBeta
International Equity ETF(a) | | | 73,574,977 | |
| | 990,368 | | Goldman Sachs ActiveBeta
International Equity ETF(a) | | | 33,325,883 | |
| | 719,790 | | Goldman Sachs MarketBeta
Emerging Markets Equity ETF(a) | | | 32,368,453 | |
| | 514,700 | | Goldman Sachs ActiveBeta Emerging
Markets Equity ETF(a) | | | 16,815,249 | |
| | 51,905 | | Industrial Select Sector SPDR Fund | | | 6,325,662 | |
| | 294,141 | | Invesco Optimum Yield Diversified
Commodity Strategy No. K-1 ETF | | | 4,132,681 | |
| | 26,655 | | Energy Select Sector SPDR Fund | | | 2,429,603 | |
| | 11,781 | | iShares 7-10 Year Treasury Bond ETF | | | 1,103,291 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – (continued) | |
| |
| | Exchange Traded Funds – (continued) | |
| | 5,595 | | Consumer Staples Select Sector
SPDR Fund | | $ | 428,465 | |
| | 3,887 | | iShares MSCI Mexico ETF | | | 220,043 | |
| | | | | | | | |
| | | | | | | 487,626,546 | |
| | | |
| |
| | Fixed Income(a) – 20.0% | |
| | 12,502,522 | | Goldman Sachs Global Core Fixed
Income Fund — Class R6 | | | 141,028,443 | |
| | 1,020,912 | | Goldman Sachs Inflation Protected
Securities Fund — Class R6 | | | 9,606,783 | |
| | 1,026,666 | | Goldman Sachs High Yield Floating
Rate Fund — Class R6 | | | 9,127,062 | |
| | 956,363 | | Goldman Sachs Emerging Markets
Debt Fund — Class R6 | | | 9,075,888 | |
| | 1,542,089 | | Goldman Sachs High Yield Fund —
Class R6 | | | 8,604,859 | |
| | | | | | | | |
| | | | | | | 177,443,035 | |
| | | |
| | TOTAL UNDERLYING FUNDS – 96.4% (Cost $752,911,374) | | $ | 857,281,309 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(a) – 0.6% | |
| |
| | Goldman Sachs Financial Square Government Fund —
Institutional Shares | |
| | 5,344,983 | | 5.213% | | $ | 5,344,983 | |
| | (Cost $5,344,983) | | | | |
| | | |
| | TOTAL INVESTMENTS – 97.0% (Cost $758,256,357) | | $ | 862,626,292 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.0% | | | 26,949,020 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 889,575,312 | |
| | | |
| | |
| 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 June 30, 2024, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency Sold | | | Settlement
Date | | Unrealized
Gain | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | USD | | | 3,892,991 | | | CHF | | | 3,450,000 | | | 09/18/24 | | $ | 15,985 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Gain | |
|
| |
| | | | | | |
MS & Co. Int. PLC (continued) | | USD | | | 1,108,877 | | | DKK | | | 7,610,000 | | | | 09/18/24 | | | | $ 11,003 | |
| | USD | | | 16,514,638 | | | EUR | | | 15,210,000 | | | | 09/18/24 | | | | 162,824 | |
| | USD | | | 11,083,067 | | | GBP | | | 8,705,000 | | | | 09/18/24 | | | | 72,612 | |
| | USD | | | 106,826 | | | ILS | | | 400,000 | | | | 09/18/24 | | | | 552 | |
| | USD | | | 14,429,191 | | | JPY | | | 2,227,000,000 | | | | 09/18/24 | | | | 418,313 | |
| | USD | | | 55,004 | | | NZD | | | 90,000 | | | | 09/18/24 | | | | 186 | |
| | USD | | | 943,957 | | | SEK | | | 9,900,000 | | | | 09/18/24 | | | | 6,090 | |
| | USD | | | 349,539 | | | SGD | | | 470,000 | | | | 09/18/24 | | | | 1,628 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | $689,193 | |
|
| |
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Loss | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | CHF | | | 960,000 | | | USD | | | 1,088,381 | | | | 09/18/24 | | | | $ (9,562 | ) |
| | JPY | | | 159,000,000 | | | USD | | | 1,030,880 | | | | 09/18/24 | | | | (30,552 | ) |
| | USD | | | 2,106,360 | | | AUD | | | 3,190,000 | | | | 09/18/24 | | | | (26,070 | ) |
| | USD | | | 555,726 | | | HKD | | | 4,330,000 | | | | 09/19/24 | | | | (5 | ) |
| | USD | | | 173,226 | | | NOK | | | 1,850,000 | | | | 09/18/24 | | | | (385 | ) |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | $(66,574 | ) |
|
| |
FUTURES CONTRACTS — At June 30, 2024, 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 | | | | 232 | | | | | 09/19/24 | | | | $ | 25,516,375 | | | | | $221,450 | |
Euro Stoxx 50 Index | | | | 27 | | | | | 09/20/24 | | | | | 1,424,386 | | | | | 2,707 | |
S&P 500 E-Mini Index | | | | 74 | | | | | 09/20/24 | | | | | 20,429,550 | | | | | (47,717 | ) |
STOXX Europe 600 | | | | 21 | | | | | 09/20/24 | | | | | 414,040 | | | | | 738 | |
TOPIX Futures | | | | 21 | | | | | 09/12/24 | | | | | 3,668,376 | | | | | 42,240 | |
|
| | |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | | | | | $219,418 | |
|
| | |
SWAP CONTRACTS — At June 30, 2024, the Portfolio had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | |
| Payments Made by the Portfolio(a) | | Payments
Received
by Portfolio(a) | | Termination
Date | | Notional Amount (000s) | | Unrealized
Appreciation/
(Depreciation)* |
| | | | |
| 6M GBP | | 4.403% | | 09/12/33 | | GBP 490 | | $21,081 |
|
|
| | (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. |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2024, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise Rate | | Expiration Date | | Number of Contracts | | Notional Amount | | Market Value | | Premiums Paid
(Received) by Portfolio | | Unrealized
Appreciation/ (Depreciation) |
|
| | |
| | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12M IRS | | MS & Co. Int. PLC | | | | 3.440 | % | | | | 01/24/2025 | | | | | 490,000 | | | | $ | 490,000 | | | | $ | 7,781 | | | | $ | 17,588 | | | | $ | (9,807 | ) |
6M IRS | | MS & Co. Int. PLC | | | | 3.750 | | | | | 08/14/2024 | | | | | 2,130,000 | | | | | 2,130,000 | | | | | 12,856 | | | | | 49,310 | | | | | (36,454 | ) |
6M IRS | | MS & Co. Int. PLC | | | | 4.500 | | | | | 09/13/2024 | | | | | 2,160,000 | | | | | 2,160,000 | | | | | 9,820 | | | | | 10,325 | | | | | (505 | ) |
6M IRS | | MS & Co. Int. PLC | | | | 3.200 | | | | | 09/13/2024 | | | | | 2,160,000 | | | | | 2,160,000 | | | | | 285 | | | | | 1,441 | | | | | (1,156 | ) |
7M IRS | | MS & Co. Int. PLC | | | | 3.100 | | | | | 09/13/2024 | | | | | 2,130,000 | | | | | 2,130,000 | | | | | 209 | | | | | 3,021 | | | | | (2,812 | ) |
7M IRS | | MS & Co. Int. PLC | | | | 4.150 | | | | | 09/13/2024 | | | | | 2,130,000 | | | | | 2,130,000 | | | | | 4,086 | | | | | 12,569 | | | | | (8,483 | ) |
7M IRS | | MS & Co. Int. PLC | | | | 3.500 | | | | | 10/16/2024 | | | | | 850,000 | | | | | 850,000 | | | | | 7,784 | | | | | 20,789 | | | | | (13,005 | ) |
|
| | |
| | | | | | | |
| Total purchased option contracts | | | | | | | | | | | | | | 12,050,000 | | | | $ | 12,050,000 | | | | $ | 42,821 | | | | $ | 115,043 | | | | $ | (72,222 | ) |
|
| | |
| | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12M IRS | | MS & Co. Int. PLC | | | | 2.916 | | | | | 01/24/2025 | | | | | (980,000 | ) | | | | (980,000 | ) | | | | (5,507 | ) | | | | (17,682 | ) | | | | 12,175 | |
6M IRS | | MS & Co. Int. PLC | | | | 3.400 | | | | | 08/14/2024 | | | | | (2,130,000 | ) | | | | (2,130,000 | ) | | | | (2,924 | ) | | | | (25,613 | ) | | | | 22,689 | |
6M IRS | | MS & Co. Int. PLC | | | | 3.950 | | | | | 09/13/2024 | | | | | (4,330,000 | ) | | | | (4,330,000 | ) | | | | (4,889 | ) | | | | (8,763 | ) | | | | 3,874 | |
7M IRS | | MS & Co. Int. PLC | | | | 3.600 | | | | | 09/13/2024 | | | | | (4,260,000 | ) | | | | (4,260,000 | ) | | | | (1,809 | ) | | | | (11,538 | ) | | | | 9,729 | |
7M IRS | | MS & Co. Int. PLC | | | | 3.100 | | | | | 10/16/2024 | | | | | (850,000 | ) | | | | (850,000 | ) | | | | (2,534 | ) | | | | (9,432 | ) | | | | 6,898 | |
|
| | |
| | | | | | | | |
| | | | | | | | | | | | | | | | (12,550,000 | ) | | | $ | (12,550,000 | ) | | | $ | (17,663 | ) | | | $ | (73,028 | ) | | | $ | 55,365 | |
|
| | |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7M IRS | | MS & Co. Int. PLC | | | | 4.260 | | | | | 10/16/2024 | | | | | (850,000 | ) | | | | (850,000 | ) | | | | (6,618 | ) | | | | (11,357 | ) | | | | 4,739 | |
|
| | |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | (13,400,000 | ) | | | $ | (13,400,000 | ) | | | $ | (24,281 | ) | | | $ | (84,385 | ) | | | $ | 60,104 | |
|
| | |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | (1,350,000 | ) | | | $ | (1,350,000 | ) | | | $ | 18,540 | | | | $ | 30,658 | | | | $ | (12,118 | ) |
|
| | |
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise Price | | Expiration Date | | Number of Contracts | | Notional Amount | | Market Value | | Premiums Paid
(Received) by Portfolio | | Unrealized
Appreciation/
(Depreciation) |
|
| | |
| | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SXPA Index | | MS & Co. Int. PLC | | | $ | 1,681.700 | | | | | 03/21/2025 | | | | | 245 | | | | $ | 41,201,650 | | | | $ | 7,661 | | | | $ | 27,092 | | | | $ | (19,431 | ) |
EWW Index | | MS & Co. Int. PLC | | | | 65.808 | | | | | 09/03/2024 | | | | | 3,620 | | | | | 23,822,496 | | | | | 581 | | | | | 2,896 | | | | | (2,315 | ) |
|
| | |
| | | | | | | | |
| Total purchased option contracts | | | | | | | | | | | | | | | | 3,865 | | | | $ | 65,024,146 | | | | $ | 8,242 | | | | $ | 29,988 | | | | $ | (21,746 | ) |
|
| | |
| | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SXPA Index | | MS & Co. Int. PLC | | | | 1,936.360 | | | | | 03/21/2025 | | | | | (245 | ) | | | | (47,440,820 | ) | | | | (471 | ) | | | | (8,336 | ) | | | | 7,865 | |
|
| | |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EWW Index | | MS & Co. Int. PLC | | | | 53.109 | | | | | 09/03/2024 | | | | | (3,620 | ) | | | | (19,225,458 | ) | | | | (3,233 | ) | | | | (2,896 | ) | | | | (337 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON EQUITIES (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise Price | | Expiration Date | | Number of Contracts | | Notional Amount | | Market Value | | Premiums Paid
(Received) by Portfolio | | Unrealized
Appreciation/
(Depreciation) |
|
| | |
| | | | | | | | |
| SXPA Index | | MS & Co. Int. PLC | | | $ | 1,422.240 | | | | | 03/21/2025 | | | | | (245 | ) | | | $ | (34,844,880 | ) | | | $ | (9,105 | ) | | | $ | (12,504 | ) | | | $ | 3,399 | |
|
| | |
| | | | | | | | |
| | | | | | | | | | | | | | | | (3,865 | ) | | | $ | (54,070,338 | ) | | | $ | (12,338 | ) | | | $ | (15,400 | ) | | | $ | 3,062 | |
|
| | |
| | | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | | | (4,110 | ) | | | $ | (101,511,158 | ) | | | $ | (12,809 | ) | | | $ | (23,736 | ) | | | $ | 10,927 | |
|
| | |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | (245 | ) | | | $ | (36,487,012 | ) | | | $ | (4,567 | ) | | | $ | 6,252 | | | | $ | (10,819 | ) |
|
| | |
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 | | | $ | 5,560.000 | | | | | 07/01/2024 | | | | | (10 | ) | | | $ | (5,560,000 | ) | | | $ | (25 | ) | | | $ | (4,910 | ) | | | $ | 4,885 | |
| S&P 500 Index | | | | 5,500.000 | | | | | 07/03/2024 | | | | | (8 | ) | | | | (4,400,000 | ) | | | | (6,840 | ) | | | | (8,869 | ) | | | | 2,029 | |
| S&P 500 Index | | | | 5,565.000 | | | | | 07/03/2024 | | | | | (10 | ) | | | | (5,565,000 | ) | | | | (250 | ) | | | | (2,484 | ) | | | | 2,234 | |
| S&P 500 Index | | | | 5,550.000 | | | | | 07/10/2024 | | | | | (8 | ) | | | | (4,440,000 | ) | | | | (6,520 | ) | | | | (17,173 | ) | | | | 10,653 | |
| S&P 500 Index | | | | 5,700.000 | | | | | 07/17/2024 | | | | | (7 | ) | | | | (3,990,000 | ) | | | | (735 | ) | | | | (5,131 | ) | | | | 4,396 | |
| S&P 500 Index | | | | 5,650.000 | | | | | 07/24/2024 | | | | | (7 | ) | | | | (3,955,000 | ) | | | | (4,480 | ) | | | | (6,587 | ) | | | | 2,107 | |
| S&P 500 Index | | | | 5,470.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (547,000 | ) | | | | (8,090 | ) | | | | (4,689 | ) | | | | (3,401 | ) |
| S&P 500 Index | | | | 5,475.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,095,000 | ) | | | | (15,520 | ) | | | | (9,513 | ) | | | | (6,007 | ) |
| S&P 500 Index | | | | 5,490.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,098,000 | ) | | | | (13,780 | ) | | | | (5,418 | ) | | | | (8,362 | ) |
| S&P 500 Index | | | | 5,525.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (552,500 | ) | | | | (5,060 | ) | | | | (3,419 | ) | | | | (1,641 | ) |
|
| | |
| | | | | | | |
| | | | | | | | | | | | | | (56 | ) | | | $ | (31,202,500 | ) | | | $ | (61,300 | ) | | | $ | (68,193 | ) | | | $ | 6,893 | |
|
| | |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| S&P 500 Index | | | | 5,390.000 | | | | | 07/01/2024 | | | | | (20 | ) | | | | (10,780,000 | ) | | | | (1,050 | ) | | | | (11,763 | ) | | | | 10,713 | |
| S&P 500 Index | | | | 5,240.000 | | | | | 07/03/2024 | | | | | (6 | ) | | | | (3,144,000 | ) | | | | (195 | ) | | | | (16,682 | ) | | | | 16,487 | |
| S&P 500 Index | | | | 5,400.000 | | | | | 07/03/2024 | | | | | (20 | ) | | | | (10,800,000 | ) | | | | (6,050 | ) | | | | (12,986 | ) | | | | 6,936 | |
| S&P 500 Index | | | | 5,235.000 | | | | | 07/10/2024 | | | | | (15 | ) | | | | (7,852,500 | ) | | | | (2,588 | ) | | | | (16,297 | ) | | | | 13,709 | |
| S&P 500 Index | | | | 5,330.000 | | | | | 07/17/2024 | | | | | (15 | ) | | | | (7,995,000 | ) | | | | (18,600 | ) | | | | (26,009 | ) | | | | 7,409 | |
| S&P 500 Index | | | | 5,325.000 | | | | | 07/24/2024 | | | | | (15 | ) | | | | (7,987,500 | ) | | | | (25,875 | ) | | | | (26,537 | ) | | | | 662 | |
| S&P 500 Index | | | | 5,180.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (518,000 | ) | | | | (1,085 | ) | | | | (6,058 | ) | | | | 4,973 | |
| S&P 500 Index | | | | 5,230.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,046,000 | ) | | | | (2,800 | ) | | | | (9,176 | ) | | | | 6,376 | |
| S&P 500 Index | | | | 5,245.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,049,000 | ) | | | | (3,030 | ) | | | | (14,618 | ) | | | | 11,588 | |
| S&P 500 Index | | | | 5,265.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (526,500 | ) | | | | (1,705 | ) | | | | (6,319 | ) | | | | 4,614 | |
|
| | |
| | | | | | | |
| | | | | | | | | | | | | | (97 | ) | | | $ | (51,698,500 | ) | | | $ | (62,978 | ) | | | $ | (146,445 | ) | | | $ | 83,467 | |
|
| | |
| | | | | | |
| Total written option contracts | | | | | | | | | | (153 | ) | | | $ | (82,901,000 | ) | | | $ | (124,278 | ) | | | $ | (214,638 | ) | | | $ | 90,360 | |
|
| | |
|
| 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 | | | $ | 95.250 | | | | | 09/13/2024 | | | | | 41 | | | | $ | 102,500 | | | | $ | 1,794 | | | | $ | 166,212 | | | | $ | (164,418 | ) |
| | |
| 10 | | 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 (continued) | |
| Description | | Exercise
Price | | Expiration
Date | | Number of
Contracts | | Notional
Amount | | Market Value | | Premiums Paid
(Received) by
Portfolio | | Unrealized
Appreciation/
(Depreciation) |
|
| | |
| 3 Month SOFR | | | $ | 96.000 | | | | | 09/13/2024 | | | | | 77 | | | | $ | 192,500 | | | | $ | 1,925 | | | | $ | 109,403 | | | | $ | (107,478 | ) |
| 3 Month SOFR | | | | 97.250 | | | | | 09/13/2024 | | | | | 130 | | | | | 325,000 | | | | | 1,625 | | | | | 175,116 | | | | | (173,491 | ) |
| 3 Month SOFR | | | | 96.250 | | | | | 12/13/2024 | | | | | 88 | | | | | 220,000 | | | | | 7,700 | | | | | 138,541 | | | | | (130,841 | ) |
| 3 Month SOFR | | | | 97.250 | | | | | 12/13/2024 | | | | | 247 | | | | | 617,500 | | | | | 9,263 | | | | | 401,161 | | | | | (391,898 | ) |
| 3 Month SOFR | | | | 98.000 | | | | | 12/13/2024 | | | | | 126 | | | | | 315,000 | | | | | 1,575 | | | | | 25,492 | | | | | (23,917 | ) |
| 3 Month SOFR | | | | 96.500 | | | | | 03/14/2025 | | | | | 93 | | | | | 232,500 | | | | | 19,181 | | | | | 157,479 | | | | | (138,298 | ) |
| 3 Month SOFR | | | | 97.000 | | | | | 03/14/2025 | | | | | 177 | | | | | 442,500 | | | | | 21,019 | | | | | 234,936 | | | | | (213,917 | ) |
| 3 Month SOFR | | | | 97.250 | | | | | 03/14/2025 | | | | | 222 | | | | | 555,000 | | | | | 19,425 | | | | | 408,508 | | | | | (389,083 | ) |
| 3 Month SOFR | | | | 98.000 | | | | | 03/14/2025 | | | | | 84 | | | | | 210,000 | | | | | 3,150 | | | | | 26,445 | | | | | (23,295 | ) |
| 3 Month SOFR | | | | 96.250 | | | | | 06/13/2025 | | | | | 90 | | | | | 225,000 | | | | | 51,187 | | | | | 124,334 | | | | | (73,147 | ) |
| 3 Month SOFR | | | | 96.625 | | | | | 06/13/2025 | | | | | 94 | | | | | 235,000 | | | | | 35,837 | | | | | 161,968 | | | | | (126,131 | ) |
| 3 Month SOFR | | | | 97.250 | | | | | 06/13/2025 | | | | | 231 | | | | | 577,500 | | | | | 46,200 | | | | | 285,979 | | | | | (239,779 | ) |
| 3 Month SOFR | | | | 96.000 | | | | | 09/12/2025 | | | | | 74 | | | | | 185,000 | | | | | 80,475 | | | | | 72,322 | | | | | 8,153 | |
| 3 Month SOFR | | | | 96.500 | | | | | 09/12/2025 | | | | | 138 | | | | | 345,000 | | | | | 93,150 | | | | | 183,733 | | | | | (90,583 | ) |
| 3 Month SOFR | | | | 96.625 | | | | | 09/12/2025 | | | | | 88 | | | | | 220,000 | | | | | 52,800 | | | | | 163,686 | | | | | (110,886 | ) |
| 3 Month SOFR | | | | 97.500 | | | | | 09/12/2025 | | | | | 265 | | | | | 662,500 | | | | | 66,250 | | | | | 298,740 | | | | | (232,490 | ) |
| 3 Month SOFR | | | | 96.125 | | | | | 12/12/2025 | | | | | 119 | | | | | 297,500 | | | | | 149,494 | | | | | 134,151 | | | | | 15,343 | |
| 3 Month SOFR | | | | 96.500 | | | | | 12/12/2025 | | | | | 123 | | | | | 307,500 | | | | | 111,469 | | | | | 188,398 | | | | | (76,929 | ) |
| 3 Month SOFR | | | | 97.500 | | | | | 12/12/2025 | | | | | 245 | | | | | 612,500 | | | | | 85,750 | | | | | 294,568 | | | | | (208,818 | ) |
| 3 Month SOFR | | | | 96.250 | | | | | 03/13/2026 | | | | | 112 | | | | | 280,000 | | | | | 150,500 | | | | | 140,260 | | | | | 10,240 | |
| 3 Month SOFR | | | | 96.625 | | | | | 03/13/2026 | | | | | 92 | | | | | 230,000 | | | | | 90,850 | | | | | 137,063 | | | | | (46,213 | ) |
| 3 Month SOFR | | | | 96.750 | | | | | 03/13/2026 | | | | | 37 | | | | | 92,500 | | | | | 32,838 | | | | | 60,211 | | | | | (27,373 | ) |
| 3 Month SOFR | | | | 96.250 | | | | | 06/12/2026 | | | | | 101 | | | | | 252,500 | | | | | 154,025 | | | | | 143,604 | | | | | 10,421 | |
| 3 Month SOFR | | | | 96.625 | | | | | 06/12/2026 | | | | | 87 | | | | | 217,500 | | | | | 98,962 | | | | | 137,227 | | | | | (38,265 | ) |
| 3 Month SOFR | | | | 96.750 | | | | | 06/12/2026 | | | | | 38 | | | | | 95,000 | | | | | 38,950 | | | | | 58,988 | | | | | (20,038 | ) |
| 3 Month SOFR | | | | 96.375 | | | | | 09/11/2026 | | | | | 101 | | | | | 252,500 | | | | | 153,394 | | | | | 145,422 | | | | | 7,972 | |
| 3 Month SOFR | | | | 96.625 | | | | | 09/11/2026 | | | | | 83 | | | | | 207,500 | | | | | 104,787 | | | | | 138,180 | | | | | (33,393 | ) |
| 3 Month SOFR | | | | 96.375 | | | | | 12/11/2026 | | | | | 96 | | | | | 240,000 | | | | | 154,800 | | | | | 149,023 | | | | | 5,777 | |
|
| | |
| | | | | | |
| TOTAL | | | | | | | | | | 3,499 | | | | $ | 8,747,500 | | | | $ | 1,838,375 | | | | $ | 4,861,150 | | | | $ | (3,022,775 | ) |
|
| | |
| | |
|
|
| 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 |
| MSCI | | —Morgan Stanley Capital International |
| SPDR | | —Standard and Poor’s Depository Receipt |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | |
|
|
| Abbreviations: |
| 12M IRS | | —12 Months Interest Rate Swaptions |
| 6M IRS | | —6 Month Interest Rate Swaptions |
| 7M IRS | | —7 Month Interest Rate Swaptions |
| MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
| SOFR | | —Secured Overnight Financing Rate |
|
|
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – 95.8% | |
| |
| | Dynamic(a) – 1.9% | |
| | 1,690,280 | | Goldman Sachs Managed Futures
Strategy Fund — Class R6 | | $ | 17,511,302 | |
| | | |
| |
| | Equity(a) – 25.1% | |
| | 1,882,792 | | Goldman Sachs Large Cap Growth
Insights Fund — Class R6 | | | 64,316,176 | |
| | 2,413,884 | | Goldman Sachs Large Cap Value
Insights Fund — Class R6 | | | 58,657,380 | |
| | 3,547,042 | | Goldman Sachs International Equity
Insights Fund — Class R6 | | | 53,347,513 | |
| | 2,599,604 | | Goldman Sachs Emerging Markets
Equity Insights Fund — Class R6 | | | 23,240,462 | |
| | 513,431 | | Goldman Sachs Small Cap Equity
Insights Fund — Class R6 | | | 14,422,258 | |
| | 700,722 | | Goldman Sachs International Small
Cap Insights Fund — Class R6 | | | 8,969,244 | |
| | 420,894 | | Goldman Sachs Global Infrastructure
Fund — Class R6 | | | 5,168,582 | |
| | 554,097 | | Goldman Sachs Global Real Estate
Securities Fund — Class R6 | | | 5,103,235 | |
| | 20,107 | | Goldman Sachs Energy Infrastructure
Fund — Class R6 | | | 256,160 | |
| | | | | | | | |
| | | | | | | 233,481,010 | |
| | | |
| |
| | Exchange Traded Funds – 65.6% | |
| | 3,000,608 | | Goldman Sachs MarketBeta
U.S. Equity ETF(a) | | | 224,325,454 | |
| | 1,102,159 | | Goldman Sachs ActiveBeta U.S. Large
Cap Equity ETF(a) | | | 117,875,905 | |
| | 1,747,922 | | Goldman Sachs MarketBeta
International Equity ETF(a) | | | 97,796,236 | |
| | 1,397,101 | | Goldman Sachs ActiveBeta
International Equity ETF(a) | | | 47,012,449 | |
| | 973,167 | | Goldman Sachs Access Investment
Grade Corporate Bond ETF(a) | | | 44,035,807 | |
| | 954,394 | | Goldman Sachs MarketBeta Emerging
Markets Equity ETF(a) | | | 42,918,430 | |
| | 667,362 | | Goldman Sachs ActiveBeta Emerging
Markets Equity ETF(a) | | | 21,802,717 | |
| | 54,510 | | Industrial Select Sector SPDR Fund | | | 6,643,134 | |
| | 307,344 | | Invesco Optimum Yield Diversified
Commodity Strategy No. K-1 ETF | | | 4,318,183 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – (continued) | |
| |
| | Exchange Traded Funds – (continued) | |
| | 27,992 | | Energy Select Sector SPDR Fund | | $ | 2,551,471 | |
| | 8,390 | | iShares 7-10 Year Treasury Bond ETF | | | 785,723 | |
| | 4,681 | | Consumer Staples Select Sector SPDR
Fund | | | 358,471 | |
| | 2,712 | | iShares MSCI Mexico ETF | | | 153,526 | |
| | | | | | | | |
| | | | | | | 610,577,506 | |
| | | |
| |
| | Fixed Income(a) – 3.2% | |
| | 1,159,262 | | Goldman Sachs Emerging Markets
Debt Fund — Class R6 | | | 11,001,390 | |
| | 1,040,706 | | Goldman Sachs High Yield Floating
Rate Fund — Class R6 | | | 9,251,877 | |
| | 1,651,427 | | Goldman Sachs High Yield Fund —
Class R6 | | | 9,214,961 | |
| | | | | | | | |
| | | | | | | 29,468,228 | |
| | | |
| | TOTAL UNDERLYING FUNDS – 95.8% (Cost $726,713,120) | | $ | 891,038,046 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(a) – 0.9% | |
| |
| | Goldman Sachs Financial Square Government Fund —
Institutional Shares | |
| | 8,155,538 | | 5.213% | | $ | 8,155,538 | |
| | (Cost $8,155,538) | | | | |
| | | |
| | TOTAL INVESTMENTS – 96.7% (Cost $734,868,658) | | $ | 899,193,584 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.3% | | | 30,996,738 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 930,190,322 | |
| | | |
| | |
| 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 June 30, 2024, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | Unrealized
Gain | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | USD | | | 3,441,630 | | | CHF | | | 3,050,000 | | | 09/18/24 | | $ | 14,132 | |
| | USD | | | 1,025,820 | | | DKK | | | 7,040,000 | | | 09/18/24 | | | 10,179 | |
| | USD | | | 16,112,901 | | | EUR | | | 14,840,000 | | | 09/18/24 | | | 158,863 | |
| | USD | | | 11,076,701 | | | GBP | | | 8,700,000 | | | 09/18/24 | | | 72,570 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Gain | |
|
| |
| | | | | |
MS & Co. Int. PLC (continued) | | USD | | | 514,755 | | | HKD | 4,010,000 | | | | 09/19/24 | | | | $ 94 | |
| | USD | | | 96,504 | | | ILS | 360,000 | | | | 09/18/24 | | | | 857 | |
| | USD | | | 14,035,829 | | | JPY | 2,166,000,000 | | | | 09/18/24 | | | | 408,726 | |
| | USD | | | 48,893 | | | NZD | 80,000 | | | | 09/18/24 | | | | 165 | |
| | USD | | | 872,445 | | | SEK | 9,150,000 | | | | 09/18/24 | | | | 5,629 | |
| | USD | | | 320,019 | | | SGD | 430,000 | | | | 09/18/24 | | | | 1,717 | |
|
| |
| | | | | |
| TOTAL | | | | | | | | | | | | | | | | | $672,932 | |
|
| |
| | | | | | | | | | | | | | | | | | |
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Loss | |
|
| |
| | | | | |
MS & Co. Int. PLC | | CHF | | | 740,000 | | | USD | 838,960 | | | | 09/18/24 | | | | $ (7,371 | ) |
| | JPY | | | 123,000,000 | | | USD | 797,473 | | | | 09/18/24 | | | | (23,635 | ) |
| | USD | | | 1,947,887 | | | AUD | 2,950,000 | | | | 09/18/24 | | | | (24,108 | ) |
| | USD | | | 159,181 | | | NOK | 1,700,000 | | | | 09/18/24 | | | | (354 | ) |
|
| |
| | | | | |
| TOTAL | | | | | | | | | | | | | | | | | $(55,468 | ) |
|
| |
FUTURES CONTRACTS — At June 30, 2024, 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 | | | | 210 | | | | | 09/19/24 | | | | $ | 23,096,719 | | | | $ | 200,375 | |
Euro Stoxx 50 Index | | | | 28 | | | | | 09/20/24 | | | | | 1,477,141 | | | | | 2,807 | |
S&P 500 E-Mini Index | | | | 67 | | | | | 09/20/24 | | | | | 18,497,025 | | | | | (43,053 | ) |
STOXX Europe 600 | | | | 17 | | | | | 09/20/24 | | | | | 335,175 | | | | | 597 | |
TOPIX Futures | | | | 22 | | | | | 09/12/24 | | | | | 3,843,060 | | | | | 44,252 | |
|
| | |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | | | | $ | 204,978 | |
|
| | |
SWAP CONTRACTS — At June 30, 2024, the Portfolio had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | |
| Payments Made by the Portfolio(a) | | Payments
Received
by Portfolio(a) | | Termination
Date | | Notional Amount (000s) | | Unrealized
Appreciation/
(Depreciation)* |
|
| | |
| | | | |
| 12M GBP | | 4.404% | | 09/12/33 | | GBP 370 | | | $ | 15,918 | |
|
| | |
| | (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. |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2024, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise Rate | | Expiration Date | | Number of Contracts | | Notional Amount | | Market Value | | Premiums Paid
(Received) by Portfolio | | Unrealized
Appreciation/ (Depreciation) |
|
| | |
| | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12M IRS | | MS & Co. Int. PLC | | | | 3.440 | % | | | | 01/24/2025 | | | | | 370,000 | | | | $ | 370,000 | | | | $ | 5,875 | | | | $ | 13,281 | | | | $ | (7,406 | ) |
5M IRS | | MS & Co. Int. PLC | | | | 3.200 | | | | | 09/13/2024 | | | | | 1,700,000 | | | | | 1,700,000 | | | | | 224 | | | | | 1,134 | | | | | (910 | ) |
5M IRS | | MS & Co. Int. PLC | | | | 4.500 | | | | | 09/13/2024 | | | | | 1,700,000 | | | | | 1,700,000 | | | | | 7,729 | | | | | 8,126 | | | | | (397 | ) |
6M IRS | | MS & Co. Int. PLC | | | | 3.750 | | | | | 08/14/2024 | | | | | 1,640,000 | | | | | 1,640,000 | | | | | 9,899 | | | | | 37,966 | | | | | (28,067 | ) |
6M IRS | | MS & Co. Int. PLC | | | | 3.100 | | | | | 09/13/2024 | | | | | 1,630,000 | | | | | 1,630,000 | | | | | 160 | | | | | 2,312 | | | | | (2,152 | ) |
6M IRS | | MS & Co. Int. PLC | | | | 4.150 | | | | | 09/13/2024 | | | | | 1,630,000 | | | | | 1,630,000 | | | | | 3,127 | | | | | 9,618 | | | | | (6,491 | ) |
7M IRS | | MS & Co. Int. PLC | | | | 3.500 | | | | | 10/16/2024 | | | | | 660,000 | | | | | 660,000 | | | | | 6,044 | | | | | 16,142 | | | | | (10,098 | ) |
|
| | |
| | | | | | | |
| Total purchased option contracts | | | | | | | | | | | | | | 9,330,000 | | | | $ | 9,330,000 | | | | $ | 33,058 | | | | $ | 88,579 | | | | $ | (55,521 | ) |
|
| | |
| | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12M IRS | | MS & Co. Int. PLC | | | | 2.916 | | | | | 01/24/2025 | | | | | (740,000 | ) | | | | (740,000 | ) | | | | (4,158 | ) | | | | (13,351 | ) | | | | 9,193 | |
5M IRS | | MS & Co. Int. PLC | | | | 3.950 | | | | | 09/13/2024 | | | | | (3,400,000 | ) | | | | (3,400,000 | ) | | | | (3,839 | ) | | | | (6,881 | ) | | | | 3,042 | |
6M IRS | | MS & Co. Int. PLC | | | | 3.400 | | | | | 08/14/2024 | | | | | (1,640,000 | ) | | | | (1,640,000 | ) | | | | (2,252 | ) | | | | (19,721 | ) | | | | 17,469 | |
6M IRS | | MS & Co. Int. PLC | | | | 3.600 | | | | | 09/13/2024 | | | | | (3,270,000 | ) | | | | (3,270,000 | ) | | | | (1,389 | ) | | | | (8,857 | ) | | | | 7,468 | |
7M IRS | | MS & Co. Int. PLC | | | | 3.100 | | | | | 10/16/2024 | | | | | (660,000 | ) | | | | (660,000 | ) | | | | (1,968 | ) | | | | (7,324 | ) | | | | 5,356 | |
|
| | |
| | | | | | | | |
| | | | | | | | | | | | | | | | (9,710,000 | ) | | | $ | (9,710,000 | ) | | | $ | (13,606 | ) | | | $ | (56,134 | ) | | | $ | 42,528 | |
|
| | |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7M IRS | | MS & Co. Int. PLC | | | | 4.260 | | | | | 10/16/2024 | | | | | (660,000 | ) | | | | (660,000 | ) | | | | (5,138 | ) | | | | (8,818 | ) | | | | 3,680 | |
|
| | |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | (10,370,000 | ) | | | $ | (10,370,000 | ) | | | $ | (18,744 | ) | | | $ | (64,952 | ) | | | $ | 46,208 | |
|
| | |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | (1,040,000 | ) | | | $ | (1,040,000 | ) | | | $ | 14,314 | | | | $ | 23,627 | | | | $ | (9,313 | ) |
|
| | |
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | Expiration
Date | | Number of
Contracts | | Notional
Amount | | Market
Value | | Premiums Paid
(Received) by Portfolio | | Unrealized
Appreciation/
(Depreciation) |
|
| | |
| | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | MS & Co. Int. PLC | | | $ | 1,681.700 | | | | | 03/21/2025 | | | | | 190 | | | | $ | 31,952,300 | | | | $ | 5,941 | | | | | $21,010 | | | | | $(15,069 | ) |
iShares MSCI Mexico ETF | | MS & Co. Int. PLC | | | | 65.808 | | | | | 09/03/2024 | | | | | 2,880 | | | | | 18,952,704 | | | | | 462 | | | | | 2,304 | | | | | (1,842 | ) |
|
| | |
| | | | | | | | |
| Total purchased option contracts | | | | | | | | | | | | | | | | 3,070 | | | | $ | 50,905,004 | | | | $ | 6,403 | | | | | $23,314 | | | | | $(16,911 | ) |
|
| | |
| | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | MS & Co. Int. PLC | | | | 1,936.360 | | | | | 03/21/2025 | | | | | (190 | ) | | | | (36,790,840 | ) | | | | (365 | ) | | | | (6,465 | ) | | | | 6,100 | |
|
| | |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
iShares MSCI Mexico ETF | | MS & Co. Int. PLC | | | | 53.109 | | | | | 09/03/2024 | | | | | (2,880 | ) | | | | (15,295,392 | ) | | | | (2,572 | ) | | | | (2,304 | ) | | | | (268 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON EQUITIES (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise Price | | Expiration Date | | Number of Contracts | | Notional Amount | | Market Value | | Premiums Paid
(Received) by Portfolio | | Unrealized
Appreciation/
(Depreciation) |
|
| | |
| | | | | | | | |
| S&P 500 Index | | MS & Co. Int. PLC | | | $ | 1,422.240 | | | | | 03/21/2025 | | | | | (190 | ) | | | $ | (27,022,560 | ) | | | $ | (7,061 | ) | | | $ | (9,697 | ) | | | $ | 2,636 | |
|
| | |
| | | | | | | | |
| | | | | | | | | | | | | | | | (3,070 | ) | | | $ | (42,317,952 | ) | | | $ | (9,633 | ) | | | $ | (12,001 | ) | | | $ | 2,368 | |
|
| | |
| | | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | | | (3,260 | ) | | | $ | (79,108,792 | ) | | | $ | (9,998 | ) | | | $ | (18,466 | ) | | | $ | 8,468 | |
|
| | |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | | | | (190 | ) | | | $ | (28,203,788 | ) | | | $ | (3,595 | ) | | | $ | 4,848 | | | | $ | (8,443 | ) |
|
| | |
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 | | | $ | 5,560.000 | | | | | 07/01/2024 | | | | | (13 | ) | | | $ | (7,228,000 | ) | | | $ | (33 | ) | | | $ | (6,384 | ) | | | $ | 6,351 | |
| S&P 500 Index | | | | 5,500.000 | | | | | 07/03/2024 | | | | | (10 | ) | | | | (5,500,000 | ) | | | | (8,550 | ) | | | | (11,086 | ) | | | | 2,536 | |
| S&P 500 Index | | | | 5,565.000 | | | | | 07/03/2024 | | | | | (13 | ) | | | | (7,234,500 | ) | | | | (325 | ) | | | | (3,229 | ) | | | | 2,904 | |
| S&P 500 Index | | | | 5,550.000 | | | | | 07/10/2024 | | | | | (10 | ) | | | | (5,550,000 | ) | | | | (8,150 | ) | | | | (21,466 | ) | | | | 13,316 | |
| S&P 500 Index | | | | 5,700.000 | | | | | 07/17/2024 | | | | | (10 | ) | | | | (5,700,000 | ) | | | | (1,050 | ) | | | | (7,330 | ) | | | | 6,280 | |
| S&P 500 Index | | | | 5,650.000 | | | | | 07/24/2024 | | | | | (10 | ) | | | | (5,650,000 | ) | | | | (6,400 | ) | | | | (9,410 | ) | | | | 3,010 | |
| S&P 500 Index | | | | 5,425.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (542,500 | ) | | | | (11,095 | ) | | | | (4,239 | ) | | | | (6,856 | ) |
| S&P 500 Index | | | | 5,470.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (547,000 | ) | | | | (8,090 | ) | | | | (4,689 | ) | | | | (3,401 | ) |
| S&P 500 Index | | | | 5,475.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,095,000 | ) | | | | (15,520 | ) | | | | (9,513 | ) | | | | (6,007 | ) |
| S&P 500 Index | | | | 5,490.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,098,000 | ) | | | | (13,780 | ) | | | | (5,398 | ) | | | | (8,382 | ) |
| S&P 500 Index | | | | 5,525.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,105,000 | ) | | | | (10,120 | ) | | | | (6,838 | ) | | | | (3,282 | ) |
|
| | |
| | | | | | | |
| | | | | | | | | | | | | | (74 | ) | | | $ | (41,250,000 | ) | | | $ | (83,113 | ) | | | $ | (89,582 | ) | | | $ | 6,469 | |
|
| | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| S&P 500 Index | | | | 5,390.000 | | | | | 07/01/2024 | | | | | (26 | ) | | | | (14,014,000 | ) | | | | (1,365 | ) | | | | (15,291 | ) | | | | 13,926 | |
| S&P 500 Index | | | | 5,240.000 | | | | | 07/03/2024 | | | | | (8 | ) | | | | (4,192,000 | ) | | | | (260 | ) | | | | (22,243 | ) | | | | 21,983 | |
| S&P 500 Index | | | | 5,400.000 | | | | | 07/03/2024 | | | | | (26 | ) | | | | (14,040,000 | ) | | | | (7,865 | ) | | | | (16,881 | ) | | | | 9,016 | |
| S&P 500 Index | | | | 5,235.000 | | | | | 07/10/2024 | | | | | (20 | ) | | | | (10,470,000 | ) | | | | (3,450 | ) | | | | (21,729 | ) | | | | 18,279 | |
| S&P 500 Index | | | | 5,330.000 | | | | | 07/17/2024 | | | | | (20 | ) | | | | (10,660,000 | ) | | | | (24,800 | ) | | | | (34,679 | ) | | | | 9,879 | |
| S&P 500 Index | | | | 5,325.000 | | | | | 07/24/2024 | | | | | (20 | ) | | | | (10,650,000 | ) | | | | (34,500 | ) | | | | (35,383 | ) | | | | 883 | |
| S&P 500 Index | | | | 5,110.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (511,000 | ) | | | | (785 | ) | | | | (7,459 | ) | | | | 6,674 | |
| S&P 500 Index | | | | 5,180.000 | | | | | 07/31/2024 | | | | | (1 | ) | | | | (518,000 | ) | | | | (1,085 | ) | | | | (6,058 | ) | | | | 4,973 | |
| S&P 500 Index | | | | 5,230.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,046,000 | ) | | | | (2,800 | ) | | | | (9,176 | ) | | | | 6,376 | |
| S&P 500 Index | | | | 5,245.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,049,000 | ) | | | | (3,030 | ) | | | | (14,618 | ) | | | | 11,588 | |
| S&P 500 Index | | | | 5,265.000 | | | | | 07/31/2024 | | | | | (2 | ) | | | | (1,053,000 | ) | | | | (3,410 | ) | | | | (12,638 | ) | | | | 9,228 | |
|
| | |
| | | | | | | |
| | | | | | | | | | | | | | (128 | ) | | | $ | (68,203,000 | ) | | | $ | (83,350 | ) | | | $ | (196,155 | ) | | | $ | 112,805 | |
|
| | |
| | | | | | |
| Total written option contracts | | | | | | | | | | (202 | ) | | | $ | (109,453,000 | ) | | | $ | (166,463 | ) | | | $ | (285,737 | ) | | | $ | 119,274 | |
|
| | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH 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 | | $ | 95.250 | | | | 09/13/2024 | | | | 50 | | | $ | 125,000 | | | $ | 2,188 | | | | $ 200,254 | | | | $ (198,066 | ) |
| 3 Month SOFR | | | 95.375 | | | | 09/13/2024 | | | | 12 | | | | 30,000 | | | | 450 | | | | 48,937 | | | | (48,487 | ) |
| 3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 90 | | | | 225,000 | | | | 2,250 | | | | 127,874 | | | | (125,624 | ) |
| 3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 156 | | | | 390,000 | | | | 1,950 | | | | 207,725 | | | | (205,775 | ) |
| 3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 104 | | | | 260,000 | | | | 9,100 | | | | 163,731 | | | | (154,631 | ) |
| 3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 301 | | | | 752,500 | | | | 11,288 | | | | 485,571 | | | | (474,283 | ) |
| 3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 198 | | | | 495,000 | | | | 2,475 | | | | 40,059 | | | | (37,584 | ) |
| 3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 110 | | | | 275,000 | | | | 22,688 | | | | 186,266 | | | | (163,578 | ) |
| 3 Month SOFR | | | 97.000 | | | | 03/14/2025 | | | | 178 | | | | 445,000 | | | | 21,138 | | | | 236,263 | | | | (215,125 | ) |
| 3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 271 | | | | 677,500 | | | | 23,713 | | | | 496,254 | | | | (472,541 | ) |
| 3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 131 | | | | 327,500 | | | | 4,912 | | | | 41,241 | | | | (36,329 | ) |
| 3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 123 | | | | 307,500 | | | | 69,956 | | | | 174,048 | | | | (104,092 | ) |
| 3 Month SOFR | | | 96.625 | | | | 06/13/2025 | | | | 112 | | | | 280,000 | | | | 42,700 | | | | 192,984 | | | | (150,284 | ) |
| 3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 232 | | | | 580,000 | | | | 46,400 | | | | 287,217 | | | | (240,817 | ) |
| 3 Month SOFR | | | 96.000 | | | | 09/12/2025 | | | | 92 | | | | 230,000 | | | | 100,050 | | | | 89,913 | | | | 10,137 | |
| 3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 185 | | | | 462,500 | | | | 124,875 | | | | 250,092 | | | | (125,217 | ) |
| 3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 105 | | | | 262,500 | | | | 63,000 | | | | 195,307 | | | | (132,307 | ) |
| 3 Month SOFR | | | 97.500 | | | | 09/12/2025 | | | | 266 | | | | 665,000 | | | | 66,500 | | | | 299,867 | | | | (233,367 | ) |
| 3 Month SOFR | | | 96.125 | | | | 12/12/2025 | | | | 148 | | | | 370,000 | | | | 185,925 | | | | 166,843 | | | | 19,082 | |
| 3 Month SOFR | | | 96.500 | | | | 12/12/2025 | | | | 164 | | | | 410,000 | | | | 148,625 | | | | 253,993 | | | | (105,368 | ) |
| 3 Month SOFR | | | 97.500 | | | | 12/12/2025 | | | | 246 | | | | 615,000 | | | | 86,100 | | | | 295,771 | | | | (209,671 | ) |
| 3 Month SOFR | | | 96.250 | | | | 03/13/2026 | | | | 139 | | | | 347,500 | | | | 186,781 | | | | 174,072 | | | | 12,709 | |
| 3 Month SOFR | | | 96.625 | | | | 03/13/2026 | | | | 115 | | | | 287,500 | | | | 113,562 | | | | 171,329 | | | | (57,767 | ) |
| 3 Month SOFR | | | 96.750 | | | | 03/13/2026 | | | | 58 | | | | 145,000 | | | | 51,475 | | | | 94,385 | | | | (42,910 | ) |
| 3 Month SOFR | | | 96.250 | | | | 06/12/2026 | | | | 126 | | | | 315,000 | | | | 192,150 | | | | 179,149 | | | | 13,001 | |
| 3 Month SOFR | | | 96.625 | | | | 06/12/2026 | | | | 109 | | | | 272,500 | | | | 123,988 | | | | 171,928 | | | | (47,940 | ) |
| 3 Month SOFR | | | 96.750 | | | | 06/12/2026 | | | | 60 | | | | 150,000 | | | | 61,500 | | | | 93,139 | | | | (31,639 | ) |
| 3 Month SOFR | | | 96.375 | | | | 09/11/2026 | | | | 126 | | | | 315,000 | | | | 191,362 | | | | 181,417 | | | | 9,945 | |
| 3 Month SOFR | | | 96.625 | | | | 09/11/2026 | | | | 105 | | | | 262,500 | | | | 132,562 | | | | 174,806 | | | | (42,244 | ) |
| 3 Month SOFR | | | 96.375 | | | | 12/11/2026 | | | | 119 | | | | 297,500 | | | | 191,887 | | | | 184,726 | | | | 7,161 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | 4,231 | | | $ | 10,577,500 | | | $ | 2,281,550 | | | | $5,865,161 | | | | $(3,583,611 | ) |
|
| |
| | |
|
|
| 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 |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | |
|
|
| Investment Abbreviations: |
| ETF | | —Exchange Traded Fund |
| MSCI | | —Morgan Stanley Capital International |
| SPDR | | —Standard and Poor’s Depository Receipt |
|
|
| |
| | |
|
|
| Abbreviations: |
| 12M IRS | | —12 Months Interest Rate Swaptions |
| 5M IRS | | —5 Months Interest Rate Swaptions |
| 6M IRS | | —6 Month Interest Rate Swaptions |
| 7M IRS | | —7 Month Interest Rate Swaptions |
| SOFR | | —Secured Overnight Financing Rate |
|
|
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Statements of Assets and Liabilities June 30, 2024 (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | | | Balanced
Strategy Portfolio | | Growth and Income
Strategy Portfolio | | Growth
Strategy Portfolio | | |
| | | | | |
| | Assets: | | | | | | | | | | | | | | |
| | | | | |
| | Investments in affiliated issuers, at value (cost $479,787,038, $743,176,432 and $719,730,510, respectively) | | | $510,456,664 | | | | $847,986,546 | | | | $884,383,076 | | | |
| | Investments in unaffiliated issuers, at value (cost $9,622,302, $15,079,925 and $15,138,148, respectively) | | | 9,646,438 | | | | 14,639,746 | | | | 14,810,508 | | | |
| | Purchased options, at value (premium paid $3,201,802, $5,006,181 and $5,977,054, respectively) | | | 1,089,842 | | | | 1,889,438 | | | | 2,321,011 | | | |
| | Cash | | | 7,899,044 | | | | 13,060,891 | | | | 13,708,676 | | | |
| | Foreign currencies, at value (cost $13,821, $32,680 and $44,131, respectively) | | | 24,098 | | | | 33,116 | | | | 43,743 | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 403,102 | | | | 689,193 | | | | 672,932 | | | |
| | Receivables: | | | | | | | | | | | | | | |
| | Collateral on certain derivative contracts(a) | | | 5,805,253 | | | | 11,983,928 | | | | 14,770,056 | | | |
| | Interest and dividends | | | 604,409 | | | | 550,180 | | | | 191,876 | | | |
| | Portfolio shares sold | | | 577,786 | | | | 280,160 | | | | 380,165 | | | |
| | Reimbursement from investment adviser | | | 29,263 | | | | 31,144 | | | | 31,263 | | | |
| | Other assets | | | 63,373 | | | | 68,555 | | | | 71,472 | | | |
| | |
| | Total assets | | | 536,599,272 | | | | 891,212,897 | | | | 931,384,778 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Liabilities: | | | | | | | | | | | | | | |
| | | | | |
| | Variation margin on futures contracts | | | 122,845 | | | | 142,502 | | | | 127,986 | | | |
| | Written option contracts, at value (premium received $166,772, $322,759 and $369,155, respectively) | | | 76,287 | | | | 161,368 | | | | 195,205 | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 46,596 | | | | 66,574 | | | | 55,468 | | | |
| | Variation margin on swaps contracts | | | 892 | | | | 851 | | | | 869 | | | |
| | Payables: | | | | | | | | | | | | | | |
| | Investments purchased | | | 604,409 | | | | 550,180 | | | | 191,876 | | | |
| | Portfolio shares redeemed | | | 400,469 | | | | 339,241 | | | | 177,777 | | | |
| | Management fees | | | 65,943 | | | | 108,918 | | | | 114,325 | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 50,141 | | | | 108,067 | | | | 145,276 | | | |
| | Due to broker | | | 41,596 | | | | 88,788 | | | | 106,836 | | | |
| | Accrued expenses | | | 70,930 | | | | 71,096 | | | | 78,838 | | | |
| | |
| | Total liabilities | | | 1,480,108 | | | | 1,637,585 | | | | 1,194,456 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Net Assets: | | | | | | | | | | | | | | |
| | | | | |
| | Paid-in capital | | | 517,057,301 | | | | 764,179,387 | | | | 722,289,565 | | | |
| | Total distributable earnings | | | 18,061,863 | | | | 125,395,925 | | | | 207,900,757 | | | |
| | |
| | NET ASSETS | | | $535,119,164 | | | | $889,575,312 | | | | $930,190,322 | | | |
| | | Net Assets: | | | | | | | | | | | | | | |
| | | Class A | | | $ 85,250,870 | | | | $246,172,641 | | | | $341,845,121 | | | |
| | | Class C | | | 2,597,786 | | | | 5,522,646 | | | | 13,338,471 | | | |
| | | Institutional | | | 383,431,234 | | | | 371,939,974 | | | | 244,437,874 | | | |
| | | Service | | | 256,117 | | | | 1,915,406 | | | | 2,493,180 | | | |
| | | Investor | | | 3,082,879 | | | | 11,622,166 | | | | 9,496,279 | | | |
| | | Class R6 | | | 2,049,496 | | | | 2,243,351 | | | | 9,218,532 | | | |
| | | Class R | | | 9,016,250 | | | | 4,399,495 | | | | 7,704,261 | | | |
| | | Class P | | | 49,434,532 | | | | 245,759,633 | | | | 301,656,604 | | | |
| | | Total Net Assets | | | $535,119,164 | | | | $889,575,312 | | | | $930,190,322 | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | | | |
| | | Class A | | | 7,130,536 | | | | 15,671,481 | | | | 17,456,545 | | | |
| | | Class C | | | 216,702 | | | | 362,793 | | | | 664,780 | | | |
| | | Institutional | | | 32,083,885 | | | | 23,594,163 | | | | 12,468,207 | | | |
| | | Service | | | 21,106 | | | | 122,269 | | | | 127,805 | | | |
| | | Investor | | | 259,165 | | | | 744,312 | | | | 492,461 | | | |
| | | Class R6 | | | 171,393 | | | | 142,381 | | | | 470,062 | | | |
| | | Class R | | | 757,879 | | | | 282,858 | | | | 407,611 | | | |
| | | Class P | | | 4,134,918 | | | | 15,600,959 | | | | 15,379,177 | | | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | | | | | | | |
| | | Class A | | | $11.96 | | | | $15.71 | | | | $19.58 | | | |
| | | Class C | | | 11.99 | | | | 15.22 | | | | 20.06 | | | |
| | | Institutional | | | 11.95 | | | | 15.76 | | | | 19.60 | | | |
| | | Service | | | 12.13 | | | | 15.67 | | | | 19.51 | | | |
| | | Investor | | | 11.90 | | | | 15.61 | | | | 19.28 | | | |
| | | Class R6 | | | 11.96 | | | | 15.76 | | | | 19.61 | | | |
| | | Class R | | | 11.90 | | | | 15.55 | | | | 18.90 | | | |
| | | Class P | | | 11.96 | | | | 15.75 | | | | 19.61 | | | |
| | (a) | Segregated for initial margin and/or collateral as follows: |
| | | | | | | | | | | | | | | | | | |
| Portfolio | | Futures | | | Swaps | | | Forwards | | | Options | | | |
Balanced Strategy Portfolio | | | $1,172,960 | | | | $34,562 | | | | $370,000 | | | | $ 4,227,731 | | | |
Growth and Income Strategy Portfolio | | | 1,237,679 | | | | 44,278 | | | | 340,000 | | | | 10,361,971 | | | |
Growth Strategy Portfolio | | | 965,300 | | | | 33,651 | | | | 330,000 | | | | 13,441,105 | | | |
| | (b) | Maximum public offering price per share for Class A Shares of the Balanced Strategy, Growth and Income Strategy and Growth Strategy Portfolios is $12.66, $16.62 and $20.72, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Statements of Operations For the Six Months Ended June 30, 2024 (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | | | Balanced
Strategy Portfolio | | Growth and Income
Strategy Portfolio | | Growth
Strategy Portfolio | | |
| | | | | |
| | Investment Income: | | | | | | | | | | | | | | |
| | | | | |
| | Dividends — affiliated issuers | | | $ 6,788,440 | | | | $ 8,798,474 | | | | $ 7,317,265 | | | |
| | Dividends — unaffiliated issuers | | | 42,115 | | | | 61,437 | | | | 57,963 | | | |
| | Interest | | | 29,750 | | | | 32,025 | | | | 25,241 | | | |
| | |
| | Total investment income | | | 6,860,305 | | | | 8,891,936 | | | | 7,400,469 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | Expenses: | | | | | | | | | | | | | | |
| | | | | |
| | Management fees | | | 406,994 | | | | 642,485 | | | | 667,695 | | | |
| | Transfer Agency fees(a) | | | 162,255 | | | | 304,850 | | | | 362,152 | | | |
| | Distribution and Service (12b-1) fees(a) | | | 144,575 | | | | 337,594 | | | | 482,772 | | | |
| | Registration fees | | | 59,298 | | | | 62,842 | | | | 62,209 | | | |
| | Professional fees | | | 45,016 | | | | 45,021 | | | | 45,021 | | | |
| | Custody, accounting and administrative services | | | 37,026 | | | | 36,890 | | | | 34,692 | | | |
| | Printing and mailing costs | | | 29,249 | | | | 41,353 | | | | 48,017 | | | |
| | Trustee fees | | | 10,893 | | | | 11,092 | | | | 11,098 | | | |
| | Service fees — Class C | | | 3,423 | | | | 7,128 | | | | 16,312 | | | |
| | Shareholder Administration fees — Service Class | | | 409 | | | | 2,291 | | | | 2,974 | | | |
| | Other | | | 9,716 | | | | 8,067 | | | | 4,053 | | | |
| | |
| | Total expenses | | | 908,854 | | | | 1,499,613 | | | | 1,736,995 | | | |
| | |
| | Less — expense reductions | | | (179,992 | ) | | | (190,962 | ) | | | (195,488 | ) | | |
| | |
| | Net expenses | | | 728,862 | | | | 1,308,651 | | | | 1,541,507 | | | |
| | |
| | NET INVESTMENT INCOME | | | 6,131,443 | | | | 7,583,285 | | | | 5,858,962 | | | |
| | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | | | |
| | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | | | |
| | Investments — affiliated issuers | | | 1,347,467 | | | | 3,859,441 | | | | 1,460,560 | | | |
| | Purchased options | | | (1,157,418 | ) | | | (1,716,906 | ) | | | (2,042,632 | ) | | |
| | Futures contracts | | | 2,800,234 | | | | 2,830,421 | | | | 2,547,633 | | | |
| | Written options | | | 65,539 | | | | 140,753 | | | | 186,273 | | | |
| | Swap contracts | | | (8,167 | ) | | | (10,250 | ) | | | (7,351 | ) | | |
| | Forward foreign currency exchange contracts | | | 590,663 | | | | 1,022,657 | | | | 958,073 | | | |
| | Foreign currency transactions | | | (318 | ) | | | (534 | ) | | | (981 | ) | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | | | |
| | Investments — affiliated issuers | | | 16,044,374 | | | | 48,162,148 | | | | 74,714,884 | | | |
| | Investments — unaffiliated issuers | | | 51,081 | | | | (448,263 | ) | | | (322,889 | ) | | |
| | Purchased options | | | (485,606 | ) | | | (721,223 | ) | | | (829,491 | ) | | |
| | Futures contracts | | | (974,122 | ) | | | (1,089,678 | ) | | | (1,113,080 | ) | | |
| | Written options | | | 104,658 | | | | 208,492 | | | | 227,888 | | | |
| | Swap contracts | | | (34,286 | ) | | | (44,211 | ) | | | (33,384 | ) | | |
| | Forward foreign currency exchange contracts | | | 720,897 | | | | 1,274,926 | | | | 1,198,697 | | | |
| | Foreign currency translation | | | (24 | ) | | | (2,178 | ) | | | (2,174 | ) | | |
| | |
| | Net realized and unrealized gain | | | 19,064,972 | | | | 53,465,595 | | | | 76,942,026 | | | |
| | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $25,196,415 | | | | $61,048,880 | | | | $82,800,988 | | | |
| | |
| | (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 Portfolio | | | $107,751 | | | | $10,271 | | | | $ 409 | | | | $26,144 | | | | $ 64,651 | | | | $2,054 | | | | $77,540 | | | | $ 66 | | | | $2,270 | | | | $ 305 | | | | $7,843 | | | | $ 7,526 | |
Growth and Income Strategy Portfolio | | | 303,269 | | | | 21,383 | | | | 2,291 | | | | 10,651 | | | | 181,962 | | | | 4,277 | | | | 69,795 | | | | 367 | | | | 9,082 | | | | 311 | | | | 3,195 | | | | 35,861 | |
Growth Strategy Portfolio | | | 414,091 | | | | 48,937 | | | | 2,974 | | | | 16,770 | | | | 248,455 | | | | 9,787 | | | | 46,458 | | | | 476 | | | | 7,827 | | | | 1,326 | | | | 5,031 | | | | 42,792 | |
| | |
| 20 | | 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
Six Months Ended
June 30, 2024
(Unaudited) | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the
Six Months Ended
June 30, 2024
(Unaudited) | | | For the Fiscal
Year Ended
December 31, 2023 | | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 6,131,443 | | | | $ 12,394,869 | | | | $ 7,583,285 | | | | $ 17,075,874 | | | |
| | Net realized gain (loss) | | | 3,638,000 | | | | (6,032,147 | ) | | | 6,125,582 | | | | 29,429,508 | | | |
| | Net change in unrealized gain | | | 15,426,972 | | | | 54,003,833 | | | | 47,340,013 | | | | 67,335,471 | | | |
| | |
| | | | | | |
| | Net increase in net assets resulting from operations | | | 25,196,415 | | | | 60,366,555 | | | | 61,048,880 | | | | 113,840,853 | | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (874,944 | ) | | | (1,613,472 | ) | | | (1,899,693 | ) | | | (4,013,808 | ) | | |
| | Class C Shares | | | (16,767 | ) | | | (32,788 | ) | | | (24,418 | ) | | | (60,972 | ) | | |
| | Institutional Shares | | | (4,648,447 | ) | | | (8,025,319 | ) | | | (3,413,066 | ) | | | (6,792,467 | ) | | |
| | Service Shares | | | (2,723 | ) | | | (5,646 | ) | | | (13,613 | ) | | | (28,117 | ) | | |
| | Investor Shares | | | (34,928 | ) | | | (63,769 | ) | | | (103,423 | ) | | | (177,199 | ) | | |
| | Class R6 Shares | | | (24,166 | ) | | | (48,212 | ) | | | (20,393 | ) | | | (44,882 | ) | | |
| | Class R Shares | | | (84,880 | ) | | | (159,345 | ) | | | (29,006 | ) | | | (61,789 | ) | | |
| | Class P Shares | | | (598,383 | ) | | | (1,056,728 | ) | | | (2,302,181 | ) | | | (4,779,236 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (6,285,238 | ) | | | (11,005,279 | ) | | | (7,805,793 | ) | | | (15,958,470 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 49,917,912 | | | | 97,664,775 | | | | 58,142,398 | | | | 76,142,659 | | | |
| | Reinvestment of distributions | | | 6,233,939 | | | | 10,906,522 | | | | 7,672,912 | | | | 15,672,675 | | | |
| | Cost of shares redeemed | | | (80,719,349 | ) | | | (138,801,761 | ) | | | (70,604,405 | ) | | | (150,223,039 | ) | | |
| | |
| | | | | | |
| | Net decrease in net assets resulting from share transactions | | | (24,567,498 | ) | | | (30,230,464 | ) | | | (4,789,095 | ) | | | (58,407,705 | ) | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | (5,656,321 | ) | | | 19,130,812 | | | | 48,453,992 | | | | 39,474,678 | | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of period | | | 540,775,485 | | | | 521,644,673 | | | | 841,121,320 | | | | 801,646,642 | | | |
| | |
| | | | | | |
| | End of period | | | $535,119,164 | | | | $540,775,485 | | | | $889,575,312 | | | | $841,121,320 | | | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Statements of Changes in Net Assets (continued) |
| | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | | | |
| | | | | For the
Six Months Ended
June 30, 2024
(Unaudited) | | | For the Fiscal
Year Ended
December 31, 2023 | | | | |
| | | | |
| | | From operations: | | | | | | | | | | | | |
| | | | |
| | Net investment income | | | $ 5,858,962 | | | | $ 14,065,277 | | | | | |
| | Net realized gain | | | 3,101,575 | | | | 44,479,569 | | | | | |
| | Net change in unrealized gain | | | 73,840,451 | | | | 72,335,987 | | | | | |
| | | |
| | | | |
| | Net increase in net assets resulting from operations | | | 82,800,988 | | | | 130,880,833 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Distributions to shareholders: | | | | | | | | | | | | |
| | | | |
| | From distributable earnings: | | | | | | | | | | | | |
| | Class A Shares | | | — | | | | (4,434,221 | ) | | | | |
| | Class C Shares | | | — | | | | (53,034 | ) | | | | |
| | Institutional Shares | | | — | | | | (3,637,458 | ) | | | | |
| | Service Shares | | | — | | | | (28,354 | ) | | | | |
| | Investor Shares | | | — | | | | (198,980 | ) | | | | |
| | Class R6 Shares | | | — | | | | (139,776 | ) | | | | |
| | Class R Shares | | | — | | | | (76,107 | ) | | | | |
| | Class P Shares | | | — | | | | (4,636,157 | ) | | | | |
| | | |
| | | | |
| | Total distributions to shareholders | | | — | | | | (13,204,087 | ) | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | From share transactions: | | | | | | | | | | | | |
| | | | |
| | Proceeds from sales of shares | | | 56,592,967 | | | | 76,297,975 | | | | | |
| | Reinvestment of distributions | | | — | | | | 12,846,013 | | | | | |
| | Cost of shares redeemed | | | (58,100,249 | ) | | | (120,204,973 | ) | | | | |
| | | |
| | | | |
| | Net decrease in net assets resulting from share transactions | | | (1,507,282 | ) | | | (31,060,985 | ) | | | | |
| | | |
| | | | |
| | TOTAL INCREASE | | | 81,293,706 | | | | 86,615,761 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Net assets: | | | | | | | | | | | | |
| | | | |
| | Beginning of period | | | 848,896,616 | | | | 762,280,855 | | | | | |
| | | |
| | | | |
| | End of period | | | $930,190,322 | | | | $848,896,616 | | | | | |
| | | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Class A Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.11 | | | | | 0.23 | | | | | 0.22 | | | | | 0.24 | | | | | 0.20 | | | | | 0.20 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.43 | | | | | 1.02 | | | | | (2.02 | ) | | | | 0.71 | | | | | 1.04 | | | | | 1.37 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.54 | | | | | 1.25 | | | | | (1.80 | ) | | | | 0.95 | | | | | 1.24 | | | | | 1.57 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.12 | ) | | | | (0.20 | ) | | | | (0.39 | ) | | | | (0.34 | ) | | | | (0.24 | ) | | | | (0.25 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.12 | ) | | | | (0.20 | ) | | | | (0.53 | ) | | | | (0.77 | ) | | | | (0.24 | ) | | | | (0.25 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.96 | | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.69 | % | | | | 12.07 | % | | | | (14.09 | )% | | | | 7.53 | % | | | | 10.71 | % | | | | 15.24 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 85,251 | | | | $ | 88,066 | | | | $ | 88,939 | | | | $ | 113,820 | | | | $ | 110,057 | | | | $ | 106,285 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.55 | %(e) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.62 | %(e) | | | | 0.63 | % | | | | 0.63 | % | | | | 0.61 | % | | | | 0.64 | % | | | | 0.67 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.97 | %(e) | | | | 2.12 | % | | | | 1.91 | % | | | | 1.84 | % | | | | 1.71 | % | | | | 1.76 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. | | 23 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.57 | | | | $ | 10.51 | | | | $ | 12.83 | | | | $ | 12.67 | | | | $ | 11.66 | | | | $ | 10.34 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.07 | | | | | 0.14 | | | | | 0.11 | | | | | 0.12 | | | | | 0.10 | | | | | 0.10 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.43 | | | | | 1.03 | | | | | (1.99 | ) | | | | 0.73 | | | | | 1.06 | | | | | 1.38 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.50 | | | | | 1.17 | | | | | (1.88 | ) | | | | 0.85 | | | | | 1.16 | | | | | 1.48 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.08 | ) | | | | (0.11 | ) | | | | (0.30 | ) | | | | (0.26 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.08 | ) | | | | (0.11 | ) | | | | (0.44 | ) | | | | (0.69 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.99 | | | | $ | 11.57 | | | | $ | 10.51 | | | | $ | 12.83 | | | | $ | 12.67 | | | | $ | 11.66 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.28 | % | | | | 11.24 | % | | | | (14.70 | )% | | | | 6.73 | % | | | | 9.90 | % | | | | 14.30 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 2,598 | | | | $ | 2,801 | | | | $ | 3,740 | | | | $ | 6,678 | | | | $ | 9,575 | | | | $ | 10,978 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.30 | %(e) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.37 | %(e) | | | | 1.38 | % | | | | 1.38 | % | | | | 1.36 | % | | | | 1.39 | % | | | | 1.42 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.20 | %(e) | | | | 1.31 | % | | | | 0.98 | % | | | | 0.91 | % | | | | 0.86 | % | | | | 0.93 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Institutional Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.81 | | | | $ | 12.63 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.27 | | | | | 0.27 | | | | | 0.29 | | | | | 0.25 | | | | | 0.25 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.41 | | | | | 1.02 | | | | | (2.02 | ) | | | | 0.71 | | | | | 1.02 | | | | | 1.36 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.55 | | | | | 1.29 | | | | | (1.75 | ) | | | | 1.00 | | | | | 1.27 | | | | | 1.61 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.14 | ) | | | | (0.24 | ) | | | | (0.43 | ) | | | | (0.39 | ) | | | | (0.28 | ) | | | | (0.29 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.14 | ) | | | | (0.24 | ) | | | | (0.57 | ) | | | | (0.82 | ) | | | | (0.28 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.95 | | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.81 | | | | $ | 12.63 | | | | $ | 11.64 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.78 | % | | | | 12.48 | % | | | | (13.69 | )% | | | | 7.93 | % | | | | 11.05 | % | | | | 15.68 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 383,431 | | | | $ | 381,220 | | | | $ | 355,310 | | | | $ | 426,392 | | | | $ | 388,941 | | | | $ | 351,189 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | %(e) | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.26 | %(e) | | | | 0.27 | % | | | | 0.27 | % | | | | 0.25 | % | | | | 0.26 | % | | | | 0.28 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.34 | %(e) | | | | 2.49 | % | | | | 2.31 | % | | | | 2.23 | % | | | | 2.12 | % | | | | 2.19 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. | | 25 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Service Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.71 | | | | $ | 10.64 | | | | $ | 12.99 | | | | $ | 12.79 | | | | $ | 11.78 | | | | $ | 10.45 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.10 | | | | | 0.22 | | | | | 0.21 | | | | | 0.22 | | | | | 0.16 | | | | | 0.17 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.43 | | | | | 1.04 | | | | | (2.05 | ) | | | | 0.73 | | | | | 1.07 | | | | | 1.39 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.53 | | | | | 1.26 | | | | | (1.84 | ) | | | | 0.95 | | | | | 1.23 | | | | | 1.56 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (0.19 | ) | | | | (0.37 | ) | | | | (0.32 | ) | | | | (0.22 | ) | | | | (0.23 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.11 | ) | | | | (0.19 | ) | | | | (0.51 | ) | | | | (0.75 | ) | | | | (0.22 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 12.13 | | | | $ | 11.71 | | | | $ | 10.64 | | | | $ | 12.99 | | | | $ | 12.79 | | | | $ | 11.78 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.52 | % | | | | 11.94 | % | | | | (14.18 | )% | | | | 7.44 | % | | | | 10.52 | % | | | | 14.99 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 256 | | | | $ | 351 | | | | $ | 319 | | | | $ | 388 | | | | $ | 421 | | | | $ | 532 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.70 | %(e) | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.76 | %(e) | | | | 0.77 | % | | | | 0.77 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 0.78 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.77 | %(e) | | | | 2.00 | % | | | | 1.82 | % | | | | 1.67 | % | | | | 1.38 | % | | | | 1.47 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Investor Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.48 | | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | | $ | 10.28 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.13 | | | | | 0.26 | | | | | 0.23 | | | | | 0.28 | | | | | 0.33 | | | | | 0.23 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.43 | | | | | 1.01 | | | | | (1.99 | ) | | | | 0.70 | | | | | 0.93 | | | | | 1.36 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.56 | | | | | 1.27 | | | | | (1.76 | ) | | | | 0.98 | | | | | 1.26 | | | | | 1.59 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.42 | ) | | | | (0.37 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.56 | ) | | | | (0.80 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.90 | | | | $ | 11.48 | | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.75 | % | | | | 12.32 | % | | | | (13.79 | )% | | | | 7.75 | % | | | | 10.97 | % | | | | 15.49 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 3,083 | | | | $ | 2,967 | | | | $ | 3,110 | | | | $ | 5,430 | | | | $ | 7,594 | | | | $ | 3,663 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.30 | %(e) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.37 | %(e) | | | | 0.38 | % | | | | 0.38 | % | | | | 0.36 | % | | | | 0.39 | % | | | | 0.42 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.24 | %(e) | | | | 2.36 | % | | | | 2.01 | % | | | | 2.13 | % | | | | 2.78 | % | | | | 2.07 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. | | 27 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.54 | | | | $ | 10.50 | | | | $ | 12.82 | | | | $ | 12.63 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.27 | | | | | 0.37 | | | | | 0.21 | | | | | 0.23 | | | | | 0.23 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.42 | | | | | 1.02 | | | | | (2.12 | ) | | | | 0.79 | | | | | 1.05 | | | | | 1.38 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.56 | | | | | 1.29 | | | | | (1.75 | ) | | | | 1.00 | | | | | 1.28 | | | | | 1.61 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.14 | ) | | | | (0.25 | ) | | | | (0.43 | ) | | | | (0.38 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.14 | ) | | | | (0.25 | ) | | | | (0.57 | ) | | | | (0.81 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.96 | | | | $ | 11.54 | | | | $ | 10.50 | | | | $ | 12.82 | | | | $ | 12.63 | | | | $ | 11.64 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.87 | % | | | | 12.38 | % | | | | (13.66 | )% | | | | 8.00 | % | | | | 11.06 | % | | | | 15.70 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 2,049 | | | | $ | 2,217 | | | | $ | 2,061 | | | | $ | 277 | | | | $ | 1,449 | | | | $ | 1,766 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.25 | %(e) | | | | 0.26 | % | | | | 0.26 | % | | | | 0.24 | % | | | | 0.26 | % | | | | 0.27 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.33 | %(e) | | | | 2.50 | % | | | | 3.28 | % | | | | 1.64 | % | | | | 1.89 | % | | | | 2.04 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Class R Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.48 | | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | | $ | 10.28 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.10 | | | | | 0.21 | | | | | 0.19 | | | | | 0.22 | | | | | 0.16 | | | | | 0.18 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.42 | | | | | 1.01 | | | | | (2.01 | ) | | | | 0.70 | | | | | 1.04 | | | | | 1.35 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.52 | | | | | 1.22 | | | | | (1.82 | ) | | | | 0.92 | | | | | 1.20 | | | | | 1.53 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.10 | ) | | | | (0.18 | ) | | | | (0.36 | ) | | | | (0.31 | ) | | | | (0.21 | ) | | | | (0.22 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.10 | ) | | | | (0.18 | ) | | | | (0.50 | ) | | | | (0.74 | ) | | | | (0.21 | ) | | | | (0.22 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.90 | | | | $ | 11.48 | | | | $ | 10.44 | | | | $ | 12.76 | | | | $ | 12.58 | | | | $ | 11.59 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.56 | % | | | | 11.77 | % | | | | (14.30 | )% | | | | 7.32 | % | | | | 10.39 | % | | | | 14.94 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 9,016 | | | | $ | 10,544 | | | | $ | 8,693 | | | | $ | 10,837 | | | | $ | 9,435 | | | | $ | 10,241 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.80 | %(e) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.87 | %(e) | | | | 0.88 | % | | | | 0.88 | % | | | | 0.86 | % | | | | 0.90 | % | | | | 0.92 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.67 | %(e) | | | | 1.90 | % | | | | 1.67 | % | | | | 1.65 | % | | | | 1.40 | % | | | | 1.61 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. | | 29 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Balanced Strategy Portfolio | | |
| | | |
| | | | | Class P Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | | $ | 10.32 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.27 | | | | | 0.28 | | | | | 0.29 | | | | | 0.25 | | | | | 0.24 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.42 | | | | | 1.03 | | | | | (2.04 | ) | | | | 0.71 | | | | | 1.04 | | | | | 1.37 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.56 | | | | | 1.30 | | | | | (1.76 | ) | | | | 1.00 | | | | | 1.29 | | | | | 1.61 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.14 | ) | | | | (0.25 | ) | | | | (0.43 | ) | | | | (0.39 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.43 | ) | | | | — | | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.14 | ) | | | | (0.25 | ) | | | | (0.57 | ) | | | | (0.82 | ) | | | | (0.29 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 11.96 | | | | $ | 11.54 | | | | $ | 10.49 | | | | $ | 12.82 | | | | $ | 12.64 | | | | $ | 11.64 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.79 | % | | | | 12.49 | % | | | | (13.75 | )% | | | | 7.94 | % | | | | 11.15 | % | | | | 15.69 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 49,435 | | | | $ | 52,609 | | | | $ | 59,472 | | | | $ | 53,299 | | | | $ | 41,545 | | | | $ | 42,118 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.25 | %(e) | | | | 0.26 | % | | | | 0.26 | % | | | | 0.24 | % | | | | 0.25 | % | | | | 0.27 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 2.34 | %(e) | | | | 2.50 | % | | | | 2.46 | % | | | | 2.24 | % | | | | 2.10 | % | | | | 2.17 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 6 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund 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. |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Class A Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.77 | | | | $ | 13.10 | | | | $ | 16.35 | | | | $ | 15.51 | | | | $ | 14.26 | | | | $ | 12.26 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.11 | | | | | 0.26 | | | | | 0.28 | | | | | 0.36 | | | | | 0.20 | | | | | 0.22 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.95 | | | | | 1.65 | | | | | (2.80 | ) | | | | 1.53 | | | | | 1.54 | | | | | 2.06 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.06 | | | | | 1.91 | | | | | (2.52 | ) | | | | 1.89 | | | | | 1.74 | | | | | 2.28 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.12 | ) | | | | (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 | | | | (0.12 | ) | | | | (0.24 | ) | | | | (0.73 | ) | | | | (1.05 | ) | | | | (0.49 | ) | | | | (0.28 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.71 | | | | $ | 14.77 | | | | $ | 13.10 | | | | $ | 16.35 | | | | $ | 15.51 | | | | $ | 14.26 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.18 | % | | | | 14.70 | % | | | | (15.50 | )% | | | | 12.27 | % | | | | 12.29 | % | | | | 18.60 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 246,173 | | | | $ | 242,239 | | | | $ | 228,850 | | | | $ | 297,996 | | | | $ | 293,868 | | | | $ | 286,721 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.55 | %(e) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.60 | %(e) | | | | 0.61 | % | | | | 0.61 | % | | | | 0.59 | % | | | | 0.62 | % | | | | 0.64 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.51 | %(e) | | | | 1.85 | % | | | | 1.94 | % | | | | 2.15 | % | | | | 1.38 | % | | | | 1.65 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. | | 31 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 14.32 | | | | $ | 12.70 | | | | $ | 15.88 | | | | $ | 15.12 | | | | $ | 13.92 | | | | $ | 11.98 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.05 | | | | | 0.14 | | | | | 0.15 | | | | | 0.20 | | | | | 0.06 | | | | | 0.09 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.92 | | | | | 1.61 | | | | | (2.71 | ) | | | | 1.53 | | | | | 1.53 | | | | | 2.04 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.97 | | | | | 1.75 | | | | | (2.56 | ) | | | | 1.73 | | | | | 1.59 | | | | | 2.13 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.07 | ) | | | | (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 | | | | (0.07 | ) | | | | (0.13 | ) | | | | (0.62 | ) | | | | (0.97 | ) | | | | (0.39 | ) | | | | (0.19 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.22 | | | | $ | 14.32 | | | | $ | 12.70 | | | | $ | 15.88 | | | | $ | 15.12 | | | | $ | 13.92 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 6.75 | % | | | | 13.88 | % | | | | (16.16 | )% | | | | 11.44 | % | | | | 11.44 | % | | | | 17.78 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 5,523 | | | | $ | 5,857 | | | | $ | 6,766 | | | | $ | 10,130 | | | | $ | 13,454 | | | | $ | 19,069 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.30 | %(e) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.35 | %(e) | | | | 1.36 | % | | | | 1.36 | % | | | | 1.34 | % | | | | 1.37 | % | | | | 1.39 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.73 | %(e) | | | | 1.04 | % | | | | 1.08 | % | | | | 1.23 | % | | | | 0.45 | % | | | | 0.66 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Institutional Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 14.82 | | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.56 | | | | $ | 14.31 | | | | $ | 12.29 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.31 | | | | | 0.33 | | | | | 0.44 | | | | | 0.25 | | | | | 0.27 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.95 | | | | | 1.66 | | | | | (2.81 | ) | | | | 1.52 | | | | | 1.54 | | | | | 2.08 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.09 | | | | | 1.97 | | | | | (2.48 | ) | | | | 1.96 | | | | | 1.79 | | | | | 2.35 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (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 | | | | (0.15 | ) | | | | (0.29 | ) | | | | (0.78 | ) | | | | (1.12 | ) | | | | (0.54 | ) | | | | (0.33 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.76 | | | | $ | 14.82 | | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.56 | | | | $ | 14.31 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.34 | % | | | | 15.14 | % | | | | (15.19 | )% | | | | 12.64 | % | | | | 12.68 | % | | | | 19.17 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 371,940 | | | | $ | 333,697 | | | | $ | 331,731 | | | | $ | 443,099 | | | | $ | 364,206 | | | | $ | 371,610 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | %(e) | | | | 0.20 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.24 | %(e) | | | | 0.24 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.24 | % | | | | 0.25 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.90 | %(e) | | | | 2.20 | % | | | | 2.29 | % | | | | 2.65 | % | | | | 1.77 | % | | | | 2.01 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. | | 33 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Service Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.73 | | | | $ | 13.06 | | | | $ | 16.30 | | | | $ | 15.48 | | | | $ | 14.23 | | | | $ | 12.23 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.11 | | | | | 0.23 | | | | | 0.25 | | | | | 0.34 | | | | | 0.16 | | | | | 0.21 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.94 | | | | | 1.66 | | | | | (2.78 | ) | | | | 1.51 | | | | | 1.56 | | | | | 2.05 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.05 | | | | | 1.89 | | | | | (2.53 | ) | | | | 1.85 | | | | | 1.72 | | | | | 2.26 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (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 | | | | (0.11 | ) | | | | (0.22 | ) | | | | (0.71 | ) | | | | (1.03 | ) | | | | (0.47 | ) | | | | (0.26 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.67 | | | | $ | 14.73 | | | | $ | 13.06 | | | | $ | 16.30 | | | | $ | 15.48 | | | | $ | 14.23 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.07 | % | | | | 14.58 | % | | | | (15.61 | )% | | | | 12.03 | % | | | | 12.18 | % | | | | 18.51 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,915 | | | | $ | 1,723 | | | | $ | 1,851 | | | | $ | 2,755 | | | | $ | 2,669 | | | | $ | 2,920 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.69 | %(e) | | | | 0.70 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.74 | %(e) | | | | 0.74 | % | | | | 0.74 | % | | | | 0.73 | % | | | | 0.74 | % | | | | 0.75 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.39 | %(e) | | | | 1.69 | % | | | | 1.75 | % | | | | 2.07 | % | | | | 1.17 | % | | | | 1.53 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Investor Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.68 | | | | $ | 13.02 | | | | $ | 16.26 | | | | $ | 15.44 | | | | $ | 14.19 | | | | $ | 12.20 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.13 | | | | | 0.32 | | | | | 0.32 | | | | | 0.41 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.94 | | | | | 1.62 | | | | | (2.80 | ) | | | | 1.51 | | | | | 1.54 | | | | | 2.04 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.07 | | | | | 1.94 | | | | | (2.48 | ) | | | | 1.92 | | | | | 1.77 | | | | | 2.30 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.14 | ) | | | | (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 | | | | (0.14 | ) | | | | (0.28 | ) | | | | (0.76 | ) | | | | (1.10 | ) | | | | (0.52 | ) | | | | (0.31 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.61 | | | | $ | 14.68 | | | | $ | 13.02 | | | | $ | 16.26 | | | | $ | 15.44 | | | | $ | 14.19 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.28 | % | | | | 15.01 | % | | | | (15.30 | )% | | | | 12.48 | % | | | | 12.64 | % | | | | 18.91 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 11,622 | | | | $ | 13,017 | | | | $ | 7,459 | | | | $ | 8,948 | | | | $ | 7,997 | | | | $ | 7,670 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.30 | %(e) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.35 | %(e) | | | | 0.36 | % | | | | 0.36 | % | | | | 0.34 | % | | | | 0.37 | % | | | | 0.39 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.72 | %(e) | | | | 2.28 | % | | | | 2.24 | % | | | | 2.50 | % | | | | 1.64 | % | | | | 1.92 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. | | 35 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.81 | | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.55 | | | | $ | 14.30 | | | | $ | 12.29 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.31 | | | | | 0.43 | | | | | 0.32 | | | | | 0.22 | | | | | 0.26 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.96 | | | | | 1.65 | | | | | (2.91 | ) | | | | 1.64 | | | | | 1.57 | | | | | 2.08 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.10 | | | | | 1.96 | | | | | (2.48 | ) | | | | 1.96 | | | | | 1.79 | | | | | 2.34 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (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 | | | | (0.15 | ) | | | | (0.29 | ) | | | | (0.78 | ) | | | | (1.11 | ) | | | | (0.54 | ) | | | | (0.33 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.76 | | | | $ | 14.81 | | | | $ | 13.14 | | | | $ | 16.40 | | | | $ | 15.55 | | | | $ | 14.30 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.42 | % | | | | 15.08 | % | | | | (15.17 | )% | | | | 12.69 | % | | | | 12.70 | % | | | | 19.10 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 2,243 | | | | $ | 2,201 | | | | $ | 2,162 | | | | $ | 923 | | | | $ | 4,694 | | | | $ | 6,300 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.23 | %(e) | | | | 0.23 | % | | | | 0.23 | % | | | | 0.22 | % | | | | 0.23 | % | | | | 0.24 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.90 | %(e) | | | | 2.23 | % | | | | 3.02 | % | | | | 1.94 | % | | | | 1.59 | % | | | | 1.92 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Class R Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 14.62 | | | | $ | 12.97 | | | | $ | 16.20 | | | | $ | 15.39 | | | | $ | 14.15 | | | | $ | 12.17 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.10 | | | | | 0.21 | | | | | 0.25 | | | | | 0.31 | | | | | 0.16 | | | | | 0.20 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.93 | | | | | 1.64 | | | | | (2.79 | ) | | | | 1.52 | | | | | 1.53 | | | | | 2.02 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.03 | | | | | 1.85 | | | | | (2.54 | ) | | | | 1.83 | | | | | 1.69 | | | | | 2.22 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.10 | ) | | | | (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 | | | | (0.10 | ) | | | | (0.20 | ) | | | | (0.69 | ) | | | | (1.02 | ) | | | | (0.45 | ) | | | | (0.24 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.55 | | | | $ | 14.62 | | | | $ | 12.97 | | | | $ | 16.20 | | | | $ | 15.39 | | | | $ | 14.15 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.07 | % | | | | 14.39 | % | | | | (15.73 | )% | | | | 11.94 | % | | | | 12.05 | % | | | | 18.30 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 4,399 | | | | $ | 4,230 | | | | $ | 4,346 | | | | $ | 5,579 | | | | $ | 5,270 | | | | $ | 4,991 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.80 | %(e) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.85 | %(e) | | | | 0.86 | % | | | | 0.86 | % | | | | 0.84 | % | | | | 0.87 | % | | | | 0.89 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.27 | %(e) | | | | 1.57 | % | | | | 1.75 | % | | | | 1.87 | % | | | | 1.15 | % | | | | 1.46 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. | | 37 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth and Income Strategy Portfolio | | |
| | | |
| | | | | Class P Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.81 | | | | $ | 13.13 | | | | $ | 16.39 | | | | $ | 15.55 | | | | $ | 14.30 | | | | $ | 12.29 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.31 | | | | | 0.34 | | | | | 0.44 | | | | | 0.26 | | | | | 0.29 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.95 | | | | | 1.66 | | | | | (2.82 | ) | | | | 1.52 | | | | | 1.53 | | | | | 2.05 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.09 | | | | | 1.97 | | | | | (2.48 | ) | | | | 1.96 | | | | | 1.79 | | | | | 2.34 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (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 | | | | (0.15 | ) | | | | (0.29 | ) | | | | (0.78 | ) | | | | (1.12 | ) | | | | (0.54 | ) | | | | (0.33 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 15.75 | | | | $ | 14.81 | | | | $ | 13.13 | | | | $ | 16.39 | | | | $ | 15.55 | | | | $ | 14.30 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 7.35 | % | | | | 15.17 | % | | | | (15.19 | )% | | | | 12.66 | % | | | | 12.70 | % | | | | 19.10 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 245,760 | | | | $ | 238,157 | | | | $ | 218,480 | | | | $ | 260,202 | | | | $ | 228,953 | | | | $ | 212,702 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.23 | %(e) | | | | 0.23 | % | | | | 0.23 | % | | | | 0.22 | % | | | | 0.23 | % | | | | 0.24 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.89 | %(e) | | | | 2.23 | % | | | | 2.38 | % | | | | 2.62 | % | | | | 1.80 | % | | | | 2.12 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Class A Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 17.87 | | | | $ | 15.44 | | | | $ | 19.62 | | | | $ | 17.88 | | | | $ | 16.18 | | | | $ | 13.73 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.10 | | | | | 0.26 | | | | | 0.32 | | | | | 0.47 | | | | | 0.19 | | | | | 0.25 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.61 | | | | | 2.42 | | | | | (3.68 | ) | | | | 2.49 | | | | | 2.07 | | | | | 2.80 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.71 | | | | | 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 period | | | $ | 19.58 | | | | $ | 17.87 | | | | $ | 15.44 | | | | $ | 19.62 | | | | $ | 17.88 | | | | $ | 16.18 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.57 | % | | | | 17.33 | % | | | | (17.14 | )% | | | | 16.54 | % | | | | 13.96 | % | | | | 22.24 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 341,845 | | | | $ | 325,376 | | | | $ | 297,896 | | | | $ | 387,436 | | | | $ | 353,363 | | | | $ | 338,384 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.55 | %(e) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.60 | %(e) | | | | 0.61 | % | | | | 0.61 | % | | | | 0.60 | % | | | | 0.64 | % | | | | 0.65 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.10 | %(e) | | | | 1.54 | % | | | | 1.87 | % | | | | 2.40 | % | | | | 1.18 | % | | | | 1.61 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 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 FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Class C Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 18.38 | | | | $ | 15.85 | | | | $ | 20.09 | | | | $ | 18.27 | | | | $ | 16.51 | | | | $ | 13.98 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.03 | | | | | 0.12 | | | | | 0.18 | | | | | 0.29 | | | | | 0.05 | | | | | 0.10 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.65 | | | | | 2.49 | | | | | (3.74 | ) | | | | 2.57 | | | | | 2.11 | | | | | 2.87 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.68 | | | | | 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 period | | | $ | 20.06 | | | | $ | 18.38 | | | | $ | 15.85 | | | | $ | 20.09 | | | | $ | 18.27 | | | | $ | 16.51 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.14 | % | | | | 16.47 | % | | | | (17.76 | )% | | | | 15.67 | % | | | | 13.10 | % | | | | 21.31 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 13,338 | | | | $ | 12,068 | | | | $ | 13,496 | | | | $ | 19,334 | | | | $ | 22,590 | | | | $ | 29,424 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.30 | %(e) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.35 | %(e) | | | | 1.36 | % | | | | 1.36 | % | | | | 1.35 | % | | | | 1.39 | % | | | | 1.40 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.35 | %(e) | | | | 0.71 | % | | | | 1.03 | % | | | | 1.44 | % | | | | 0.28 | % | | | | 0.64 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 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 FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Institutional Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 17.86 | | | | $ | 15.42 | | | | $ | 19.61 | | | | $ | 17.86 | | | | $ | 16.17 | | | | $ | 13.72 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.32 | | | | | 0.38 | | | | | 0.57 | | | | | 0.25 | | | | | 0.24 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.60 | | | | | 2.43 | | | | | (3.68 | ) | | | | 2.47 | | | | | 2.06 | | | | | 2.87 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.74 | | | | | 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 period | | | $ | 19.60 | | | | $ | 17.86 | | | | $ | 15.42 | | | | $ | 19.61 | | | | $ | 17.86 | | | | $ | 16.17 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.74 | % | | | | 17.83 | % | | | | (16.87 | )% | | | | 17.03 | % | | | | 14.29 | % | | | | 22.77 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 244,438 | | | | $ | 211,831 | | | | $ | 195,963 | | | | $ | 249,377 | | | | $ | 169,166 | | | | $ | 147,389 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | %(e) | | | | 0.20 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.24 | %(e) | | | | 0.25 | % | | | | 0.24 | % | | | | 0.23 | % | | | | 0.26 | % | | | | 0.26 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.48 | %(e) | | | | 1.91 | % | | | | 2.24 | % | | | | 2.88 | % | | | | 1.58 | % | | | | 1.59 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Service Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 17.82 | | | | $ | 15.39 | | | | $ | 19.56 | | | | $ | 17.83 | | | | $ | 16.13 | | | | $ | 13.69 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.09 | | | | | 0.23 | | | | | 0.29 | | | | | 0.46 | | | | | 0.15 | | | | | 0.22 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.60 | | | | | 2.42 | | | | | (3.66 | ) | | | | 2.46 | | | | | 2.08 | | | | | 2.80 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.69 | | | | | 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 period | | | $ | 19.51 | | | | $ | 17.82 | | | | $ | 15.39 | | | | $ | 19.56 | | | | $ | 17.83 | | | | $ | 16.13 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.48 | % | | | | 17.23 | % | | | | (17.27 | )% | | | | 16.41 | % | | | | 13.81 | % | | | | 22.10 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 2,493 | | | | $ | 2,277 | | | | $ | 1,764 | | | | $ | 2,413 | | | | $ | 2,120 | | | | $ | 2,266 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.69 | %(e) | | | | 0.70 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.74 | %(e) | | | | 0.75 | % | | | | 0.74 | % | | | | 0.73 | % | | | | 0.76 | % | | | | 0.77 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.97 | %(e) | | | | 1.41 | % | | | | 1.70 | % | | | | 2.36 | % | | | | 0.94 | % | | | | 1.47 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Investor Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 17.58 | | | | $ | 15.18 | | | | $ | 19.29 | | | | $ | 17.60 | | | | $ | 15.93 | | | | $ | 13.53 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.11 | | | | | 0.28 | | | | | 0.34 | | | | | 0.75 | | | | | 0.22 | | | | | 0.28 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.59 | | | | | 2.40 | | | | | (3.60 | ) | | | | 2.21 | | | | | 2.05 | | | | | 2.76 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.70 | | | | | 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 period | | | $ | 19.28 | | | | $ | 17.58 | | | | $ | 15.18 | | | | $ | 19.29 | | | | $ | 17.60 | | | | $ | 15.93 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.67 | % | | | | 17.67 | % | | | | (16.92 | )% | | | | 16.86 | % | | | | 14.24 | % | | | | 22.50 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 9,496 | | | | $ | 12,556 | | | | $ | 10,006 | | | | $ | 13,836 | | | | $ | 7,004 | | | | $ | 7,204 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.30 | %(e) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.35 | %(e) | | | | 0.36 | % | | | | 0.36 | % | | | | 0.35 | % | | | | 0.39 | % | | | | 0.40 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.22 | %(e) | | | | 1.73 | % | | | | 2.02 | % | | | | 3.83 | % | | | | 1.38 | % | | | | 1.85 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 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 FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 17.87 | | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | | $ | 13.72 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.32 | | | | | 0.42 | | | | | 0.55 | | | | | 0.21 | | | | | 0.31 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.60 | | | | | 2.43 | | | | | (3.72 | ) | | | | 2.49 | | | | | 2.11 | | | | | 2.80 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.74 | | | | | 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 period | | | $ | 19.61 | | | | $ | 17.87 | | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.80 | % | | | | 17.76 | % | | | | (16.85 | )% | | | | 17.02 | % | | | | 14.35 | % | | | | 22.72 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 9,219 | | | | $ | 8,211 | | | | $ | 7,255 | | | | $ | 6,263 | | | | $ | 6,792 | | | | $ | 7,554 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.23 | %(e) | | | | 0.24 | % | | | | 0.24 | % | | | | 0.22 | % | | | | 0.25 | % | | | | 0.26 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.48 | %(e) | | | | 1.92 | % | | | | 2.48 | % | | | | 2.79 | % | | | | 1.31 | % | | | | 2.00 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 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 FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Class R Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 17.27 | | | | $ | 14.93 | | | | $ | 19.01 | | | | $ | 17.36 | | | | $ | 15.74 | | | | $ | 13.37 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.08 | | | | | 0.21 | | | | | 0.26 | | | | | 0.44 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.55 | | | | | 2.34 | | | | | (3.56 | ) | | | | 2.39 | | | | | 1.99 | | | | | 2.73 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.63 | | | | | 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 period | | | $ | 18.90 | | | | $ | 17.27 | | | | $ | 14.93 | | | | $ | 19.01 | | | | $ | 17.36 | | | | $ | 15.74 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.44 | % | | | | 17.07 | % | | | | (17.38 | )% | | | | 16.31 | % | | | | 13.61 | % | | | | 21.98 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 7,704 | | | | $ | 6,350 | | | | $ | 5,492 | | | | $ | 7,788 | | | | $ | 6,353 | | | | $ | 6,400 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.80 | %(e) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.85 | %(e) | | | | 0.86 | % | | | | 0.86 | % | | | | 0.85 | % | | | | 0.89 | % | | | | 0.90 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.92 | %(e) | | | | 1.31 | % | | | | 1.58 | % | | | | 2.31 | % | | | | 0.94 | % | | | | 1.36 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 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 FUND OF FUNDS PORTFOLIOS
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Growth Strategy Portfolio | | |
| | | |
| | | | | Class P Shares | | |
| | | | | | | | |
| | | | | Six Months Ended | | | | | | | | | | | | |
| | | | | June 30, 2024 | | Year Ended December 31, | | |
| | | | | | | | |
| | | | | (Unaudited) | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 17.87 | | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | | $ | 13.72 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.32 | | | | | 0.39 | | | | | 0.59 | | | | | 0.26 | | | | | 0.32 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.60 | | | | | 2.43 | | | | | (3.69 | ) | | | | 2.45 | | | | | 2.06 | | | | | 2.79 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.74 | | | | | 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 period | | | $ | 19.61 | | | | $ | 17.87 | | | | $ | 15.43 | | | | $ | 19.62 | | | | $ | 17.87 | | | | $ | 16.17 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 9.74 | % | | | | 17.83 | % | | | | (16.85 | )% | | | | 17.03 | % | | | | 14.36 | % | | | | 22.72 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 301,657 | | | | $ | 270,227 | | | | $ | 230,411 | | | | $ | 277,169 | | | | $ | 207,786 | | | | $ | 183,763 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.23 | %(e) | | | | 0.24 | % | | | | 0.23 | % | | | | 0.22 | % | | | | 0.25 | % | | | | 0.26 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.49 | %(e) | | | | 1.93 | % | | | | 2.26 | % | | | | 2.98 | % | | | | 1.62 | % | | | | 2.08 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 2 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (d) | 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 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 FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements June 30, 2024 (Unaudited) |
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”).
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2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The valuation policy of the Portfolios and Underlying Funds 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
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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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 Portfolio, Growth and Income Strategy Portfolio | | Quarterly | | Annually |
| | |
| Growth Strategy Portfolio | | 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.
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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
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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
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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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
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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 June 30, 2024:
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| BALANCED STRATEGY PORTFOLIO | | | | | | | | | | | | |
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| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
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Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Dynamic | | $ | 11,452,427 | | | $ | — | | | $ | — | |
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Equity | | | 82,217,602 | | | | — | | | | — | |
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Exchange Traded Funds | | | 208,397,884 | | | | — | | | | — | |
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Fixed Income | | | 213,150,248 | | | | — | | | | — | |
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Investment Company | | | 4,884,941 | | | | — | | | | — | |
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Total | | $ | 520,103,102 | | | $ | — | | | $ | — | |
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| Derivative Type | | | | | | | | | |
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| | | |
Assets | | | | | | | | | | | | |
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Centrally Cleared Interest Rate Swap Contracts(a) | | $ | — | | | $ | 16,349 | | | $ | — | |
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Forward Foreign Currency Exchange Contracts(a) | | | — | | | | 403,102 | | | | — | |
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Futures Contracts(a) | | | 186,757 | | | | — | | | | — | |
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Over-The-Counter Interest Rate Swaptions(a) | | | — | | | | 34,490 | | | | — | |
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Purchased option contracts | | | 1,048,775 | | | | 6,577 | | | | — | |
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Total | | $ | 1,235,532 | | | $ | 460,518 | | | $ | — | |
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Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (46,596 | ) | | $ | — | |
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Futures Contracts(a) | | | (44,736 | ) | | | — | | | | — | |
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Over-The-Counter Interest Rate Swaptions(a) | | | — | | | | (19,484 | ) | | | — | |
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Written option contracts | | | (46,650 | ) | | | (10,153 | ) | | | — | |
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Total | | $ | (91,386 | ) | | $ | (76,233 | ) | | $ | — | |
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| | (a) | Amount shown represents unrealized gain (loss) at period end. |
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| GROWTH AND INCOME STRATEGY PORTFOLIO | | | | | | | | | | | | |
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| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
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Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
| | | |
Dynamic | | $ | 17,847,553 | | | $ | — | | | $ | — | |
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Equity | | | 174,364,175 | | | | — | | | | — | |
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Exchange Traded Funds | | | 487,626,546 | | | | — | | | | — | |
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Fixed Income | | | 177,443,035 | | | | — | | | | — | |
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Investment Company | | | 5,344,983 | | | | — | | | | — | |
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Total | | $ | 862,626,292 | | | $ | — | | | $ | — | |
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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| GROWTH AND INCOME STRATEGY PORTFOLIO (continued) | | | | | | | | | | | | |
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| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
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Assets | | | | | | | | | | | | |
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Centrally Cleared Interest Rate Swap Contracts(a) | | $ | — | | | $ | 21,081 | | | $ | — | |
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Forward Foreign Currency Exchange Contracts(a) | | | — | | | | 689,193 | | | | — | |
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Futures Contracts(a) | | | 267,135 | | | | — | | | | — | |
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Over-The-Counter Interest Rate Swaptions | | | — | | | | 42,821 | | | | — | |
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Purchased option contracts | | | 1,838,375 | | | | 8,242 | | | | — | |
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Total | | $ | 2,105,510 | | | $ | 761,337 | | | $ | — | |
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Liabilities | | | | | | | | | | | | |
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Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (66,574 | ) | | $ | — | |
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Futures Contracts(a) | | | (47,717 | ) | | | — | | | | — | |
| | | |
Over-The-Counter Interest Rate Swaptions | | | — | | | | (24,281 | ) | | | — | |
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Written option contracts | | | (124,278 | ) | | | (12,809 | ) | | | — | |
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Total | | $ | (171,995 | ) | | $ | (103,664 | ) | | $ | — | |
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| | (a) | Amount shown represents unrealized gain (loss) at period end. |
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| GROWTH STRATEGY PORTFOLIO | | | | | | | | | | | | |
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| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
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| | | |
Assets | | | | | | | | | | | | |
| | | |
Underlying Funds | | | | | | | | | | | | |
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Dynamic | | $ | 17,511,302 | | | $ | — | | | $ | — | |
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Equity | | | 233,481,010 | | | | — | | | | — | |
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Exchange Traded Funds | | | 610,577,506 | | | | — | | | | — | |
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Fixed Income | | | 29,468,228 | | | | — | | | | — | |
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Investment Company | | | 8,155,538 | | | | — | | | | — | |
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Total | | $ | 899,193,584 | | | $ | — | | | $ | — | |
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| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Centrally Cleared Interest Rate Swap Contracts(a) | | $ | — | | | $ | 15,918 | | | $ | — | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | | — | | | | 672,932 | | | | — | |
| | | |
Futures Contracts(a) | | | 248,031 | | | | — | | | | — | |
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Over-The-Counter Interest Rate Swaptions | | | — | | | | 33,058 | | | | — | |
| | | |
Purchased option contracts | | | 2,281,550 | | | | 6,403 | | | | — | |
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| |
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Total | | $ | 2,529,581 | | | $ | 728,311 | | | $ | — | |
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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| GROWTH STRATEGY PORTFOLIO (continued) | | | | | | | | | | | | |
| | | |
| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (55,468 | ) | | $ | — | |
| | | |
Futures Contracts(a) | | | (43,053 | ) | | | — | | | | — | |
| | | |
Over-The-Counter Interest Rate Swaptions | | | — | | | | (18,744 | ) | | | — | |
| | | |
Written option contracts | | | (166,463 | ) | | | (9,998 | ) | | | — | |
|
| |
| | | |
Total | | $ | (209,516 | ) | | $ | (84,210 | ) | | $ | — | |
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| | (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
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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 June 30, 2024. 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.
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| Balanced Strategy Portfolio | | | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency contracts | | $ | 403,102 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | (46,596 | ) |
| | | | |
| Equity | | Variation margin on futures contracts; Purchased options, at value | | | 34,954 | (a) | | Payable for unrealized loss on swap contracts; Written options, at value | | | (101,539 | ) |
| | | | |
| Interest rate | | Variation margin on futures contracts; Variation margin on swap contracts; Purchased options, at value | | | 1,257,994 | (a) | | Written Options, at value | | | (19,484 | ) |
| | | | |
Total | | | | $ | 1,696,050 | | | | | $ | (167,619 | ) |
| | | |
| Growth and Income Strategy Portfolio | | | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | $ | 689,193 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | (66,574 | ) |
| | | | |
| Equity | | Variation margin on futures contracts; Purchased options, at value | | | 53,927 | (a) | | Variation margin on futures contracts; Written options, at value | | | (184,804 | ) |
| | | | |
| Interest rate | | Variation margin on futures contracts; Variation margin on swap contracts; Purchased options, at value | | | 2,123,727 | (a) | | Written options, at value | | | (24,281 | ) |
| | | | |
Total | | | | $ | 2,866,847 | | | | | $ | (275,659 | ) |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | |
| Growth Strategy Portfolio | | | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Currency | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | 672,932 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | (55,468 | ) |
| | | | |
| Equity | | Variation margin on futures contracts; Purchased options, at value | | | 54,059 | (a) | | Written options, at value | | | (219,514 | ) |
| | | | |
| Interest rate | | Receivable for unrealized gain on swap contracts; Variation margin on futures contracts | | | 2,530,901 | (a) | | Written options, at value | | | (18,744 | ) |
| | | | |
Total | | | | $ | 3,257,892 | | | | | $ | (293,726 | ) |
| | (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 June 30, 2024 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 six months ended June 30, 2024. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | |
| Balanced Strategy Portfolio | | | | | | | | |
| | | |
| Risk | | 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 | | | $ (551,357) | | | | $ 720,897 | |
| | | |
| 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 | | | 3,136,430 | | | | (653,400) | |
| | | |
| Interest rate | | Net realized gain from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | | | (294,222) | | | | (735,956) | |
| | | |
Total | | | | | $2,290,851 | | | | $(668,459) | |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | |
| Growth and Income Strategy Portfolio | | | | | | | | |
| | | |
| 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 | | | $ 1,274,926 | | | | $ 1,022,657 | |
| | | |
| 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 | | | (493,132) | | | | 3,380,769 | |
| | | |
| 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, written options and swap contracts | | | (1,153,488) | | | | (2,136,751) | |
| | | |
Total | | | | | $ (371,694) | | | | $ 2,266,675 | |
| | |
| Growth Strategy Portfolio | | | | | | | | |
| | | |
| 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 | | | $ 969,036 | | | | $ 1,198,697 | |
| | | |
| 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 | | | 2,970,867 | | | | (444,379) | |
| | | |
| 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 | | | (2,297,907) | | | | (1,303,688) | |
| | | |
Total | | | | | $1,641,996 | | | | $ (549,370) | |
For the six months ended June 30, 2024, 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 | | | Purchased
Swaptions | | | Written
Options | | | Written
Swaptions | |
|
| |
| | | | | | | |
Balanced Strategy Portfolio | | 262 | | | $22,791,081 | | | | $480,044 | | | | 6,455,687 | | | | $6,565,899 | | | | 167,484 | | | | $7,912,092 | |
|
| |
| | | | | | | |
Growth and Income Strategy Portfolio | | 349 | | | 38,113,957 | | | | 619,005 | | | | 9,894,833 | | | | 8,109,428 | | | | 221,201 | | | | 9,806,569 | |
|
| |
| | | | | | | |
Growth Strategy Portfolio | | 309 | | | 35,306,126 | | | | 467,412 | | | | 11,434,619 | | | | 6,262,917 | | | | 174,003 | | | | 7,570,254 | |
|
| |
| | (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 six months ended June 30, 2024. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolios, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of average daily net assets of 0.15% for each of the 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 six months ended June 30, 2024, Goldman Sachs retained the following amounts:
| | | | |
| | | Front End
Sales Charge | | Contingent Deferred
Sales Charge |
| Portfolio | | Class A | | Class C |
| | |
Balanced Strategy Portfolio | | $2,511 | | $140 |
|
|
| | |
Growth and Income Strategy Portfolio | | 3,475 | | 368 |
|
|
| | |
Growth Strategy Portfolio | | 5,778 | | 417 |
|
|
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.
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 0.004% for each Portfolio. These Other Expense limitations will remain in place through at least April 29, 2025 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 six months ended June 30, 2024, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | |
| Portfolio | | Transfer Agency Waivers/Credits | | Other Expense Reimbursements | | Total Expense Reductions |
| | | |
Balanced Strategy Portfolio | | $ 701 | | $179,291 | | $179,992 |
|
|
| | | |
Growth and Income Strategy Portfolio | | 1,281 | | 189,681 | | 190,962 |
|
|
| | | |
Growth Strategy Portfolio | | 2,824 | | 192,664 | | 195,488 |
|
|
G. Line of Credit Facility — As of June 30, 2024, the Portfolios participated in a $1,150,000,000 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 six months ended June 30, 2024, the Portfolios did not have any borrowings under the facility. Prior to April 16, 2024, the facility was $1,110,000,000.
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 six months ended June 30, 2024 (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balanced Strategy Portfolio | | | | | |
| | | | | | | | |
| Underlying Fund | |
| Market
Value as of
12/31/23 |
| |
| Purchases
at Cost |
| |
| Proceeds
from Sales |
| |
| Net
Realized
Gain (Loss) |
| |
| Change In
Unrealized
Gain (Loss) |
| |
| Market
Value as of
6/30/24 |
| |
| Shares as of
6/30/24 |
| |
| Dividend
Income |
|
| | | | | | | | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | $ | 53,319 | | | $ | 5,514 | | | $ | (3,723 | ) | | $ | (430 | ) | | $ | (899 | ) | | $ | 53,781 | | | | 1,189 | | | $ | 958 | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | 5,610 | | | | 1,359 | | | | (512 | ) | | | (108 | ) | | | 576 | | | | 6,925 | | | | 212 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | | 14,525 | | | | — | | | | (804 | ) | | | (49 | ) | | | 475 | | | | 14,147 | | | | 420 | | | | 249 | |
|
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balanced Strategy Portfolio (continued) | | | | | |
| | | | | | | | |
| Underlying Fund | |
| Market
Value as of
12/31/23 |
| |
| Purchases
at Cost |
| |
| Proceeds
from Sales |
| |
| Net
Realized
Gain (Loss) |
| |
| Change In
Unrealized
Gain (Loss) |
| |
| Market
Value as of
6/30/24 |
| |
| Shares as of
6/30/24 |
| |
| Dividend
Income |
|
| | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | $ | 33,549 | | | $ | 1,080 | | | $ | (7,536 | ) | | $ | 3,186 | | | $ | 1,472 | | | $ | 31,751 | | | | 297 | | | $ | 204 | |
|
| |
| | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 5,568 | | | | 143 | | | | — | | | | — | | | | (5 | ) | | | 5,706 | | | | 601 | | | | 143 | |
|
| |
| | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 7,373 | | | | — | | | | (1,500 | ) | | | 72 | | | | 668 | | | | 6,613 | | | | 740 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 217 | | | | 4 | | | | — | | | | — | | | | 34 | | | | 255 | | | | 20 | | | | 5 | |
|
| |
| | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 20,127 | | | | 66,606 | | | | (81,848 | ) | | | — | | | | — | | | | 4,885 | | | | 4,885 | | | | 307 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Core Fixed Income Fund — Class R6 | | | 191,269 | | | | 8,375 | | | | (11,000 | ) | | | (2,010 | ) | | | (1,402 | ) | | | 185,232 | | | | 16,421 | | | | 3,072 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,283 | | | | 77 | | | | — | | | | — | | | | (76 | ) | | | 5,284 | | | | 430 | | | | 77 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 4,894 | | | | 112 | | | | — | | | | — | | | | (311 | ) | | | 4,695 | | | | 510 | | | | 112 | |
|
| |
| | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 5,019 | | | | 724 | | | | — | | | | — | | | | (7 | ) | | | 5,736 | | | | 645 | | | | 224 | |
|
| |
| | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | 5,398 | | | | 426 | | | | — | | | | — | | | | (39 | ) | | | 5,785 | | | | 1,037 | | | | 173 | |
|
| |
| | | | | | | | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | 11,623 | | | | 328 | | | | (1,000 | ) | | | (13 | ) | | | (247 | ) | | | 10,691 | | | | 1,136 | | | | 328 | |
|
| |
| | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 14,908 | | | | — | | | | (1,000 | ) | | | 125 | | | | 1,114 | | | | 15,147 | | | | 1,007 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 5,458 | | | | — | | | | — | | | | — | | | | 268 | | | | 5,726 | | | | 447 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 16,412 | | | | 800 | | | | (1,800 | ) | | | 168 | | | | 3,626 | | | | 19,206 | | | | 562 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 16,906 | | | | 108 | | | | (1,000 | ) | | | (10 | ) | | | 1,323 | | | | 17,327 | | | | 713 | | | | 108 | |
|
| |
| | | | | | | | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | 10,260 | | | | 600 | | | | — | | | | — | | | | 593 | | | | 11,453 | | | | 1,105 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 11,237 | | | | — | | | | (537 | ) | | | (104 | ) | | | 770 | | | | 11,366 | | | | 253 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | 30,205 | | | | 1,104 | | | | (3,287 | ) | | | (45 | ) | | | 1,282 | | | | 29,259 | | | | 523 | | | | 506 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | 48,738 | | | | 3,338 | | | | (7,409 | ) | | | 587 | | | | 6,269 | | | | 51,523 | | | | 689 | | | | 322 | |
|
| |
| | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 8,426 | | | | — | | | | (1,000 | ) | | | (22 | ) | | | 560 | | | | 7,964 | | | | 284 | | | | — | |
|
| |
| | | | | | | | |
Total | | $ | 526,324 | | | $ | 90,698 | | | $ | (123,956 | ) | | $ | 1,347 | | | $ | 16,044 | | | $ | 510,457 | | | | | | | $ | 6,788 | |
|
| |
| |
| Growth and Income Strategy Portfolio | | | | | |
| | | | | | | | |
| Underlying Fund | |
| Market
Value as of
12/31/23 |
| |
| Purchases
at Cost |
| |
| Proceeds
from Sales |
| |
| Net
Realized
Gain (Loss) |
| |
| Change In
Unrealized
Gain (Loss) |
| |
| Market
Value as of
6/30/24 |
| |
| Shares as of
6/30/24 |
| |
| Dividend
Income |
|
| | | | | | | | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | $ | 67,211 | | | $ | 12,175 | | | $ | — | | | $ | — | | | $ | (1,643 | ) | | $ | 77,743 | | | | 1,718 | | | $ | 1,218 | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | 15,796 | | | | — | | | | — | | | | — | | | | 1,019 | | | | 16,815 | | | | 515 | | | | — | |
|
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Growth and Income Strategy Portfolio (continued) | | | | | |
| | | | | | | | |
| Underlying Fund | |
| Market
Value as of
12/31/23 |
| |
| Purchases
at Cost |
| |
| Proceeds
from Sales |
| |
| Net
Realized
Gain (Loss) |
| |
| Change In
Unrealized
Gain (Loss) |
| |
| Market
Value as of
6/30/24 |
| |
| Shares as of
6/30/24 |
| |
| Dividend
Income |
|
| | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | $ | 34,422 | | | $ | — | | | $ | (2,163 | ) | | $ | (67 | ) | | $ | 1,134 | | | $ | 33,326 | | | | 990 | | | $ | 588 | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 78,425 | | | | 1,673 | | | | (8,745 | ) | | | 3,606 | | | | 7,193 | | | | 82,151 | | | | 768 | | | | 485 | |
|
| |
| | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 8,858 | | | | 226 | | | | — | | | | — | | | | (8 | ) | | | 9,076 | | | | 956 | | | | 226 | |
|
| |
| | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 15,975 | | | | 1,000 | | | | (1,001 | ) | | | (65 | ) | | | 1,789 | | | | 17,698 | | | | 1,980 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 252 | | | | 6 | | | | — | | | | — | | | | 39 | | | | 297 | | | | 23 | | | | 6 | |
|
| |
| | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 30,119 | | | | 60,158 | | | | (84,933 | ) | | | — | | | | — | | | | 5,345 | | | | 5,345 | | | | 486 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Core Fixed Income Fund — Class R6 | | | 138,968 | | | | 6,259 | | | | (2,000 | ) | | | (324 | ) | | | (1,875 | ) | | | 141,028 | | | | 12,503 | | | | 2,259 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,209 | | | | 75 | | | | — | | | | — | | | | (75 | ) | | | 5,209 | | | | 424 | | | | 76 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 5,213 | | | | 119 | | | | — | | | | — | | | | (331 | ) | | | 5,001 | | | | 543 | | | | 119 | |
|
| |
| | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 7,981 | | | | 1,156 | | | | — | | | | — | | | | (10 | ) | | | 9,127 | | | | 1,027 | | | | 356 | |
|
| |
| | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | 8,397 | | | | 267 | | | | — | | | | — | | | | (59 | ) | | | 8,605 | | | | 1,542 | | | | 267 | |
|
| |
| | | | | | | | |
Goldman Sachs Inflation Protected Securities Fund — Class R6 | | | 8,731 | | | | 1,077 | | | | — | | | | — | | | | (201 | ) | | | 9,607 | | | | 1,021 | | | | 276 | |
|
| |
| | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 33,934 | | | | — | | | | (1,999 | ) | | | 350 | | | | 2,572 | | | | 34,857 | | | | 2,318 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 8,649 | | | | — | | | | — | | | | — | | | | 425 | | | | 9,074 | | | | 709 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 39,373 | | | | — | | | | (1,500 | ) | | | 120 | | | | 8,865 | | | | 46,858 | | | | 1,372 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 39,772 | | | | 257 | | | | (1,000 | ) | | | (9 | ) | | | 3,127 | | | | 42,147 | | | | 1,734 | | | | 257 | |
|
| |
| | | | | | | | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | 16,024 | | | | 901 | | | | — | | | | — | | | | 923 | | | | 17,848 | | | | 1,723 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 30,698 | | | | 2,101 | | | | (2,397 | ) | | | (472 | ) | | | 2,438 | | | | 32,368 | | | | 720 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | 69,986 | | | | 4,545 | | | | (3,842 | ) | | | (73 | ) | | | 2,959 | | | | 73,575 | | | | 1,315 | | | | 1,241 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | 139,663 | | | | 5,199 | | | | (7,585 | ) | | | 756 | | | | 18,975 | | | | 157,008 | | | | 2,100 | | | | 938 | |
|
| |
| | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 13,280 | | | | — | | | | (1,000 | ) | | | 37 | | | | 906 | | | | 13,223 | | | | 471 | | | | — | |
|
| |
| | | | | | | | |
Total | | $ | 816,936 | | | $ | 97,194 | | | $ | (118,165 | ) | | $ | 3,859 | | | $ | 48,162 | | | $ | 847,986 | | | | | | | $ | 8,798 | |
|
| |
| |
| Growth Strategy Portfolio | | | | | |
| | | | | | | | |
| Underlying Fund | |
| Market
Value as of
12/31/23 |
| |
| Purchases
at Cost |
| |
| Proceeds
from Sales |
| |
| Net
Realized
Gain (Loss) |
| |
| Change In
Unrealized
Gain (Loss) |
| |
| Market
Value as of
6/30/24 |
| |
| Shares as of
6/30/24 |
| |
| Dividend
Income |
|
| | | | | | | | |
Goldman Sachs Access Investment Grade Corporate Bond ETF | | $ | 42,394 | | | $ | 2,614 | | | $ | — | | | $ | — | | | $ | (972 | ) | | $ | 44,036 | | | | 973 | | | $ | 748 | |
|
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Growth Strategy Portfolio (continued) | | | | | |
| | | | | | | | |
| Underlying Fund | |
| Market
Value as of
12/31/23 |
| |
| Purchases
at Cost |
| |
| Proceeds
from Sales |
| |
| Net
Realized
Gain (Loss) |
| |
| Change In
Unrealized
Gain (Loss) |
| |
| Market
Value as of
6/30/24 |
| |
| Shares as of
6/30/24 |
| |
| Dividend
Income |
|
| | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | $ | 19,151 | | | $ | 1,300 | | | $ | — | | | $ | — | | | $ | 1,352 | | | $ | 21,803 | | | | 667 | | | $ | — | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta International Equity ETF | | | 46,496 | | | | — | | | | (889 | ) | | | (42 | ) | | | 1,447 | | | | 47,012 | | | | 1,397 | | | | 821 | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | 106,388 | | | | — | | | | (3,323 | ) | | | 1,627 | | | | 13,184 | | | | 117,876 | | | | 1,102 | | | | 687 | |
|
| |
| | | | | | | | |
Goldman Sachs Emerging Markets Debt Fund — Class R6 | | | 10,343 | | | | 670 | | | | — | | | | — | | | | (12 | ) | | | 11,001 | | | | 1,159 | | | | 270 | |
|
| |
| | | | | | | | |
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 21,057 | | | | — | | | | — | | | | — | | | | 2,184 | | | | 23,241 | | | | 2,600 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | | 217 | | | | 5 | | | | — | | | | — | | | | 34 | | | | 256 | | | | 20 | | | | 5 | |
|
| |
| | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 26,041 | | | | 69,543 | | | | (87,428 | ) | | | — | | | | — | | | | 8,156 | | | | 8,156 | | | | 572 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Infrastructure Fund — Class R6 | | | 5,168 | | | | 76 | | | | — | | | | — | | | | (75 | ) | | | 5,169 | | | | 421 | | | | 75 | |
|
| |
| | | | | | | | |
Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 5,319 | | | | 122 | | | | — | | | | — | | | | (338 | ) | | | 5,103 | | | | 554 | | | | 122 | |
|
| |
| | | | | | | | |
Goldman Sachs High Yield Floating Rate Fund — Class R6 | | | 8,200 | | | | 1,063 | | | | — | | | | — | | | | (11 | ) | | | 9,252 | | | | 1,041 | | | | 361 | |
|
| |
| | | | | | | | |
Goldman Sachs High Yield Fund — Class R6 | | | 8,497 | | | | 779 | | | | — | | | | — | | | | (61 | ) | | | 9,215 | | | | 1,651 | | | | 279 | |
|
| |
| | | | | | | | |
Goldman Sachs International Equity Insights Fund — Class R6 | | | 46,373 | | | | 3,000 | | | | — | | | | — | | | | 3,975 | | | | 53,348 | | | | 3,547 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 8,549 | | | | — | | | | — | | | | — | | | | 420 | | | | 8,969 | | | | 701 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | 53,522 | | | | — | | | | (1,500 | ) | | | 61 | | | | 12,233 | | | | 64,316 | | | | 1,883 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 54,032 | | | | 357 | | | | — | | | | — | | | | 4,268 | | | | 58,657 | | | | 2,414 | | | | 357 | |
|
| |
| | | | | | | | |
Goldman Sachs Managed Futures Strategy Fund — Class R6 | | | 16,252 | | | | 1,300 | | | | (1,000 | ) | | | (146 | ) | | | 1,105 | | | | 17,511 | | | | 1,690 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | 39,565 | | | | 2,544 | | | | (1,776 | ) | | | (342 | ) | | | 2,928 | | | | 42,918 | | | | 954 | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | 94,335 | | | | 3,560 | | | | (4,035 | ) | | | (76 | ) | | | 4,012 | | | | 97,796 | | | | 1,748 | | | | 1,660 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | 197,730 | | | | 5,212 | | | | (7,081 | ) | | | 378 | | | | 28,087 | | | | 224,326 | | | | 3,001 | | | | 1,360 | |
|
| |
| | | | | | | | |
Goldman Sachs Short Duration Bond Fund — Class R6 | | | 25 | | | | — | | | | (25 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
|
| |
| | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 13,467 | | | | — | | | | — | | | | — | | | | 955 | | | | 14,422 | | | | 513 | | | | — | |
|
| |
| | | | | | | | |
Total | | $ | 823,121 | | | $ | 92,145 | | | $ | (107,057 | ) | | $ | 1,460 | | | $ | 74,715 | | | $ | 884,383 | | | | | | | $ | 7,317 | |
|
| |
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 six months ended June 30, 2024, were as follows:
| | | | |
| Portfolio | | Purchases | | Sales |
| | |
Balanced Strategy Portfolio | | $33,675,643 | | $42,111,038 |
|
|
| | |
Growth and Income Strategy Portfolio | | 52,515,068 | | 33,234,900 |
|
|
| | |
Growth Strategy Portfolio | | 38,834,586 | | 19,631,824 |
|
|
As of the Portfolios’ most recent fiscal year end, December 31, 2023, the Portfolios’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Balanced
Strategy | | | Growth and
Income Strategy | | | Growth
Strategy | |
|
| |
| | | |
Capital loss carryforwards: | | | | | | | | | | | | |
| | | |
Perpetual Short-Term | | $ | (8,463,071 | ) | | $ | — | | | $ | — | |
| | | |
Perpetual Long-Term | | | (2,635,033 | ) | | | — | | | | — | |
|
| |
| | | |
Total capital loss carryforwards | | | (11,098,104 | ) | | | — | | | | — | |
|
| |
| | | |
Timing differences (Qualified Late Year Loss Deferral and Post October Capital Loss Deferral) | | $ | (1,292,414 | ) | | $ | (1,555,657 | ) | | $ | (1,680,318 | ) |
|
| |
As of June 30, 2024, 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 | |
|
| |
| | | |
Tax Cost | | $ | 495,159,385 | | | | $765,838,933 | | | $ | 741,448,484 | |
|
| |
| | | |
Gross unrealized gain | | | 47,440,344 | | | | 119,175,637 | | | | 165,635,093 | |
| | | |
Gross unrealized loss | | | (22,496,627 | ) | | | (22,388,278 | ) | | | (7,889,993 | ) |
|
| |
| | | |
Net unrealized gain | | $ | 24,943,717 | | | | $ 96,787,359 | | | $ | 157,745,100 | |
|
| |
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 Portfolios’ allocations to the various asset classes and to the Underlying Managers may cause the Portfolios to underperform other funds with a similar investment objective.
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
8. OTHER RISKS (continued) |
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 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 Portfolio, the investor will incur not only a proportionate share of the expenses of the Underlying Funds held by the Portfolio (including operating costs and investment management fees), but also the expenses of the Portfolio.
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
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
8. OTHER RISKS (continued) |
to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolios. Additionally, in the course of business, the Portfolios enter into contracts that contain a variety of indemnification clauses. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
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
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Balanced Strategy Portfolio | |
| | |
| | | For the Six Months Ended June 30, 2024 (Unaudited) | | | For the Fiscal Year Ended
December 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 206,460 | | | $ | 2,417,201 | | | | 356,122 | | | $ | 3,907,507 | |
| | | | |
Reinvestment of distributions | | | 69,382 | | | | 828,757 | | | | 139,497 | | | | 1,525,575 | |
| | | | |
Shares redeemed | | | (775,873 | ) | | | (9,100,046 | ) | | | (1,340,030 | ) | | | (14,609,063 | ) |
|
| |
| | | | |
| | | (500,031 | ) | | | (5,854,088 | ) | | | (844,411 | ) | | | (9,175,981 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 18,231 | | | | 214,402 | | | | 44,501 | | | | 494,172 | |
| | | | |
Reinvestment of distributions | | | 1,399 | | | | 16,750 | | | | 3,013 | | | | 32,764 | |
| | | | |
Shares redeemed | | | (45,019 | ) | | | (533,696 | ) | | | (161,312 | ) | | | (1,771,942 | ) |
|
| |
| | | | |
| | | (25,389 | ) | | | (302,544 | ) | | | (113,798 | ) | | | (1,245,006 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,743,138 | | | | 43,750,221 | | | | 6,792,225 | | | | 75,019,718 | |
| | | | |
Reinvestment of distributions | | | 389,170 | | | | 4,646,075 | | | | 732,619 | | | | 8,020,129 | |
| | | | |
Shares redeemed | | | (5,095,275 | ) | | | (59,551,862 | ) | | | (8,350,282 | ) | | | (91,229,602 | ) |
|
| |
| | | | |
| | | (962,967 | ) | | | (11,155,566 | ) | | | (825,438 | ) | | | (8,189,755 | ) |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 11 | | | | 130 | | | | 20 | | | | 223 | |
| | | | |
Shares redeemed | | | (8,854 | ) | | | (106,600 | ) | | | — | | | | — | |
|
| |
| | | | |
| | | (8,843 | ) | | | (106,470 | ) | | | 20 | | | | 223 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 49,742 | | | | 582,368 | | | | 68,665 | | | | 744,741 | |
| | | | |
Reinvestment of distributions | | | 2,939 | | | | 34,928 | | | | 5,857 | | | | 63,769 | |
| | | | |
Shares redeemed | | | (51,862 | ) | | | (608,241 | ) | | | (113,991 | ) | | | (1,233,012 | ) |
|
| |
| | | | |
| | | 819 | | | | 9,055 | | | | (39,469 | ) | | | (424,502 | ) |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,267 | | | | 14,908 | | | | 10,490 | | | | 114,657 | |
| | | | |
Reinvestment of distributions | | | 2,023 | | | | 24,166 | | | | 4,402 | | | | 48,212 | |
| | | | |
Shares redeemed | | | (23,956 | ) | | | (277,016 | ) | | | (19,185 | ) | | | (210,340 | ) |
|
| |
| | | | |
| | | (20,666 | ) | | | (237,942 | ) | | | (4,293 | ) | | | (47,471 | ) |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 23,327 | | | | 270,450 | | | | 99,662 | | | | 1,084,852 | |
| | | | |
Reinvestment of distributions | | | 7,144 | | | | 84,880 | | | | 14,654 | | | | 159,345 | |
| | | | |
Shares redeemed | | | (190,944 | ) | | | (2,273,891 | ) | | | (28,384 | ) | | | (312,262 | ) |
|
| |
| | | | |
| | | (160,473 | ) | | | (1,918,561 | ) | | | 85,932 | | | | 931,935 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 228,665 | | | | 2,668,232 | | | | 1,493,382 | | | | 16,298,905 | |
| | | | |
Reinvestment of distributions | | | 50,098 | | | | 598,383 | | | | 96,380 | | | | 1,056,728 | |
| | | | |
Shares redeemed | | | (702,588 | ) | | | (8,267,997 | ) | | | (2,698,580 | ) | | | (29,435,540 | ) |
|
| |
| | | | |
| | | (423,825 | ) | | | (5,001,382 | ) | | | (1,108,818 | ) | | | (12,079,907 | ) |
|
| |
| | | | |
NET DECREASE | | | (2,101,375 | ) | | $ | (24,567,498 | ) | | | (2,850,275 | ) | | $ | (30,230,464 | ) |
|
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
|
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Growth and Income Strategy Portfolio | |
| | |
| | | For the Six Months Ended June 30, 2024 (Unaudited) | | | For the Fiscal Year Ended
December 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 210,732 | | | $ | 3,214,228 | | | | 427,446 | | | $ | 5,946,082 | |
| | | | |
Reinvestment of distributions | | | 113,869 | | | | 1,781,586 | | | | 269,158 | | | | 3,758,983 | |
| | | | |
Shares redeemed | | | (1,056,712 | ) | | | (16,127,765 | ) | | | (1,764,651 | ) | | | (24,469,937 | ) |
|
| |
| | | | |
| | | (732,111 | ) | | | (11,131,951 | ) | | | (1,068,047 | ) | | | (14,764,872 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 15,597 | | | | 230,094 | | | | 49,506 | | | | 660,902 | |
| | | | |
Reinvestment of distributions | | | 1,610 | | | | 24,409 | | | | 4,518 | | | | 60,954 | |
| | | | |
Shares redeemed | | | (63,521 | ) | | | (940,444 | ) | | | (177,570 | ) | | | (2,403,096 | ) |
|
| |
| | | | |
| | | (46,314 | ) | | | (685,941 | ) | | | (123,546 | ) | | | (1,681,240 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 2,983,859 | | | | 45,740,587 | | | | 3,334,538 | | | | 46,992,629 | |
| | | | |
Reinvestment of distributions | | | 217,168 | | | | 3,409,916 | | | | 483,975 | | | | 6,785,524 | |
| | | | |
Shares redeemed | | | (2,126,811 | ) | | | (32,569,142 | ) | | | (6,540,479 | ) | | | (91,418,397 | ) |
|
| |
| | | | |
| | | 1,074,216 | | | | 16,581,361 | | | | (2,721,966 | ) | | | (37,640,244 | ) |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 7,383 | | | | 110,960 | | | | 148 | | | | 2,097 | |
| | | | |
Reinvestment of distributions | | | 132 | | | | 2,049 | | | | 307 | | | | 4,260 | |
| | | | |
Shares redeemed | | | (2,231 | ) | | | (33,791 | ) | | | (25,182 | ) | | | (350,957 | ) |
|
| |
| | | | |
| | | 5,284 | | | | 79,218 | | | | (24,727 | ) | | | (344,600 | ) |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 57,305 | | | | 870,562 | | | | 397,514 | | | | 5,465,964 | |
| | | | |
Reinvestment of distributions | | | 6,652 | | | | 103,423 | | | | 12,673 | | | | 177,199 | |
| | | | |
Shares redeemed | | | (206,460 | ) | | | (3,139,558 | ) | | | (96,201 | ) | | | (1,329,769 | ) |
|
| |
| | | | |
| | | (142,503 | ) | | | (2,165,573 | ) | | | 313,986 | | | | 4,313,394 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 28,101 | | | | 433,819 | | | | 34,925 | | | | 479,838 | |
| | | | |
Reinvestment of distributions | | | 1,296 | | | | 20,342 | | | | 3,192 | | | | 44,730 | |
| | | | |
Shares redeemed | | | (35,648 | ) | | | (537,855 | ) | | | (54,084 | ) | | | (747,946 | ) |
|
| |
| | | | |
| | | (6,251 | ) | | | (83,694 | ) | | | (15,967 | ) | | | (223,378 | ) |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 17,313 | | | | 263,753 | | | | 33,747 | | | | 460,626 | |
| | | | |
Reinvestment of distributions | | | 1,872 | | | | 29,006 | | | | 4,473 | | | | 61,789 | |
| | | | |
Shares redeemed | | | (25,548 | ) | | | (384,527 | ) | | | (84,001 | ) | | | (1,149,299 | ) |
|
| |
| | | | |
| | | (6,363 | ) | | | (91,768 | ) | | | (45,781 | ) | | | (626,884 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 480,300 | | | | 7,278,395 | | | | 1,151,308 | | | | 16,134,521 | |
| | | | |
Reinvestment of distributions | | | 146,770 | | | | 2,302,181 | | | | 341,057 | | | | 4,779,236 | |
| | | | |
Shares redeemed | | | (1,109,620 | ) | | | (16,871,323 | ) | | | (2,044,701 | ) | | | (28,353,638 | ) |
|
| |
| | | | |
| | | (482,550 | ) | | | (7,290,747 | ) | | | (552,336 | ) | | | (7,439,881 | ) |
|
| |
| | | | |
NET DECREASE | | | (336,592 | ) | | $ | (4,789,095 | ) | | | (4,238,384 | ) | | $ | (58,407,705 | ) |
|
| |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Growth Strategy Portfolio | |
| | |
| | | For the Six Months Ended
June 30, 2024 (Unaudited) | | | For the Fiscal Year Ended
December 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 306,070 | | | $ | 5,740,058 | | | | 733,776 | | | $ | 12,308,989 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 229,304 | | | | 4,104,540 | |
| | | | |
Shares redeemed | | | (1,054,806 | ) | | | (19,727,156 | ) | | | (2,055,329 | ) | | | (34,159,101 | ) |
|
| |
| | | | |
| | | (748,736 | ) | | | (13,987,098 | ) | | | (1,092,249 | ) | | | (17,745,572 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 79,453 | | | | 1,489,413 | | | | 61,465 | | | | 1,060,400 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 2,860 | | | | 52,650 | |
| | | | |
Shares redeemed | | | (71,238 | ) | | | (1,380,060 | ) | | | (259,357 | ) | | | (4,497,705 | ) |
|
| |
| | | | |
| | | 8,215 | | | | 109,353 | | | | (195,032 | ) | | | (3,384,655 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,676,845 | | | | 31,016,830 | | | | 1,844,983 | | | | 31,275,809 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 202,885 | | | | 3,627,575 | |
| | | | |
Shares redeemed | | | (1,068,605 | ) | | | (20,191,085 | ) | | | (2,892,648 | ) | | | (48,808,246 | ) |
|
| |
| | | | |
| | | 608,240 | | | | 10,825,745 | | | | (844,780 | ) | | | (13,904,862 | ) |
|
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,369 | | | | 62,675 | | | | 28,872 | | | | 477,880 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 656 | | | | 11,700 | |
| | | | |
Shares redeemed | | | (3,361 | ) | | | (62,829 | ) | | | (16,339 | ) | | | (270,811 | ) |
|
| |
| | | | |
| | | 8 | | | | (154 | ) | | | 13,189 | | | | 218,769 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 81,481 | | | | 1,504,437 | | | | 663,722 | | | | 10,572,179 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 11,306 | | | | 198,980 | |
| | | | |
Shares redeemed | | | (303,321 | ) | | | (5,571,349 | ) | | | (619,975 | ) | | | (10,232,600 | ) |
|
| |
| | | | |
| | | (221,840 | ) | | | (4,066,912 | ) | | | 55,053 | | | | 538,559 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 52,421 | | | | 972,290 | | | | 62,561 | | | | 1,050,120 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 7,731 | | | | 138,304 | |
| | | | |
Shares redeemed | | | (41,950 | ) | | | (794,736 | ) | | | (80,947 | ) | | | (1,355,181 | ) |
|
| |
| | | | |
| | | 10,471 | | | | 177,554 | | | | (10,655 | ) | | | (166,757 | ) |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 61,084 | | | | 1,128,243 | | | | 55,207 | | | | 893,163 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 4,402 | | | | 76,107 | |
| | | | |
Shares redeemed | | | (21,147 | ) | | | (382,477 | ) | | | (59,748 | ) | | | (974,553 | ) |
|
| |
| | | | |
| | | 39,937 | | | | 745,766 | | | | (139 | ) | | | (5,283 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 794,633 | | | | 14,679,021 | | | | 1,134,314 | | | | 18,659,435 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 259,148 | | | | 4,636,157 | |
| | | | |
Shares redeemed | | | (538,204 | ) | | | (9,990,557 | ) | | | (1,202,254 | ) | | | (19,906,776 | ) |
|
| |
| | | | |
| | | 256,429 | | | | 4,688,464 | | | | 191,208 | | | | 3,388,816 | |
|
| |
| | | | |
NET DECREASE | | | (47,276 | ) | | $ | (1,507,282 | ) | | | (1,883,405 | ) | | $ | (31,060,985 | ) |
|
| |
GOLDMAN SACHS FUND OF FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, and Goldman Sachs Growth Strategy Portfolio (the “Portfolios”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Portfolios at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Portfolios.
The Management Agreement was most recently approved for continuation until June 30, 2025 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 11-12, 2024 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Portfolio, such matters included:
| | (a) | the nature and quality of the advisory, administrative, and other services provided to the Portfolio and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
| | (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| | (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| | (iii) | trends in employee headcount; |
| | (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| | (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| | (b) | information on the investment performance of the Portfolio and the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Underlying Funds invest; |
| | (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Portfolio’s peer group and/or benchmark index had high, medium, or low relevance given the Portfolio’s particular investment strategy; |
| | (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Portfolio; |
| | (e) | fee and expense information for the Portfolio, including: |
| | (i) | the relative management fee and expense levels of the Portfolio as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| | (ii) | the Portfolio’s expense trends over time; and |
| | (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Portfolio, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| | (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Portfolio; |
| | (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations with respect to the Portfolio and the Underlying Funds; |
| | (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Portfolio to the Investment Adviser and its affiliates; |
GOLDMAN SACHS FUND OF FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| | (i) | whether the Portfolio’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale; |
| | (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Portfolio and/or the Underlying Funds for transfer agency, securities lending, portfolio trading, distribution and other services; |
| | (k) | a summary of potential benefits derived by the Portfolio and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
| | (l) | with respect to the applicable Underlying Funds, information regarding commissions paid by the Underlying Funds that are equity funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| | (m) | portfolio manager ownership of Portfolio shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| | (n) | the nature and quality of the services provided to the Portfolio and/or the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| | (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Portfolio’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Portfolios’ distribution arrangements. They received information regarding the Portfolios’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Portfolio shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Portfolio investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Portfolios and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Portfolios. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Portfolios and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Portfolios, the Underlying Funds and their service providers operate, including developments associated with geopolitical events and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s efforts relating to business continuity planning. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Portfolios and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Portfolios, the Underlying Funds, and the Investment Adviser and its affiliates.
GOLDMAN SACHS FUND OF FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Portfolios and the Underlying Funds. In this regard, they compared the investment performance of each Portfolio to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2023, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2024. The information on each Portfolio’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Portfolio’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Portfolios over time, and reviewed the investment performance of each Portfolio in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Portfolio performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the portfolio management teams of certain Underlying Funds to continue to enhance the investment models used in managing those Underlying Funds.
The Trustees observed that the Balanced Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the ten-year period, and in the third quartile for the one-, three-, and five-year periods, and had outperformed the Portfolio’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2024. They considered that the Growth and Income Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2024. The Trustees observed that the Growth Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2024. They noted that the Portfolios had experienced certain portfolio management changes in early 2022.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Portfolio thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Portfolios, which included both advisory and administrative services that were directed to the needs and operations of the Portfolios as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Portfolios. The analyses provided a comparison of each Portfolio’s management fee to those of a relevant peer group and category universe; an expense analysis which compared each Portfolio’s overall net and gross expenses to a peer group and a category universe; and data comparing each Portfolio’s net expenses to the peer and category medians. The analyses also compared each Portfolio’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Portfolios.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations with respect to the Portfolios and the Underlying Funds. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Portfolios, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Portfolios differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Portfolio fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.
Profitability
The Trustees reviewed each Portfolio’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Portfolio and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions
GOLDMAN SACHS FUND OF FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Portfolio was provided for 2023 and 2022, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Portfolios.
The Trustees noted that, although the Portfolios themselves do not have breakpoints in their management fee schedules, any benefits of the breakpoints in the management fee schedules of certain Underlying Funds, when reached, would pass through to the shareholders in the Portfolios at the specified asset levels. The Trustees considered the amounts of assets in the Portfolios; the Portfolios’ recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; information comparing the fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Portfolios and Underlying Funds that exceed specified levels. They also considered the services provided to the Portfolios under the Management Agreement and the fees and expenses borne by the Underlying Funds and considered the Investment Adviser’s finding that the management fees payable by the Portfolios were not duplicative of the management fees paid at the Underlying Fund level.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolios and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of certain Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of certain Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for certain Underlying Funds (and fees earned by the Investment Adviser for managing the fund in which those Underlying Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Portfolios on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Portfolio shareholders; (h) Goldman Sachs’ retention of certain fees as Portfolio Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Portfolios and Underlying Funds; (j) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; (k) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (l) the possibility that the working relationship between the Investment Adviser and the Portfolios’ and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Portfolios and Their Shareholders
The Trustees also noted that the Portfolios and/or the Underlying Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) with respect to the Underlying Funds, enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) with respect to certain Underlying Funds, the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Portfolios and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Portfolios’ and Underlying Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) with
GOLDMAN SACHS FUND OF FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
respect to certain Underlying Funds, the ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Underlying Funds in connection with the program; and (i) the Portfolios’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Portfolios’ shareholders invested in the Portfolios in part because of the Portfolios’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Portfolios were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Portfolio’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Portfolio and its shareholders and that the Management Agreement should be approved and continued with respect to each Portfolio until June 30, 2025.
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
GOLDMAN SACHS & CO. LLC
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Distributor and Transfer Agent
Investment Adviser
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
© 2024 Goldman Sachs. All rights reserved. FFSAR-24
Goldman Sachs Funds Semi-Annual Financial Statements June 30, 2024 Alternative Funds II Goldman Sachs Absolute Return Tracker Fund Goldman Sachs Commodity Strategy Fund
Goldman Sachs Alternative Funds II
TABLE OF CONTENTS
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 27.5% | |
| |
| | Aerospace & Defense – 0.4% | |
| | 8,673 | | Chemring Group PLC | | $ | 40,839 | |
| | 1,118 | | Dassault Aviation SA | | | 202,456 | |
| | 18,675 | | General Dynamics Corp. | | | 5,418,365 | |
| | 2,149 | | Huntington Ingalls Industries, Inc. | | | 529,363 | |
| | 4,037 | | L3Harris Technologies, Inc. | | | 906,629 | |
| | 1,199 | | Rheinmetall AG | | | 611,029 | |
| | 62,061 | | RTX Corp. | | | 6,230,304 | |
| | 7,842 | | Textron, Inc. | | | 673,314 | |
| | 2,339 | | TransDigm Group, Inc. | | | 2,988,330 | |
| | | | | | | | |
| | | | | | | 17,600,629 | |
| | | |
| |
| | Air Freight & Logistics – 0.2% | |
| | 8,120 | | CH Robinson Worldwide, Inc. | | | 715,534 | |
| | 109,918 | | Deutsche Post AG | | | 4,463,431 | |
| | 5,290 | | Expeditors International of Washington, Inc. | | | 660,139 | |
| | 6,682 | | FedEx Corp. | | | 2,003,531 | |
| | 31,806 | | International Distribution Services PLC* | | | 128,406 | |
| | 2,500 | | NIPPON EXPRESS HOLDINGS, Inc. | | | 115,701 | |
| | 1,700 | | SG Holdings Co. Ltd. | | | 15,721 | |
| | 5,502 | | Yamato Holdings Co. Ltd. | | | 60,631 | |
| | | | | | | | |
| | | | | | | 8,163,094 | |
| | | |
| |
| | Automobile Components – 0.1% | |
| | 3,500 | | Aisin Corp. | | | 114,341 | |
| | 11,622 | | Aptiv PLC* | | | 818,421 | |
| | 13,518 | | BorgWarner, Inc. | | | 435,820 | |
| | 2,000 | | Bridgestone Corp. | | | 78,919 | |
| | 56,138 | | Cie Generale des Etablissements Michelin SCA | | | 2,169,795 | |
| | 8,263 | | Continental AG | | | 467,993 | |
| | 92,528 | | Dowlais Group PLC | | | 85,458 | |
| | 20,263 | | Forvia SE | | | 241,776 | |
| | 6,300 | | JTEKT Corp. | | | 44,024 | |
| | 1,100 | | Niterra Co. Ltd. | | | 32,077 | |
| | 11,200 | | Sumitomo Electric Industries Ltd. | | | 175,106 | |
| | 3,700 | | Sumitomo Rubber Industries Ltd. | | | 37,122 | |
| | 15,378 | | TI Fluid Systems PLC(a) | | | 25,310 | |
| | 3,400 | | Toyo Tire Corp. | | | 54,565 | |
| | 2,000 | | Toyoda Gosei Co. Ltd. | | | 35,343 | |
| | 4,300 | | Toyota Boshoku Corp. | | | 57,111 | |
| | 24,930 | | Valeo SE | | | 266,585 | |
| | 2,500 | | Yokohama Rubber Co. Ltd. | | | 55,607 | |
| | | | | | | | |
| | | | | | | 5,195,373 | |
| | | |
| |
| | Automobiles – 0.1% | |
| | 18,900 | | Mazda Motor Corp. | | | 182,215 | |
| | 37,439 | | Mercedes-Benz Group AG | | | 2,591,209 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Automobiles – (continued) | |
| | 113,804 | | Stellantis NV | | $ | 2,249,758 | |
| | 12,100 | | Subaru Corp. | | | 257,311 | |
| | | | | | | | |
| | | | | | | 5,280,493 | |
| | | |
| |
| | Banks – 1.2% | |
| | 71,334 | | Banca Monte dei Paschi di Siena SpA | | | 336,308 | |
| | 69,255 | | Banco Bilbao Vizcaya Argentaria SA | | | 695,216 | |
| | 424,888 | | Banco Santander SA | | | 1,976,907 | |
| | 283,771 | | Bank of America Corp. | | | 11,285,573 | |
| | 981 | | Bank of Georgia Group PLC | | | 49,908 | |
| | 14,714 | | Bankinter SA | | | 120,402 | |
| | 722 | | BAWAG Group AG(a) | | | 45,641 | |
| | 62,092 | | BPER Banca SpA | | | 314,329 | |
| | 28,158 | | Citigroup, Inc. | | | 1,786,907 | |
| | 16,493 | | Citizens Financial Group, Inc. | | | 594,243 | |
| | 9,799 | | Close Brothers Group PLC | | | 52,471 | |
| | 11,646 | | Comerica, Inc. | | | 594,412 | |
| | 2,282 | | Erste Group Bank AG | | | 108,019 | |
| | 7,270 | | Fifth Third Bancorp | | | 265,282 | |
| | 12,290 | | FinecoBank Banca Fineco SpA | | | 182,620 | |
| | 72,456 | | HSBC Holdings PLC | | | 625,440 | |
| | 144,247 | | Huntington Bancshares, Inc. | | | 1,901,175 | |
| | 2,800 | | Iyogin Holdings, Inc. | | | 26,092 | |
| | 77,074 | | JPMorgan Chase & Co. | | | 15,588,987 | |
| | 4,656 | | M&T Bank Corp. | | | 704,732 | |
| | 9,600 | | Mebuki Financial Group, Inc. | | | 37,646 | |
| | 30,200 | | Mitsubishi UFJ Financial Group, Inc. | | | 325,919 | |
| | 31,143 | | Mizuho Financial Group, Inc. | | | 655,479 | |
| | 31,445 | | Nordea Bank Abp | | | 374,856 | |
| | 5,129 | | Raiffeisen Bank International AG | | | 88,611 | |
| | 30,271 | | Regions Financial Corp. | | | 606,631 | |
| | 31,200 | | Seven Bank Ltd. | | | 52,336 | |
| | 14,600 | | Sumitomo Mitsui Financial Group, Inc. | | | 980,023 | |
| | 865 | | TBC Bank Group PLC | | | 28,101 | |
| | 27,880 | | UniCredit SpA | | | 1,031,728 | |
| | 153,543 | | Wells Fargo & Co. | | | 9,118,919 | |
| | | | | | | | |
| | | | | | | 50,554,913 | |
| | | |
| |
| | Beverages – 0.6% | |
| | 15,255 | | Anheuser-Busch InBev SA | | | 885,641 | |
| | 5,898 | | Asahi Group Holdings Ltd. | | | 208,698 | |
| | 10,516 | | C&C Group PLC | | | 21,110 | |
| | 124,546 | | Coca-Cola Co. | | | 7,927,353 | |
| | 7,810 | | Constellation Brands, Inc. Class A | | | 2,009,357 | |
| | 1,740 | | Heineken Holding NV | | | 137,146 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 1 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Beverages – (continued) | |
| | 2,500 | | Ito En Ltd. | | $ | 54,255 | |
| | 12,016 | | Molson Coors Beverage Co. Class B | | | 610,773 | |
| | 70,627 | | PepsiCo, Inc. | | | 11,648,511 | |
| | | | | | | | |
| | | | | | | 23,502,844 | |
| | | |
| |
| | Biotechnology – 0.5% | |
| | 71,092 | | AbbVie, Inc. | | | 12,193,700 | |
| | 2,422 | | Amgen, Inc. | | | 756,754 | |
| | 3,956 | | Biogen, Inc.* | | | 917,080 | |
| | 1,452 | | Genus PLC | | | 30,140 | |
| | 21,625 | | Gilead Sciences, Inc. | | | 1,483,691 | |
| | 1,316 | | GRAIL, Inc.* | | | 20,232 | |
| | 41,706 | | Grifols SA* | | | 352,709 | |
| | 11,354 | | Incyte Corp.* | | | 688,279 | |
| | 2,941 | | Moderna, Inc.* | | | 349,244 | |
| | 900 | | PeptiDream, Inc.* | | | 13,988 | |
| | 1,655 | | Regeneron Pharmaceuticals, Inc.* | | | 1,739,455 | |
| | 1,298 | | Vertex Pharmaceuticals, Inc.* | | | 608,398 | |
| | | | | | | | |
| | | | | | | 19,153,670 | |
| | | |
| |
| | Broadline Retail – 1.1% | |
| | 219,481 | | Amazon.com, Inc.* | | | 42,414,703 | |
| | 14,611 | | eBay, Inc. | | | 784,903 | |
| | 23,548 | | Etsy, Inc.* | | | 1,388,861 | |
| | 6,018 | | J Front Retailing Co. Ltd. | | | 62,818 | |
| | 5,663 | | Next PLC | | | 646,250 | |
| | 1,700 | | Pan Pacific International Holdings Corp. | | | 39,766 | |
| | 39,600 | | Rakuten Group, Inc.* | | | 205,145 | |
| | 9,500 | | Ryohin Keikaku Co. Ltd. | | | 158,099 | |
| | 3,400 | | Takashimaya Co. Ltd. | | | 57,422 | |
| | | | | | | | |
| | | | | | | 45,757,967 | |
| | | |
| |
| | Building Products – 0.2% | |
| | 2,696 | | A O Smith Corp. | | | 220,479 | |
| | 1,000 | | AGC, Inc. | | | 32,539 | |
| | 8,635 | | Allegion PLC | | | 1,020,225 | |
| | 3,526 | | Armstrong World Industries, Inc. | | | 399,284 | |
| | 6,335 | | Builders FirstSource, Inc.* | | | 876,827 | |
| | 52,296 | | Carrier Global Corp. | | | 3,298,832 | |
| | 11,371 | | Cie de Saint-Gobain SA | | | 884,370 | |
| | 800 | | Daikin Industries Ltd. | | | 111,372 | |
| | 3,250 | | Genuit Group PLC | | | 17,610 | |
| | 1,317 | | Kingspan Group PLC | | | 111,929 | |
| | 12,258 | | Masco Corp. | | | 817,241 | |
| | 2,800 | | Sanwa Holdings Corp. | | | 51,383 | |
| | 1,300 | | TOTO Ltd. | | | 30,627 | |
| | | | | | | | |
| | | | | | | 7,872,718 | |
| | | |
| |
| | Capital Markets – 0.8% | |
| | 34,054 | | 3i Group PLC | | | 1,312,471 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Capital Markets – (continued) | |
| | 3,819 | | AJ Bell PLC | | $ | 18,321 | |
| | 3,073 | | Ameriprise Financial, Inc. | | | 1,312,755 | |
| | 1,641 | | Amundi SA(a) | | | 106,135 | |
| | 10,844 | | Ashmore Group PLC | | | 23,247 | |
| | 11,644 | | Azimut Holding SpA | | | 274,427 | |
| | 18,544 | | Bank of New York Mellon Corp. | | | 1,110,600 | |
| | 2,115 | | BlackRock, Inc. | | | 1,665,182 | |
| | 4,741 | | Blackstone, Inc. | | | 586,936 | |
| | 1,472 | | Cboe Global Markets, Inc. | | | 250,328 | |
| | 15,068 | | CME Group, Inc. | | | 2,962,369 | |
| | 99,864 | | Deutsche Bank AG | | | 1,596,082 | |
| | 1,843 | | Deutsche Boerse AG | | | 376,703 | |
| | 621 | | FactSet Research Systems, Inc. | | | 253,536 | |
| | 26,650 | | Franklin Resources, Inc. | | | 595,627 | |
| | 9,164 | | Hargreaves Lansdown PLC | | | 130,628 | |
| | 23,316 | | IG Group Holdings PLC | | | 241,512 | |
| | 23,350 | | Intercontinental Exchange, Inc. | | | 3,196,381 | |
| | 6,143 | | Intermediate Capital Group PLC | | | 168,467 | |
| | 14,735 | | Investec PLC | | | 106,517 | |
| | 2,200 | | Japan Exchange Group, Inc. | | | 51,597 | |
| | 21,174 | | Man Group PLC | | | 64,696 | |
| | 1,001 | | MarketAxess Holdings, Inc. | | | 200,731 | |
| | 10,646 | | Moody’s Corp. | | | 4,481,221 | |
| | 20,851 | | Morgan Stanley | | | 2,026,509 | |
| | 5,200 | | Nihon M&A Center Holdings, Inc. | | | 26,931 | |
| | 4,358 | | Ninety One PLC | | | 9,222 | |
| | 177,100 | | Nomura Holdings, Inc. | | | 1,022,988 | |
| | 8,413 | | Northern Trust Corp. | | | 706,524 | |
| | 3,834 | | Plus500 Ltd. | | | 110,224 | |
| | 22,550 | | Quilter PLC(a) | | | 34,235 | |
| | 8,486 | | Raymond James Financial, Inc. | | | 1,048,954 | |
| | 11,521 | | S&P Global, Inc. | | | 5,138,366 | |
| | 6,000 | | SBI Holdings, Inc. | | | 152,283 | |
| | 37,538 | | Schroders PLC | | | 171,794 | |
| | 5,408 | | SEI Investments Co. | | | 349,844 | |
| | 10,768 | | State Street Corp. | | | 796,832 | |
| | 9,127 | | T Rowe Price Group, Inc. | | | 1,052,434 | |
| | 23,976 | | TP ICAP Group PLC | | | 60,555 | |
| | | | | | | | |
| | | | | | | 33,794,164 | |
| | | |
| |
| | Chemicals – 0.6% | |
| | 6,600 | | Air Water, Inc. | | | 89,683 | |
| | 2,297 | | Akzo Nobel NV | | | 140,001 | |
| | 16,147 | | Albemarle Corp. | | | 1,542,361 | |
| | 1,723 | | Arkema SA | | | 150,148 | |
| | 12,500 | | Asahi Kasei Corp. | | | 80,264 | |
| | 59,020 | | Axalta Coating Systems Ltd.* | | | 2,016,713 | |
| | 14,890 | | BASF SE | | | 719,821 | |
| | | |
| | |
| 2 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Chemicals – (continued) | |
| | 4,387 | | Celanese Corp. | | $ | 591,762 | |
| | 11,150 | | CF Industries Holdings, Inc. | | | 826,438 | |
| | 16,415 | | Corteva, Inc. | | | 885,425 | |
| | 3,222 | | Covestro AG*(a) | | | 188,864 | |
| | 3,422 | | Croda International PLC | | | 170,241 | |
| | 700 | | Denka Co. Ltd. | | | 9,440 | |
| | 10,026 | | DuPont de Nemours, Inc. | | | 806,993 | |
| | 1,792 | | Ecolab, Inc. | | | 426,496 | |
| | 14,592 | | Element Solutions, Inc. | | | 395,735 | |
| | 17,817 | | Elementis PLC | | | 32,838 | |
| | 38,059 | | Evonik Industries AG | | | 776,585 | |
| | 3,157 | | FMC Corp. | | | 181,685 | |
| | 10,084 | | Johnson Matthey PLC | | | 199,748 | |
| | 14,265 | | K&S AG | | | 192,274 | |
| | 4,300 | | Kansai Paint Co. Ltd. | | | 69,525 | |
| | 5,300 | | Kuraray Co. Ltd. | | | 61,322 | |
| | 7,335 | | Lanxess AG | | | 180,432 | |
| | 15,534 | | Linde PLC | | | 6,816,475 | |
| | 8,275 | | LyondellBasell Industries NV Class A | | | 791,587 | |
| | 25,600 | | Mitsubishi Chemical Group Corp. | | | 142,638 | |
| | 19,721 | | Mosaic Co. | | | 569,937 | |
| | 4,200 | | Nippon Paint Holdings Co. Ltd. | | | 27,455 | |
| | 600 | | Nitto Denko Corp. | | | 47,590 | |
| | 8,174 | | PPG Industries, Inc. | | | 1,029,025 | |
| | 14,166 | | Sherwin-Williams Co. | | | 4,227,559 | |
| | 500 | | Sumitomo Bakelite Co. Ltd. | | | 14,690 | |
| | 13,400 | | Sumitomo Chemical Co. Ltd. | | | 28,772 | |
| | 1,815 | | Syensqo SA | | | 162,003 | |
| | 3,100 | | Teijin Ltd. | | | 25,837 | |
| | 5,300 | | Tokai Carbon Co. Ltd. | | | 30,393 | |
| | 2,000 | | Tokuyama Corp. | | | 36,843 | |
| | 5,100 | | Tosoh Corp. | | | 66,758 | |
| | 7,400 | | UBE Corp. | | | 130,441 | |
| | | | | | | | |
| | | | | | | 24,882,797 | |
| | | |
| |
| | Commerical Services & Supplies – 0.3% | |
| | 4,694 | | Cintas Corp. | | | 3,287,020 | |
| | 45,395 | | Copart, Inc.* | | | 2,458,593 | |
| | 3,188 | | Elis SA | | | 69,178 | |
| | 27,290 | | Mitie Group PLC | | | 40,086 | |
| | 1,388 | | MSA Safety, Inc. | | | 260,514 | |
| | 5,400 | | Park24 Co. Ltd.* | | | 54,091 | |
| | 101,880 | | Rentokil Initial PLC | | | 591,678 | |
| | 14,530 | | Republic Services, Inc. | | | 2,823,760 | |
| | 5,119 | | Rollins, Inc. | | | 249,756 | |
| | 71,410 | | Serco Group PLC | | | 161,746 | |
| | 3,531 | | SPIE SA | | | 127,930 | |
| | 31,914 | | Stericycle, Inc.* | | | 1,855,161 | |
| | 3,500 | | TOPPAN Holdings, Inc. | | | 97,091 | |
| | 2,962 | | Veralto Corp. | | | 282,782 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Commerical Services & Supplies – (continued) | |
| | 2,158 | | Waste Management, Inc. | | $ | 460,388 | |
| | | | | | | | |
| | | | | | | 12,819,774 | |
| | | |
| |
| | Communications Equipment – 0.2% | |
| | 105,332 | | Cisco Systems, Inc. | | | 5,004,323 | |
| | 9,585 | | F5, Inc.* | | | 1,650,825 | |
| | 223,359 | | Nokia OYJ | | | 850,119 | |
| | | | | | | | |
| | | | | | | 7,505,267 | |
| | | |
| |
| | Construction & Engineering – 0.1% | |
| | 505 | | Ackermans & van Haaren NV | | | 87,239 | |
| | 17,266 | | ACS Actividades de Construccion y Servicios SA | | | 745,752 | |
| | 7,802 | | AECOM | | | 687,668 | |
| | 16,212 | | Balfour Beatty PLC | | | 74,843 | |
| | 10,305 | | Bouygues SA | | | 331,248 | |
| | 9,100 | | COMSYS Holdings Corp. | | | 175,667 | |
| | 3,475 | | Eiffage SA | | | 319,375 | |
| | 2,456 | | HOCHTIEF AG | | | 279,782 | |
| | 5,900 | | Kajima Corp. | | | 102,341 | |
| | 3,643 | | Keller Group PLC | | | 56,551 | |
| | 22,937 | | Kier Group PLC | | | 38,365 | |
| | 900 | | Kyudenko Corp. | | | 33,176 | |
| | 12,829 | | MDU Resources Group, Inc. | | | 322,008 | |
| | 1,189 | | Morgan Sindall Group PLC | | | 38,113 | |
| | 3,358 | | Quanta Services, Inc. | | | 853,234 | |
| | 14,317 | | Vinci SA | | | 1,509,074 | |
| | | | | | | | |
| | | | | | | 5,654,436 | |
| | | |
| |
| | Construction Materials – 0.0% | |
| | 14,291 | | Breedon Group PLC | | | 69,522 | |
| | 3,076 | | Buzzi SpA | | | 123,864 | |
| | 7,280 | | Heidelberg Materials AG | | | 752,563 | |
| | 10,758 | | Marshalls PLC | | | 39,592 | |
| | 1,800 | | Taiheiyo Cement Corp. | | | 45,285 | |
| | | | | | | | |
| | | | | | | 1,030,826 | |
| | | |
| |
| | Consumer Finance – 0.3% | |
| | 3,100 | | AEON Financial Service Co. Ltd. | | | 25,484 | |
| | 29,698 | | American Express Co. | | | 6,876,572 | |
| | 23,507 | | Capital One Financial Corp. | | | 3,254,544 | |
| | 3,300 | | Credit Saison Co. Ltd. | | | 68,708 | |
| | 1,000 | | Marui Group Co. Ltd. | | | 14,115 | |
| | 23,261 | | Synchrony Financial | | | 1,097,686 | |
| | | | | | | | |
| | | | | | | 11,337,109 | |
| | | |
| |
| | Consumer Staples Distribution & Retail – 0.7% | |
| | 32,480 | | Carrefour SA | | | 460,250 | |
| | 2,700 | | Cosmos Pharmaceutical Corp. | | | 217,742 | |
| | 13,415 | | Costco Wholesale Corp. | | | 11,402,616 | |
| | 2,417 | | Dollar Tree, Inc.* | | | 258,063 | |
| | 57,329 | | HelloFresh SE* | | | 276,869 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 3 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Consumer Staples Distribution & Retail – (continued) | |
| | 79,317 | | J Sainsbury PLC | | $ | 255,548 | |
| | 4,752 | | Jeronimo Martins SGPS SA | | | 92,873 | |
| | 13,225 | | Kesko OYJ Class B | | | 232,655 | |
| | 36,199 | | Koninklijke Ahold Delhaize NV | | | 1,065,231 | |
| | 23,664 | | Kroger Co. | | | 1,181,544 | |
| | 107,552 | | Marks & Spencer Group PLC | | | 388,879 | |
| | 21,000 | | MatsukiyoCocokara & Co. | | | 301,568 | |
| | 21,416 | | Seven & i Holdings Co. Ltd. | | | 261,707 | |
| | 700 | | Sugi Holdings Co. Ltd. | | | 9,620 | |
| | 3,400 | | Sundrug Co. Ltd. | | | 85,781 | |
| | 25,137 | | Sysco Corp. | | | 1,794,530 | |
| | 25,908 | | Target Corp. | | | 3,835,420 | |
| | 214,078 | | Tesco PLC | | | 826,933 | |
| | 112,556 | | Walmart, Inc. | | | 7,621,167 | |
| | | | | | | | |
| | | | | | | 30,568,996 | |
| | | |
| |
| | Containers & Packaging – 0.1% | |
| | 1,028 | | Avery Dennison Corp. | | | 224,772 | |
| | 33,346 | | DS Smith PLC | | | 176,733 | |
| | 49,862 | | Graphic Packaging Holding Co. | | | 1,306,883 | |
| | 3,402 | | Huhtamaki OYJ | | | 136,050 | |
| | 1,290 | | Packaging Corp. of America | | | 235,503 | |
| | 12,103 | | Smurfit Kappa Group PLC | | | 539,253 | |
| | | | | | | | |
| | | | | | | 2,619,194 | |
| | | |
| |
| | Distributors – 0.1% | |
| | 518 | | D’ieteren Group | | | 109,687 | |
| | 4,135 | | Genuine Parts Co. | | | 571,953 | |
| | 9,857 | | Inchcape PLC | | | 92,626 | |
| | 14,211 | | LKQ Corp. | | | 591,036 | |
| | 2,062 | | Pool Corp. | | | 633,714 | |
| | | | | | | | |
| | | | | | | 1,999,016 | |
| | | |
| |
| | Diversified REITs – 0.0% | |
| | 23,744 | | Balanced Commercial Property Trust Ltd. | | | 23,835 | |
| | 1,997 | | Covivio SA | | | 95,493 | |
| | | | | | | | |
| | | | | | | 119,328 | |
| | | |
| |
| | Diversified Telecommunication Services – 0.2% | |
| | 322,388 | | BT Group PLC | | | 571,546 | |
| | 203,842 | | Deutsche Telekom AG | | | 5,123,672 | |
| | 8,154 | | Elisa OYJ | | | 373,313 | |
| | 9,200 | | Internet Initiative Japan, Inc. | | | 136,288 | |
| | 222,430 | | Koninklijke KPN NV | | | 852,515 | |
| | 174,000 | | Nippon Telegraph & Telephone Corp. | | | 164,535 | |
| | 70,352 | | Orange SA | | | 705,666 | |
| | 189,661 | | Telefonica SA | | | 803,449 | |
| | | | | | | | |
| | | | | | | 8,730,984 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| | |
| | Common Stocks – (continued) | | | | |
| |
| | Electric Utilities – 0.1% | |
| | 650 | | Acciona SA | | $ | 76,925 | |
| | 18,260 | | Alliant Energy Corp. | | | 929,434 | |
| | 8,500 | | Chugoku Electric Power Co., Inc. | | | 55,706 | |
| | 2,096 | | Constellation Energy Corp. | | | 419,766 | |
| | 18,450 | | Endesa SA | | | 346,657 | |
| | 128,700 | | Enel SpA | | | 893,022 | |
| | 21,996 | | Exelon Corp. | | | 761,281 | |
| | 8,200 | | Kyushu Electric Power Co., Inc. | | | 84,591 | |
| | 12,909 | | NRG Energy, Inc. | | | 1,005,095 | |
| | 58,387 | | SSE PLC | | | 1,318,587 | |
| | 7,700 | | Tohoku Electric Power Co., Inc. | | | 69,602 | |
| | 2,663 | | Verbund AG | | | 210,703 | |
| | | | | | | | |
| | | | | | | 6,171,369 | |
| | | |
| |
| | Electrical Equipment – 0.2% | |
| | 16,112 | | AMETEK, Inc. | | | 2,686,031 | |
| | 21,376 | | Emerson Electric Co. | | | 2,354,780 | |
| | 9,100 | | Fujikura Ltd. | | | 180,082 | |
| | 5,249 | | Generac Holdings, Inc.* | | | 694,023 | |
| | 2,900 | | GS Yuasa Corp. | | | 57,841 | |
| | 2,460 | | Legrand SA | | | 244,168 | |
| | 6,300 | | Mitsubishi Electric Corp. | | | 100,958 | |
| | 1,149 | | Nexans SA | | | 126,457 | |
| | 1,700 | | NIDEC Corp. | | | 76,499 | |
| | 3,880 | | Prysmian SpA | | | 239,539 | |
| | 3,601 | | Schneider Electric SE | | | 863,325 | |
| | 33,109 | | Siemens Energy AG* | | | 863,303 | |
| | 7,778 | | Signify NV(a) | | | 193,171 | |
| | | | | | | | |
| | | | | | | 8,680,177 | |
| | | |
| |
| | Electronic Equipment, Instruments & Components – 0.3% | |
| | 6,500 | | Alps Alpine Co. Ltd. | | | 62,325 | |
| | 2,000 | | Amano Corp. | | | 51,843 | |
| | 12,427 | | CDW Corp. | | | 2,781,660 | |
| | 44,237 | | Corning, Inc. | | | 1,718,607 | |
| | 1,400 | | Daiwabo Holdings Co. Ltd. | | | 25,146 | |
| | 400 | | Dexerials Corp. | | | 18,678 | |
| | 8,686 | | Halma PLC | | | 296,067 | |
| | 7,100 | | Hamamatsu Photonics KK | | | 190,732 | |
| | 7,373 | | Jabil, Inc. | | | 802,109 | |
| | 4,454 | | Keysight Technologies, Inc.* | | | 609,084 | |
| | 1,700 | | Macnica Holdings, Inc. | | | 71,438 | |
| | 46,400 | | Murata Manufacturing Co. Ltd. | | | 960,868 | |
| | 1,100 | | Omron Corp. | | | 38,091 | |
| | 5,687 | | Spectris PLC | | | 199,530 | |
| | 7,100 | | TDK Corp. | | | 436,592 | |
| | 8,831 | | TE Connectivity Ltd. | | | 1,328,447 | |
| | 1,660 | | Teledyne Technologies, Inc.* | | | 644,047 | |
| | 13,489 | | Trimble, Inc.* | | | 754,305 | |
| | | |
| | |
| 4 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Electronic Equipment, Instruments & Components – (continued) | |
| | 719 | | Zebra Technologies Corp. Class A* | | $ | 222,121 | |
| | | | | | | | |
| | | | | | | 11,211,690 | |
| | | |
| |
| | Energy Equipment & Services – 0.2% | |
| | 26,496 | | Baker Hughes Co. | | | 931,864 | |
| | 31,851 | | Halliburton Co. | | | 1,075,927 | |
| | 96,097 | | Schlumberger NV | | | 4,533,857 | |
| | 4,201 | | Technip Energies NV | | | 94,381 | |
| | 32,244 | | Tenaris SA | | | 495,988 | |
| | 10,181 | | Vallourec SACA* | | | 160,046 | |
| | | | | | | | |
| | | | | | | 7,292,063 | |
| | | |
| |
| | Entertainment – 0.4% | |
| | 8,639 | | Bollore SE | | | 50,719 | |
| | 8,807 | | Electronic Arts, Inc. | | | 1,227,079 | |
| | 1,800 | | Koei Tecmo Holdings Co. Ltd. | | | 15,625 | |
| | 500 | | Konami Group Corp. | | | 36,152 | |
| | 14,901 | | Netflix, Inc.* | | | 10,056,387 | |
| | 2,500 | | Nexon Co. Ltd. | | | 46,511 | |
| | 3,200 | | Nintendo Co. Ltd. | | | 170,885 | |
| | 4,600 | | Square Enix Holdings Co. Ltd. | | | 138,602 | |
| | 1,841 | | Take-Two Interactive Software, Inc.* | | | 286,257 | |
| | 5,400 | | Toho Co. Ltd. | | | 157,972 | |
| | 5,516 | | Universal Music Group NV | | | 164,091 | |
| | 23,755 | | Walt Disney Co. | | | 2,358,634 | |
| | 94,712 | | Warner Bros Discovery, Inc.* | | | 704,657 | |
| | | | | | | | |
| | | | | | | 15,413,571 | |
| | | |
| |
| | Financial Services – 1.5% | |
| | 456 | | Adyen NV*(a) | | | 541,580 | |
| | 25,332 | | Apollo Global Management, Inc. | | | 2,990,949 | |
| | 56,444 | | Berkshire Hathaway, Inc. Class B* | | | 22,961,419 | |
| | 1,008 | | Corpay, Inc.* | | | 268,541 | |
| | 4,539 | | Eurazeo SE | | | 361,933 | |
| | 2,553 | | EXOR NV | | | 266,679 | |
| | 17,940 | | Fiserv, Inc.* | | | 2,673,778 | |
| | 7,606 | | Global Payments, Inc. | | | 735,500 | |
| | 600 | | GMO Payment Gateway, Inc. | | | 33,220 | |
| | 1,287 | | Groupe Bruxelles Lambert NV | | | 91,636 | |
| | 1,307 | | Jack Henry & Associates, Inc. | | | 216,988 | |
| | 234,687 | | M&G PLC | | | 603,337 | |
| | 26,736 | | Mastercard, Inc. Class A | | | 11,794,854 | |
| | 10,700 | | Mitsubishi HC Capital, Inc. | | | 70,796 | |
| | 10,700 | | ORIX Corp. | | | 237,154 | |
| | 17,258 | | OSB Group PLC | | | 93,216 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Financial Services – (continued) | |
| | 5,086 | | Paragon Banking Group PLC | | $ | 47,198 | |
| | 76,602 | | PayPal Holdings, Inc.* | | | 4,445,214 | |
| | 49,276 | | Visa, Inc. Class A | | | 12,933,472 | |
| | 9,319 | | WEX, Inc.* | | | 1,650,768 | |
| | | | | | | | |
| | | | | | | 63,018,232 | |
| | | |
| |
| | Food Products – 0.3% | |
| | 1,800 | | Ajinomoto Co., Inc. | | | 63,351 | |
| | 20,459 | | Archer-Daniels-Midland Co. | | | 1,236,747 | |
| | 20,928 | | Associated British Foods PLC | | | 653,453 | |
| | 9,273 | | Bunge Global SA | | | 990,078 | |
| | 4,600 | | Calbee, Inc. | | | 88,456 | |
| | 22,220 | | Conagra Brands, Inc. | | | 631,492 | |
| | 42,874 | | Danone SA | | | 2,626,023 | |
| | 12,212 | | General Mills, Inc. | | | 772,531 | |
| | 5,036 | | Glanbia PLC | | | 98,158 | |
| | 24,556 | | Greencore Group PLC* | | | 51,638 | |
| | 985 | | Hilton Food Group PLC | | | 11,194 | |
| | 15,413 | | Hormel Foods Corp. | | | 469,942 | |
| | 2,000 | | House Foods Group, Inc. | | | 35,392 | |
| | 12,735 | | Ingredion, Inc. | | | 1,460,705 | |
| | 4,589 | | J M Smucker Co. | | | 500,385 | |
| | 2,423 | | JDE Peet’s NV | | | 48,327 | |
| | 4,726 | | Kerry Group PLC Class A | | | 382,991 | |
| | 26,663 | | Kraft Heinz Co. | | | 859,082 | |
| | 11,546 | | McCormick & Co., Inc. | | | 819,073 | |
| | 12,100 | | MEIJI Holdings Co. Ltd. | | | 261,700 | |
| | 1,200 | | NH Foods Ltd. | | | 36,036 | |
| | 2,300 | | Nichirei Corp. | | | 50,755 | |
| | 4,400 | | Nisshin Seifun Group, Inc. | | | 50,779 | |
| | 1,300 | | Nissin Foods Holdings Co. Ltd. | | | 33,053 | |
| | 5,500 | | Nissui Corp. | | | 29,565 | |
| | 13,370 | | Premier Foods PLC | | | 26,839 | |
| | 10,565 | | Tyson Foods, Inc. Class A | | | 603,684 | |
| | 1,800 | | Yakult Honsha Co. Ltd. | | | 32,250 | |
| | 1,000 | | Yamazaki Baking Co. Ltd. | | | 20,644 | |
| | | | | | | | |
| | | | | | �� | 12,944,323 | |
| | | |
| |
| | Gas Utilities – 0.0% | |
| | 23,014 | | Enagas SA(b) | | | 342,216 | |
| | 35,446 | | Italgas SpA | | | 175,045 | |
| | 13,298 | | Naturgy Energy Group SA | | | 289,029 | |
| | 1,500 | | Osaka Gas Co. Ltd. | | | 33,151 | |
| | 2,680 | | Rubis SCA | | | 75,501 | |
| | 174,898 | | Snam SpA | | | 772,352 | |
| | 1,800 | | Tokyo Gas Co. Ltd. | | | 38,750 | |
| | | | | | | | |
| | | | | | | 1,726,044 | |
| | | |
| |
| | Ground Transportation – 0.3% | |
| | 8,900 | | Central Japan Railway Co. | | | 192,926 | |
| | 104,908 | | CSX Corp. | | | 3,509,173 | |
| | 16,087 | | Firstgroup PLC | | | 32,191 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 5 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Ground Transportation – (continued) | |
| | 6,200 | | Hankyu Hanshin Holdings, Inc. | | $ | 165,387 | |
| | 1,479 | | JB Hunt Transport Services, Inc. | | | 236,640 | |
| | 3,300 | | Keikyu Corp. | | | 24,163 | |
| | 13,200 | | Kintetsu Group Holdings Co. Ltd. | | | 287,912 | |
| | 1,000 | | Kyushu Railway Co. | | | 21,708 | |
| | 28,895 | | Mobico Group PLC | | | 18,591 | |
| | 1,600 | | Nishi-Nippon Railroad Co. Ltd. | | | 25,732 | |
| | 1,937 | | Old Dominion Freight Line, Inc. | | | 342,074 | |
| | 1,800 | | Seino Holdings Co. Ltd. | | | 24,371 | |
| | 2,500 | | Sotetsu Holdings, Inc. | | | 37,949 | |
| | 34,852 | | Union Pacific Corp. | | | 7,885,614 | |
| | | | | | | | |
| | | | | | | 12,804,431 | |
| | | |
| |
| | Health Care Equipment & Supplies – 1.0% | |
| | 89,430 | | Abbott Laboratories | | | 9,292,671 | |
| | 5,326 | | Align Technology, Inc.* | | | 1,285,856 | |
| | 18,770 | | Baxter International, Inc. | | | 627,857 | |
| | 14,915 | | Becton Dickinson & Co. | | | 3,485,785 | |
| | 2,248 | | BioMerieux | | | 213,760 | |
| | 49,326 | | Boston Scientific Corp.* | | | 3,798,595 | |
| | 42,896 | | ConvaTec Group PLC(a) | | | 127,089 | |
| | 3,385 | | Dexcom, Inc.* | | | 383,791 | |
| | 2,024 | | EssilorLuxottica SA | | | 434,924 | |
| | 28,308 | | GE HealthCare Technologies, Inc. | | | 2,205,759 | |
| | 30,061 | | Hologic, Inc.* | | | 2,232,029 | |
| | 1,100 | | Hoya Corp. | | | 128,633 | |
| | 673 | | IDEXX Laboratories, Inc.* | | | 327,886 | |
| | 11,571 | | Intuitive Surgical, Inc.* | | | 5,147,359 | |
| | 4,300 | | Jeol Ltd. | | | 195,274 | |
| | 30,800 | | Koninklijke Philips NV* | | | 774,575 | |
| | 50,957 | | Medtronic PLC | | | 4,010,826 | |
| | 1,555 | | ResMed, Inc. | | | 297,658 | |
| | 14,151 | | Siemens Healthineers AG(a) | | | 814,943 | |
| | 40,987 | | Smith & Nephew PLC | | | 507,923 | |
| | 8,842 | | STERIS PLC | | | 1,941,173 | |
| | 10,620 | | Stryker Corp. | | | 3,613,455 | |
| | 2,451 | | Teleflex, Inc. | | | 515,519 | |
| | 6,058 | | Zimmer Biomet Holdings, Inc. | | | 657,475 | |
| | | | | | | | |
| | | | | | | 43,020,815 | |
| | | |
| |
| | Health Care Providers & Services – 0.9% | |
| | 5,600 | | Alfresa Holdings Corp. | | | 76,968 | |
| | 10,806 | | Cardinal Health, Inc. | | | 1,062,446 | |
| | 13,798 | | Centene Corp.* | | | 914,807 | |
| | 5,025 | | Cigna Group | | | 1,661,114 | |
| | 82,588 | | CVS Health Corp. | | | 4,877,647 | |
| | 5,716 | | DaVita, Inc.* | | | 792,066 | |
| | 8,892 | | Elevance Health, Inc. | | | 4,818,219 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Health Care Providers & Services – (continued) | |
| | 5,603 | | Fresenius Medical Care AG | | $ | 214,129 | |
| | 13,518 | | Fresenius SE & Co. KGaA* | | | 403,841 | |
| | 13,680 | | HCA Healthcare, Inc. | | | 4,395,110 | |
| | 11,344 | | Henry Schein, Inc.* | | | 727,150 | |
| | 9,309 | | Humana, Inc. | | | 3,478,308 | |
| | 1,900 | | Medipal Holdings Corp. | | | 28,966 | |
| | 2,157 | | Molina Healthcare, Inc.* | | | 641,276 | |
| | 4,488 | | Quest Diagnostics, Inc. | | | 614,318 | |
| | 4,400 | | Suzuken Co. Ltd. | | | 134,166 | |
| | 23,162 | | UnitedHealth Group, Inc. | | | 11,795,480 | |
| | 3,494 | | Universal Health Services, Inc. Class B | | | 646,146 | |
| | | | | | | | |
| | | | | | | 37,282,157 | |
| | | |
| |
| | Health Care REITs – 0.1% | |
| | 1,674 | | Aedifica SA | | | 101,916 | |
| | 5,875 | | Alexandria Real Estate Equities, Inc. | | | 687,199 | |
| | 27,251 | | Healthpeak Properties, Inc. | | | 534,119 | |
| | 50,413 | | Primary Health Properties PLC | | | 58,344 | |
| | 12,772 | | Ventas, Inc. | | | 654,693 | |
| | | | | | | | |
| | | | | | | 2,036,271 | |
| | | |
| |
| | Health Care Technology – 0.0% | |
| | 56,400 | | M3, Inc. | | | 539,636 | |
| | | |
| |
| | Hotel & Resort REITs – 0.0% | |
| | 36,356 | | Host Hotels & Resorts, Inc. | | | 653,681 | |
| | | |
| |
| | Hotels, Restaurants & Leisure – 0.6% | |
| | 19,346 | | Accor SA | | | 791,619 | |
| | 12,541 | | Airbnb, Inc. Class A* | | | 1,901,592 | |
| | 26,960 | | Aramark | | | 917,179 | |
| | 1,852 | | Booking Holdings, Inc. | | | 7,336,698 | |
| | 17,380 | | Caesars Entertainment, Inc.* | | | 690,681 | |
| | 46,917 | | Carnival Corp.* | | | 878,286 | |
| | 9,594 | | Carnival PLC* | | | 164,848 | |
| | 8,950 | | Chipotle Mexican Grill, Inc.* | | | 560,717 | |
| | 1,643 | | Darden Restaurants, Inc. | | | 248,619 | |
| | 12,883 | | Domino’s Pizza Group PLC | | | 49,910 | |
| | 587 | | Domino’s Pizza, Inc. | | | 303,086 | |
| | 52,826 | | Entain PLC | | | 418,893 | |
| | 6,058 | | Expedia Group, Inc.* | | | 763,247 | |
| | 5,500 | | Food & Life Cos. Ltd. | | | 89,158 | |
| | 1,351 | | Greggs PLC | | | 47,340 | |
| | 3,337 | | J D Wetherspoon PLC* | | | 30,878 | |
| | 24,753 | | Just Eat Takeaway.com NV*(a) | | | 295,838 | |
| | 936 | | La Francaise des Jeux SAEM(a) | | | 31,880 | |
| | 17,512 | | Las Vegas Sands Corp. | | | 774,906 | |
| | 19,015 | | McDonald’s Corp. | | | 4,845,783 | |
| | 16,482 | | MGM Resorts International* | | | 732,460 | |
| | | |
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Hotels, Restaurants & Leisure – (continued) | |
| | 4,560 | | Playtech PLC* | | $ | 26,804 | |
| | 198 | | PPHE Hotel Group Ltd. | | | 3,254 | |
| | 5,300 | | Skylark Holdings Co. Ltd. | | | 70,602 | |
| | 2,425 | | Sodexo SA | | | 218,446 | |
| | 54,988 | | SSP Group PLC | | | 102,446 | |
| | 7,315 | | Starbucks Corp. | | | 569,473 | |
| | 1,900 | | Toridoll Holdings Corp. | | | 43,800 | |
| | 6,989 | | Trainline PLC*(a) | | | 27,777 | |
| | 12,869 | | TUI AG* | | | 90,967 | |
| | 6,864 | | Whitbread PLC | | | 257,602 | |
| | 6,048 | | Wynn Resorts Ltd. | | | 541,296 | |
| | 600 | | Yoshinoya Holdings Co. Ltd. | | | 11,441 | |
| | 2,489 | | Yum! Brands, Inc. | | | 329,693 | |
| | | | | | | | |
| | | | | | | 24,167,219 | |
| | | |
| |
| | Household Durables – 0.2% | |
| | 128,554 | | Barratt Developments PLC | | | 763,498 | |
| | 4,253 | | Bellway PLC | | | 135,419 | |
| | 2,941 | | Berkeley Group Holdings PLC | | | 169,930 | |
| | 5,300 | | Casio Computer Co. Ltd. | | | 39,681 | |
| | 16,830 | | DR Horton, Inc. | | | 2,371,852 | |
| | 3,100 | | Haseko Corp. | | | 34,332 | |
| | 6,038 | | Lennar Corp. Class A | | | 904,915 | |
| | 4,363 | | Mohawk Industries, Inc.* | | | 495,593 | |
| | 279 | | NVR, Inc.* | | | 2,117,208 | |
| | 38,500 | | Panasonic Holdings Corp. | | | 316,489 | |
| | 5,879 | | PulteGroup, Inc. | | | 647,278 | |
| | 2,286 | | SEB SA | | | 234,621 | |
| | 13,800 | | Sharp Corp.* | | | 79,850 | |
| | 2,700 | | Sumitomo Forestry Co. Ltd. | | | 86,555 | |
| | | | | | | | |
| | | | | | | 8,397,221 | |
| | | |
| |
| | Household Products – 0.0% | |
| | 3,700 | | Lion Corp. | | | 28,839 | |
| | 25,295 | | Reckitt Benckiser Group PLC | | | 1,368,439 | |
| | | | | | | | |
| | | | | | | 1,397,278 | |
| | | |
| |
| | Independent Power and Renewable Electricity Producers – 0.0% | |
| | 10,469 | | AES Corp. | | | 183,940 | |
| | 22,684 | | Drax Group PLC | | | 141,272 | |
| | 2,200 | | Electric Power Development Co. Ltd. | | | 34,396 | |
| | 10,063 | | Vistra Corp. | | | 865,217 | |
| | | | | | | | |
| | | | | | | 1,224,825 | |
| | | |
| |
| | Industrial Conglomerates – 0.2% | |
| | 4,231 | | 3M Co. | | | 432,366 | |
| | 5,569 | | DCC PLC | | | 388,671 | |
| | 300 | | Hikari Tsushin, Inc. | | | 56,196 | |
| | 11,500 | | Hitachi Ltd. | | | 258,938 | |
| | 19,589 | | Honeywell International, Inc. | | | 4,183,035 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Industrial Conglomerates – (continued) | |
| | 13,389 | | Siemens AG | | $ | 2,492,034 | |
| | 8,767 | | Smiths Group PLC | | | 188,636 | |
| | | | | | | | |
| | | | | | | 7,999,876 | |
| | | |
| |
| | Industrial REITs – 0.0% | |
| | 11,377 | | First Industrial Realty Trust, Inc. | | | 540,521 | |
| | 29,930 | | Urban Logistics REIT PLC | | | 44,453 | |
| | | | | | | | |
| | | | | | | 584,974 | |
| | | |
| |
| | Insurance – 1.1% | |
| | 3,625 | | Admiral Group PLC | | | 119,788 | |
| | 15,275 | | Aflac, Inc. | | | 1,364,210 | |
| | 4,442 | | Allianz SE | | | 1,233,681 | |
| | 12,876 | | Allstate Corp. | | | 2,055,782 | |
| | 47,229 | | American International Group, Inc. | | | 3,506,281 | |
| | 9,906 | | Aon PLC Class A | | | 2,908,204 | |
| | 11,933 | | Arch Capital Group Ltd.* | | | 1,203,920 | |
| | 12,199 | | Arthur J Gallagher & Co. | | | 3,163,323 | |
| | 68,061 | | Assicurazioni Generali SpA | | | 1,694,309 | |
| | 7,667 | | Assurant, Inc. | | | 1,274,639 | |
| | 101,324 | | Aviva PLC | | | 610,305 | |
| | 71,129 | | AXA SA | | | 2,330,985 | |
| | 49,850 | | Beazley PLC | | | 445,237 | |
| | 2,606 | | Brown & Brown, Inc. | | | 233,003 | |
| | 21,878 | | Chubb Ltd. | | | 5,580,640 | |
| | 7,622 | | Cincinnati Financial Corp. | | | 900,158 | |
| | 12,900 | | Dai-ichi Life Holdings, Inc. | | | 345,460 | |
| | 109,520 | | Direct Line Insurance Group PLC | | | 277,700 | |
| | 2,347 | | Everest Group Ltd. | | | 894,254 | |
| | 8,514 | | Globe Life, Inc. | | | 700,532 | |
| | 660 | | Hannover Rueck SE | | | 167,071 | |
| | 1,759 | | Hanover Insurance Group, Inc. | | | 220,649 | |
| | 10,723 | | Hartford Financial Services Group, Inc. | | | 1,078,090 | |
| | 30,605 | | Hiscox Ltd. | | | 444,236 | |
| | 23,900 | | Japan Post Holdings Co. Ltd. | | | 237,560 | |
| | 3,488 | | Japan Post Insurance Co. Ltd. | | | 67,835 | |
| | 24,836 | | Just Group PLC | | | 32,967 | |
| | 10,968 | | Lancashire Holdings Ltd. | | | 85,129 | |
| | 8,426 | | Loews Corp. | | | 629,759 | |
| | 2,652 | | Marsh & McLennan Cos., Inc. | | | 558,830 | |
| | 13,489 | | MetLife, Inc. | | | 946,793 | |
| | 4,400 | | MS&AD Insurance Group Holdings, Inc. | | | 98,234 | |
| | 9,047 | | NN Group NV | | | 420,491 | |
| | 46,742 | | Phoenix Group Holdings PLC | | | 307,700 | |
| | 11,747 | | Poste Italiane SpA(a) | | | 149,475 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Insurance – (continued) | |
| | 19,105 | | Principal Financial Group, Inc. | | $ | 1,498,787 | |
| | 7,869 | | Prudential Financial, Inc. | | | 922,168 | |
| | 83,207 | | Prudential PLC | | | 754,439 | |
| | 3,664 | | Sampo OYJ Class A | | | 158,007 | |
| | 4,463 | | SCOR SE | | | 113,129 | |
| | 3,300 | | Sompo Holdings, Inc. | | | 70,698 | |
| | 2,400 | | T&D Holdings, Inc. | | | 41,921 | |
| | 1,551 | | Talanx AG | | | 123,599 | |
| | 5,000 | | Tokio Marine Holdings, Inc. | | | 187,895 | |
| | 4,684 | | Travelers Cos., Inc. | | | 952,445 | |
| | 23,499 | | Unipol Gruppo SpA | | | 233,047 | |
| | 46,077 | | W R Berkley Corp. | | | 3,620,731 | |
| | | | | | | | |
| | | | | | | 44,964,096 | |
| | | |
| |
| | Interactive Media & Services – 1.1% | |
| | 216,842 | | Alphabet, Inc. Class A | | | 39,497,770 | |
| | 13,292 | | Auto Trader Group PLC(a) | | | 133,786 | |
| | 58,000 | | LY Corp. | | | 140,051 | |
| | 23,259 | | Match Group, Inc.* | | | 706,608 | |
| | 7,431 | | Meta Platforms, Inc. Class A | | | 3,746,859 | |
| | 65,550 | | Pinterest, Inc. Class A* | | | 2,888,789 | |
| | 64,309 | | Rightmove PLC | | | 434,089 | |
| | 8,661 | | Trustpilot Group PLC*(a) | | | 23,539 | |
| | | | | | | | |
| | | | | | | 47,571,491 | |
| | | |
| |
| | IT Services – 0.5% | |
| | 8,124 | | Accenture PLC Class A | | | 2,464,903 | |
| | 7,059 | | Akamai Technologies, Inc.* | | | 635,875 | |
| | 500 | | Alten SA | | | 55,053 | |
| | 2,700 | | Bechtle AG | | | 127,005 | |
| | 1,800 | | BIPROGY, Inc. | | | 49,996 | |
| | 8,495 | | Capgemini SE | | | 1,687,425 | |
| | 13,086 | | Cognizant Technology Solutions Corp. Class A | | | 889,848 | |
| | 3,078 | | Computacenter PLC | | | 111,220 | |
| | 4,424 | | EPAM Systems, Inc.* | | | 832,199 | |
| | 6,300 | | Fujitsu Ltd. | | | 98,806 | |
| | 685 | | Gartner, Inc.* | | | 307,606 | |
| | 67,190 | | International Business Machines Corp. | | | 11,620,510 | |
| | 2,041 | | Kainos Group PLC | | | 27,297 | |
| | 13,254 | | NEC Corp. | | | 1,092,879 | |
| | 5,200 | | Otsuka Corp. | | | 100,298 | |
| | 831 | | Reply SpA | | | 122,530 | |
| | 2,400 | | SCSK Corp. | | | 48,016 | |
| | 5,146 | | Softcat PLC | | | 118,201 | |
| | 400 | | Sopra Steria Group | | | 77,785 | |
| | 11,700 | | TIS, Inc. | | | 227,308 | |
| | 1,500 | | VeriSign, Inc.* | | | 266,700 | |
| | | | | | | | |
| | | | | | | 20,961,460 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Leisure Products – 0.0% | |
| | 2,600 | | Bandai Namco Holdings, Inc. | | $ | 50,937 | |
| | 321 | | Games Workshop Group PLC | | | 43,235 | |
| | 32,800 | | Mattel, Inc.* | | | 533,328 | |
| | 2,300 | | Sankyo Co. Ltd. | | | 25,010 | |
| | 4,900 | | Sega Sammy Holdings, Inc. | | | 72,801 | |
| | 300 | | Shimano, Inc. | | | 46,363 | |
| | 2,000 | | Tomy Co. Ltd. | | | 39,461 | |
| | | | | | | | |
| | | | | | | 811,135 | |
| | | |
| |
| | Life Sciences Tools & Services – 0.5% | |
| | 2,815 | | Agilent Technologies, Inc. | | | 364,908 | |
| | 49,499 | | Avantor, Inc.* | | | 1,049,379 | |
| | 1,796 | | Bio-Rad Laboratories, Inc. Class A* | | | 490,506 | |
| | 2,638 | | Charles River Laboratories International, Inc.* | | | 544,958 | |
| | 11,189 | | Eurofins Scientific SE | | | 560,221 | |
| | 2,451 | | Gerresheimer AG | | | 263,392 | |
| | 7,898 | | Illumina, Inc.* | | | 824,393 | |
| | 12,728 | | IQVIA Holdings, Inc.* | | | 2,691,208 | |
| | 1,715 | | Mettler-Toledo International, Inc.* | | | 2,396,867 | |
| | 12,974 | | Qiagen NV* | | | 536,061 | |
| | 9,179 | | Revvity, Inc. | | | 962,510 | |
| | 14,821 | | Thermo Fisher Scientific, Inc. | | | 8,196,013 | |
| | 899 | | Waters Corp.* | | | 260,818 | |
| | 840 | | West Pharmaceutical Services, Inc. | | | 276,688 | |
| | | | | | | | |
| | | | | | | 19,417,922 | |
| | | |
| |
| | Machinery – 0.6% | |
| | 747 | | Aalberts NV | | | 30,248 | |
| | 6,505 | | Bodycote PLC | | | 55,872 | |
| | 6,310 | | Caterpillar, Inc. | | | 2,101,861 | |
| | 4,684 | | Cummins, Inc. | | | 1,297,140 | |
| | 4,186 | | Deere & Co. | | | 1,564,015 | |
| | 1,100 | | DMG Mori Co. Ltd. | | | 28,773 | |
| | 5,282 | | Dover Corp. | | | 953,137 | |
| | 3,300 | | FANUC Corp. | | | 90,594 | |
| | 59,863 | | Fortive Corp. | | | 4,435,848 | |
| | 5,267 | | GEA Group AG | | | 218,967 | |
| | 22,219 | | Graco, Inc. | | | 1,761,522 | |
| | 500 | | Hoshizaki Corp. | | | 15,904 | |
| | 1,102 | | IDEX Corp. | | | 221,722 | |
| | 1,848 | | Illinois Tool Works, Inc. | | | 437,902 | |
| | 12,148 | | Ingersoll Rand, Inc. | | | 1,103,524 | |
| | 4,925 | | Interpump Group SpA | | | 218,508 | |
| | 27,803 | | Iveco Group NV | | | 311,334 | |
| | 8,299 | | KION Group AG | | | 346,677 | |
| | 859 | | Knorr-Bremse AG | | | 65,658 | |
| | 1,710 | | Konecranes OYJ | | | 96,891 | |
| | 3,000 | | Makita Corp. | | | 82,134 | |
| | | |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Machinery – (continued) | |
| | 1,700 | | Minebea Mitsumi, Inc. | | $ | 35,021 | |
| | 2,100 | | MISUMI Group, Inc. | | | 36,038 | |
| | 2,700 | | NGK Insulators Ltd. | | | 34,669 | |
| | 826 | | Nordson Corp. | | | 191,582 | |
| | 38,000 | | NSK Ltd. | | | 185,375 | |
| | 21,500 | | NTN Corp. | | | 42,886 | |
| | 2,200 | | OKUMA Corp. | | | 99,674 | |
| | 27,595 | | Otis Worldwide Corp. | | | 2,656,295 | |
| | 10,411 | | PACCAR, Inc. | | | 1,071,708 | |
| | 38 | | Rational AG | | | 31,507 | |
| | 9,854 | | Rotork PLC | | | 41,905 | |
| | 2,263 | | Snap-on, Inc. | | | 591,526 | |
| | 22,897 | | Stanley Black & Decker, Inc. | | | 1,829,241 | |
| | 1,600 | | Sumitomo Heavy Industries Ltd. | | | 41,756 | |
| | 900 | | THK Co. Ltd. | | | 16,143 | |
| | 6,919 | | Vesuvius PLC | | | 40,356 | |
| | 4,977 | | Weir Group PLC | | | 124,473 | |
| | 4,795 | | Westinghouse Air Brake Technologies Corp. | | | 757,850 | |
| | 1,200 | | Yaskawa Electric Corp. | | | 43,271 | |
| | | | | | | | |
| | | | | 23,309,507 | |
| | | |
| |
| | Marine Transportation – 0.0% | |
| | 437 | | Clarkson PLC | | | 22,870 | |
| | | |
| |
| | Media – 0.2% | |
| | 281 | | 4imprint Group PLC | | | 20,621 | |
| | 3,484 | | Charter Communications, Inc. Class A* | | | 1,041,577 | |
| | 55,958 | | Comcast Corp. Class A | | | 2,191,315 | |
| | 4,100 | | CyberAgent, Inc. | | | 25,696 | |
| | 19,954 | | Fox Corp. Class A | | | 685,819 | |
| | 3,827 | | Future PLC | | | 50,657 | |
| | 74,878 | | Informa PLC | | | 808,079 | |
| | 15,565 | | Interpublic Group of Cos., Inc. | | | 452,786 | |
| | 131,376 | | ITV PLC | | | 133,592 | |
| | 31,411 | | News Corp. Class A | | | 866,001 | |
| | 2,900 | | Nippon Television Holdings, Inc. | | | 42,121 | |
| | 6,510 | | Omnicom Group, Inc. | | | 583,947 | |
| | 65,331 | | Paramount Global Class B | | | 678,789 | |
| | 9,400 | | TBS Holdings, Inc. | | | 237,992 | |
| | 67,860 | | Vivendi SE | | | 709,247 | |
| | 38,267 | | WPP PLC | | | 350,398 | |
| | | | | | | | |
| | | | | 8,878,637 | |
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| |
| | Metals & Mining – 0.2% | |
| | 32,415 | | ArcelorMittal SA | | | 742,604 | |
| | 73,031 | | Centamin PLC | | | 111,605 | |
| | 1,000 | | Dowa Holdings Co. Ltd. | | | 35,757 | |
| | 7,048 | | Evraz PLC*(c) | | | — | |
| | 65,450 | | Freeport-McMoRan, Inc. | | | 3,180,870 | |
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| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Metals & Mining – (continued) | |
| | 217,641 | | Glencore PLC | | $ | 1,238,436 | |
| | 1,696 | | Hill & Smith PLC | | | 42,063 | |
| | 12,800 | | JFE Holdings, Inc. | | | 184,738 | |
| | 11,300 | | Kobe Steel Ltd. | | | 140,572 | |
| | 2,200 | | Mitsui Mining & Smelting Co. Ltd. | | | 70,499 | |
| | 14,800 | | Nippon Steel Corp. | | | 313,737 | |
| | 7,992 | | Nucor Corp. | | | 1,263,375 | |
| | 2,937 | | Reliance, Inc. | | | 838,807 | |
| | 7,567 | | Steel Dynamics, Inc. | | | 979,926 | |
| | 2,008 | | voestalpine AG | | | 54,286 | |
| | | | | | | | |
| | | | | | | 9,197,275 | |
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| |
| | Multi-Utilities – 0.1% | |
| | 165,248 | | A2A SpA | | | 328,048 | |
| | 16,838 | | Ameren Corp. | | | 1,197,350 | |
| | 8,080 | | CenterPoint Energy, Inc. | | | 250,318 | |
| | 431,867 | | Centrica PLC | | | 736,115 | |
| | 3,889 | | CMS Energy Corp. | | | 231,512 | |
| | 12,015 | | DTE Energy Co. | | | 1,333,785 | |
| | 70,634 | | Engie SA | | | 1,011,504 | |
| | 32,921 | | Hera SpA | | | 112,527 | |
| | 7,177 | | NiSource, Inc. | | | 206,769 | |
| | 3,091 | | WEC Energy Group, Inc. | | | 242,520 | |
| | | | | | | | |
| | | | | | | 5,650,448 | |
| | | |
| |
| | Office REITs – 0.0% | |
| | 9,822 | | Boston Properties, Inc. | | | 604,642 | |
| | 2,563 | | Derwent London PLC | | | 73,221 | |
| | 3,063 | | Workspace Group PLC | | | 22,951 | |
| | | | | | | | |
| | | | | | | 700,814 | |
| | | |
| |
| | Oil, Gas & Consumable Fuels – 1.2% | |
| | 17,601 | | APA Corp. | | | 518,174 | |
| | 220,166 | | BP PLC | | | 1,325,568 | |
| | 72,022 | | Chevron Corp. | | | 11,265,681 | |
| | 38,160 | | ConocoPhillips | | | 4,364,741 | |
| | 1,100 | | Cosmo Energy Holdings Co. Ltd. | | | 55,528 | |
| | 23,172 | | Devon Energy Corp. | | | 1,098,353 | |
| | 6,018 | | Diversified Energy Co. PLC | | | 79,809 | |
| | 42,900 | | ENEOS Holdings, Inc. | | | 221,083 | |
| | 118,095 | | Eni SpA | | | 1,813,308 | |
| | 3,820 | | EOG Resources, Inc. | | | 480,823 | |
| | 159,896 | | Exxon Mobil Corp. | | | 18,407,228 | |
| | 37,970 | | Harbour Energy PLC | | | 149,081 | |
| | 17,200 | | Idemitsu Kosan Co. Ltd. | | | 111,792 | |
| | 22,900 | | Inpex Corp. | | | 336,297 | |
| | 5,442 | | Ithaca Energy PLC | | | 8,558 | |
| | 46,830 | | Kinder Morgan, Inc. | | | 930,512 | |
| | 25,529 | | Marathon Oil Corp. | | | 731,916 | |
| | 7,407 | | Marathon Petroleum Corp. | | | 1,284,966 | |
| | 23,474 | | Occidental Petroleum Corp. | | | 1,479,566 | |
| | 7,939 | | Phillips 66 | | | 1,120,749 | |
| | 59,856 | | TotalEnergies SE | | | 4,007,583 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Oil, Gas & Consumable Fuels – (continued) | |
| | 7,365 | | Valero Energy Corp. | | $ | 1,154,537 | |
| | | | | | | | |
| | | | | 50,945,853 | |
| | | |
| |
| | Paper & Forest Products – 0.0% | |
| | 48,719 | | Mondi PLC | | | 935,178 | |
| | 22,300 | | Oji Holdings Corp. | | | 88,031 | |
| | 18,798 | | UPM-Kymmene OYJ | | | 660,234 | |
| | | | | | | | |
| | | | | 1,683,443 | |
| | | |
| |
| | Passenger Airlines – 0.2% | |
| | 65,857 | | American Airlines Group, Inc.* | | | 746,160 | |
| | 7,500 | | ANA Holdings, Inc. | | | 138,624 | |
| | 63,708 | | Delta Air Lines, Inc. | | | 3,022,307 | |
| | 123,326 | | Deutsche Lufthansa AG | | | 756,443 | |
| | 47,617 | | easyJet PLC | | | 274,676 | |
| | 13,000 | | Japan Airlines Co. Ltd. | | | 205,400 | |
| | 30,499 | | Southwest Airlines Co. | | | 872,576 | |
| | 17,298 | | United Airlines Holdings, Inc.* | | | 841,721 | |
| | | | | | | | |
| | | | | 6,857,907 | |
| | | |
| |
| | Personal Products – 0.1% | |
| | 2,701 | | Estee Lauder Cos., Inc. Class A | | | 287,386 | |
| | 1,500 | | Kao Corp. | | | 60,731 | |
| | 185,840 | | Kenvue, Inc. | | | 3,378,571 | |
| | 12,000 | | Kobayashi Pharmaceutical Co. Ltd. | | | 389,717 | |
| | 1,600 | | Kose Corp. | | | 101,575 | |
| | 6,451 | | PZ Cussons PLC | | | 8,032 | |
| | 11,792 | | Unilever PLC | | | 647,231 | |
| | | | | | | | |
| | | | | 4,873,243 | |
| | | |
| |
| | Pharmaceuticals – 0.7% | |
| | 72,962 | | Bayer AG | | | 2,056,654 | |
| | 36,263 | | Bristol-Myers Squibb Co. | | | 1,506,002 | |
| | 2,800 | | Chugai Pharmaceutical Co. Ltd. | | | 99,703 | |
| | 1,200 | | Eisai Co. Ltd. | | | 49,396 | |
| | 124,689 | | GSK PLC | | | 2,398,294 | |
| | 11,682 | | Hikma Pharmaceuticals PLC | | | 278,335 | |
| | 2,100 | | Hisamitsu Pharmaceutical Co., Inc. | | | 48,635 | |
| | 1,085 | | Ipsen SA | | | 133,302 | |
| | 28,584 | | Jazz Pharmaceuticals PLC* | | | 3,050,770 | |
| | 109,159 | | Johnson & Johnson | | | 15,954,680 | |
| | 19,500 | | Kyowa Kirin Co. Ltd. | | | 334,242 | |
| | 6,800 | | Ono Pharmaceutical Co. Ltd. | | | 92,911 | |
| | 16,701 | | Otsuka Holdings Co. Ltd. | | | 705,563 | |
| | 5,157 | | Recordati Industria Chimica e Farmaceutica SpA | | | 268,411 | |
| | 17,411 | | Sanofi SA | | | 1,679,171 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Pharmaceuticals – (continued) | |
| | 6,300 | | Santen Pharmaceutical Co. Ltd. | | $ | 64,452 | |
| | 3,100 | | Shionogi & Co. Ltd. | | | 120,741 | |
| | 13,243 | | Takeda Pharmaceutical Co. Ltd. | | | 343,500 | |
| | 63,155 | | Viatris, Inc. | | | 671,338 | |
| | | | | | | | |
| | | | | 29,856,100 | |
| | | |
| |
| | Professional Services – 0.3% | |
| | 11,905 | | Automatic Data Processing, Inc. | | | 2,841,604 | |
| | 18,600 | | BayCurrent Consulting, Inc. | | | 376,548 | |
| | 6,425 | | Booz Allen Hamilton Holding Corp. | | | 988,807 | |
| | 6,174 | | Broadridge Financial Solutions, Inc. | | | 1,216,278 | |
| | 1,862 | | FTI Consulting, Inc.* | | | 401,317 | |
| | 68,794 | | Hays PLC | | | 81,958 | |
| | 16,142 | | Leidos Holdings, Inc. | | | 2,354,795 | |
| | 8,974 | | Pagegroup PLC | | | 48,358 | |
| | 18,857 | | Paychex, Inc. | | | 2,235,686 | |
| | 1,491 | | Paycom Software, Inc. | | | 213,273 | |
| | 141,300 | | Persol Holdings Co. Ltd. | | | 195,791 | |
| | 5,524 | | Randstad NV | | | 250,804 | |
| | 3,700 | | Recruit Holdings Co. Ltd. | | | 199,086 | |
| | 11,039 | | Robert Half, Inc. | | | 706,275 | |
| | 4,671 | | SThree PLC | | | 24,223 | |
| | 8,700 | | TechnoPro Holdings, Inc. | | | 142,497 | |
| | 3,250 | | Teleperformance SE | | | 343,358 | |
| | 17,361 | | TransUnion | | | 1,287,492 | |
| | | | | | | | |
| | | | | 13,908,150 | |
| | | |
| |
| | Real Estate Management & Development – 0.1% | |
| | 3,000 | | Aeon Mall Co. Ltd. | | | 35,468 | |
| | 8,384 | | CBRE Group, Inc. Class A* | | | 747,098 | |
| | 26,599 | | CoStar Group, Inc.* | | | 1,972,050 | |
| | 3,700 | | Daito Trust Construction Co. Ltd. | | | 382,992 | |
| | 6,990 | | Grainger PLC | | | 21,516 | |
| | 36,800 | | Hulic Co. Ltd. | | | 327,089 | |
| | 23,016 | | International Workplace Group PLC | | | 50,177 | |
| | 4,600 | | Mitsubishi Estate Co. Ltd. | | | 72,420 | |
| | 1,000 | | Nomura Real Estate Holdings, Inc. | | | 25,173 | |
| | 4,300 | | Relo Group, Inc. | | | 45,954 | |
| | 2,939 | | Savills PLC | | | 41,387 | |
| | 4,428 | | TAG Immobilien AG* | | | 64,721 | |
| | 38,300 | | Tokyu Fudosan Holdings Corp. | | | 257,090 | |
| | | | | | | | |
| | | | | 4,043,135 | |
| | | |
| |
| | Residential REITs – 0.1% | |
| | 5,780 | | Camden Property Trust | | | 630,656 | |
| | | |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Residential REITs – (continued) | |
| | 15,365 | | Empiric Student Property PLC | | $ | 17,629 | |
| | 19,276 | | Equity Residential | | | 1,336,598 | |
| | 4,142 | | Mid-America Apartment Communities, Inc. | | | 590,690 | |
| | 11,660 | | UNITE Group PLC | | | 131,540 | |
| | | | | | | | |
| | | | | 2,707,113 | |
| | | |
| |
| | Retail REITs – 0.0% | |
| | 1,619 | | Federal Realty Investment Trust | | | 163,470 | |
| | 85,966 | | Hammerson PLC | | | 30,101 | |
| | 36,838 | | Kimco Realty Corp. | | | 716,867 | |
| | 7,788 | | Klepierre SA | | | 207,924 | |
| | 7,948 | | Regency Centers Corp. | | | 494,366 | |
| | 2,211 | | Simon Property Group, Inc. | | | 335,630 | |
| | | | | | | | |
| | | | | 1,948,358 | |
| | | |
| |
| | Semiconductors & Semiconductor Equipment – 1.1% | |
| | 14,592 | | Applied Materials, Inc. | | | 3,443,566 | |
| | 2,606 | | BE Semiconductor Industries NV | | | 435,336 | |
| | 14,767 | | First Solar, Inc.* | | | 3,329,368 | |
| | 57,935 | | Intel Corp. | | | 1,794,247 | |
| | 4,208 | | KLA Corp. | | | 3,469,538 | |
| | 8,871 | | Lam Research Corp. | | | 9,446,284 | |
| | 15,266 | | Microchip Technology, Inc. | | | 1,396,839 | |
| | 3,800 | | Mitsui High-Tec, Inc. | | | 148,721 | |
| | 7,136 | | MKS Instruments, Inc. | | | 931,819 | |
| | 6,299 | | NXP Semiconductors NV | | | 1,694,998 | |
| | 10,768 | | ON Semiconductor Corp.* | | | 738,146 | |
| | 8,742 | | Qorvo, Inc.* | | | 1,014,422 | |
| | 44,135 | | QUALCOMM, Inc. | | | 8,790,809 | |
| | 27,950 | | Renesas Electronics Corp. | | | 530,062 | |
| | 900 | | Sanken Electric Co. Ltd. | | | 38,536 | |
| | 10,621 | | Skyworks Solutions, Inc. | | | 1,131,986 | |
| | 7,500 | | Socionext, Inc. | | | 178,452 | |
| | 20,500 | | STMicroelectronics NV | | | 803,391 | |
| | 2,149 | | Teradyne, Inc. | | | 318,675 | |
| | 27,136 | | Texas Instruments, Inc. | | | 5,278,766 | |
| | 1,300 | | Tokyo Electron Ltd. | | | 284,570 | |
| | | | | | | | |
| | | | | 45,198,531 | |
| | | |
| |
| | Software – 2.5% | |
| | 16,203 | | Adobe, Inc.* | | | 9,001,415 | |
| | 11,768 | | Autodesk, Inc.* | | | 2,911,992 | |
| | 21,447 | | Cadence Design Systems, Inc.* | | | 6,600,314 | |
| | 17,223 | | Darktrace PLC* | | | 125,222 | |
| | 3,332 | | Dolby Laboratories, Inc. Class A | | | 263,994 | |
| | 5,886 | | Fortinet, Inc.* | | | 354,749 | |
| | 27,999 | | Gen Digital, Inc. | | | 699,415 | |
| | 3,543 | | HubSpot, Inc.* | | | 2,089,626 | |
| | 15,680 | | Intuit, Inc. | | | 10,305,053 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Software – (continued) | |
| | 96,725 | | Microsoft Corp. | | $ | 43,231,239 | |
| | 536 | | Nemetschek SE | | | 52,328 | |
| | 52,843 | | Oracle Corp. | | | 7,446,993 | |
| | 7,716 | | PTC, Inc.* | | | 1,401,766 | |
| | 6,240 | | Roper Technologies, Inc. | | | 3,517,238 | |
| | 42,296 | | Salesforce, Inc. | | | 10,874,301 | |
| | 8,642 | | SAP SE | | | 1,735,967 | |
| | 6,964 | | ServiceNow, Inc.* | | | 5,478,370 | |
| | 13,461 | | TeamViewer SE*(a) | | | 150,666 | |
| | 700 | | Trend Micro, Inc. | | | 28,532 | |
| | | | | | | | |
| | | | | 106,269,180 | |
| | | |
| |
| | Specialized REITs – 0.1% | |
| | 2,611 | | American Tower Corp. | | | 507,526 | |
| | 3,373 | | Big Yellow Group PLC | | | 49,882 | |
| | 22,726 | | Crown Castle, Inc. | | | 2,220,330 | |
| | 639 | | Equinix, Inc. | | | 483,468 | |
| | 4,024 | | Safestore Holdings PLC | | | 39,029 | |
| | 1,498 | | SBA Communications Corp. | | | 294,057 | |
| | 8,489 | | Weyerhaeuser Co. | | | 241,003 | |
| | | | | | | | |
| | | | | 3,835,295 | |
| | | |
| |
| | Specialty Retail – 0.9% | |
| | 1,000 | | ABC-Mart, Inc. | | | 17,550 | |
| | 9,583 | | Bath & Body Works, Inc. | | | 374,216 | |
| | 10,112 | | Burlington Stores, Inc.* | | | 2,426,880 | |
| | 32,298 | | Currys PLC* | | | 29,436 | |
| | 1,429 | | Dunelm Group PLC | | | 19,182 | |
| | 600 | | Fast Retailing Co. Ltd. | | | 151,764 | |
| | 2,520 | | Frasers Group PLC* | | | 28,107 | |
| | 47,455 | | Home Depot, Inc. | | | 16,335,909 | |
| | 41,022 | | Industria de Diseno Textil SA | | | 2,035,651 | |
| | 167,085 | | JD Sports Fashion PLC | | | 250,901 | |
| | 139,034 | | Kingfisher PLC | | | 435,965 | |
| | 2,600 | | K’s Holdings Corp. | | | 24,495 | |
| | 21,115 | | Lowe’s Cos., Inc. | | | 4,655,013 | |
| | 13,863 | | Moonpig Group PLC* | | | 33,310 | |
| | 400 | | Nitori Holdings Co. Ltd. | | | 42,347 | |
| | 2,595 | | O’Reilly Automotive, Inc.* | | | 2,740,476 | |
| | 18,499 | | Pets at Home Group PLC | | | 69,078 | |
| | 2,542 | | Ross Stores, Inc. | | | 369,403 | |
| | 1,408 | | Shimamura Co. Ltd. | | | 64,112 | |
| | 50,788 | | TJX Cos., Inc. | | | 5,591,759 | |
| | 6,422 | | Tractor Supply Co. | | | 1,733,940 | |
| | 1,702 | | Ulta Beauty, Inc.* | | | 656,751 | |
| | 29,700 | | USS Co. Ltd. | | | 250,098 | |
| | 13,222 | | Watches of Switzerland Group
PLC*(a) | | | 68,977 | |
| | 4,651 | | WH Smith PLC | | | 66,554 | |
| | 13,700 | | Yamada Holdings Co. Ltd. | | | 36,853 | |
| | 25,905 | | Zalando SE*(a) | | | 608,110 | |
| | | | | | | | |
| | | | | 39,116,837 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Technology Hardware, Storage & Peripherals – 1.4% | |
| | 247,025 | | Apple, Inc. | | $ | 52,028,405 | |
| | 4,000 | | Brother Industries Ltd. | | | 70,657 | |
| | 3,200 | | Canon, Inc. | | | 86,808 | |
| | 3,600 | | FUJIFILM Holdings Corp. | | | 84,444 | |
| | 46,719 | | Hewlett Packard Enterprise Co. | | | 989,041 | |
| | 34,481 | | HP, Inc. | | | 1,207,525 | |
| | 15,000 | | Konica Minolta, Inc. | | | 41,742 | |
| | 18,218 | | NetApp, Inc. | | | 2,346,478 | |
| | 6,604 | | Ricoh Co. Ltd. | | | 56,604 | |
| | 2,939 | | Seagate Technology Holdings PLC | | | 303,511 | |
| | 5,500 | | Seiko Epson Corp. | | | 85,982 | |
| | | | | | | | |
| | | | | 57,301,197 | |
| | | |
| |
| | Textiles, Apparel & Luxury Goods – 0.1% | |
| | 2,298 | | adidas AG | | | 548,686 | |
| | 3,600 | | Asics Corp. | | | 55,505 | |
| | 34,541 | | Burberry Group PLC | | | 383,580 | |
| | 9,961 | | Carter’s, Inc. | | | 617,283 | |
| | 47,128 | | Coats Group PLC | | | 47,183 | |
| | 271 | | Deckers Outdoor Corp.* | | | 262,315 | |
| | 4,616 | | HUGO BOSS AG | | | 207,550 | |
| | 1,233 | | Lululemon Athletica, Inc.* | | | 368,297 | |
| | 6,803 | | NIKE, Inc. Class B | | | 512,742 | |
| | 1,080 | | Ralph Lauren Corp. | | | 189,065 | |
| | 11,520 | | Tapestry, Inc. | | | 492,941 | |
| | | | | | | | |
| | | | | 3,685,147 | |
| | | |
| |
| | Trading Companies & Distributors – 0.2% | |
| | 4,213 | | Azelis Group NV | | | 75,433 | |
| | 6,909 | | Brenntag SE | | | 466,081 | |
| | 26,810 | | Bunzl PLC | | | 1,018,621 | |
| | 1,597 | | Diploma PLC | | | 83,478 | |
| | 5,459 | | Fastenal Co. | | | 343,044 | |
| | 9,876 | | Howden Joinery Group PLC | | | 109,228 | |
| | 9,947 | | ITOCHU Corp. | | | 488,976 | |
| | 16,032 | | Marubeni Corp. | | | 297,274 | |
| | 3,000 | | MonotaRO Co. Ltd. | | | 35,135 | |
| | 9,711 | | Rexel SA | | | 251,209 | |
| | 28,273 | | RS Group PLC | | | 249,860 | |
| | 3,800 | | Sojitz Corp. | | | 92,824 | |
| | 9,900 | | Sumitomo Corp. | | | 248,707 | |
| | 7,800 | | Toyota Tsusho Corp. | | | 152,436 | |
| | 7,326 | | Travis Perkins PLC | | | 71,216 | |
| | 527 | | United Rentals, Inc. | | | 340,827 | |
| | 2,547 | | WW Grainger, Inc. | | | 2,298,005 | |
| | | | | | | | |
| | | | | 6,622,354 | |
| | | |
| |
| | Transportation Infrastructure – 0.0% | |
| | 3,587 | | Aena SME SA(a) | | | 726,357 | |
| | 500 | | Japan Airport Terminal Co. Ltd. | | | 17,095 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Transportation Infrastructure – (continued) | |
| | 800 | | Mitsubishi Logistics Corp. | | | $ 26,326 | |
| | | | | | | | |
| | | | | 769,778 | |
| | | |
| |
| | Wireless Telecommunication Services – 0.1% | |
| | 48,747 | | Airtel Africa PLC(a) | | | 73,748 | |
| | 6,503 | | Freenet AG | | | 172,914 | |
| | 16,600 | | KDDI Corp. | | | 439,759 | |
| | 1,726,227 | | Vodafone Group PLC | | | 1,527,431 | |
| | | | | | | | |
| | | | | 2,213,852 | |
| | | |
| | TOTAL COMMON STOCKS (Cost $1,002,878,349) | | | $1,154,030,573 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Preferred Stocks – 0.0% | |
| |
| | Auto Manufacturers – 0.0% | |
| | Porsche Automobil Holding SE | |
| | 14,905 | | 6.084% | | | $ 672,690 | |
| | | |
| |
| | Chemicals – 0.0% | |
| | FUCHS SE | |
| | 473 | | 2.609 | | | 21,623 | |
| | | |
| |
| | Household Products – 0.0% | |
| | Henkel AG & Co. KGaA | |
| | 7,849 | | 2.236 | | | 698,850 | |
| | | |
| | TOTAL PREFERRED STOCKS (Cost $1,545,670) | | | $ 1,393,163 | |
| | | |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | U.S. Treasury Obligations(d)(e) – 2.4% | |
| |
| | U.S. Treasury Bills | |
| | $ | | | 100,000,000 | | | | 0.000 | % | | 08/29/24 | | $ | 99,137,991 | |
| |
| | (Cost $99,163,183) | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Exchange Traded Funds – 20.7% | |
| | 811,773 | | Invesco Senior Loan ETF | | $ | 17,079,704 | |
| | 3,881,005 | | iShares 5-10 Year Investment Grade Corporate Bond ETF | | | 198,940,316 | |
| | 8,220,327 | | iShares Core MSCI Emerging Markets ETF | | | 440,034,104 | |
| | 1,675,114 | | SPDR Blackstone Senior Loan ETF | | | 70,019,765 | |
| | 1,739,922 | | SPDR Bloomberg Convertible Securities ETF | | | 125,378,780 | |
| | | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Exchange Traded Funds – (continued) | |
| | 45,457 | | VanEck Fallen Angel High | | | | |
| | | | Yield Bond ETF | | $ | 1,286,433 | |
| | 203,900 | | Vanguard Real Estate ETF | | | 17,078,664 | |
| | | |
| | TOTAL EXCHANGE TRADED FUNDS (Cost $818,767,433) | | $ | 869,817,766 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(f) – 45.0% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 1,889,053,538 | | 5.213% | | $ | 1,889,053,538 | |
| |
| | (Cost $1,889,053,538) | |
| | | |
| | | | | | | | |
| |
| | Securities Lending Reinvestment Vehicle(f) – 0.0% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 315,400 | | 5.213% | | $ | 315,400 | |
| |
| | (Cost $315,400) | |
| | | |
| | TOTAL INVESTMENTS – 95.6% (Cost $3,811,723,573) | | $ | 4,013,748,431 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.4% | | | 185,664,304 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 4,199,412,735 | |
| | | |
| | |
|
| 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) | | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
| (e) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (f) | | Represents an affiliated issuer. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2024, 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. | | AUD | | | 6,880,000 | | | USD | | | 4,581,296 | | | 09/18/24 | | $ | 17,800 | |
| | INR | | | 382,750,000 | | | USD | | | 4,569,642 | | | 09/18/24 | | | 9,365 | |
| | USD | | | 14,061,356 | | | BRL | | | 77,500,000 | | | 09/18/24 | | | 320,928 | |
| | USD | | | 25,570,384 | | | CAD | | | 34,870,000 | | | 09/18/24 | | | 33,356 | |
| | USD | | | 38,405,125 | | | CHF | | | 33,990,000 | | | 09/18/24 | | | 208,192 | |
| | USD | | | 10,358,069 | | | CZK | | | 241,650,000 | | | 09/18/24 | | | 9,011 | |
| | USD | | | 229,177,262 | | | EUR | | | 211,750,000 | | | 09/18/24 | | | 1,531,198 | |
| | USD | | | 61,928,660 | | | GBP | | | 48,840,000 | | | 09/18/24 | | | 153,745 | |
| | USD | | | 8,334,618 | | | HUF | | | 3,079,580,000 | | | 09/18/24 | | | 7,898 | |
| | USD | | | 21,374,455 | | | IDR | | | 348,834,540,000 | | | 09/18/24 | | | 83,804 | |
| | USD | | | 10,556,088 | | | ILS | | | 39,700,000 | | | 09/18/24 | | | 8,350 | |
| | USD | | | 48,721,754 | | | JPY | | | 7,494,240,000 | | | 09/18/24 | | | 1,572,732 | |
| | USD | | | 29,369,107 | | | KRW | | | 40,183,110,000 | | | 09/19/24 | | | 124,964 | |
| | USD | | | 10,841,241 | | | MXN | | | 200,450,000 | | | 09/18/24 | | | 19,584 | |
| | USD | | | 7,164,701 | | | PLN | | | 28,840,000 | | | 09/18/24 | | | 7,486 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Gain | |
|
| |
| | | | | | |
JPMorgan Securities, Inc. (continued) | | USD | | | 40,196,215 | | | TWD | | | 1,296,850,000 | | | | 09/18/24 | | | $ | 185,417 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 4,293,830 | |
|
| |
| | | | | | | | | | | | | | | | | | | | |
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Loss | |
|
| |
| | | | | | |
JPMorgan Securities, Inc. | | CHF | | | 4,890,000 | | | USD | | | 5,516,522 | | | | 09/18/24 | | | $ | (21,288 | ) |
| | CZK | | | 163,250,000 | | | USD | | | 7,217,422 | | | | 09/18/24 | | | | (225,973 | ) |
| | HUF | | | 2,426,050,000 | | | USD | | | 6,731,836 | | | | 09/18/24 | | | | (172,163 | ) |
| | MXN | | | 92,340,000 | | | USD | | | 5,179,303 | | | | 09/18/24 | | | | (194,160 | ) |
| | NZD | | | 12,200,000 | | | USD | | | 7,541,830 | | | | 09/18/24 | | | | (110,900 | ) |
| | PLN | | | 43,730,000 | | | USD | | | 11,055,153 | | | | 09/18/24 | | | | (202,690 | ) |
| | USD | | | 27,072,664 | | | CAD | | | 37,020,000 | | | | 09/18/24 | | | | (38,916 | ) |
| | USD | | | 53,727,249 | | | JPY | | | 8,542,880,000 | | | | 09/18/24 | | | | (19,154 | ) |
| | USD | | | 23,088,048 | | | PHP | | | 1,358,980,000 | | | | 09/18/24 | | | | (152,152 | ) |
| | ZAR | | | 235,610,000 | | | USD | | | 12,890,855 | | | | 09/18/24 | | | | (18,873 | ) |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (1,156,269 | ) |
|
| |
FUTURES CONTRACTS — At June 30, 2024, 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 | | | 393 | | | 09/26/24 | | $ | 48,471,906 | | | $ | (54,603 | ) |
10 Year U.S. Treasury Notes | | | 461 | | | 09/19/24 | | | 50,702,797 | | | | (6,310 | ) |
2 Year German Euro-Schatz | | | 240 | | | 09/06/24 | | | 27,167,871 | | | | (10,413 | ) |
20 Year U.S. Treasury Bonds | | | 289 | | | 09/19/24 | | | 34,192,313 | | | | (64,632 | ) |
30 Year German Euro-Buxl | | | 57 | | | 09/06/24 | | | 7,950,394 | | | | (135,862 | ) |
3M SARON | | | 52 | | | 12/17/24 | | | 14,319,606 | | | | 2,651 | |
3M SARON | | | 47 | | | 03/18/25 | | | 12,955,145 | | | | 4,453 | |
3M SARON | | | 45 | | | 06/17/25 | | | 12,412,001 | | | | 6,279 | |
5 Year German Euro-Bund | | | 955 | | | 09/06/24 | | | 134,615,368 | | | | 32,425 | |
5 Year U.S. Treasury Notes | | | 483 | | | 09/30/24 | | | 51,477,234 | | | | (145,837 | ) |
ASX 90 Day Bank Accepted Bills | | | 32 | | | 09/12/24 | | | 21,112,928 | | | | (6,908 | ) |
Brent Crude | | | 176 | | | 08/30/24 | | | 14,817,440 | | | | (214 | ) |
CAC40 Index | | | 131 | | | 07/19/24 | | | 10,511,566 | | | | (210,366 | ) |
Cattle Feeder | | | 83 | | | 08/29/24 | | | 10,760,950 | | | | (3,592 | ) |
Coffee | | | 79 | | | 12/18/24 | | | 6,650,813 | | | | 3,951 | |
Copper | | | 19 | | | 09/26/24 | | | 2,085,963 | | | | (45,035 | ) |
Corn | | | 446 | | | 12/13/24 | | | 9,382,725 | | | | (1,472 | ) |
Cotton No.2 | | | 71 | | | 03/07/25 | | | 2,639,780 | | | | 1,061 | |
DAX Index | | | 43 | | | 09/20/24 | | | 21,186,854 | | | | 89,597 | |
Dollar Index | | | 235 | | | 09/16/24 | | | 24,803,075 | | | | (713 | ) |
E-Mini Nasdaq 100 Index | | | 331 | | | 09/20/24 | | | 131,918,395 | | | | (155,698 | ) |
E-Mini Russell 2000 Index | | | 38 | | | 09/20/24 | | | 3,923,500 | | | | 66,490 | |
Euro BTP | | | 247 | | | 09/06/24 | | | 30,497,060 | | | | (379,949 | ) |
Euro Stoxx 50 Index | | | 3,529 | | | 09/20/24 | | | 186,172,466 | | | | (1,115,579 | ) |
Euro-Bobl | | | 145 | | | 09/06/24 | | | 18,081,714 | | | | (27,810 | ) |
| | |
| 14 | | 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: | | | | | | | | | | | | | | | | |
FTSE 100 Index | | | 816 | | | | 09/20/24 | | | $ | 84,707,203 | | | | $ (285,237 | ) |
FTSE/JSE Top 40 Index | | | 68 | | | | 09/19/24 | | | | 2,756,142 | | | | 18,026 | |
FTSE/MIB Index | | | 63 | | | | 09/20/24 | | | | 11,256,000 | | | | (45,679 | ) |
Gasoil | | | 30 | | | | 08/12/24 | | | | 2,352,000 | | | | 11,887 | |
Gasoline RBOB | | | 45 | | | | 09/30/24 | | | | 4,316,004 | | | | (746 | ) |
Gasoline RBOB | | | 75 | | | | 07/31/24 | | | | 7,879,725 | | | | (747 | ) |
Gold | | | 94 | | | | 08/28/24 | | | | 21,992,240 | | | | (117,424 | ) |
Hang Seng Index | | | 91 | | | | 07/30/24 | | | | 10,272,248 | | | | (192,278 | ) |
HSCEI | | | 203 | | | | 07/30/24 | | | | 8,143,084 | | | | (146,031 | ) |
IBEX 35 Index | | | 107 | | | | 07/19/24 | | | | 12,462,993 | | | | (165,160 | ) |
Ice 3M Sonia Index | | | 10 | | | | 09/15/26 | | | | 3,039,369 | | | | (2,578 | ) |
Japan 10 Year Government Bond | | | 109 | | | | 09/12/24 | | | | 96,785,008 | | | | (355,974 | ) |
Lead | | | 70 | | | | 08/19/24 | | | | 3,872,313 | | | | 30,182 | |
Lead | | | 101 | | | | 07/15/24 | | | | 5,527,579 | | | | (172,687 | ) |
Lean Hogs | | | 116 | | | | 10/14/24 | | | | 3,513,640 | | | | (373 | ) |
Live Cattle | | | 92 | | | | 10/31/24 | | | | 6,803,400 | | | | (426 | ) |
LME Nickel | | | 21 | | | | 07/15/24 | | | | 2,153,748 | | | | (368,371 | ) |
LME Zinc | | | 45 | | | | 08/19/24 | | | | 3,279,994 | | | | 86,993 | |
LME Zinc | | | 69 | | | | 07/15/24 | | | | 4,985,854 | | | | (139,316 | ) |
Natural Gas | | | 138 | | | | 03/27/25 | | | | 4,168,980 | | | | (381 | ) |
NY Harbor ULSD | | | 36 | | | | 02/28/25 | | | | 3,827,628 | | | | (734 | ) |
NY Harbor ULSD | | | 63 | | | | 07/31/24 | | | | 6,702,583 | | | | (584 | ) |
Omxs30 Index | | | 606 | | | | 07/19/24 | | | | 14,739,768 | | | | 49,762 | |
Primary Aluminum | | | 86 | | | | 08/19/24 | | | | 5,394,737 | | | | (103,744 | ) |
Primary Aluminum | | | 105 | | | | 07/15/24 | | | | 6,537,615 | | | | (235,994 | ) |
S&P 500 E-Mini Index | | | 123 | | | | 09/20/24 | | | | 33,957,225 | | | | 33,131 | |
S&P Mid 400 Emini | | | 7 | | | | 09/20/24 | | | | 2,070,670 | | | | (7,933 | ) |
S&P Toronto Stock Exchange 60 Index | | | 97 | | | | 09/19/24 | | | | 18,583,897 | | | | 155,989 | |
Silver | | | 33 | | | | 09/26/24 | | | | 4,877,400 | | | | (33,339 | ) |
Soybean Oil | | | 39 | | | | 12/13/24 | | | | 1,024,686 | | | | (891 | ) |
Soybean Oil | | | 558 | | | | 01/14/25 | | | | 21,014,658 | | | | (555 | ) |
Sugar 11 | | | 215 | | | | 02/28/25 | | | | 4,958,072 | | | | 4,464 | |
TOPIX Futures | | | 233 | | | | 09/12/24 | | | | 40,701,504 | | | | 439,237 | |
Wheat | | | 271 | | | | 12/13/24 | | | | 8,122,163 | | | | (4,301 | ) |
WTI Crude | | | 28 | | | | 07/22/24 | | | | 2,283,120 | | | | 12,203 | |
WTI Crude | | | 172 | | | | 09/20/24 | | | | 13,718,720 | | | | (475 | ) |
|
| |
| | | | |
| Total | | | | | | | | | | | | | | | $(3,698,170 | ) |
|
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
2 Year U.S. Treasury Notes | | | (75 | ) | | | 09/30/24 | | | | (15,316,406 | ) | | | (384 | ) |
3 Month SOFR | | | (477 | ) | | | 06/17/25 | | | | (113,806,237 | ) | | | (67,031 | ) |
3 Month SOFR | | | (540 | ) | | | 12/17/24 | | | | (128,047,500 | ) | | | 27,874 | |
3 Month SOFR | | | (552 | ) | | | 03/18/25 | | | | (131,300,100 | ) | | | (48,118 | ) |
3 Month SOFR | | | (398 | ) | | | 09/16/25 | | | | (95,206,575 | ) | | | (74,244 | ) |
3 Month SOFR | | | (173 | ) | | | 06/16/26 | | | | (41,578,388 | ) | | | (40,964 | ) |
3 Month SOFR | | | (88 | ) | | | 09/15/26 | | | | (21,165,100 | ) | | | (13,042 | ) |
3 Month SOFR | | | (320 | ) | | | 12/16/25 | | | | (76,704,000 | ) | | | (62,930 | ) |
3 Month SOFR | | | (249 | ) | | | 03/17/26 | | | | (59,778,675 | ) | | | (52,853 | ) |
3M Euribor | | | (195 | ) | | | 09/16/24 | | | | (50,365,863 | ) | | | 30,583 | |
3M Euribor | | | (167 | ) | | | 12/16/24 | | | | (43,236,680 | ) | | | 4,880 | |
3M Euribor | | | (157 | ) | | | 03/17/25 | | | | (40,735,930 | ) | | | (21,452 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
3M Euribor | | | (143 | ) | | | 06/16/25 | | | $ | (37,166,600 | ) | | | $ (29,326 | ) |
3M Euribor | | | (117 | ) | | | 09/15/25 | | | | (30,446,627 | ) | | | (30,633 | ) |
3M Euribor | | | (86 | ) | | | 12/15/25 | | | | (22,400,295 | ) | | | (32,316 | ) |
3M Euribor | | | (58 | ) | | | 03/16/26 | | | | (15,115,716 | ) | | | (16,671 | ) |
3M Euribor | | | (32 | ) | | | 06/15/26 | | | | (8,342,704 | ) | | | (4,146 | ) |
5 Year German Euro-Oat | | | (71 | ) | | | 09/06/24 | | | | (9,361,735 | ) | | | 93,617 | |
ASX 90 Day Bank Accepted Bills | | | (60 | ) | | | 12/12/24 | | | | (39,585,775 | ) | | | 12,206 | |
ASX 90 Day Bank Accepted Bills | | | (81 | ) | | | 03/13/25 | | | | (53,451,224 | ) | | | 15,978 | |
Australian 10 Year Government Bonds | | | (820 | ) | | | 09/16/24 | | | | (62,124,710 | ) | | | 546,136 | |
Brent Crude | | | (59 | ) | | | 07/31/24 | | | | (5,015,000 | ) | | | (119 | ) |
Canada 10 Year Government Bonds | | | (6 | ) | | | 09/18/24 | | | | (526,604 | ) | | | 1,303 | |
CBOE Volatility Index | | | (306 | ) | | | 07/17/24 | | | | (4,290,977 | ) | | | 518,260 | |
CBOE Volatility Index | | | (359 | ) | | | 08/21/24 | | | | (5,363,532 | ) | | | (14,039 | ) |
CBOE Volatility Index | | | (338 | ) | | | 09/18/24 | | | | (5,343,003 | ) | | | (432 | ) |
Coffee | | | (83 | ) | | | 09/18/24 | | | | (7,059,150 | ) | | | (6,138 | ) |
Corn | | | (855 | ) | | | 09/13/24 | | | | (17,420,625 | ) | | | 620,424 | |
Cotton No.2 | | | (18 | ) | | | 12/06/24 | | | | (654,210 | ) | | | 1,743 | |
Gasoline RBOB | | | (40 | ) | | | 08/30/24 | | | | (4,151,280 | ) | | | (110 | ) |
Ice 3M Sonia Index | | | (62 | ) | | | 12/17/24 | | | | (18,622,681 | ) | | | (15,017 | ) |
Ice 3M Sonia Index | | | (51 | ) | | | 03/18/25 | | | | (15,355,727 | ) | | | (22,217 | ) |
Ice 3M Sonia Index | | | (44 | ) | | | 06/17/25 | | | | (13,277,974 | ) | | | (23,515 | ) |
Ice 3M Sonia Index | | | (32 | ) | | | 09/16/25 | | | | (9,676,428 | ) | | | (18,771 | ) |
Ice 3M Sonia Index | | | (22 | ) | | | 12/16/25 | | | | (6,664,016 | ) | | | (13,303 | ) |
Ice 3M Sonia Index | | | (10 | ) | | | 03/17/26 | | | | (3,033,365 | ) | | | (2,310 | ) |
Lead | | | (64 | ) | | | 08/19/24 | | | | (3,540,400 | ) | | | (65,832 | ) |
Lead | | | (101 | ) | | | 07/15/24 | | | | (5,527,579 | ) | | | (40,711 | ) |
Lean Hogs | | | (202 | ) | | | 08/14/24 | | | | (7,231,600 | ) | | | 36,660 | |
Live Cattle | | | (14 | ) | | | 08/30/24 | | | | (1,038,380 | ) | | | (49 | ) |
LME Nickel | | | (21 | ) | | | 07/15/24 | | | | (2,153,748 | ) | | | 118,771 | |
LME Nickel | | | (40 | ) | | | 08/19/24 | | | | (4,125,658 | ) | | | 45,943 | |
LME Zinc | | | (22 | ) | | | 08/19/24 | | | | (1,603,553 | ) | | | (34,808 | ) |
LME Zinc | | | (69 | ) | | | 07/15/24 | | | | (4,985,854 | ) | | | (148,150 | ) |
MSCI EAFE Index | | | (244 | ) | | | 09/20/24 | | | | (28,587,040 | ) | | | 6,915 | |
MSCI Emerging Markets Index | | | (172 | ) | | | 09/20/24 | | | | (9,358,520 | ) | | | 2,717 | |
Natural Gas | | | (56 | ) | | | 07/29/24 | | | | (1,456,560 | ) | | | 78,615 | |
Natural Gas | | | (138 | ) | | | 08/28/24 | | | | (3,585,240 | ) | | | (381 | ) |
NY Harbor ULSD | | | (34 | ) | | | 08/30/24 | | | | (3,639,829 | ) | | | (94 | ) |
Primary Aluminum | | | (60 | ) | | | 08/19/24 | | | | (3,763,770 | ) | | | (7,732 | ) |
Primary Aluminum | | | (105 | ) | | | 07/15/24 | | | | (6,537,615 | ) | | | 146,733 | |
Soybean Oil | | | (259 | ) | | | 11/14/24 | | | | (14,296,800 | ) | | | 423,570 | |
Soybean Oil | | | (354 | ) | | | 12/13/24 | | | | (11,876,700 | ) | | | 4,652 | |
Sugar 11 | | | (28 | ) | | | 09/30/24 | | | | (636,608 | ) | | | (44,619 | ) |
Wheat | | | (582 | ) | | | 09/13/24 | | | | (16,754,513 | ) | | | 48,681 | |
WTI Crude | | | (172 | ) | | | 08/20/24 | | | | (13,870,080 | ) | | | (475 | ) |
|
| |
| | | | |
| Total | | | | | | | | | | | | | | | $ 1,833,329 | |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $(1,864,841 | ) |
|
| |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At June 30, 2024, 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 June 30, 2024(b) | | Termination Date | | Notional Amount (000s) | | | Value | | | Upfront Premiums (Received) Paid | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
| | | | | | | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | |
CDX.NA.HY Index 42 | | 5.000% | | 3.441% | | 06/20/29 | | $ | 63,850 | | | $ | 4,103,472 | | | $ | 4,325,620 | | | | $ (222,148 | ) |
CDX.NA.IG Index 42 | | 1.000 | | 0.538 | | 06/20/29 | | | 176,100 | | | | 3,651,026 | | | | 3,843,941 | | | | (192,915 | ) |
ICE CD ITXEB 41 | | 1.000 | | 0.609 | | 06/20/29 | | EUR | 163,150 | | | | 3,180,060 | | | | 3,810,824 | | | | (630,764 | ) |
ICE CD ITXEX 41 | | 5.000 | | 3.190 | | 06/20/29 | | | 20,200 | | | | 1,649,793 | | | | 1,951,173 | | | | (301,380 | ) |
|
| |
| | | | | | | |
| TOTAL | | | | | | | | | | | | $ | 12,584,351 | | | $ | 13,931,558 | | | | $(1,347,207 | ) |
|
| |
| | (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)* | |
|
| |
| | | | | |
M1WO Index | | 12M SOFR-0.15% | | Bank of America Securities LLC | | 01/13/25 | | $ | 44,689 | | | | $ 11,692 | |
M1WO Index | | 12M SOFR+0.14 | | Bank of America Securities LLC | | 04/09/25 | | | 23,321 | | | | 7,170 | |
NDUGWI Index | | 12M SOFR+0.46 | | Bank of America Securities LLC | | 04/11/25 | | | 22,022 | | | | (52,801 | ) |
TUKXG Index | | 12M SONIA+0.23 | | Bank of America Securities LLC | | 02/11/25 | | GBP | 18,305 | | | | (49,356 | ) |
M1WO Index | | 12M SOFR+0.17 | | Citibank NA | | 05/13/25 | | | 12,399 | | | | 3,926 | |
AMZX Index | | 12M SOFR+0.47 | | JPMorgan Securities, Inc. | | 12/11/24 | | | 2,442 | | | | 87,455 | |
BCOMRS Index | | 0.105 | | JPMorgan Securities, Inc. | | 11/29/24 | | | 3,873 | | | | (34 | ) |
JPGSGLHN Index | | 12M SOFR-0.01 | | JPMorgan Securities, Inc. | | 11/22/24 | | | 62,645 | | | | 230,217 | |
JPGSGLMN Index | | 12M SOFR+0.31 | | JPMorgan Securities, Inc. | | 05/22/25 | | | 21,233 | | | | 2,411 | |
JPGSGLTN Index | | 12M SOFR+0.18 | | JPMorgan Securities, Inc. | | 11/22/24 | | | 46,148 | | | | (590,214 | ) |
JPGSMARB Index | | 12M SOFR+0.89 | | JPMorgan Securities, Inc. | | 07/30/24 | | | 45,572 | | | | 20,480 | |
JPOSSVHY Index | | 12M SOFR | | JPMorgan Securities, Inc. | | 07/02/25 | | | 83,300 | | | | — | |
M1WO Index | | 12M SOFR+0.07 | | JPMorgan Securities, Inc. | | 02/26/25 | | | 115,853 | | | | 33,142 | |
M1WO Index | | 12M SOFR+0.12 | | JPMorgan Securities, Inc. | | 03/11/25 | | | 57,530 | | | | 17,336 | |
M1WOMOM Index | | 12M SOFR+0.45 | | JPMorgan Securities, Inc. | | 07/11/24 | | | 6,401 | | | | (24,276 | ) |
Russell 1000 TR Index | | 12M SOFR+0.47 | | JPMorgan Securities, Inc. | | 02/04/25 | | | 95,781 | | | | 261,998 | |
SXXGT Index | | 1M EURO+0.6 | | JPMorgan Securities, Inc. | | 06/19/25 | | EUR | 84,136 | | | | 79,774 | |
TUKXG Index | | 12M SONIA+0.36 | | JPMorgan Securities, Inc. | | 03/17/25 | | GBP | 7,123 | | | | (18,821 | ) |
|
| |
| | | | | |
| TOTAL | | | | | | | | | | | | | $ 20,099 | |
|
| |
| | # | 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 (JPMBKTL3) of Corporate Obligations | | | | | | | | | | |
| | | | | |
| Corporate Obligations | | Sector | | | | Shares | | Value | | Weight |
|
|
| | | | | |
Eli Lilly & Co | | Health Care | | | | 31 | | $ 23,974 | | 7.2 |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| A basket (JPMBKTL3) of Corporate Obligations (continued) | | | | | | | | | | |
| | | | | |
| Corporate Obligations | | Sector | | | | Shares | | Value | | Weight |
| | | | | |
UnitedHealth Group Inc | | Health Care | | | | | | | | | 42 | | | | $ | 20,986 | | | | | 6.3 | |
Novo Nordisk A/S | | Health Care | | | | | | | | | 21 | | | | | 18,893 | | | | | 5.7 | |
Johnson & Johnson | | Health Care | | | | | | | | | 110 | | | | | 17,466 | | | | | 5.3 | |
Merck & Co Inc | | Health Care | | | | | | | | | 116 | | | | | 15,336 | | | | | 4.6 | |
AbbVie Inc | | Health Care | | | | | | | | | 81 | | | | | 14,746 | | | | | 4.4 | |
Thermo Fisher Scientific Inc | | Health Care | | | | | | | | | 18 | | | | | 10,300 | | | | | 3.1 | |
AstraZeneca PLC | | Health Care | | | | | | | | | 1 | | | | | 9,587 | | | | | 2.9 | |
Novartis AG | | Health Care | | | | | | | | | 105 | | | | | 9,216 | | | | | 2.8 | |
Abbott Laboratories | | Health Care | | | | | | | | | 80 | | | | | 9,050 | | | | | 2.7 | |
Roche Holding AG | | Health Care | | | | | | | | | 36 | | | | | 8,214 | | | | | 2.5 | |
Danaher Corp | | Health Care | | | | | | | | | 30 | | | | | 7,532 | | | | | 2.3 | |
Pfizer Inc | | Health Care | | | | | | | | | 259 | | | | | 7,187 | | | | | 2.2 | |
Amgen Inc | | Health Care | | | | | | | | | 25 | | | | | 6,977 | | | | | 2.1 | |
Intuitive Surgical Inc | | Health Care | | | | | | | | | 16 | | | | | 6,449 | | | | | 1.9 | |
Elevance Health Inc | | Health Care | | | | | | | | | 11 | | | | | 5,588 | | | | | 1.7 | |
Stryker Corp | | Health Care | | | | | | | | | 16 | | | | | 5,550 | | | | | 1.7 | |
Medtronic PLC | | Health Care | | | | | | | | | 61 | | | | | 5,315 | | | | | 1.6 | |
Bristol-Myers Squibb Co | | Health Care | | | | | | | | | 93 | | | | | 5,061 | | | | | 1.5 | |
Sanofi SA | | Health Care | | | | | | | | | 55 | | | | | 5,011 | | | | | 1.5 | |
Vertex Pharmaceuticals Inc | | Health Care | | | | | | | | | 12 | | | | | 4,941 | | | | | 1.5 | |
Cigna Group/The | | Industrials | | | | | | | | | 13 | | | | | 4,872 | | | | | 1.5 | |
Regeneron Pharmaceuticals Inc | | Health Care | | | | | | | | | 5 | | | | | 4,664 | | | | | 1.4 | |
CVS Health Corp | | Health Care | | | | | | | | | 58 | | | | | 4,604 | | | | | 1.4 | |
Boston Scientific Corp | | Health Care | | | | | | | | | 67 | | | | | 4,602 | | | | | 1.4 | |
Gilead Sciences Inc | | Health Care | | | | | | | | | 57 | | | | | 4,186 | | | | | 1.3 | |
CSL Ltd | | Health Care | | | | | | | | | 14 | | | | | 4,164 | | | | | 1.3 | |
GSK PLC | | Health Care | | | | | | | | | 2 | | | | | 4,055 | | | | | 1.2 | |
Zoetis Inc | | Health Care | | | | | | | | | 21 | | | | | 3,563 | | | | | 1.1 | |
Becton Dickinson & Co | | Health Care | | | | | | | | | 13 | | | | | 3,279 | | | | | 1.0 | |
McKesson Corp | | Health Care | | | | | | | | | 6 | | | | | 3,236 | | | | | 1.0 | |
HCA Healthcare Inc | | Health Care | | | | | | | | | 9 | | | | | 3,030 | | | | | 0.9 | |
EssilorLuxottica SA | | Health Care | | | | | | | | | 14 | | | | | 2,966 | | | | | 0.9 | |
Daiichi Sankyo Co Ltd | | Health Care | | | | | | | | | 1 | | | | | 2,820 | | | | | 0.8 | |
Edwards Lifesciences Corp | | Health Care | | | | | | | | | 28 | | | | | 2,658 | | | | | 0.8 | |
Dexcom Inc | | Health Care | | | | | | | | | 18 | | | | | 2,452 | | | | | 0.7 | |
IQVIA Holdings Inc | | Health Care | | | | | | | | | 8 | | | | | 2,117 | | | | | 0.6 | |
IDEXX Laboratories Inc | | Health Care | | | | | | | | | 4 | | | | | 2,057 | | | | | 0.6 | |
Lonza Group AG | | Health Care | | | | | | | | | 4 | | | | | 2,048 | | | | | 0.6 | |
Takeda Pharmaceutical Co Ltd | | Health Care | | | | | | | | | — | | | | | 2,007 | | | | | 0.6 | |
Hoya Corp | | Health Care | | | | | | | | | — | | | | | 1,994 | | | | | 0.6 | |
Agilent Technologies Inc | | Health Care | | | | | | | | | 13 | | | | | 1,956 | | | | | 0.6 | |
Humana Inc | | Health Care | | | | | | | | | 6 | | | | | 1,944 | | | | | 0.6 | |
Centene Corp | | Health Care | | | | | | | | | 25 | | | | | 1,924 | | | | | 0.6 | |
Alcon Inc | | Health Care | | | | | | | | | 25 | | | | | 1,901 | | | | | 0.6 | |
Cencora Inc | | Health Care | | | | | | | | | 8 | | | | | 1,845 | | | | | 0.6 | |
GE HealthCare Technologies Inc | | Health Care | | | | | | | | | 19 | | | | | 1,690 | | | | | 0.5 | |
Moderna Inc | | Health Care | | | | | | | | | 15 | | | | | 1,621 | | | | | 0.5 | |
Biogen Inc | | Health Care | | | | | | | | | 7 | | | | | 1,433 | | | | | 0.4 | |
Bayer AG | | Health Care | | | | | | | | | 49 | | | | | 1,382 | | | | | 0.4 | |
| | | | | |
A basket (JPGSMARB) of common stocks | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Nuvei Corp | | Financials | | | | | | | | | 97 | | | | | 4,308 | | | | | 4.0 | |
ANSYS Inc | | Information Technology | | | | | | | | | 15 | | | | | 4,849 | | | | | 4.5 | |
Axonics Inc | | Health Care | | | | | | | | | 72 | | | | | 4,851 | | | | | 4.5 | |
Neoen SA | | Utilities | | | | | | | | | 130 | | | | | 4,884 | | | | | 4.5 | |
McGrath RentCorp | | Industrials | | | | | | | | | 46 | | | | | 4,891 | | | | | 4.5 | |
Squarespace Inc | | Information Technology | | | | | | | | | 112 | | | | | 4,899 | | | | | 4.5 | |
Catalent Inc | | Health Care | | | | | | | | | 87 | | | | | 4,900 | | | | | 4.5 | |
Hibbett Inc | | Consumer Discretionary | | | | | | | | | 56 | | | | | 4,901 | | | | | 4.5 | |
Perficient Inc | | Information Technology | | | | | | | | | 66 | | | | | 4,916 | | | | | 4.5 | |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| A basket (JPGSMARB) of common stocks (continued) | | | | | | | | | | |
| | | | | |
| Common Stocks | | Sector | | | | Shares | | Value | | Weight |
| | | | | |
SilverBow Resources Inc | | Energy | | | | | | | 130 | | | $ | 4,918 | | | | | 4.5 | |
Silk Road Medical Inc | | Health Care | | | | | | | 182 | | | | 4,918 | | | | | 4.5 | |
Everbridge Inc | | Information Technology | | | | | | | 141 | | | | 4,921 | | | | | 4.5 | |
Endeavor Group Holdings Inc | | Communication Services | | | | | | | 182 | | | | 4,922 | | | | | 4.5 | |
Altium Ltd | | Information Technology | | | | | | | 72 | | | | 4,929 | | | | | 4.5 | |
HashiCorp Inc | | Information Technology | | | | | | | 146 | | | | 4,929 | | | | | 4.5 | |
Stericycle Inc | | Industrials | | | | | | | 85 | | | | 4,932 | | | | | 4.5 | |
Hawaiian Holdings Inc | | Industrials | | | | | | | 399 | | | | 4,960 | | | | | 4.6 | |
Juniper Networks Inc | | Information Technology | | | | | | | 138 | | | | 5,028 | | | | | 4.6 | |
Cerevel Therapeutics Holdings Inc | | Health Care | | | | | | | 124 | | | | 5,057 | | | | | 4.7 | |
Capri Holdings Ltd | | Consumer Discretionary | | | | | | | 153 | | | | 5,073 | | | | | 4.7 | |
United States Steel Corp | | Industrials | | | | | | | 139 | | | | 5,252 | | | | | 4.8 | |
iRobot Corp | | Consumer Discretionary | | | | | | | 594 | | | | 5,409 | | | | | 5.0 | |
| | | | | |
A basket (JPGSGLTN) of common stocks | | | | | | | | | | | | | | | | | | | |
| | | | | |
Microsoft Corp | | Information Technology | | | | | | | (82) | | | | (36,478 | ) | | | | 7.1 | |
Apple Inc | | Information Technology | | | | | | | (170) | | | | (35,805 | ) | | | | 7.0 | |
NVIDIA Corp | | Information Technology | | | | | | | (269) | | | | (33,193 | ) | | | | 6.5 | |
Broadcom Inc | | Information Technology | | | | | | | (20) | | | | (32,447 | ) | | | | 6.3 | |
ASML Holding NV | | Information Technology | | | | | | | (26) | | | | (24,739 | ) | | | | 4.8 | |
Advanced Micro Devices Inc | | Information Technology | | | | | | | (97) | | | | (15,707 | ) | | | | 3.1 | |
Salesforce Inc | | Information Technology | | | | | | | (58) | | | | (14,960 | ) | | | | 2.9 | |
Adobe Inc | | Information Technology | | | | | | | (27) | | | | (14,910 | ) | | | | 2.9 | |
Oracle Corp | | Information Technology | | | | | | | (95) | | | | (13,485 | ) | | | | 2.6 | |
QUALCOMM Inc | | Information Technology | | | | | | | (67) | | | | (13,341 | ) | | | | 2.6 | |
SAP SE | | Information Technology | | | | | | | (65) | | | | (12,408 | ) | | | | 2.4 | |
Applied Materials Inc | | Information Technology | | | | | | | (50) | | | | (11,747 | ) | | | | 2.3 | |
Cisco Systems Inc | | Information Technology | | | | | | | (243) | | | | (11,525 | ) | | | | 2.2 | |
Accenture PLC | | Information Technology | | | | | | | (38) | | | | (11,428 | ) | | | | 2.2 | |
Intuit Inc | | Information Technology | | | | | | | (17) | | | | (11,023 | ) | | | | 2.2 | |
Texas Instruments Inc | | Information Technology | | | | | | | (55) | | | | (10,611 | ) | | | | 2.1 | |
ServiceNow Inc | | Information Technology | | | | | | | (12) | | | | (9,661 | ) | | | | 1.9 | |
International Business Machines Corp | | Information Technology | | | | | | | (55) | | | | (9,518 | ) | | | | 1.9 | |
Micron Technology Inc | | Information Technology | | | | | | | (66) | | | | (8,726 | ) | | | | 1.7 | |
Lam Research Corp | | Information Technology | | | | | | | (8) | | | | (8,340 | ) | | | | 1.6 | |
Intel Corp | | Information Technology | | | | | | | (255) | | | | (7,898 | ) | | | | 1.5 | |
Analog Devices Inc | | Information Technology | | | | | | | (30) | | | | (6,781 | ) | | | | 1.3 | |
KLA Corp | | Information Technology | | | | | | | (8) | | | | (6,651 | ) | | | | 1.3 | |
Palo Alto Networks Inc | | Information Technology | | | | | | | (19) | | | | (6,562 | ) | | | | 1.3 | |
Tokyo Electron Ltd | | Information Technology | | | | | | | — | | | | (6,135 | ) | | | | 1.2 | |
Synopsys Inc | | Information Technology | | | | | | | (9) | | | | (5,438 | ) | | | | 1.1 | |
Arista Networks Inc | | Information Technology | | | | | | | (15) | | | | (5,329 | ) | | | | 1.0 | |
Crowdstrike Holdings Inc | | Information Technology | | | | | | | (14) | | | | (5,295 | ) | | | | 1.0 | |
Keyence Corp | | Information Technology | | | | | | | — | | | | (5,244 | ) | | | | 1.0 | |
Cadence Design Systems Inc | | Information Technology | | | | | | | (16) | | | | (5,017 | ) | | | | 1.0 | |
Amphenol Corp | | Information Technology | | | | | | | (72) | | | | (4,848 | ) | | | | 0.9 | |
Shopify Inc | | Information Technology | | | | | | | (53) | | | | (4,794 | ) | | | | 0.9 | |
NXP Semiconductors NV | | Information Technology | | | | | | | (15) | | | | (4,122 | ) | | | | 0.8 | |
Motorola Solutions Inc | | Information Technology | | | | | | | (10) | | | | (3,857 | ) | | | | 0.8 | |
Roper Technologies Inc | | Information Technology | | | | | | | (6) | | | | (3,615 | ) | | | | 0.7 | |
Constellation Software Inc/Canada | | Information Technology | | | | | | | (1) | | | | (3,406 | ) | | | | 0.7 | |
Autodesk Inc | | Information Technology | | | | | | | (13) | | | | (3,171 | ) | | | | 0.6 | |
Microchip Technology Inc | | Information Technology | | | | | | | (32) | | | | (2,962 | ) | | | | 0.6 | |
Infineon Technologies AG | | Information Technology | | | | | | | (84) | | | | (2,877 | ) | | | | 0.6 | |
TE Connectivity Ltd | | Information Technology | | | | | | | (18) | | | | (2,760 | ) | | | | 0.5 | |
Super Micro Computer Inc | | Information Technology | | | | | | | (3) | | | | (2,472 | ) | | | | 0.5 | |
Monolithic Power Systems Inc | | Information Technology | | | | | | | (3) | | | | (2,396 | ) | | | | 0.5 | |
Murata Manufacturing Co Ltd | | Information Technology | | | | | | | (1) | | | | (2,335 | ) | | | | 0.5 | |
Fortinet Inc | | Information Technology | | | | | | | (38) | | | | (2,289 | ) | | | | 0.4 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
Consolidated Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
A basket (JPGSGLTN) of common stocks (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks | | Sector | | Shares | | | | | | Value | | | | | | Weight |
| | | | | | |
Fair Isaac Corp | | Information Technology | | | (1 | ) | | | | | | $ | (2,204 | ) | | | | | | | 0.4 | |
ASM International NV | | Information Technology | | | (3 | ) | | | | | | | (2,101 | ) | | | | | | | 0.4 | |
Gartner Inc | | Information Technology | | | (5 | ) | | | | | | | (2,088 | ) | | | | | | | 0.4 | |
Cognizant Technology Solutions Corp | | Information Technology | | | (30 | ) | | | | | | | (2,025 | ) | | | | | | | 0.4 | |
Disco Corp | | Information Technology | | | — | | | | | | | | (2,022 | ) | | | | | | | 0.4 | |
Xiaomi Corp | | Information Technology | | | (118 | ) | | | | | | | (1,936 | ) | | | | | | | 0.4 | |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2024, 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) |
| | | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CBOE Volatility Index | | | $ | 20.000 | | | | | 07/17/2024 | | | | | 2,800 | | | | $ | 5,600,000 | | | | $ | 67,200 | | | | $ | 328,220 | | | $(261,020) |
CBOE Volatility Index | | | | 16.000 | | | | | 08/21/2024 | | | | | 3,590 | | | | | 5,744,000 | | | | | 446,955 | | | | | 508,890 | | | (61,935) |
CBOE Volatility Index | | | | 18.000 | | | | | 09/18/2024 | | | | | 3,380 | | | | | 6,084,000 | | | | | 479,960 | | | | | 505,100 | | | (25,140) |
| | | | | | | |
| Total purchased option contracts | | | | | | | | | | | | | | 9,770 | | | | $ | 17,428,000 | | | | $ | 994,115 | | | | $ | 1,342,210 | | | $(348,095) |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | | 5,575.000 | | | | | 07/05/2024 | | | | | (45 | ) | | | | (25,087,500 | ) | | | | (10,480 | ) | | | | (10,480 | ) | | — |
S&P 500 Index | | | | 5,700.000 | | | | | 07/17/2024 | | | | | (33 | ) | | | | (18,810,000 | ) | | | | (3,465 | ) | | | | (4,010 | ) | | 545 |
S&P 500 Index | | | | 5,650.000 | | | | | 07/24/2024 | | | | | (33 | ) | | | | (18,645,000 | ) | | | | (27,440 | ) | | | | (27,439 | ) | | (1) |
| | | | | | | |
| | | | | | | | | | | | | | | (111 | ) | | | $ | (62,542,500 | ) | | | $ | (41,385 | ) | | | $ | (41,929 | ) | | $ 544 |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | | 5,400.000 | | | | | 07/03/2024 | | | | | (89 | ) | | | | (48,060,000 | ) | | | | (26,922 | ) | | | | (17,636 | ) | | (9,286) |
S&P 500 Index | | | | 5,420.000 | | | | | 07/05/2024 | | | | | (90 | ) | | | | (48,780,000 | ) | | | | (60,335 | ) | | | | (60,335 | ) | | — |
S&P 500 Index | | | | 5,235.000 | | | | | 07/10/2024 | | | | | (68 | ) | | | | (35,598,000 | ) | | | | (9,589 | ) | | | | (9,589 | ) | | — |
S&P 500 Index | | | | 5,330.000 | | | | | 07/17/2024 | | | | | (67 | ) | | | | (35,711,000 | ) | | | | (83,080 | ) | | | | (69,177 | ) | | (13,903) |
S&P 500 Index | | | | 5,325.000 | | | | | 07/24/2024 | | | | | (67 | ) | | | | (35,677,500 | ) | | | | (115,575 | ) | | | | (101,748 | ) | | (13,827) |
| | | | | | | |
| | | | | | | | | | | | | | | (381 | ) | | | $ | (203,826,500 | ) | | | $ | (295,501 | ) | | | $ | (258,485 | ) | | $ (37,016) |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | (492 | ) | | | $ | (266,369,000 | ) | | | $ | (336,886 | ) | | | $ | (300,414 | ) | | $ (36,472) |
| | | | | | | |
| TOTAL | | | | | | | | | | | | | | 9,278 | | | | $ | (248,941,000 | ) | | | $ | 657,229 | | | | $ | 1,041,796 | | | $(384,567) |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | |
|
|
| Currency Abbreviations: |
| AUD | | —Australian Dollar |
| BRL | | —Brazil Real |
| CAD | | —Canadian Dollar |
| CHF | | —Swiss Franc |
| CZK | | —Czech Republic Koruna |
| EUR | | —Euro |
| GBP | | —British Pound |
| HUF | | —Hungarian Forint |
| IDR | | —Indonesia Rupiah |
| ILS | | —Israeli Shekel |
| INR | | —Indian Rupee |
| JPY | | —Japanese Yen |
| KRW | | —South Korean Won |
| MXN | | —Mexican Peso |
| NZD | | —New Zealand Dollar |
| PHP | | —Philippines Peso |
| PLN | | —Polish Zloty |
| TWD | | —Taiwan Dollar |
| USD | | —U.S. Dollar |
| ZAR | | —South African Rand |
|
|
| | |
| | |
|
|
| Investment Abbreviations: |
| ETF | | —Exchange Traded Fund |
| MSCI | | —Morgan Stanley Capital International |
| PLC | | —Public Limited Company |
| REIT | | —Real Estate Investment Trust |
|
|
| | |
| | |
| | |
|
|
| Abbreviations: |
| CDX.NA.HY Ind 42 | | —CDX North America High Yield Index 42 |
| CDX.NA.IG Ind 42 | | —CDX North America Investment Grade Index 42 |
| ICE | | —Inter-Continental Exchange |
| ICE CD ITXEB | | —iTraxx Europe Index |
| ICE CD ITXEX | | —iTraxx Europe Crossover Index |
| SOFR | | —Secured Overnight Financing Rate |
| SONIA | | —Sterling Overnight Index Average |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
|
Consolidated Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(a) – 8.4% | |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 33,305,950 | | 5.213% | | $ | 33,305,950 | |
| | |
| | (Cost $33,305,950) | | | | |
| | | |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments(b) – 92.0% | |
| |
| | U.S. Treasury Obligations – 92.0% | |
| | U.S. Treasury Bills | |
| | | | $ | 32,200,000 | | | | 0.000 | % | | 07/09/24 | | $ | 32,162,571 | |
| | | | | 35,000,000 | | | | 0.000 | | | 07/30/24 | | | 34,852,540 | |
| | | | | 11,400,000 | | | | 0.000 | | | 08/06/24 | | | 11,340,407 | |
| | | | | 7,000,000 | | | | 0.000 | | | 09/10/24 | | | 6,927,605 | |
| | | | | 13,000,000 | | | | 0.000 | | | 09/19/24 | | | 12,849,352 | |
| | | | | 57,900,000 | | | | 0.000 | | | 09/24/24 | | | 57,187,064 | |
| | | | | 22,700,000 | | | | 0.000 | | | 10/03/24 | | | 22,392,499 | |
| | | | | 87,000,000 | | | | 0.000 | | | 10/17/24 | | | 85,642,545 | |
| | | | | 14,300,000 | | | | 0.000 | | | 11/14/24 | | | 14,021,623 | |
|
| |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments(b) – (continued) | |
| |
| | U.S. Treasury Obligations – (continued) | |
| | | | $ | 55,300,000 | | | | 0.000 | % | | 11/29/24 | | $ | 54,113,367 | |
| | | | | 32,000,000 | | | | 0.000 | | | 12/05/24 | | | 31,284,434 | |
| | | |
| | TOTAL SHORT-TERM INVESTMENTS
(Cost $362,767,697) | | $ | 362,774,007 | |
| | | |
| | TOTAL INVESTMENTS – 100.4%
(Cost $396,073,647) | | $ | 396,079,957 | |
| | | |
| | LIABILITIES IN EXCESS OF OTHER
ASSETS – ( 0.4)% | | | (1,513,650 | ) |
| | | |
| | NET ASSETS – 100.0% | | $ | 394,566,307 | |
| | | |
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) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2024, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | | | |
Brent Crude | | | 400 | | | | 07/31/24 | | | | $34,000,000 | | | | $ 1,271,529 | |
Copper | | | 38 | | | | 09/26/24 | | | | 4,171,925 | | | | (94,552 | ) |
Gold | | | 151 | | | | 08/28/24 | | | | 35,327,960 | | | | (417,836 | ) |
KC HRW Wheat | | | 314 | | | | 09/13/24 | | | | 9,204,125 | | | | (1,149,547 | ) |
Lead | | | 28 | | | | 07/15/24 | | | | 1,532,398 | | | | 12,969 | |
Lean Hogs | | | 55 | | | | 07/15/24 | | | | 1,970,650 | | | | (200,940 | ) |
LME Nickel | | | 63 | | | | 07/15/24 | | | | 6,461,245 | | | | (248,197 | ) |
LME Zinc | | | 178 | | | | 07/15/24 | | | | 12,862,057 | | | | 340,635 | |
Low Sulphur Gas Oil | | | 156 | | | | 07/11/24 | | | | 12,253,800 | | | | 1,191,199 | |
Natural Gas | | | 207 | | | | 09/26/24 | | | | 5,572,440 | | | | (606,983 | ) |
Natural Gas | | | 97 | | | | 10/29/24 | | | | 2,988,570 | | | | (168,205 | ) |
NY Harbor ULSD | | | 13 | | | | 07/31/24 | | | | 1,383,073 | | | | 32,040 | |
Platinum | | | 18 | | | | 10/29/24 | | | | 912,690 | | | | 25,530 | |
Silver | | | 139 | | | | 09/26/24 | | | | 20,544,200 | | | | (430,556 | ) |
Soybean | | | 324 | | | | 12/13/24 | | | | 10,870,200 | | | | (608,440 | ) |
Soybean Oil | | | 375 | | | | 12/13/24 | | | | 9,852,750 | | | | (54,972 | ) |
Wheat | | | 116 | | | | 09/13/24 | | | | 3,326,300 | | | | (378,432 | ) |
|
| |
| | | | |
| Total | | | | | | | | | | | | | | | $(1,484,758 | ) |
|
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
Cocoa | | | (67 | ) | | | 09/13/24 | | | | (5,179,770 | ) | | | (305,344 | ) |
Cocoa | | | (141 | ) | | | 12/13/24 | | | | (9,293,310 | ) | | | (535,992 | ) |
Coffee | | | (47 | ) | | | 09/18/24 | | | | (3,997,350 | ) | | | (71,309 | ) |
Coffee | | | (13 | ) | | | 12/18/24 | | | | (1,094,438 | ) | | | (144,409 | ) |
Corn | | | (41 | ) | | | 09/13/24 | | | | (835,375 | ) | | | 92,955 | |
Corn | | | (285 | ) | | | 12/13/24 | | | | (5,995,688 | ) | | | 964,662 | |
Cotton No.2 | | | (323 | ) | | | 12/06/24 | | | | (11,739,435 | ) | | | 1,338,332 | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Unrealized Appreciation/ (Depreciation) | |
|
| |
| | | | |
Short position contracts: | | | | | | | | | | | | | | | | |
FCOJ-A | | | (42 | ) | | | 09/10/24 | | | | $ (2,603,160 | ) | | | $ 141,065 | |
FCOJ-A | | | (3 | ) | | | 11/08/24 | | | | (184,590 | ) | | | (13,202 | ) |
Gasoline RBOB | | | (1 | ) | | | 07/31/24 | | | | (105,063 | ) | | | (2,893 | ) |
Gasoline RBOB | | | (87 | ) | | | 10/31/24 | | | | (8,130,515 | ) | | | (540,286 | ) |
Live Cattle | | | (154 | ) | | | 08/30/24 | | | | (11,422,180 | ) | | | (229,431 | ) |
Live Cattle | | | (38 | ) | | | 12/31/24 | | | | (2,825,680 | ) | | | 62,599 | |
LME Nickel | | | (1 | ) | | | 07/15/24 | | | | (102,559 | ) | | | 1,939 | |
LME PRI | | | (42 | ) | | | 09/16/24 | | | | (2,649,738 | ) | | | 56,603 | |
LME Zinc | | | (4 | ) | | | 07/15/24 | | | | (289,035 | ) | | | (15,534 | ) |
NY Harbor ULSD | | | (103 | ) | | | 10/31/24 | | | | (11,063,312 | ) | | | (790,688 | ) |
Robusta Coffee | | | (175 | ) | | | 09/24/24 | | | | (7,019,250 | ) | | | 349,429 | |
Soybean Oil | | | (83 | ) | | | 11/14/24 | | | | (4,581,600 | ) | | | 243,103 | |
Sugar 11 | | | (289 | ) | | | 09/30/24 | | | | (6,570,704 | ) | | | (335,495 | ) |
WTI Crude | | | (40 | ) | | | 07/22/24 | | | | (3,261,600 | ) | | | (147,061 | ) |
WTI Crude | | | (717 | ) | | | 10/22/24 | | | | (56,643,000 | ) | | | (4,414,463 | ) |
|
| |
| | | | |
| Total | | | | | | | | | | | | | | | $(4,295,420 | ) |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $(5,780,178 | ) |
|
| |
SWAP CONTRACTS — At June 30, 2024, 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 | | | 01/31/25 | | | $ | 65,902 | | | $— |
CRB Future Index | | 1 mo. U.S. Treasury Bill Rate +0.21 | | Citibank NA | | | 01/31/25 | | | | 45,764 | | | — |
CRB 3M Forward Index | | 1 mo. U.S. Treasury Bill Rate +0.25 | | Merrill Lynch International Bank Ltd. | | | 01/31/25 | | | | 34,725 | | | — |
CRB Future Index | | 1 mo. U.S. Treasury Bill Rate +0.21 | | Merrill Lynch International Bank Ltd. | | | 01/31/25 | | | | 49,589 | | | — |
CRB 3M Forward Index | | 1 mo. U.S. Treasury Bill Rate +0.25 | | UBS AG (London) | | | 01/31/25 | | | | 181,041 | | | — |
|
|
| | | | | |
TOTAL | | | | | | | | | | | | | | $— |
|
|
| | # | 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 |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Statements of Assets and Liabilities(a) June 30, 2024 (Unaudited) |
| | | | | | | | | | | | | | |
| | | | | Absolute Return
Tracker Fund | | | Commodity
Strategy Fund | | | | |
| | | | |
| | | Assets: | | | | | | | | | | | | |
| | Investments in unaffiliated issuers, at value (cost $1,922,354,635 and $362,767,697, respectively)(b) | | | $2,124,379,493 | | | | $362,774,007 | | | | | |
| | Investments in affiliated issuers, at value (cost $1,889,053,538 and $33,305,950, respectively) | | | 1,889,053,538 | | | | 33,305,950 | | | | | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 315,400 | | | | — | | | | | |
| | Purchased options, at value (premium paid $1,342,210 and $0, respectively) | | | 994,115 | | | | — | | | | | |
| | Cash | | | 131,972,484 | | | | 676,983 | | | | | |
| | Foreign currencies, at value (cost $8,249,725 and $0, respectively) | | | 8,030,135 | | | | — | | | | | |
| | Unrealized gain on swap contracts | | | 755,601 | | | | — | | | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 4,293,830 | | | | — | | | | | |
| | Variation margin on swaps contracts | | | 164,977 | | | | — | | | | | |
| | Receivables: | | | | | | | | | | | | |
| | Collateral on certain derivative contracts(c) | | | 37,000,537 | | | | — | | | | | |
| | Investments sold | | | 14,037,266 | | | | — | | | | | |
| | Interest and dividends | | | 9,168,759 | | | | 133,760 | | | | | |
| | Fund shares sold | | | 2,512,113 | | | | 178,035 | | | | | |
| | Foreign tax reclaims | | | 285,992 | | | | — | | | | | |
| | Reimbursement from investment adviser | | | 72,331 | | | | 19,743 | | | | | |
| | Securities lending income | | | 1,358 | | | | — | | | | | |
| | Other assets | | | 112,214 | | | | 268,043 | | | | | |
| | | |
| | Total assets | | | 4,223,150,143 | | | | 397,356,521 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Liabilities: | | | | | | | | | | | | |
| | Variation margin on futures contracts | | | 6,148,548 | | | | 16,917 | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 1,156,269 | | | | — | | | | | |
| | Unrealized loss on swap contracts | | | 735,502 | | | | — | | | | | |
| | Written option contracts, at value (premium received $300,414 and $0, respectively) | | | 336,886 | | | | — | | | | | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 8,128,212 | | | | 133,760 | | | | | |
| | Fund shares redeemed | | | 3,650,690 | | | | 254,490 | | | | | |
| | Management fees | | | 1,930,698 | | | | 161,083 | | | | | |
| | Due to broker | | | 529,224 | | | | — | | | | | |
| | Payable upon return of securities loaned | | | 315,400 | | | | — | | | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 208,155 | | | | 22,174 | | | | | |
| | Due to broker — upfront payment | | | — | | | | 209,238 | | | | | |
| | Interest payable | | | — | | | | 1,752,970 | | | | | |
| | Accrued expenses | | | 597,824 | | | | 239,582 | | | | | |
| | | |
| | Total liabilities | | | 23,737,408 | | | | 2,790,214 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 4,094,742,045 | | | | 353,325,878 | | | | | |
| | Total distributable earnings | | | 104,670,690 | | | | 41,240,429 | | | | | |
| | | |
| | NET ASSETS | | | $4,199,412,735 | | | | $394,566,307 | | | | | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | | $ 41,441,164 | | | | $21,754,281 | | | | | |
| | | Class C | | | 4,763,184 | | | | 3,172,829 | | | | | |
| | | Institutional | | | 2,441,017,741 | | | | 128,619,170 | | | | | |
| | | Investor | | | 698,320,130 | | | | 13,126,839 | | | | | |
| | | Class R6 | | | 794,072,052 | | | | 105,459,538 | | | | | |
| | | Class R | | | 695,056 | | | | 2,236,859 | | | | | |
| | | Class P | | | 219,103,408 | | | | 120,196,791 | | | | | |
| | | Total Net Assets | | | $4,199,412,735 | | | | $394,566,307 | | | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 4,400,134 | | | | 2,602,344 | | | | | |
| | | Class C | | | 569,736 | | | | 416,206 | | | | | |
| | | Institutional | | | 247,419,829 | | | | 15,114,231 | | | | | |
| | | Investor | | | 71,884,929 | | | | 1,540,354 | | | | | |
| | | Class R6 | | | 80,639,743 | | | | 12,359,060 | | | | | |
| | | Class R | | | 76,854 | | | | 274,854 | | | | | |
| | | Class P | | | 22,214,459 | | | | 14,092,137 | | | | | |
| | | Net asset value, offering and redemption price per share:(d) | | | | | | | | | | | | |
| | | Class A | | | $9.42 | | | | $8.36 | | | | | |
| | | Class C | | | 8.36 | | | | 7.62 | | | | | |
| | | Institutional | | | 9.87 | | | | 8.51 | | | | | |
| | | Investor | | | 9.71 | | | | 8.52 | | | | | |
| | | Class R6 | | | 9.85 | | | | 8.53 | | | | | |
| | | Class R | | | 9.04 | | | | 8.14 | | | | | |
| | | Class P | | | 9.86 | | | | 8.53 | | | | | |
| | (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 $300,365 and $0, respectively. |
| | (c) | Segregated for initial margin and/or collateral as follows: |
| | | | | | | | | | | | | | |
| Fund | | Futures | | | Swaps | | | Options | | | |
Absolute Return Tracker Fund | | $ | 12,354,147 | | | $ | 24,396,390 | | | $ | 250,000 | | | |
| | (d) | Maximum public offering price per share for Class A Shares of the Absolute Return Tracker and Commodity Strategy Funds is $9.97 and $8.75, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Statements of Operations(a) For the Six Months Ended June 30, 2024 (Unaudited) |
| | | | | | | | | | | | | | |
| | | | | Absolute Return
Tracker Fund | | | Commodity
Strategy
Fund | | | | |
| | | | |
| | Investment Income: | | | | | | | | | | | | |
| | | | |
| | Dividends — affiliated issuers | | $ | 52,239,599 | | | $ | 1,010,449 | | | | | |
| | Dividends — unaffiliated issuers (net of tax withholding of $445,135 and $0, respectively) | | | 22,380,264 | | | | — | | | | | |
| | Interest | | | 2,060,165 | | | | 11,331,829 | | | | | |
| | Securities lending income, net of rebates received or paid to borrowers | | | 35,470 | | | | — | | | | | |
| | | |
| | | | |
| | Total investment income | | | 76,715,498 | | | | 12,342,278 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | | | |
| | | | |
| | Management fees | | | 13,458,080 | | | | 1,380,466 | | | | | |
| | Transfer Agency fees(b) | | | 1,168,899 | | | | 98,829 | | | | | |
| | Custody, accounting and administrative services | | | 311,911 | | | | 107,109 | | | | | |
| | Printing and mailing costs | | | 185,946 | | | | 69,621 | | | | | |
| | Registration fees | | | 108,834 | | | | 59,285 | | | | | |
| | Professional fees | | | 106,072 | | | | 82,515 | | | | | |
| | Distribution and Service (12b-1) fees(b) | | | 72,973 | | | | 46,227 | | | | | |
| | Trustee fees | | | 13,263 | | | | 10,993 | | | | | |
| | Shareholder meeting expense | | | 9,342 | | | | — | | | | | |
| | Prime broker fees | | | 5,863 | | | | — | | | | | |
| | Service fees — Class C | | | 5,579 | | | | 4,225 | | | | | |
| | Other | | | 30,713 | | | | 7,614 | | | | | |
| | | |
| | | | |
| | Total expenses | | | 15,477,475 | | | | 1,866,884 | | | | | |
| | | |
| | | | |
| | Less — expense reductions | | | (2,250,070 | ) | | | (397,228 | ) | | | | |
| | | |
| | | | |
| | Net expenses | | | 13,227,405 | | | | 1,469,656 | | | | | |
| | | |
| | | | |
| | NET INVESTMENT INCOME | | | 63,488,093 | | | | 10,872,622 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | |
| | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments — unaffiliated issuers | | | 88,649,399 | | | | 45,132 | | | | | |
| | Purchased options | | | (2,056,440 | ) | | | — | | | | | |
| | Futures contracts | | | 32,296,269 | | | | (17,115,267 | ) | | | | |
| | Written options | | | 1,401,129 | | | | — | | | | | |
| | Swap contracts | | | (13,541,691 | ) | | | 41,956,746 | | | | | |
| | Forward foreign currency exchange contracts | | | 2,239,203 | | | | — | | | | | |
| | Foreign currency transactions | | | (10,758 | ) | | | — | | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments — unaffiliated issuers | | | 41,115,177 | | | | (252,493 | ) | | | | |
| | Purchased options | | | 193,107 | | | | — | | | | | |
| | Futures contracts | | | (14,332,518 | ) | | | (11,272,086 | ) | | | | |
| | Written options | | | (91,271 | ) | | | — | | | | | |
| | Swap contracts | | | (6,554,064 | ) | | | 1,266 | | | | | |
| | Forward foreign currency exchange contracts | | | 4,035,633 | | | | — | | | | | |
| | Foreign currency translation | | | (480,681 | ) | | | — | | | | | |
| | | |
| | | | |
| | Net realized and unrealized gain | | | 132,862,494 | | | | 13,363,298 | | | | | |
| | | |
| | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 196,350,587 | | | $ | 24,235,920 | | | | | |
| | | |
| | (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 Fund | | | | $54,351 | | | | | $16,736 | | | | | $1,886 | | | | | $32,611 | | | | | $3,347 | | | | | $504,141 | | | | | $483,480 | | | | | $112,729 | | | | | $ 566 | | | | | $32,025 | |
| | Commodity Strategy Fund | | | | 27,454 | | | | | 12,674 | | | | | 6,099 | | | | | 13,178 | | | | | 2,028 | | | | | 35,244 | | | | | 10,238 | | | | | 16,726 | | | | | 1,464 | | | | | 19,951 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
| Consolidated Statements of Changes in Net Assets(a) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | | Commodity Strategy Fund | | | |
| | | | | For the Six Months Ended June 30, 2024 (Unaudited) | | | For the Fiscal Year Ended December 31, 2023 | | | For the Six Months Ended June 30, 2024 (Unaudited) | | | For the Fiscal Year Ended December 31, 2023 | | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 63,488,093 | | | | $ 119,987,112 | | | | $ 10,872,622 | | | | $ 34,004,149 | | | |
| | | | | | |
| | Net realized gain (loss) | | | 108,977,111 | | | | 81,003,574 | | | | 24,886,611 | | | | (170,282,439 | ) | | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | 23,885,383 | | | | 174,476,188 | | | | (11,523,313 | ) | | | 46,296,743 | | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from operations | | | 196,350,587 | | | | 375,466,874 | | | | 24,235,920 | | | | (89,981,547 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | — | | | | (1,046,509 | ) | | | (447,312 | ) | | | (885,543 | ) | | |
| | | | | | |
| | Class C Shares | | | — | | | | (85,982 | ) | | | (60,092 | ) | | | (133,500 | ) | | |
| | | | | | |
| | Institutional Shares | | | — | | | | (68,348,253 | ) | | | (2,776,159 | ) | | | (10,781,821 | ) | | |
| | | | | | |
| | Investor Shares | | | — | | | | (15,254,586 | ) | | | (277,553 | ) | | | (1,319,802 | ) | | |
| | | | | | |
| | Class R6 Shares | | | — | | | | (19,406,054 | ) | | | (2,296,791 | ) | | | (5,217,537 | ) | | |
| | | | | | |
| | Class R Shares | | | — | | | | (17,140 | ) | | | (44,288 | ) | | | (105,058 | ) | | |
| | | | | | |
| | Class P Shares | | | — | | | | (5,843,481 | ) | | | (2,606,414 | ) | | | (8,841,293 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | — | | | | (110,002,005 | ) | | | (8,508,609 | ) | | | (27,284,554 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 713,399,111 | | | | 2,250,892,693 | | | | 48,921,694 | | | | 211,913,755 | | | |
| | | | | | |
| | Reinvestment of distributions | | | — | | | | 75,564,966 | | | | 7,324,449 | | | | 24,407,653 | | | |
| | | | | | |
| | Cost of shares redeemed | | | (841,299,839 | ) | | | (1,944,143,493 | ) | | | (261,919,200 | ) | | | (490,787,071 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (127,900,728 | ) | | | 382,314,166 | | | | (205,673,057 | ) | | | (254,465,663 | ) | | |
| | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 68,449,859 | | | | 647,779,035 | | | | (189,945,746 | ) | | | (371,731,764 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of period | | | 4,130,962,876 | | | | 3,483,183,841 | | | | 584,512,053 | | | | 956,243,817 | | | |
| | |
| | | | | | |
| | End of period | | | $4,199,412,735 | | | | $ 4,130,962,876 | | | | $ 394,566,307 | | | | $ 584,512,053 | | | |
| | |
| | (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. |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 9.01 | | | | $ | 8.36 | | | | $ | 9.40 | | | | $ | 9.69 | | | | $ | 9.44 | | | | $ | 8.84 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.12 | | | | | 0.26 | | | | | 0.07 | | | | | (0.01 | ) | | | | (0.01 | ) | | | | 0.10 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.29 | | | | | 0.61 | | | | | (0.69 | ) | | | | 0.59 | | | | | 0.32 | | | | | 0.81 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.41 | | | | | 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 period | | | $ | 9.42 | | | | $ | 9.01 | | | | $ | 8.36 | | | | $ | 9.40 | | | | $ | 9.69 | | | | $ | 9.44 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 4.55 | % | | | | 10.45 | % | | | | (6.62 | )% | | | | 6.09 | % | | | | 3.29 | % | | | | 10.36 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 41,441 | | | | $ | 42,676 | | | | $ | 41,001 | | | | $ | 57,882 | | | | $ | 61,642 | | | | $ | 80,596 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.97 | %(c) | | | | 0.97 | % | | | | 1.00 | % | | | | 1.04 | % | | | | 0.96 | % | | | | 0.97 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.07 | %(c) | | | | 1.09 | % | | | | 1.09 | % | | | | 1.09 | % | | | | 1.11 | % | | | | 1.11 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.70 | %(c) | | | | 2.92 | % | | | | 0.80 | % | | | | (0.10 | )% | | | | (0.10 | )% | | | | 1.08 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 8.02 | | | | $ | 7.47 | | | | $ | 8.43 | | | | $ | 8.84 | | | | $ | 8.69 | | | | $ | 8.14 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.08 | | | | | 0.17 | | | | | 0.00 | (b) | | | | (0.08 | ) | | | | (0.07 | ) | | | | 0.03 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.26 | | | | | 0.54 | | | | | (0.61 | ) | | | | 0.54 | | | | | 0.28 | | | | | 0.75 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.34 | | | | | 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 period | | | $ | 8.36 | | | | $ | 8.02 | | | | $ | 7.47 | | | | $ | 8.43 | | | | $ | 8.84 | | | | $ | 8.69 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 4.24 | % | | | | 9.45 | % | | | | (7.23 | )% | | | | 5.31 | % | | | | 2.43 | % | | | | 9.69 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 4,763 | | | | $ | 4,497 | | | | $ | 5,574 | | | | $ | 7,973 | | | | $ | 9,638 | | | | $ | 15,761 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.72 | %(d) | | | | 1.72 | % | | | | 1.75 | % | | | | 1.79 | % | | | | 1.71 | % | | | | 1.72 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.82 | %(d) | | | | 1.84 | % | | | | 1.84 | % | | | | 1.84 | % | | | | 1.86 | % | | | | 1.86 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 1.96 | %(d) | | | | 2.12 | % | | | | 0.06 | % | | | | (0.84 | )% | | | | (0.84 | )% | | | | 0.34 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Net asset value, beginning of period | | | $ | 9.42 | | | | $ | 8.73 | | | | $ | 9.80 | | | | $ | 10.03 | | | | $ | 9.74 | | | | $ | 9.10 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.15 | | | | | 0.30 | | | | | 0.11 | | | | | 0.03 | | | | | 0.03 | | | | | 0.14 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | 0.65 | | | | | (0.72 | ) | | | | 0.61 | | | | | 0.32 | | | | | 0.85 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.45 | | | | | 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 period | | | $ | 9.87 | | | | $ | 9.42 | | | | $ | 8.73 | | | | $ | 9.80 | | | | $ | 10.03 | | | | $ | 9.74 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 4.78 | % | | | | 10.83 | % | | | | (6.27 | )% | | | | 6.48 | % | | | | 3.60 | % | | | | 10.91 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 2,441,018 | | | | $ | 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 | %(c) | | | | 0.61 | % | | | | 0.63 | % | | | | 0.68 | % | | | | 0.58 | % | | | | 0.59 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.71 | %(c) | | | | 0.72 | % | | | | 0.72 | % | | | | 0.72 | % | | | | 0.73 | % | | | | 0.73 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.05 | %(c) | | | | 3.25 | % | | | | 1.23 | % | | | | 0.30 | % | | | | 0.28 | % | | | | 1.46 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 9.28 | | | | $ | 8.61 | | | | $ | 9.67 | | | | $ | 9.92 | | | | $ | 9.64 | | | | $ | 9.02 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.14 | | | | | 0.30 | | | | | 0.10 | | | | | 0.02 | | | | | 0.02 | | | | | 0.13 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.29 | | | | | 0.62 | | | | | (0.71 | ) | | | | 0.60 | | | | | 0.32 | | | | | 0.83 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.43 | | | | | 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 period | | | $ | 9.71 | | | | $ | 9.28 | | | | $ | 8.61 | | | | $ | 9.67 | | | | $ | 9.92 | | | | $ | 9.64 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 4.63 | % | | | | 10.68 | % | | | | (6.37 | )% | | | | 6.35 | % | | | | 3.54 | % | | | | 10.66 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 698,320 | | | | $ | 581,118 | | | | $ | 248,085 | | | | $ | 243,761 | | | | $ | 246,694 | | | | $ | 370,779 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.72 | %(c) | | | | 0.72 | % | | | | 0.75 | % | | | | 0.79 | % | | | | 0.71 | % | | | | 0.72 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.82 | %(c) | | | | 0.83 | % | | | | 0.84 | % | | | | 0.84 | % | | | | 0.86 | % | | | | 0.87 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.96 | %(c) | | | | 3.31 | % | | | | 1.12 | % | | | | 0.16 | % | | | | 0.16 | % | | | | 1.33 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 9.40 | | | | $ | 8.72 | | | | $ | 9.78 | | | | $ | 10.02 | | | | $ | 9.72 | | | | $ | 9.09 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.15 | | | | | 0.33 | | | | | 0.11 | | | | | 0.05 | | | | | 0.03 | | | | | 0.14 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | 0.61 | | | | | (0.71 | ) | | | | 0.58 | | | | | 0.33 | | | | | 0.84 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.45 | | | | | 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 period | | | $ | 9.85 | | | | $ | 9.40 | | | | $ | 8.72 | | | | $ | 9.78 | | | | $ | 10.02 | | | | $ | 9.72 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 4.79 | % | | | | 10.74 | % | | | | (6.17 | )% | | | | 6.38 | % | | | | 3.71 | % | | | | 10.82 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 794,072 | | | | $ | 728,607 | | | | $ | 169,335 | | | | $ | 153,588 | | | | $ | 9,353 | | | | $ | 9,284 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.60 | %(c) | | | | 0.60 | % | | | | 0.62 | % | | | | 0.66 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.70 | %(c) | | | | 0.71 | % | | | | 0.71 | % | | | | 0.70 | % | | | | 0.72 | % | | | | 0.72 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.08 | %(c) | | | | 3.54 | % | | | | 1.23 | % | | | | 0.51 | % | | | | 0.29 | % | | | | 1.47 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Class R Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 8.66 | | | | $ | 8.04 | | | | $ | 9.06 | | | | $ | 9.40 | | | | $ | 9.18 | | | | $ | 8.61 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.11 | | | | | 0.22 | | | | | 0.05 | | | | | (0.03 | ) | | | | (0.03 | ) | | | | 0.08 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.27 | | | | | 0.59 | | | | | (0.66 | ) | | | | 0.56 | | | | | 0.31 | | | | | 0.78 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.38 | | | | | 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 period | | | $ | 9.04 | | | | $ | 8.66 | | | | $ | 8.04 | | | | $ | 9.06 | | | | $ | 9.40 | | | | $ | 9.18 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 4.39 | % | | | | 10.11 | % | | | | (6.79 | )% | | | | 5.73 | % | | | | 3.06 | % | | | | 10.06 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 695 | | | | $ | 787 | | | | $ | 1,486 | | | | $ | 1,536 | | | | $ | 1,562 | | | | $ | 2,347 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.22 | %(c) | | | | 1.22 | % | | | | 1.25 | % | | | | 1.29 | % | | | | 1.21 | % | | | | 1.22 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.32 | %(c) | | | | 1.34 | % | | | | 1.34 | % | | | | 1.34 | % | | | | 1.36 | % | | | | 1.37 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 2.46 | %(c) | | | | 2.63 | % | | | | 0.60 | % | | | | (0.33 | )% | | | | (0.35 | )% | | | | 0.83 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Absolute Return Tracker Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 9.41 | | | | $ | 8.73 | | | | $ | 9.79 | | | | $ | 10.02 | | | | $ | 9.73 | | | | $ | 9.09 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.15 | | | | | 0.30 | | | | | 0.11 | | | | | 0.03 | | | | | 0.03 | | | | | 0.14 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | 0.64 | | | | | (0.71 | ) | | | | 0.61 | | | | | 0.32 | | | | | 0.85 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.45 | | | | | 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 period | | | $ | 9.86 | | | | $ | 9.41 | | | | $ | 8.73 | | | | $ | 9.79 | | | | $ | 10.02 | | | | $ | 9.73 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 4.78 | % | | | | 10.72 | % | | | | (6.16 | )% | | | | 6.48 | % | | | | 3.61 | % | | | | 10.93 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 219,103 | | | | $ | 220,082 | | | | $ | 222,431 | | | | $ | 245,233 | | | | $ | 211,794 | | | | $ | 219,701 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.60 | %(c) | | | | 0.60 | % | | | | 0.62 | % | | | | 0.66 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.70 | %(c) | | | | 0.71 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.72 | % | | | | 0.72 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.07 | %(c) | | | | 3.28 | % | | | | 1.23 | % | | | | 0.33 | % | | | | 0.29 | % | | | | 1.48 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | 61 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 8.06 | | | | $ | 9.30 | | | | $ | 8.90 | | | | $ | 7.79 | | | | $ | 10.17 | | | | $ | 9.66 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.18 | | | | | 0.34 | | | | | 0.05 | | | | | (0.09 | ) | | | | (0.03 | ) | | | | 0.14 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.29 | | | | | (1.27 | ) | | | | 1.32 | | | | | 2.67 | | | | | (2.33 | ) | | | | 1.44 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.47 | | | | | (0.93 | ) | | | | 1.37 | | | | | 2.58 | | | | | (2.36 | ) | | | | 1.58 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.17 | ) | | | | (0.31 | ) | | | | (0.97 | ) | | | | (1.47 | ) | | | | (0.02 | ) | | | | (0.18 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.89 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.17 | ) | | | | (0.31 | ) | | | | (0.97 | ) | | | | (1.47 | ) | | | | (0.02 | ) | | | | (1.07 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 8.36 | | | | $ | 8.06 | | | | $ | 9.30 | | | | $ | 8.90 | | | | $ | 7.79 | | | | $ | 10.17 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 5.88 | % | | | | (9.95 | )% | | | | 15.36 | % | | | | 33.03 | % | | | | (23.16 | )% | | | | 16.31 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 21,754 | | | | $ | 22,253 | | | | $ | 35,334 | | | | $ | 40,183 | | | | $ | 15,324 | | | | $ | 22,569 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.94 | %(c) | | | | 0.94 | % | | | | 0.92 | % | | | | 0.92 | % | | | | 0.80 | % | | | | 0.84 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.02 | %(c) | | | | 1.01 | % | | | | 0.95 | % | | | | 1.08 | % | | | | 1.28 | % | | | | 1.09 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.36 | %(c) | | | | 4.00 | % | | | | 0.50 | % | | | | (0.90 | )% | | | | (0.39 | )% | | | | 1.34 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | — | %(e) | | | | — | %(e) | | | | — | %(e) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.37 | | | | $ | 8.52 | | | | $ | 8.25 | | | | $ | 7.32 | | | | $ | 9.61 | | | | $ | 9.17 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.14 | | | | | 0.26 | | | | | (0.01 | ) | | | | (0.15 | ) | | | | (0.08 | ) | | | | 0.08 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.26 | | | | | (1.16 | ) | | | | 1.21 | | | | | 2.50 | | | | | (2.21 | ) | | | | 1.35 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.40 | | | | | (0.90 | ) | | | | 1.20 | | | | | 2.35 | | | | | (2.29 | ) | | | | 1.43 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.93 | ) | | | | (1.42 | ) | | | | — | | | | | (0.17 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.82 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.93 | ) | | | | (1.42 | ) | | | | — | | | | | (0.99 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 7.62 | | | | $ | 7.37 | | | | $ | 8.52 | | | | $ | 8.25 | | | | $ | 7.32 | | | | $ | 9.61 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 5.38 | % | | | | (10.58 | )% | | | | 14.51 | % | | | | 32.04 | % | | | | (23.77 | )% | | | | 15.54 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 3,173 | | | | $ | 3,496 | | | | $ | 6,197 | | | | $ | 3,125 | | | | $ | 1,340 | | | | $ | 2,271 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.69 | %(c) | | | | 1.69 | % | | | | 1.67 | % | | | | 1.67 | % | | | | 1.55 | % | | | | 1.59 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.77 | %(c) | | | | 1.76 | % | | | | 1.70 | % | | | | 1.83 | % | | | | 2.03 | % | | | | 1.84 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 3.61 | %(c) | | | | 3.25 | % | | | | (0.05 | )% | | | | (1.65 | )% | | | | (1.12 | )% | | | | 0.81 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | — | %(e) | | | | — | %(e) | | | | — | %(e) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 8.20 | | | | $ | 9.46 | | | | $ | 9.04 | | | | $ | 7.88 | | | | $ | 10.28 | | | | $ | 9.74 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.20 | | | | | 0.38 | | | | | 0.11 | | | | | (0.06 | ) | | | | (0.01 | ) | | | | 0.09 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | (1.30 | ) | | | | 1.32 | | | | | 2.71 | | | | | (2.36 | ) | | | | 1.56 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.50 | | | | | (0.92 | ) | | | | 1.43 | | | | | 2.65 | | | | | (2.37 | ) | | | | 1.65 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.34 | ) | | | | (1.01 | ) | | | | (1.49 | ) | | | | (0.03 | ) | | | | (0.19 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.92 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.19 | ) | | | | (0.34 | ) | | | | (1.01 | ) | | | | (1.49 | ) | | | | (0.03 | ) | | | | (1.11 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 8.51 | | | | $ | 8.20 | | | | $ | 9.46 | | | | $ | 9.04 | | | | $ | 7.88 | | | | $ | 10.28 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 6.06 | % | | | | (9.65 | )% | | | | 15.75 | % | | | | 33.52 | % | | | | (22.96 | )% | | | | 16.77 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 128,619 | | | | $ | 253,289 | | | | $ | 339,164 | | | | $ | 206,782 | | | | $ | 127,172 | | | | $ | 156,673 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.61 | %(c) | | | | 0.61 | % | | | | 0.59 | % | | | | 0.59 | % | | | | 0.47 | % | | | | 0.50 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.68 | %(c) | | | | 0.68 | % | | | | 0.62 | % | | | | 0.75 | % | | | | 0.96 | % | | | | 0.74 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.70 | %(c) | | | | 4.36 | % | | | | 1.04 | % | | | | (0.57 | )% | | | | (0.10 | )% | | | | 0.81 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | — | %(e) | | | | — | %(e) | | | | — | %(e) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 8.21 | | | | $ | 9.47 | | | | $ | 9.04 | | | | $ | 7.89 | | | | $ | 10.29 | | | | $ | 9.75 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.19 | | | | | 0.36 | | | | | 0.11 | | | | | (0.07 | ) | | | | (0.01 | ) | | | | (0.04 | ) | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | (1.29 | ) | | | | 1.32 | | | | | 2.71 | | | | | (2.37 | ) | | | | 1.68 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.49 | | | | | (0.93 | ) | | | | 1.43 | | | | | 2.64 | | | | | (2.38 | ) | | | | 1.64 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.18 | ) | | | | (0.33 | ) | | | | (1.00 | ) | | | | (1.49 | ) | | | | (0.02 | ) | | | | (0.18 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.92 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.18 | ) | | | | (0.33 | ) | | | | (1.00 | ) | | | | (1.49 | ) | | | | (0.02 | ) | | | | (1.10 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 8.52 | | | | $ | 8.21 | | | | $ | 9.47 | | | | $ | 9.04 | | | | $ | 7.89 | | | | $ | 10.29 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 6.00 | % | | | | (9.78 | )% | | | | 15.79 | % | | | | 33.33 | % | | | | (22.99 | )% | | | | 16.73 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 13,127 | | | | $ | 22,575 | | | | $ | 115,918 | | | | $ | 33,337 | | | | $ | 3,115 | | | | $ | 6,651 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.69 | %(c) | | | | 0.69 | % | | | | 0.67 | % | | | | 0.67 | % | | | | 0.55 | % | | | | 0.59 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.76 | %(c) | | | | 0.75 | % | | | | 0.70 | % | | | | 0.81 | % | | | | 1.02 | % | | | | 0.83 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.61 | %(c) | | | | 4.14 | % | | | | 1.01 | % | | | | (0.66 | )% | | | | (0.09 | )% | | | | (0.36 | )% | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | — | %(e) | | | | — | %(e) | | | | — | %(e) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 8.22 | | | | $ | 9.49 | | | | $ | 9.06 | | | | $ | 7.90 | | | | $ | 10.30 | | | | $ | 9.76 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.20 | | | | | 0.38 | | | | | 0.12 | | | | | (0.05 | ) | | | | (0.01 | ) | | | | 0.38 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | (1.30 | ) | | | | 1.32 | | | | | 2.70 | | | | | (2.36 | ) | | | | 1.27 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.50 | | | | | (0.92 | ) | | | | 1.44 | | | | | 2.65 | | | | | (2.37 | ) | | | | 1.65 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.35 | ) | | | | (1.01 | ) | | | | (1.49 | ) | | | | (0.03 | ) | | | | (0.19 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.92 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.19 | ) | | | | (0.35 | ) | | | | (1.01 | ) | | | | (1.49 | ) | | | | (0.03 | ) | | | | (1.11 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 8.53 | | | | $ | 8.22 | | | | $ | 9.49 | | | | $ | 9.06 | | | | $ | 7.90 | | | | $ | 10.30 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 6.05 | % | | | | (9.71 | )% | | | | 15.84 | % | | | | 33.44 | % | | | | (22.92 | )% | | | | 16.87 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 105,460 | | | | $ | 117,106 | | | | $ | 155,511 | | | | $ | 94,836 | | | | $ | 83,227 | | | | $ | 85,170 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.60 | %(c) | | | | 0.60 | % | | | | 0.58 | % | | | | 0.58 | % | | | | 0.46 | % | | | | 0.49 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.68 | %(c) | | | | 0.67 | % | | | | 0.61 | % | | | | 0.75 | % | | | | 0.96 | % | | | | 0.75 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.70 | %(c) | | | | 4.36 | % | | | | 1.14 | % | | | | (0.55 | )% | | | | (0.09 | )% | | | | 3.52 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | — | %(e) | | | | — | %(e) | | | | — | %(e) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Class R Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.85 | | | | $ | 9.07 | | | | $ | 8.71 | | | | $ | 7.64 | | | | $ | 9.99 | | | | $ | 9.50 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.17 | | | | | 0.31 | | | | | 0.04 | | | | | (0.11 | ) | | | | (0.05 | ) | | | | 0.16 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.28 | | | | | (1.24 | ) | | | | 1.27 | | | | | 2.62 | | | | | (2.29 | ) | | | | 1.38 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.45 | | | | | (0.93 | ) | | | | 1.31 | | | | | 2.51 | | | | | (2.34 | ) | | | | 1.54 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.16 | ) | | | | (0.29 | ) | | | | (0.95 | ) | | | | (1.44 | ) | | | | (0.01 | ) | | | | (0.18 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.87 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.16 | ) | | | | (0.29 | ) | | | | (0.95 | ) | | | | (1.44 | ) | | | | (0.01 | ) | | | | (1.05 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 8.14 | | | | $ | 7.85 | | | | $ | 9.07 | | | | $ | 8.71 | | | | $ | 7.64 | | | | $ | 9.99 | | | |
| | |
| | | | | | | | |
| | Total return(b) | | | | 5.78 | % | | | | (10.19 | )% | | | | 15.07 | % | | | | 32.73 | % | | | | (23.36 | )% | | | | 16.11 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 2,237 | | | | $ | 2,630 | | | | $ | 4,208 | | | | $ | 3,271 | | | | $ | 1,903 | | | | $ | 2,280 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.19 | %(c) | | | | 1.19 | % | | | | 1.17 | % | | | | 1.17 | % | | | | 1.05 | % | | | | 1.09 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.27 | %(c) | | | | 1.26 | % | | | | 1.20 | % | | | | 1.33 | % | | | | 1.54 | % | | | | 1.34 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.11 | %(c) | | | | 3.77 | % | | | | 0.33 | % | | | | (1.15 | )% | | | | (0.68 | )% | | | | 1.53 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(d) | | | | — | %(e) | | | | — | %(e) | | | | — | %(e) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Commodity Strategy Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 8.22 | | | | $ | 9.49 | | | | $ | 9.06 | | | | $ | 7.90 | | | | $ | 10.29 | | | | $ | 9.76 | | | |
| | |
| | | | | | | | |
| | Net investment income (loss)(a) | | | | 0.20 | | | | | 0.38 | | | | | 0.12 | | | | | (0.06 | ) | | | | — | (b) | | | | (0.25 | ) | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.30 | | | | | (1.30 | ) | | | | 1.32 | | | | | 2.71 | | | | | (2.36 | ) | | | | 1.89 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.50 | | | | | (0.92 | ) | | | | 1.44 | | | | | 2.65 | | | | | (2.36 | ) | | | | 1.64 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.19 | ) | | | | (0.35 | ) | | | | (1.01 | ) | | | | (1.49 | ) | | | | (0.03 | ) | | | | (0.19 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.92 | ) | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.19 | ) | | | | (0.35 | ) | | | | (1.01 | ) | | | | (1.49 | ) | | | | (0.03 | ) | | | | (1.11 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 8.53 | | | | $ | 8.22 | | | | $ | 9.49 | | | | $ | 9.06 | | | | $ | 7.90 | | | | $ | 10.29 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 6.06 | % | | | | (9.72 | )% | | | | 15.84 | % | | | | 33.46 | % | | | | (22.84 | )% | | | | 16.73 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 120,197 | | | | $ | 163,164 | | | | $ | 299,911 | | | | $ | 139,858 | | | | $ | 684 | | | | $ | 977 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.60 | %(d) | | | | 0.60 | % | | | | 0.58 | % | | | | 0.58 | % | | | | 0.45 | % | | | | 0.48 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.68 | %(d) | | | | 0.67 | % | | | | 0.61 | % | | | | 0.72 | % | | | | 0.94 | % | | | | 0.72 | % | | |
| | | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.70 | %(d) | | | | 4.34 | % | | | | 1.04 | % | | | | (0.57 | )% | | | | (0.04 | )% | | | | (2.28 | )% | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | — | %(f) | | | | — | %(f) | | | | — | %(f) | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (f) | There were no long-term transactions for the six months ended June 30, 2024 and fiscal year ended December 31, 2023 and December 31, 2022, respectively. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements June 30, 2024 (Unaudited) |
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 |
| | |
| Goldman Sachs Absolute Return Tracker Fund | | A, C, Institutional, Investor, R6, R and P | | Diversified |
| | |
| Goldman Sachs Commodity Strategy Fund | | 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 June 30, 2024, the Fund and Subsidiary net assets were as follows:
| | | | | | |
| Fund | | Fund Net Assets | | Subsidiary Net Assets | | % Represented by Subsidiary’s Net Assets |
| | | |
| Goldman Sachs Absolute Return Tracker Fund | | $4,199,412,735 | | $131,775,113 | | 3.1% |
| | | |
| Goldman Sachs Commodity Strategy Fund | | 394,566,307 | | 87,290,324 | | 22.1 |
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
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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 Fund | | Annually | | Annually |
| | |
| Commodity Strategy Fund | | Semi-Annually | | Annually |
The Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to increase their taxable income by their share of their Subsidiaries’ income. Net losses of a Subsidiary cannot be deducted by the Funds in the current period nor carried forward to offset taxable income in future periods. Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Consolidated Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
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
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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. 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 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
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 or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices, or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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 June 30, 2024:
| | | | | | | | | | | | |
| ABSOLUTE RETURN TRACKER FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 217,742 | | | $ | 29,342,113 | | | $ | — | |
| | | |
Australia and Oceania | | | 818,421 | | | | — | | | | — | |
| | | |
Europe | | | 35,286,227 | | | | 128,206,495 | | | | — | |
| | | |
North America | | | 959,846,419 | | | | 313,156 | | | | — | |
| | | |
Fixed Income | | | | | | | | | | | | |
| | | |
U.S. Treasury Obligations | | | 99,137,991 | | | | — | | | | — | |
| | | |
Preferred Stocks | | | — | | | | 1,393,163 | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 315,400 | | | | — | | | | — | |
| | | |
Exchange Traded Funds | | | 869,817,766 | | | | — | | | | — | |
| | | |
Investment Company | | | 1,889,053,538 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 3,854,493,504 | | | $ | 159,254,927 | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | 4,293,830 | | | $ | — | |
| | | |
Futures Contracts(b) | | | 3,835,042 | | | | — | | | | — | |
| | | |
Total Return Swap Contracts(b) | | | — | | | | 755,601 | | | | — | |
| | | |
Purchased Option Contracts | | | 994,115 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 4,829,157 | | | $ | 5,049,431 | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (1,156,269 | ) | | $ | — | |
| | | |
Futures Contracts(b) | | | (5,699,883 | ) | | | — | | | | — | |
| | | |
Credit Default Swap Contracts(b) | | | — | | | | (1,347,207 | ) | | | — | |
| | | |
Total Return Swap Contracts(b) | | | — | | | | (735,502 | ) | | | — | |
| | | |
Written Option Contracts | | | (336,886 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (6,036,769 | ) | | $ | (3,238,978 | ) | | $ | — | |
|
| |
| | (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| | (b) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| COMMODITY STRATEGY FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Investment Company | | $ | 33,305,950 | | | $ | — | | | $ | — | |
| | | |
Short-term Investments | | | 362,774,007 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 396,079,957 | | | $ | — | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets(a) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 6,124,589 | | | $ | — | | | $ | — | |
|
| |
| | | |
Liabilities(a) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | (11,904,767 | ) | | $ | — | | | $ | — | |
| | | |
Total Return Swap Contracts | | | — | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (11,904,767 | ) | | $ | — | | | $ | — | |
|
| |
| | (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 June 30, 2024. 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 Fund | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets and Liabilities | | Assets | | | Consolidated Statements of Assets and
Liabilities | | Liabilities | |
| | | | |
| Commodity | | Variation margin on futures contracts | | $ | 1,676,533 | (a) | | Variation margin on futures contracts | | $ | (1,580,619 | )(a) |
| | | | |
| Credit | | — | | | — | | | Variation margin on swap contracts | | | (1,347,207 | )(a) |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 4,293,830 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (1,156,269 | ) |
| | | | |
| Equity | | Receivable for unrealized gain on swap contracts; Variation margin on futures contracts; Purchased options, at value | | | 3,129,840 | (a) | | Payable for unrealized loss on swap contracts; Variation margin on futures contracts; Written options, at value | | | (3,509,244 | )(a)(b) |
| | | | |
| Interest rate | | Variation margin on futures contracts | | | 778,385 | (a) | | Variation margin on futures contracts | | | (1,682,408 | )(a) |
| | | | |
Total | | | | $ | 9,878,588 | | | | | $ | (9,275,747 | ) |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | |
| Commodity Strategy Fund | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets and
Liabilities | | Assets | | | Consolidated Statements of Assets and
Liabilities | | Liabilities | |
| | | | |
| Commodity | | Variation margin on futures contracts | | $ | 6,124,589 | (a) | | Variation margin on futures contracts | | $ | (11,904,767 | )(a) |
| | (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 June 30, 2024, is reported within the Consolidated Statement of Assets and Liabilities. |
| | (b) | Aggregate of amounts include $735,502 for Absolute Return Tracker Fund and $0 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 six months ended June 30, 2024. 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 Fund | | | | | |
| | | |
| 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 | | | $(2,240,100 | ) | | | $ 318,345 | |
| | | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 10,257,100 | | | | (7,444,750 | ) |
| | | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 2,239,203 | | | | 4,035,633 | |
| | | |
| 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 | | | 22,779,379 | | | | (7,555,781 | ) |
| | | |
| Interest rate | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (12,697,112 | ) | | | (6,102,560 | ) |
| | | |
Total | | | | | $ 20,338,470 | | | | $(16,749,113 | ) |
| |
| Commodity Strategy Fund | | | | | |
| | | |
| Risk | | Consolidated Statements 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 | | | $ 24,841,479 | | | | $(11,270,820 | ) |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
For the six months ended June 30, 2024, 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 | | | Swap
Agreements | | | Purchased
Options | | | Written
Options | |
|
| |
| | | | | |
Absolute Return Tracker Fund | | | 17,793 | | | $ | 422,114,265 | | | $ | 1,108,230,593 | | | | 551,720 | | | | 20,967 | |
|
| |
| | | | | |
Commodity Strategy Fund | | | 7,391 | | | | — | | | | 437,238,852 | | | | — | | | | — | |
|
| |
| | (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 six months ended June 30, 2024. |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended June 30, 2024, 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^(a) | |
|
| |
| | | | | | | |
Absolute Return Tracker Fund | | 0.70% | | 0.63% | | 0.60% | | 0.59% | | 0.53% | | 0.63% | | | 0.55% | |
|
| |
| | | | | | | |
Commodity Strategy Fund | | 0.50 | | 0.50 | | 0.45 | | 0.43 | | 0.42 | | 0.50 | | | 0.41 | |
|
| |
| | ^ | 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 six months ended June 30, 2024, GSAM waived $274,436 and $216,516 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 six months ended June 30, 2024, the management fee waived by GSAM was for each Fund as follows:
| | | | |
| Fund | | Management
Fee Waived | |
|
| |
| |
Absolute Return Tracker Fund | | | $1,786,766 | |
|
| |
| |
Commodity Strategy Fund | | | 231,171 | |
|
| |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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 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 six months ended June 30, 2024, Goldman Sachs retained the following amounts:
| | | | | | |
| | | Front End
Sales Charge | | | | Contingent Deferred
Sales Charge |
| | | |
| Fund | | Class A | | | | Class C |
|
|
| | | |
Absolute Return Tracker Fund | | $2,635 | | | | $ — |
|
|
| | | |
Commodity Strategy Fund | | 1,384 | | | | 305 |
|
|
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.
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 29, 2025, 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
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
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 six months ended June 30, 2024, 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 Fund | | | $1,786,766 | | | | $1,713 | | | | $461,591 | | | | $2,250,070 | |
|
| |
| | | | |
Commodity Strategy Fund | | | 231,171 | | | | 161 | | | | 165,896 | | | | 397,228 | |
|
| |
G. Line of Credit Facility — As of June 30, 2024, the Funds participated in a $1,150,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2024, the Funds did not have any borrowings under the facility. Prior to April 16, 2024, the facility was $1,110,000,000.
H. Other Transactions with Affiliates — For the six months ended June 30, 2024, Goldman Sachs earned $136,102 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 six months ended June 30, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Fund | | Underlying Fund | | Beginning
Value as of
December 31,
2023 | | | Purchases at Cost | | | Proceeds from Sales | | | Ending
Value as of June 30, 2024 | | | Shares as of June 30, 2024 | | | Dividend
Income | |
|
| |
| | | | | | | |
Absolute Return Tracker Fund | | Goldman Sachs Financial Square Government Fund — Institutional Shares | | $ | 2,258,293,269 | | | $ | 654,956,470 | | | $ | (1,024,196,201 | ) | | $ | 1,889,053,538 | | | | 1,889,053,538 | | | $ | 52,239,599 | |
|
| |
| | | | | | | |
Commodity Strategy Fund | | Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 62,859,778 | | | | 424,539,154 | | | | (454,092,982 | ) | | | 33,305,950 | | | | 33,305,950 | | | | 1,010,449 | |
|
| |
|
|
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2024, 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 Fund | | $1,413,273,517 | | $1,212,086,109 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
6. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
For the six months ended June 30, 2024, 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 June 30, 2024, 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 six months ended June 30, 2024, are reported under Investment Income on the Consolidated Statements of Operations.
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
7. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | |
| | |
| | | For the Six Months Ended June 30, 2024 | | |
| | | |
| 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 June 30, 2024 |
| | | |
| Absolute Return Tracker Fund | | $2,649 | | $23,845 | | $— |
The following table provides information about the Absolute Return Tracker Fund’s investments in the Government Money Market Fund for the six months ended June 30, 2024:
| | | | | | | | | | |
| | | | | |
| Fund | | Beginning Value as of December 31, 2023 | | Purchases at cost | | Proceeds from Sales | | Ending Value as of June 30, 2024 | | Shares as of June 30, 2024 |
| | | | | |
| Absolute Return Tracker Fund | | $6,169,850 | | $94,417,957 | | $(100,272,407) | | $315,400 | | 315,400 |
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 Fund |
| | |
Capital loss carryforwards: | | | | |
| | |
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) | | $ — |
|
|
As of June 30, 2024, 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 Fund |
|
| | |
| Tax Cost | | | $3,862,263,122 | | | | $334,250,682 | |
| | |
| Gross unrealized gain | | | 223,379,905 | | | | 61,841,556 | |
| | |
| Gross unrealized loss | | | (71,894,596 | ) | | | (12,281 | ) |
| | |
| Net unrealized gain | | | $ 151,485,309 | | | | $ 61,829,275 | |
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.
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 ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
The Funds’ risks include, but are not limited to, the following:
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund 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 enter into 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
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 the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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 Funds and/or the Subsidiaries to operate as described in the Prospectus and the SAI and could adversely affect the Funds.
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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.
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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
|
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Absolute Return Tracker Fund | |
| | |
| | | For the Six Months Ended | | | | |
| | | June 30, 2024 | | | For the Fiscal Year Ended | |
| | | (Unaudited) | | | December 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,137,516 | | | $ | 10,423,613 | | | | 2,049,549 | | | $ | 18,051,268 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 106,801 | | | | 962,277 | |
| | | | |
Shares redeemed | | | (1,475,994 | ) | | | (13,653,237 | ) | | | (2,320,420 | ) | | | (20,360,649 | ) |
|
| |
| | | | |
| | | (338,478 | ) | | | (3,229,624 | ) | | | (164,070 | ) | | | (1,347,104 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 107,562 | | | | 888,282 | | | | 95,680 | | | | 757,414 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 8,896 | | | | 71,432 | |
| | | | |
Shares redeemed | | | (98,292 | ) | | | (804,293 | ) | | | (290,494 | ) | | | (2,276,829 | ) |
|
| |
| | | | |
| | | 9,270 | | | | 83,989 | | | | (185,918 | ) | | | (1,447,983 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 38,713,430 | | | | 372,411,753 | | | | 116,285,014 | | | | 1,068,401,813 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 5,519,958 | | | | 51,998,005 | |
| | | | |
Shares redeemed | | | (62,415,218 | ) | | | (604,673,335 | ) | | | (170,799,170 | ) | | | (1,557,310,885 | ) |
|
| |
| | | | |
| | | (23,701,788 | ) | | | (232,261,582 | ) | | | (48,994,198 | ) | | | (436,911,067 | ) |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 18,164,133 | | | | 172,335,759 | | | | 48,997,761 | | | | 449,038,182 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 1,641,688 | | | | 15,234,863 | |
| | | | |
Shares redeemed | | | (8,914,309 | ) | | | (84,611,311 | ) | | | (16,813,582 | ) | | | (152,229,647 | ) |
|
| |
| | | | |
| | | 9,249,824 | | | | 87,724,448 | | | | 33,825,867 | | | | 312,043,398 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 14,341,266 | | | | 138,055,847 | | | | 76,667,470 | | | | 701,252,558 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 152,791 | | | | 1,437,768 | |
| | | | |
Shares redeemed | | | (11,219,928 | ) | | | (107,141,387 | ) | | | (18,723,424 | ) | | | (172,560,682 | ) |
|
| |
| | | | |
| | | 3,121,338 | | | | 30,914,460 | | | | 58,096,837 | | | | 530,129,644 | |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 8,142 | | | | 72,328 | | | | 26,265 | | | | 221,811 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 1,977 | | | | 17,140 | |
| | | | |
Shares redeemed | | | (22,232 | ) | | | (197,111 | ) | | | (122,017 | ) | | | (1,013,977 | ) |
|
| |
| | | | |
| | | (14,090 | ) | | | (124,783 | ) | | | (93,775 | ) | | | (775,026 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,990,224 | | | | 19,211,529 | | | | 1,433,979 | | | | 13,169,647 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 620,327 | | | | 5,843,481 | |
| | | | |
Shares redeemed | | | (3,153,115 | ) | | | (30,219,165 | ) | | | (4,157,723 | ) | | | (38,390,824 | ) |
|
| |
| | | | |
| | | (1,162,891 | ) | | | (11,007,636 | ) | | | (2,103,417 | ) | | | (19,377,696 | ) |
|
| |
| | | | |
NET INCREASE (DECREASE) | | | (12,836,815 | ) | | $ | (127,900,728 | ) | | | 40,381,326 | | | $ | 382,314,166 | |
|
| |
GOLDMAN SACHS ALTERNATIVE FUNDS II
|
Consolidated Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Commodity Strategy Fund | |
| | |
| | | For the Six Months Ended | | | | |
| | | June 30, 2024 | | | For the Fiscal Year Ended | |
| | | (Unaudited) | | | December 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 194,803 | | | $ | 1,614,367 | | | | 650,451 | | | $ | 5,599,609 | |
| | | | |
Reinvestment of distributions | | | 49,027 | | | | 410,360 | | | | 101,113 | | | | 817,553 | |
| | | | |
Shares redeemed | | | (402,315 | ) | | | (3,325,412 | ) | | | (1,788,262 | ) | | | (15,258,547 | ) |
|
| |
| | | | |
| | | (158,485 | ) | | | (1,300,685 | ) | | | (1,036,698 | ) | | | (8,841,385 | ) |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 37,757 | | | | 280,425 | | | | 51,430 | | | | 402,643 | |
| | | | |
Reinvestment of distributions | | | 7,788 | | | | 59,497 | | | | 18,011 | | | | 133,093 | |
| | | | |
Shares redeemed | | | (103,883 | ) | | | (786,447 | ) | | | (321,974 | ) | | | (2,497,546 | ) |
|
| |
| | | | |
| | | (58,338 | ) | | | (446,525 | ) | | | (252,533 | ) | | | (1,961,810 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,760,139 | | | | 30,838,824 | | | | 8,203,299 | | | | 71,648,812 | |
| | | | |
Reinvestment of distributions | | | 290,283 | | | | 2,473,214 | | | | 1,241,693 | | | | 10,207,259 | |
| | | | |
Shares redeemed | | | (19,827,636 | ) | | | (163,309,595 | ) | | | (14,391,516 | ) | | | (125,621,221 | ) |
|
| |
| | | | |
| | | (15,777,214 | ) | | | (129,997,557 | ) | | | (4,946,524 | ) | | | (43,765,150 | ) |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 197,884 | | | | 1,641,051 | | | | 2,044,992 | | | | 18,287,224 | |
| | | | |
Reinvestment of distributions | | | 32,361 | | | | 276,361 | | | | 160,144 | | | | 1,318,151 | |
| | | | |
Shares redeemed | | | (1,439,120 | ) | | | (12,052,094 | ) | | | (11,697,981 | ) | | | (102,352,695 | ) |
|
| |
| | | | |
| | | (1,208,875 | ) | | | (10,134,682 | ) | | | (9,492,845 | ) | | | (82,747,320 | ) |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 834,322 | | | | 7,088,094 | | | | 4,224,956 | | | | 37,604,758 | |
| | | | |
Reinvestment of distributions | | | 170,122 | | | | 1,454,541 | | | | 362,084 | | | | 2,985,553 | |
| | | | |
Shares redeemed | | | (2,886,633 | ) | | | (24,615,013 | ) | | | (6,733,691 | ) | | | (58,758,633 | ) |
|
| |
| | | | |
| | | (1,882,189 | ) | | | (16,072,378 | ) | | | (2,146,651 | ) | | | (18,168,322 | ) |
|
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 26,181 | | | | 213,508 | | | | 127,407 | | | | 1,063,713 | |
| | | | |
Reinvestment of distributions | | | 5,407 | | | | 44,063 | | | | 13,311 | | | | 104,751 | |
| | | | |
Shares redeemed | | | (91,688 | ) | | | (744,489 | ) | | | (269,602 | ) | | | (2,281,917 | ) |
|
| |
| | | | |
| | | (60,100 | ) | | | (486,918 | ) | | | (128,884 | ) | | | (1,113,453 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 865,225 | | | | 7,245,425 | | | | 8,476,534 | | | | 77,306,996 | |
| | | | |
Reinvestment of distributions | | | 305,201 | | | | 2,606,413 | | | | 1,072,567 | | | | 8,841,293 | |
| | | | |
Shares redeemed | | | (6,929,075 | ) | | | (57,086,150 | ) | | | (21,312,615 | ) | | | (184,016,512 | ) |
|
| |
| | | | |
| | | (5,758,649 | ) | | | (47,234,312 | ) | | | (11,763,514 | ) | | | (97,868,223 | ) |
|
| |
| | | | |
NET DECREASE | | | (24,903,850 | ) | | $ | (205,673,057 | ) | | | (29,767,649 | ) | | $ | (254,465,663 | ) |
|
| |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Absolute Return Tracker Fund and Goldman Sachs Commodity Strategy Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2025 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 11-12, 2024 (the “Annual Meeting”). At the Annual Meeting, the Board also considered the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Management Agreement, the “Agreements”) between the Investment Adviser and CoreCommodity Management, LLC (the “Sub-Adviser”) on behalf of the Commodity Strategy Fund.
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement and the Sub-Advisory Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| | (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates and the Sub-Adviser, including, as applicable, information about: |
| | (i) | the structure, staff, and capabilities of the Investment Adviser and the Sub-Adviser and the Sub-Adviser’s portfolio management teams; |
| | (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| | (iii) | trends in employee headcount; |
| | (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| | (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| | (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
| | (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| | (d) | the terms of the Agreements and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| | (e) | fee and expense information for the Fund, including: |
| | (i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; and |
| | (ii) | the Fund’s expense trends over time; |
| | (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| | (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| | (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
| | (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
| | (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, (with respect to the Absolute Return Tracker Fund) securities lending, portfolio trading, distribution and other services; |
| | (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| | (l) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; information on the Sub-Adviser’s compensation arrangements; and the number and types of accounts managed by the portfolio managers; |
| | (m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (as well as the Sub-Adviser), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| | (n) | the Investment Adviser’s and Sub-Adviser’s processes and policies addressing various types of potential conflicts of interest; their approaches to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Funds and the respective services of the Investment Adviser and its affiliates, and the Sub-Adviser, as applicable. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. In addition, the Trustees periodically received written materials and oral presentations from the Sub-Adviser. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. The Trustees reviewed a written response prepared by the Sub-Adviser to a similar request for information submitted to the Sub-Adviser by the Investment Adviser. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates (including, with respect to the Commodity Strategy Fund, the Investment Adviser’s oversight of the Sub-Adviser). The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including developments associated with geopolitical events and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s and the Sub-Adviser’s efforts relating to business continuity planning. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates. In addition, the Trustees reviewed the Sub-Adviser oversight process that the Investment Adviser had employed, which included areas such as investment analytics, risk management and compliance.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2023, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2024. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. For the Absolute Return Tracker Fund, they noted the efforts of the Fund’s portfolio management team to continue to enhance the investment models used in managing the Fund.
The Trustees observed that the Absolute Return Tracker Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had outperformed the Fund’s U.S. Treasury-based benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2024. They also noted that the Absolute Return Tracker Fund had experienced a benchmark index change and certain portfolio management changes in 2022.
The Trustees considered that the Commodity Strategy Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and three-year periods, and in the fourth quartile for the five- and ten-year periods, and had outperformed the Fund’s benchmark index for the one- and three-year periods and underperformed for the five- and ten-year periods ended March 31, 2024. They noted that the Sub-Adviser began sub-advising the Commodity Strategy Fund at the beginning of 2021.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder and, with respect to the Commodity Strategy Fund, the fee rate payable by the Investment Adviser under the sub-advisory agreement with the Sub-Adviser. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. With respect to each Fund, the Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to the Fund’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2023 and 2022, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| | | | | | |
Average Daily Net Assets | | Absolute Return
Tracker Fund | | | | Commodity Strategy
Fund |
|
|
| | | |
First $1 billion | | 0.70% | | | | — |
Next $1 billion | | 0.63 | | | | — |
First $2 billion | | — | | | | 0.50% |
Next $3 billion | | 0.60 | | | | 0.45 |
Next $3 billion | | 0.59 | | | | 0.43 |
Over $8 billion | | 0.53 | | | | 0.42 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Absolute Return Tracker Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) with respect to the Absolute Return Tracker Fund, fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Absolute Return Tracker Fund’s cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (i) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; (j) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (k) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers (including the Sub-Adviser) may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Absolute Return Tracker Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2025.
Sub-Advisory Agreement with CoreCommodity Management, LLC
Nature, Extent, and Quality of the Services Provided Under the Sub-Advisory Agreement
In evaluating the Sub-Advisory Agreement, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and Sub-Adviser. In evaluating the nature, extent, and quality of services provided by the Sub-Adviser, the Trustees considered information on the services provided to the Fund by the Sub-Adviser, including information about the Sub-Adviser’s (a) personnel and compensation structure; (b) track record in managing the Fund and other funds and/or accounts with investment strategies similar to those employed on behalf of the Fund; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. In this regard, they also considered assessments provided by the Investment Adviser of the Sub-Adviser, the Sub-Adviser’s investment strategies and personnel, and its compliance program. The Trustees also considered information regarding the Sub-Adviser’s business continuity planning and remote operations capabilities.
Costs of Services Provided
The Trustees reviewed the terms of the Sub-Advisory Agreement, including the schedule of fees payable to the Sub-Adviser. They considered the breakpoints in the sub-advisory fee rate payable under the Sub-Advisory Agreement. The Trustees noted that the compensation paid to the Sub-Adviser is paid by the Investment Adviser, not by the Fund. They also considered the expense limitations that substantially reduce the fees retained by the Investment Adviser, and that the retention of the Sub-Adviser does not directly increase the fees incurred by the Fund for advisory services. They considered the Investment Adviser’s belief that the relationship between the management fees paid by the Fund and the sub-advisory fees paid by the Investment Adviser is appropriate given the level of services the Investment Adviser provides to the Fund and significant differences in cost drivers and risks associated with the respective services offered by the Investment Adviser and the Sub-Adviser.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Sub-Advisory Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees, including the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees paid by the Investment Adviser to the Sub-Adviser were reasonable in light of the factors considered, and that the Sub-Advisory Agreement should be approved and continued until June 30, 2025.
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 OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Robert Griffith, Secretary GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282 © 2024 Goldman Sachs. All rights reserved. SELSAT2SAR-24
Goldman Sachs Funds
Semi-Annual Financial Statements June 30, 2024
Goldman Sachs Dynamic Global Equity Fund
Goldman Sachs Dynamic Global Equity Fund
TABLE OF CONTENTS
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – 91.2% | |
| |
| | Equity(a) – 30.2% | |
| | 917,229 | | Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | $ | 31,332,551 | |
| | 1,148,488 | | Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | 27,908,246 | |
| | 1,493,880 | | Goldman Sachs International Equity Insights Fund — Class R6 | | | 22,467,961 | |
| | 1,038,845 | | Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | 9,287,271 | |
| | 393,217 | | Goldman Sachs Global Infrastructure Fund — Class R6 | | | 4,828,709 | |
| | 511,933 | | Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | 4,714,903 | |
| | 155,048 | | Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | 4,355,296 | |
| | 219,240 | | Goldman Sachs International Small Cap Insights Fund — Class R6 | | | 2,806,269 | |
| | | | | | | | |
| | | | | | | 107,701,206 | |
| | | |
| |
| | Exchange Traded Funds – 61.0% | |
| | 829,435 | | Goldman Sachs MarketBeta U.S. Equity ETF(a) | | | 62,008,561 | |
| | 539,702 | | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | | | 57,721,129 | |
| | 775,840 | | Goldman Sachs MarketBeta International Equity ETF(a) | | | 43,408,248 | |
| | 628,212 | | Goldman Sachs ActiveBeta International Equity ETF(a) | | | 21,139,334 | |
| | 422,500 | | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | | | 18,999,529 | |
| | 287,920 | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | | | 9,406,346 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Underlying Funds – (continued) | |
| |
| | Exchange Traded Funds – (continued) | |
| | 20,963 | | Industrial Select Sector SPDR Fund | | $ | 2,554,761 | |
| | 117,830 | | Invesco Optimum Yield Diversified | | | | |
| | | | Commodity Strategy No. K-1 ETF | | | 1,655,511 | |
| | 10,765 | | Energy Select Sector SPDR Fund | | | 981,230 | |
| | | | | | | | |
| | | | | | | 217,874,649 | |
| | | |
| | TOTAL UNDERLYING FUNDS – 91.2%
(Cost $252,009,678) | | $ | 325,575,855 | |
| | | |
| | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(a) – 4.1% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 14,499,622 | | 5.213% | | $ | 14,499,622 | |
| | (Cost $14,499,622) | | | | |
| | | |
| | TOTAL INVESTMENTS – 95.3%
(Cost $266,509,300) | | $ | 340,075,477 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.7% | | | 16,694,688 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 356,770,165 | |
| | | |
| | |
| 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 June 30, 2024, 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 | | USD | | | 1,275,096 | | | CHF | | | 1,130,000 | | | | 09/18/24 | | | | $ 5,236 | |
| | USD | | | 488,139 | | | DKK | | | 3,350,000 | | | | 09/18/24 | | | | 4,843 | |
| | USD | | | 5,570,026 | | | EUR | | | 5,130,000 | | | | 09/18/24 | | | | 54,917 | |
| | USD | | | 2,991,983 | | | GBP | | | 2,350,000 | | | | 09/18/24 | | | | 19,602 | |
| | USD | | | 53,413 | | | ILS | | | 200,000 | | | | 09/18/24 | | | | 276 | |
| | USD | | | 4,149,393 | | | JPY | | | 640,000,000 | | | | 09/18/24 | | | | 122,918 | |
| | USD | | | 24,446 | | | NZD | | | 40,000 | | | | 09/18/24 | | | | 83 | |
| | USD | | | 429,071 | | | SEK | | | 4,500,000 | | | | 09/18/24 | | | | 2,768 | |
| | USD | | | 156,177 | | | SGD | | | 210,000 | | | | 09/18/24 | | | | 727 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | $211,370 | |
|
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 1 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
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 | | USD | | | 990,451 | | | AUD | | | 1,500,000 | | | | 09/18/24 | | | | $(12,259 | ) |
| | USD | | | 237,435 | | | HKD | | | 1,850,000 | | | | 09/19/24 | | | | (2 | ) |
| | USD | | | 84,272 | | | NOK | | | 900,000 | | | | 09/18/24 | | | | (188 | ) |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | $(12,449 | ) |
|
| |
FUTURES CONTRACTS — At June 30, 2024, 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 | | 11 | | 09/20/24 | | | $ 580,305 | | | | $ 1,103 | |
S&P 500 E-Mini Index | | 204 | | 09/20/24 | | | 56,319,300 | | | | (130,798 | ) |
S&P Toronto Stock Exchange 60 Index | | 40 | | 09/19/24 | | | 7,663,463 | | | | 75,485 | |
TOPIX Futures | | 8 | | 09/12/24 | | | 1,397,476 | | | | 16,094 | |
|
| |
| | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | $ (38,116 | ) |
|
| |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2024, the Fund had the following purchased and written options:
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | $ 12.801 | | | | 09/18/2024 | | | | 672,000 | | | | $ 672,000 | | | | $ 1,367 | | | | $ 6,600 | | | | $ (5,233) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 12.694 | | | | 09/18/2024 | | | | 699,000 | | | | 699,000 | | | | 1,907 | | | | 4,808 | | | | (2,901) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.155 | | | | 12/18/2024 | | | | 542,000 | | | | 542,000 | | | | 2,955 | | | | 6,606 | | | | (3,651) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.062 | | | | 12/18/2024 | | | | 537,000 | | | | 537,000 | | | | 3,376 | | | | 5,225 | | | | (1,849) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.481 | | | | 03/19/2025 | | | | 469,000 | | | | 469,000 | | | | 3,786 | | | | 6,749 | | | | (2,963) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.391 | | | | 03/19/2025 | | | | 456,000 | | | | 456,000 | | | | 4,072 | | | | 5,612 | | | | (1,540) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.801 | | | | 06/18/2025 | | | | 416,000 | | | | 416,000 | | | | 4,269 | | | | 6,689 | | | | (2,420) | |
Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.705 | | | | 06/18/2025 | | | | 400,000 | | | | 400,000 | | | | 4,469 | | | | 5,734 | | | | (1,265) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 12.654 | | | | 09/18/2024 | | | | 750,000 | | | | 750,000 | | | | 1,365 | | | | 6,947 | | | | (5,582) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 12.634 | | | | 09/18/2024 | | | | 746,000 | | | | 746,000 | | | | 1,446 | | | | 4,581 | | | | (3,135) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 12.939 | | | | 12/18/2024 | | | | 607,000 | | | | 607,000 | | | | 3,083 | | | | 6,999 | | | | (3,916) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 12.935 | | | | 12/18/2024 | | | | 579,000 | | | | 579,000 | | | | 2,963 | | | | 4,887 | | | | (1,924) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.189 | | | | 03/19/2025 | | | | 529,000 | | | | 529,000 | | | | 3,898 | | | | 6,975 | | | | (3,077) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.189 | | | | 03/19/2025 | | | | 496,000 | | | | 496,000 | | | | 3,651 | | | | 5,221 | | | | (1,570) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.432 | | | | 06/18/2025 | | | | 473,000 | | | | 473,000 | | | | 4,414 | | | | 6,760 | | | | (2,346) | |
Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.433 | | | | 06/18/2025 | | | | 440,000 | | | | 440,000 | | | | 4,102 | | | | 5,353 | | | | (1,251) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 9.722 | | | | 09/13/2024 | | | | 76,636,000 | | | | 76,636,000 | | | | 321 | | | | 4,582 | | | | (4,261) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 9.422 | | | | 09/13/2024 | | | | 77,579,000 | | | | 77,579,000 | | | | 791 | | | | 3,779 | | | | (2,988) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.004 | | | | 12/18/2024 | | | | 60,173,000 | | | | 60,173,000 | | | | 1,129 | | | | 4,268 | | | | (3,139) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 9.713 | | | | 12/18/2024 | | | | 58,575,000 | | | | 58,575,000 | | | | 1,756 | | | | 3,727 | | | | (1,971) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.249 | | | | 03/19/2025 | | | | 51,940,000 | | | | 51,940,000 | | | | 1,574 | | | | 4,320 | | | | (2,746) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 9.959 | | | | 03/19/2025 | | | | 49,745,000 | | | | 49,745,000 | | | | 2,147 | | | | 3,767 | | | | (1,620) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.465 | | | | 06/18/2025 | | | | 46,595,000 | | | | 46,595,000 | | | | 1,922 | | | | 4,260 | | | | (2,338) | |
Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.177 | | | | 06/18/2025 | | | | 44,112,000 | | | | 44,112,000 | | | | 2,431 | | | | 3,806 | | | | (1,375) | |
| | |
| 2 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| | | | | | | | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | $ 1.420 | | | | 09/18/2024 | | | | 1,936,000 | | | | $ 1,936,000 | | | | $ 2,025 | | | | $ 10,609 | | | | $ (8,584) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.405 | | | | 09/18/2024 | | | | 2,008,000 | | | | 2,008,000 | | | | 3,948 | | | | 7,675 | | | | (3,727) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.435 | | | | 12/18/2024 | | | | 1,479,000 | | | | 1,479,000 | | | | 4,109 | | | | 10,146 | | | | (6,037) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.421 | | | | 12/18/2024 | | | | 1,444,000 | | | | 1,444,000 | | | | 5,519 | | | | 7,571 | | | | (2,052) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.443 | | | | 03/19/2025 | | | | 1,302,000 | | | | 1,302,000 | | | | 5,411 | | | | 10,325 | | | | (4,914) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.431 | | | | 03/19/2025 | | | | 1,233,000 | | | | 1,233,000 | | | | 6,347 | | | | 8,010 | | | | (1,663) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.452 | | | | 06/18/2025 | | | | 1,170,000 | | | | 1,170,000 | | | | 6,180 | | | | 10,085 | | | | (3,905) | |
Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.441 | | | | 06/18/2025 | | | | 1,093,000 | | | | 1,093,000 | | | | 6,796 | | | | 8,141 | | | | (1,345) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,077.290 | | | | 09/17/2024 | | | | 526,000 | | | | 526,000 | | | | 823 | | | | 6,517 | | | | (5,694) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,003.930 | | | | 09/17/2024 | | | | 534,000 | | | | 534,000 | | | | 3,962 | | | | 5,744 | | | | (1,782) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,109.790 | | | | 12/18/2024 | | | | 430,000 | | | | 430,000 | | | | 1,843 | | | | 6,602 | | | | (4,759) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,034.510 | | | | 12/18/2024 | | | | 423,000 | | | | 423,000 | | | | 4,774 | | | | 5,942 | | | | (1,168) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,136.330 | | | | 03/19/2025 | | | | 381,000 | | | | 381,000 | | | | 2,541 | | | | 6,933 | | | | (4,392) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,059.000 | | | | 03/19/2025 | | | | 368,000 | | | | 368,000 | | | | 5,183 | | | | 6,154 | | | | (971) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,162.170 | | | | 06/18/2025 | | | | 346,000 | | | | 346,000 | | | | 3,020 | | | | 6,957 | | | | (3,937) | |
Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,082.190 | | | | 06/18/2025 | | | | 332,000 | | | | 332,000 | | | | 5,436 | | | | 6,368 | | | | (932) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,444.280 | | | | 09/13/2024 | | | | 617,000 | | | | 617,000 | | | | 1,418 | | | | 4,893 | | | | (3,475) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,426.720 | | | | 09/13/2024 | | | | 590,000 | | | | 590,000 | | | | 2,137 | | | | 3,965 | | | | (1,828) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,464.640 | | | | 12/18/2024 | | | | 474,000 | | | | 474,000 | | | | 2,721 | | | | 4,631 | | | | (1,910) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,448.360 | | | | 12/18/2024 | | | | 443,000 | | | | 443,000 | | | | 3,200 | | | | 4,001 | | | | (801) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,477.240 | | | | 03/19/2025 | | | | 413,000 | | | | 413,000 | | | | 3,183 | | | | 4,630 | | | | (1,447) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,461.240 | | | | 03/19/2025 | | | | 384,000 | | | | 384,000 | | | | 3,515 | | | | 4,036 | | | | (521) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,489.980 | | | | 06/18/2025 | | | | 369,000 | | | | 369,000 | | | | 3,431 | | | | 4,484 | | | | (1,053) | |
Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,474.260 | | | | 06/18/2025 | | | | 341,000 | | | | 341,000 | | | | 3,641 | | | | 3,997 | | | | (356) | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 18.365 | | | | 09/18/2024 | | | | 684,000 | | | | 684,000 | | | | 20,579 | | | | 6,763 | | | | 13,816 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 18.377 | | | | 09/18/2024 | | | | 629,000 | | | | 629,000 | | | | 18,734 | | | | 5,178 | | | | 13,556 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 19.143 | | | | 12/18/2024 | | | | 524,000 | | | | 524,000 | | | | 16,905 | | | | 6,591 | | | | 10,314 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 19.216 | | | | 12/18/2024 | | | | 470,000 | | | | 470,000 | | | | 14,586 | | | | 5,352 | | | | 9,234 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 19.768 | | | | 03/19/2025 | | | | 462,000 | | | | 462,000 | | | | 15,528 | | | | 6,598 | | | | 8,930 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 19.889 | | | | 03/19/2025 | | | | 409,000 | | | | 409,000 | | | | 13,058 | | | | 5,651 | | | | 7,407 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 20.387 | | | | 06/18/2025 | | | | 418,000 | | | | 418,000 | | | | 14,704 | | | | 6,619 | | | | 8,085 | |
Call USD/Put MXN | | MS & Co. Int. PLC | | | 20.554 | | | | 06/18/2025 | | | | 368,000 | | | | 368,000 | | | | 12,199 | | | | 5,780 | | | | 6,419 | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 11.603 | | | | 09/18/2024 | | | | 248,000 | | | | 248,000 | | | | 493 | | | | 2,510 | | | | (2,017) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 11.440 | | | | 09/18/2024 | | | | 257,000 | | | | 257,000 | | | | 760 | | | | 1,837 | | | | (1,077) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 11.862 | | | | 12/18/2024 | | | | 193,000 | | | | 193,000 | | | | 1,030 | | | | 2,406 | | | | (1,376) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 11.704 | | | | 12/18/2024 | | | | 192,000 | | | | 192,000 | | | | 1,272 | | | | 1,909 | | | | (637) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.073 | | | | 03/19/2025 | | | | 167,000 | | | | 167,000 | | | | 1,322 | | | | 2,364 | | | | (1,042) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 11.918 | | | | 03/19/2025 | | | | 162,000 | | | | 162,000 | | | | 1,501 | | | | 1,967 | | | | (466) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.269 | | | | 06/18/2025 | | | | 149,000 | | | | 149,000 | | | | 1,500 | | | | 2,329 | | | | (829) | |
Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.114 | | | | 06/18/2025 | | | | 143,000 | | | | 143,000 | | | | 1,636 | | | | 1,998 | | | | (362) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.506 | | | | 09/18/2024 | | | | 776,000 | | | | 776,000 | | | | 1,409 | | | | 7,744 | | | | (6,335) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.415 | | | | 09/18/2024 | | | | 779,000 | | | | 779,000 | | | | 1,786 | | | | 5,423 | | | | (3,637) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.710 | | | | 12/18/2024 | | | | 612,000 | | | | 612,000 | | | | 3,040 | | | | 7,424 | | | | (4,384) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.628 | | | | 12/18/2024 | | | | 590,000 | | | | 590,000 | | | | 3,298 | | | | 5,549 | | | | (2,251) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.853 | | | | 03/19/2025 | | | | 534,000 | | | | 534,000 | | | | 3,958 | | | | 7,353 | | | | (3,395) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.779 | | | | 03/19/2025 | | | | 504,000 | | | | 504,000 | | | | 4,045 | | | | 5,701 | | | | (1,656) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.992 | | | | 06/18/2025 | | | | 478,000 | | | | 478,000 | | | | 4,491 | | | | 7,161 | | | | (2,670) | |
Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.919 | | | | 06/18/2025 | | | | 448,000 | | | | 448,000 | | | | 4,488 | | | | 5,757 | | | | (1,269) | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | 502,998,000 | | | | $502,998,000 | | | | $316,679 | | | | $404,635 | | | | $ (87,956) | |
|
| |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 91.990 | | | | 09/18/2024 | | | | 1,809,000 | | | | 1,809,000 | | | | 950 | | | | 12,158 | | | | (11,208) | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 3 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| | | | | | | | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | $ 95.675 | | | | 09/18/2024 | | | | 1,784,000 | | | | $ 1,784,000 | | | | $ 1,996 | | | | $ 9,453 | | | | $ (7,457) | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 89.340 | | | | 12/18/2024 | | | | 1,384,000 | | | | 1,384,000 | | | | 2,526 | | | | 11,968 | | | | (9,442) | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 92.694 | | | | 12/18/2024 | | | | 1,303,000 | | | | 1,303,000 | | | | 3,680 | | | | 9,452 | | | | (5,772) | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 87.080 | | | | 03/19/2025 | | | | 1,170,000 | | | | 1,170,000 | | | | 3,485 | | | | 11,836 | | | | (8,351) | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 90.175 | | | | 03/19/2025 | | | | 1,077,000 | | | | 1,077,000 | | | | 4,521 | | | | 9,634 | | | | (5,113) | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 85.260 | | | | 06/18/2025 | | | | 1,042,000 | | | | 1,042,000 | | | | 4,398 | | | | 12,139 | | | | (7,741) | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 88.108 | | | | 06/18/2025 | | | | 941,000 | | | | 941,000 | | | | 5,261 | | | | 9,796 | | | | (4,535) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.618 | | | | 09/18/2024 | | | | 875,000 | | | | 875,000 | | | | 707 | | | | 4,804 | | | | (4,097) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.631 | | | | 09/18/2024 | | | | 856,000 | | | | 856,000 | | | | 1,377 | | | | 4,095 | | | | (2,718) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.609 | | | | 12/18/2024 | | | | 660,000 | | | | 660,000 | | | | 1,609 | | | | 4,670 | | | | (3,061) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.621 | | | | 12/18/2024 | | | | 622,000 | | | | 622,000 | | | | 2,226 | | | | 4,023 | | | | (1,797) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.603 | | | | 03/19/2025 | | | | 561,000 | | | | 561,000 | | | | 2,130 | | | | 4,638 | | | | (2,508) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.614 | | | | 03/19/2025 | | | | 519,000 | | | | 519,000 | | | | 2,590 | | | | 4,001 | | | | (1,411) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.598 | | | | 06/18/2025 | | | | 496,000 | | | | 496,000 | | | | 2,509 | | | | 4,583 | | | | (2,074) | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.607 | | | | 06/18/2025 | | | | 453,000 | | | | 453,000 | | | | 2,815 | | | | 3,995 | | | | (1,180) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 103.370 | | | | 09/18/2024 | | | | 1,061,000 | | | | 1,061,000 | | | | 591 | | | | 7,243 | | | | (6,652) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 106.830 | | | | 09/18/2024 | | | | 1,103,000 | | | | 1,103,000 | | | | 1,400 | | | | 5,593 | | | | (4,193) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 100.580 | | | | 12/18/2024 | | | | 824,000 | | | | 824,000 | | | | 1,591 | | | | 6,862 | | | | (5,271) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 103.800 | | | | 12/18/2024 | | | | 813,000 | | | | 813,000 | | | | 2,571 | | | | 5,658 | | | | (3,087) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 98.300 | | | | 03/19/2025 | | | | 712,000 | | | | 712,000 | | | | 2,246 | | | | 6,958 | | | | (4,712) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 101.330 | | | | 03/19/2025 | | | | 682,000 | | | | 682,000 | | | | 3,149 | | | | 5,805 | | | | (2,656) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 96.390 | | | | 06/18/2025 | | | | 638,000 | | | | 638,000 | | | | 2,825 | | | | 7,146 | | | | (4,321) | |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 99.300 | | | | 06/18/2025 | | | | 602,000 | | | | 602,000 | | | | 3,651 | | | | 6,100 | | | | (2,449) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 84.020 | | | | 09/18/2024 | | | | 1,572,000 | | | | 1,572,000 | | | | 735 | | | | 9,261 | | | | (8,526) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 86.860 | | | | 09/18/2024 | | | | 1,578,000 | | | | 1,578,000 | | | | 1,467 | | | | 7,871 | | | | (6,404) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 81.440 | | | | 12/18/2024 | | | | 1,208,000 | | | | 1,208,000 | | | | 2,023 | | | | 9,277 | | | | (7,254) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 84.042 | | | | 12/18/2024 | | | | 1,160,000 | | | | 1,160,000 | | | | 2,867 | | | | 7,865 | | | | (4,998) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 79.260 | | | | 03/19/2025 | | | | 1,027,000 | | | | 1,027,000 | | | | 2,809 | | | | 9,421 | | | | (6,612) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 81.672 | | | | 03/19/2025 | | | | 962,000 | | | | 962,000 | | | | 3,567 | | | | 7,935 | | | | (4,368) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 77.490 | | | | 06/18/2025 | | | | 915,000 | | | | 915,000 | | | | 3,545 | | | | 9,663 | | | | (6,118) | |
Put NZD/Call JPY | | MS & Co. Int. PLC | | | 79.724 | | | | 06/18/2025 | | | | 838,000 | | | | 838,000 | | | | 4,163 | | | | 8,077 | | | | (3,914) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.564 | | | | 09/18/2024 | | | | 952,000 | | | | 952,000 | | | | 757 | | | | 4,984 | | | | (4,227) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.573 | | | | 09/18/2024 | | | | 938,000 | | | | 938,000 | | | | 1,266 | | | | 4,210 | | | | (2,944) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.555 | | | | 12/18/2024 | | | | 720,000 | | | | 720,000 | | | | 1,670 | | | | 4,811 | | | | (3,141) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.563 | | | | 12/18/2024 | | | | 683,000 | | | | 683,000 | | | | 2,112 | | | | 4,032 | | | | (1,920) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.549 | | | | 03/19/2025 | | | | 615,000 | | | | 615,000 | | | | 2,207 | | | | 4,730 | | | | (2,523) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.556 | | | | 03/19/2025 | | | | 573,000 | | | | 573,000 | | | | 2,515 | | | | 4,044 | | | | (1,529) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.543 | | | | 06/18/2025 | | | | 544,000 | | | | 544,000 | | | | 2,575 | | | | 4,768 | | | | (2,193) | |
Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.549 | | | | 06/18/2025 | | | | 499,000 | | | | 499,000 | | | | 2,745 | | | | 4,032 | | | | (1,287) | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | 36,771,000 | | | | $ 36,771,000 | | | | $ 97,827 | | | | $277,591 | | | | $(179,764) | |
|
| |
| | | | | | |
| Total purchased option contracts | | | | | | | | 539,769,000 | | | | $539,769,000 | | | | $414,506 | | | | $682,226 | | | | $(267,720) | |
|
| |
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 | | | $5,560.000 | | | | 07/01/2024 | | | | (8 | ) | | | $ (4,448,000 | ) | | | $ (20 | ) | | | $ (3,928 | ) | | | $ 3,908 | |
| | |
| 4 | | 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 | | | $5,500.000 | | | 07/03/2024 | | | (6 | ) | | | $ (3,300,000 | ) | | | $ (5,130 | ) | | | $ (6,652 | ) | | | $ 1,522 | |
S&P 500 Index | | | 5,565.000 | | | 07/03/2024 | | | (8 | ) | | | (4,452,000 | ) | | | (200 | ) | | | (1,987 | ) | | | 1,787 | |
S&P 500 Index | | | 5,550.000 | | | 07/10/2024 | | | (6 | ) | | | (3,330,000 | ) | | | (4,890 | ) | | | (12,881 | ) | | | 7,991 | |
S&P 500 Index | | | 5,700.000 | | | 07/17/2024 | | | (6 | ) | | | (3,420,000 | ) | | | (630 | ) | | | (4,398 | ) | | | 3,768 | |
S&P 500 Index | | | 5,650.000 | | | 07/24/2024 | | | (6 | ) | | | (3,390,000 | ) | | | (3,840 | ) | | | (5,646 | ) | | | 1,806 | |
S&P 500 Index | | | 5,470.000 | | | 07/31/2024 | | | (1 | ) | | | (547,000 | ) | | | (8,090 | ) | | | (4,689 | ) | | | (3,401) | |
S&P 500 Index | | | 5,475.000 | | | 07/31/2024 | | | (1 | ) | | | (547,500 | ) | | | (7,760 | ) | | | (4,756 | ) | | | (3,004) | |
S&P 500 Index | | | 5,490.000 | | | 07/31/2024 | | | (1 | ) | | | (549,000 | ) | | | (6,890 | ) | | | (2,709 | ) | | | (4,181) | |
S&P 500 Index | | | 5,525.000 | | | 07/31/2024 | | | (1 | ) | | | (552,500 | ) | | | (5,060 | ) | | | (3,419 | ) | | | (1,641) | |
|
| |
| | | | | | | |
| | | | | | | | | (44 | ) | | | $(24,536,000 | ) | | | $(42,510 | ) | | | $ (51,065 | ) | | | $ 8,555 | |
|
| |
| | | | |
Puts | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 5,390.000 | | | 07/01/2024 | | | (16 | ) | | | (8,624,000 | ) | | | (840 | ) | | | (9,410 | ) | | | 8,570 | |
S&P 500 Index | | | 5,240.000 | | | 07/03/2024 | | | (5 | ) | | | (2,620,000 | ) | | | (163 | ) | | | (13,902 | ) | | | 13,739 | |
S&P 500 Index | | | 5,400.000 | | | 07/03/2024 | | | (16 | ) | | | (8,640,000 | ) | | | (4,840 | ) | | | (10,388 | ) | | | 5,548 | |
S&P 500 Index | | | 5,235.000 | | | 07/10/2024 | | | (12 | ) | | | (6,282,000 | ) | | | (2,070 | ) | | | (13,037 | ) | | | 10,967 | |
S&P 500 Index | | | 5,330.000 | | | 07/17/2024 | | | (12 | ) | | | (6,396,000 | ) | | | (14,880 | ) | | | (20,807 | ) | | | 5,927 | |
S&P 500 Index | | | 5,325.000 | | | 07/24/2024 | | | (12 | ) | | | (6,390,000 | ) | | | (20,700 | ) | | | (21,230 | ) | | | 530 | |
S&P 500 Index | | | 5,180.000 | | | 07/31/2024 | | | (1 | ) | | | (518,000 | ) | | | (1,085 | ) | | | (6,058 | ) | | | 4,973 | |
S&P 500 Index | | | 5,230.000 | | | 07/31/2024 | | | (1 | ) | | | (523,000 | ) | | | (1,400 | ) | | | (4,588 | ) | | | 3,188 | |
S&P 500 Index | | | 5,245.000 | | | 07/31/2024 | | | (1 | ) | | | (524,500 | ) | | | (1,515 | ) | | | (7,309 | ) | | | 5,794 | |
S&P 500 Index | | | 5,265.000 | | | 07/31/2024 | | | (1 | ) | | | (526,500 | ) | | | (1,705 | ) | | | (6,319 | ) | | | 4,614 | |
|
| |
| | | | | | | |
| | | | | | | | | (77 | ) | | | $(41,044,000 | ) | | | $(49,198 | ) | | | $(113,048 | ) | | | $63,850 | |
|
| |
| | | | | | | |
Total written option contracts | | | | | | | | | (121 | ) | | | $(65,580,000 | ) | | | $(91,708 | ) | | | $(164,113 | ) | | | $72,405 | |
|
| |
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 | | | $95.250 | | | | 09/13/2024 | | | | 15 | | | | $ 37,500 | | | | $ 656 | | | | $ 60,735 | | | | $ (60,079 | ) |
3 Month SOFR | | | 95.375 | | | | 09/13/2024 | | | | 6 | | | | 15,000 | | | | 225 | | | | 24,468 | | | | (24,243 | ) |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 23 | | | | 57,500 | | | | 575 | | | | 32,679 | | | | (32,104 | ) |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 47 | | | | 117,500 | | | | 588 | | | | 63,153 | | | | (62,565 | ) |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 24 | | | | 60,000 | | | | 2,100 | | | | 37,784 | | | | (35,684 | ) |
3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 79 | | | | 197,500 | | | | 2,963 | | | | 127,273 | | | | (124,310 | ) |
3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 365 | | | | 912,500 | | | | 4,563 | | | | 69,147 | | | | (64,584 | ) |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 25 | | | | 62,500 | | | | 5,156 | | | | 42,333 | | | | (37,177 | ) |
3 Month SOFR | | | 97.000 | | | | 03/14/2025 | | | | 51 | | | | 127,500 | | | | 6,056 | | | | 67,693 | | | | (61,637 | ) |
3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 72 | | | | 180,000 | | | | 6,300 | | | | 131,717 | | | | (125,417 | ) |
3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 242 | | | | 605,000 | | | | 9,075 | | | | 73,536 | | | | (64,461 | ) |
3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 112 | | | | 280,000 | | | | 63,700 | | | | 201,222 | | | | (137,522 | ) |
3 Month SOFR | | | 96.625 | | | | 06/13/2025 | | | | 25 | | | | 62,500 | | | | 9,531 | | | | 43,077 | | | | (33,546 | ) |
3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 66 | | | | 165,000 | | | | 13,200 | | | | 81,708 | | | | (68,508 | ) |
3 Month SOFR | | | 96.000 | | | | 09/12/2025 | | | | 31 | | | | 77,500 | | | | 33,713 | | | | 30,297 | | | | 3,416 | |
3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 139 | | | | 347,500 | | | | 93,825 | | | | 232,460 | | | | (138,635 | ) |
3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 24 | | | | 60,000 | | | | 14,400 | | | | 44,642 | | | | (30,242 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 5 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
|
|
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 | | | $97.500 | | | 09/12/2025 | | | 76 | | | | $ 190,000 | | | | $ 19,000 | | | | $ 85,676 | | | | $ (66,676 | ) |
3 Month SOFR | | | 96.125 | | | 12/12/2025 | | | 49 | | | | 122,500 | | | | 61,556 | | | | 55,239 | | | | 6,317 | |
3 Month SOFR | | | 96.500 | | | 12/12/2025 | | | 128 | | | | 320,000 | | | | 116,000 | | | | 235,710 | | | | (119,710 | ) |
3 Month SOFR | | | 97.500 | | | 12/12/2025 | | | 70 | | | | 175,000 | | | | 24,500 | | | | 84,162 | | | | (59,662 | ) |
3 Month SOFR | | | 96.250 | | | 03/13/2026 | | | 46 | | | | 115,000 | | | | 61,813 | | | | 57,607 | | | | 4,206 | |
3 Month SOFR | | | 96.625 | | | 03/13/2026 | | | 38 | | | | 95,000 | | | | 37,525 | | | | 56,613 | | | | (19,088 | ) |
3 Month SOFR | | | 96.750 | | | 03/13/2026 | | | 107 | | | | 267,500 | | | | 94,962 | | | | 189,398 | | | | (94,436 | ) |
3 Month SOFR | | | 96.250 | | | 06/12/2026 | | | 42 | | | | 105,000 | | | | 64,050 | | | | 59,716 | | | | 4,334 | |
3 Month SOFR | | | 96.625 | | | 06/12/2026 | | | 36 | | | | 90,000 | | | | 40,950 | | | | 56,784 | | | | (15,834 | ) |
3 Month SOFR | | | 96.750 | | | 06/12/2026 | | | 111 | | | | 277,500 | | | | 113,775 | | | | 200,195 | | | | (86,420 | ) |
3 Month SOFR | | | 96.375 | | | 09/11/2026 | | | 42 | | | | 105,000 | | | | 63,787 | | | | 60,472 | | | | 3,315 | |
3 Month SOFR | | | 96.625 | | | 09/11/2026 | | | 34 | | | | 85,000 | | | | 42,925 | | | | 56,604 | | | | (13,679 | ) |
3 Month SOFR | | | 96.375 | | | 12/11/2026 | | | 39 | | | | 97,500 | | | | 62,887 | | | | 60,541 | | | | 2,346 | |
|
| |
| | | | | | | |
TOTAL | | | | | | | | | 2,164 | | | | $5,410,000 | | | | $1,070,356 | | | | $2,622,641 | | | | $(1,552,285 | ) |
|
| |
| | |
|
|
| 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 |
| SPDR | | —Standard and Poor’s Depository Receipt |
|
|
| | |
|
|
| Abbreviations: |
| MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
| SOFR | | —Secured Overnight Financing Rate |
|
|
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Statement of Assets and Liabilities June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | |
| | Assets: | | | | | | |
| | | |
| | Investments in affiliated issuers, at value (cost $261,187,762) | | $ | 334,883,975 | | | |
| | Investments in unaffiliated issuers, at value (cost $5,321,538) | | | 5,191,502 | | | |
| | Purchased options, at value (premium paid $3,304,867) | | | 1,484,862 | | | |
| | Cash | | | 4,713,883 | | | |
| | Foreign currencies, at value (cost $113,000) | | | 127,167 | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 211,370 | | | |
| | Receivables: | | | | | | |
| | Collateral on certain derivative contracts(a) | | | 11,043,825 | | | |
| | Dividends | | | 53,631 | | | |
| | Reimbursement from investment adviser | | | 30,796 | | | |
| | Fund shares sold | | | 22,615 | | | |
| | Other assets | | | 68,084 | | | |
| | |
| | Total assets | | | 357,831,710 | | | |
| | |
| | | | | | | | |
| | | |
| | Liabilities: | | | | | | |
| | | |
| | Variation margin on futures contracts | | | 274,713 | | | |
| | Written option contracts, at value (premium received $164,113) | | | 91,708 | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 12,449 | | | |
| | Payables: | | | | | | |
| | Due to broker | | | 325,240 | | | |
| | Fund shares redeemed | | | 87,662 | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 68,571 | | | |
| | Investments purchased | | | 53,630 | | | |
| | Management fees | | | 43,676 | | | |
| | Accrued expenses | | | 103,896 | | | |
| | |
| | Total liabilities | | | 1,061,545 | | | |
| | |
| | | | | | | | |
| | | |
| | Net Assets: | | | | | | |
| | | |
| | Paid-in capital | | | 265,912,616 | | | |
| | Total distributable earnings | | | 90,857,549 | | | |
| | |
| | NET ASSETS | | $ | 356,770,165 | | | |
| | | Net Assets: | | | | | | |
| | | Class A | | $ | 164,804,036 | | | |
| | | Class C | | | 6,645,875 | | | |
| | | Institutional | | | 18,114,090 | | | |
| | | Service | | | 264,760 | | | |
| | | Investor | | | 6,812,989 | | | |
| | | Class R6 | | | 3,754,569 | | | |
| | | Class R | | | 6,038,302 | | | |
| | | Class P | | | 150,335,544 | | | |
| | | Total Net Assets | | $ | 356,770,165 | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | |
| | | Class A | | | 7,466,726 | | | |
| | | Class C | | | 313,425 | | | |
| | | Institutional | | | 805,908 | | | |
| | | Service | | | 12,009 | | | |
| | | Investor | | | 314,101 | | | |
| | | Class R6 | | | 166,561 | | | |
| | | Class R | | | 277,247 | | | |
| | | Class P | | | 6,682,175 | | | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | |
| | | Class A | | | $22.07 | | | |
| | | Class C | | | 21.20 | | | |
| | | Institutional | | | 22.48 | | | |
| | | Service | | | 22.05 | | | |
| | | Investor | | | 21.69 | | | |
| | | Class R6 | | | 22.54 | | | |
| | | Class R | | | 21.78 | | | |
| | | Class P | | | 22.50 | | | |
| | (a) | Includes segregated cash of $2,844,468 and $8,199,357 relating to initial margin requirements and/or collateral on futures and option contracts respectively. |
| | (b) | Maximum public offering price per share for Class A Shares is $23.35. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Statement of Operations For the Six Months Ended June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | |
| | | Investment Income: | | | | | | |
| | | |
| | Dividends — affiliated issuers | | $ | 2,602,270 | | | |
| | Interest | | | 64,598 | | | |
| | Dividends — unaffiliated issuers | | | 16,528 | | | |
| | |
| | | |
| | Total investment income | | | 2,683,396 | | | |
| | |
| | | | | | | | |
| | | |
| | Expenses: | | | | | | |
| | | |
| | Management fees | | | 255,799 | | | |
| | Distribution and Service (12b-1) fees(a) | | | 239,922 | | | |
| | Transfer Agency fees(a) | | | 159,371 | | | |
| | Registration fees | | | 62,475 | | | |
| | Professional fees | | | 46,160 | | | |
| | Custody, accounting and administrative services | | | 40,279 | | | |
| | Printing and mailing costs | | | 35,703 | | | |
| | Trustee fees | | | 10,757 | | | |
| | Service fees — Class C | | | 8,133 | | | |
| | Shareholder Administration fees — Service Class | | | 325 | | | |
| | Other | | | 7,882 | | | |
| | |
| | | |
| | Total expenses | | | 866,806 | | | |
| | |
| | | |
| | Less — expense reductions | | | (197,972 | ) | | |
| | |
| | | |
| | Net expenses | | | 668,834 | | | |
| | |
| | | |
| | NET INVESTMENT INCOME | | | 2,014,562 | | | |
| | |
| | | | | | | | |
| | | |
| | Realized and unrealized gain (loss): | | | | | | |
| | | |
| | Net realized gain (loss) from: | | | | | | |
| | Investments — affiliated issuers | | | 1,135,910 | | | |
| | Purchased options | | | (531,094 | ) | | |
| | Futures contracts | | | 7,639,409 | | | |
| | Written options | | | 111,421 | | | |
| | Forward foreign currency exchange contracts | | | 413,445 | | | |
| | Foreign currency transactions | | | (215 | ) | | |
| | Net change in unrealized gain (loss) on: | | | | | | |
| | Investments — affiliated issuers | | | 28,888,595 | | | |
| | Investments — unaffiliated issuers | | | (130,036 | ) | | |
| | Purchased options | | | (1,057,502 | ) | | |
| | Futures contracts | | | (1,570,453 | ) | | |
| | Written options | | | 93,562 | | | |
| | Forward foreign currency exchange contracts | | | 541,937 | | | |
| | Foreign currency translation | | | (1,746 | ) | | |
| | |
| | | |
| | Net realized and unrealized gain | | | 35,533,233 | | | |
| | |
| | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 37,547,795 | | | |
| | |
| | (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 |
Goldman Sachs Dynamic Global Equity Fund | | $200,310 | | $24,398 | | $325 | | $14,889 | | $120,186 | | $4,880 | | $3,536 | | $52 | | $4,610 | | $611 | | $4,467 | | $21,029 |
| | |
| 8 | | 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
Six Months Ended
June 30, 2024
(Unaudited) | | | For the Fiscal Year Ended
December 31, 2023 | | | |
| | | | |
| | | From operations: | | | | | | | | | | |
| | | | |
| | Net investment income | | | $ 2,014,562 | | | | $ 5,511,609 | | | |
| | | | |
| | Net realized gain | | | 8,768,876 | | | | 27,415,138 | | | |
| | | | |
| | Net change in unrealized gain | | | 26,764,357 | | | | 24,578,922 | | | |
| | |
| | | | |
| | Net increase in net assets resulting from operations | | | 37,547,795 | | | | 57,505,669 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Distributions to shareholders: | | | | | | | | | | |
| | | | |
| | From distributable earnings: | | | | | | | | | | |
| | | | |
| | Class A Shares | | | — | | | | (7,548,116 | ) | | |
| | | | |
| | Class C Shares | | | — | | | | (278,828 | ) | | |
| | | | |
| | Institutional Shares | | | — | | | | (857,811 | ) | | |
| | | | |
| | Service Shares | | | — | | | | (12,550 | ) | | |
| | | | |
| | Investor Shares | | | — | | | | (294,543 | ) | | |
| | | | |
| | Class R6 Shares | | | — | | | | (194,124 | ) | | |
| | | | |
| | Class R Shares | | | — | | | | (277,760 | ) | | |
| | | | |
| | Class P Shares | | | — | | | | (6,762,450 | ) | | |
| | |
| | | | |
| | Total distributions to shareholders | | | — | | | | (16,226,182 | ) | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | From share transactions: | | | | | | | | | | |
| | | | |
| | Proceeds from sales of shares | | | 11,338,746 | | | | 15,797,611 | | | |
| | | | |
| | Reinvestment of distributions | | | — | | | | 15,609,200 | | | |
| | | | |
| | Cost of shares redeemed | | | (20,197,339 | ) | | | (37,806,273 | ) | | |
| | |
| | | | |
| | Net decrease in net assets resulting from share transactions | | | (8,858,593 | ) | | | (6,399,462 | ) | | |
| | |
| | | | |
| | TOTAL INCREASE | | | 28,689,202 | | | | 34,880,025 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Net assets: | | | | | | | | | | |
| | | | |
| | Beginning of period | | | 328,080,963 | | | | 293,200,938 | | | |
| | |
| | | | |
| | End of period | | | $356,770,165 | | | | $328,080,963 | | | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 19.79 | | | | $ | 17.31 | | | | $ | 22.80 | | | | $ | 21.36 | | | | $ | 19.32 | | | | $ | 16.26 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.11 | | | | | 0.31 | | | | | 0.28 | | | | | 0.31 | | | | | 0.18 | | | | | 0.29 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.17 | | | | | 3.16 | | | | | (4.67 | ) | | | | 3.96 | | | | | 2.36 | | | | | 3.86 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.28 | | | | | 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 period | | | $ | 22.07 | | | | $ | 19.79 | | | | $ | 17.31 | | | | $ | 22.80 | | | | $ | 21.36 | | | | $ | 19.32 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.52 | % | | | | 20.22 | % | | | | (19.31 | )% | | | | 20.07 | % | | | | 13.15 | % | | | | 25.66 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 164,804 | | | | $ | 155,912 | | | | $ | 140,666 | | | | $ | 185,213 | | | | $ | 166,449 | | | | $ | 162,028 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.55 | %(e) | | | | 0.56 | % | | | | 0.56 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.67 | %(e) | | | | 0.70 | % | | | | 0.70 | % | | | | 0.60 | % | | | | 0.64 | % | | | | 0.66 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.01 | %(e) | | | | 1.62 | % | | | | 1.42 | % | | | | 1.29 | % | | | | 0.98 | % | | | | 1.56 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 10 | | 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 Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 19.09 | | | | $ | 16.72 | | | | $ | 22.04 | | | | $ | 20.71 | | | | $ | 18.74 | | | | $ | 15.77 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.02 | | | | | 0.15 | | | | | 0.11 | | | | | 0.10 | | | | | 0.02 | | | | | 0.10 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.09 | | | | | 3.06 | | | | | (4.49 | ) | | | | 3.86 | | | | | 2.28 | | | | | 3.77 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.11 | | | | | 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 period | | | $ | 21.20 | | | | $ | 19.09 | | | | $ | 16.72 | | | | $ | 22.04 | | | | $ | 20.71 | | | | $ | 18.74 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.05 | % | | | | 19.37 | % | | | | (19.91 | )% | | | | 19.19 | % | | | | 12.29 | % | | | | 24.72 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 6,646 | | | | $ | 6,436 | | | | $ | 6,659 | | | | $ | 10,309 | | | | $ | 13,716 | | | | $ | 17,348 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 1.30 | %(e) | | | | 1.31 | % | | | | 1.31 | % | | | | 1.31 | % | | | | 1.32 | % | | | | 1.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 1.42 | %(e) | | | | 1.45 | % | | | | 1.45 | % | | | | 1.35 | % | | | | 1.39 | % | | | | 1.41 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.24 | %(e) | | | | 0.81 | % | | | | 0.59 | % | | | | 0.45 | % | | | | 0.13 | % | | | | 0.58 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 20.12 | | | | $ | 17.58 | | | | $ | 23.13 | | | | $ | 21.63 | | | | $ | 19.55 | | | | $ | 16.43 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.38 | | | | | 0.35 | | | | | 0.39 | | | | | 0.23 | | | | | 0.34 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.22 | | | | | 3.22 | | | | | (4.73 | ) | | | | 4.03 | | | | | 2.42 | | | | | 3.93 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.36 | | | | | 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 period | | | $ | 22.48 | | | | $ | 20.12 | | | | $ | 17.58 | | | | $ | 23.13 | | | | $ | 21.63 | | | | $ | 19.55 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.73 | % | | | | 20.65 | % | | | | (18.98 | )% | | | | 20.50 | % | | | | 13.56 | % | | | | 26.18 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 18,114 | | | | $ | 16,692 | | | | $ | 14,970 | | | | $ | 19,052 | | | | $ | 14,179 | | | | $ | 13,423 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.19 | %(e) | | | | 0.20 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.19 | % | | | | 0.20 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.31 | %(e) | | | | 0.33 | % | | | | 0.33 | % | | | | 0.24 | % | | | | 0.26 | % | | | | 0.28 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.37 | %(e) | | | | 1.99 | % | | | | 1.80 | % | | | | 1.62 | % | | | | 1.25 | % | | | | 1.82 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 12 | | 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 Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Service Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 19.79 | | | | $ | 17.30 | | | | $ | 22.78 | | | | $ | 21.35 | | | | $ | 19.30 | | | | $ | 16.20 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.09 | | | | | 0.27 | | | | | 0.25 | | | | | 0.29 | | | | | 0.15 | | | | | 0.21 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.17 | | | | | 3.18 | | | | | (4.66 | ) | | | | 3.94 | | | | | 2.37 | | | | | 3.89 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.26 | | | | | 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 | | | $ | 22.05 | | | | $ | 19.79 | | | | $ | 17.30 | | | | $ | 22.78 | | | | $ | 21.35 | | | | $ | 19.30 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.42 | % | | | | 20.09 | % | | | | (19.39 | )% | | | | 19.90 | % | | | | 13.04 | % | | | | 25.49 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 265 | | | | $ | 252 | | | | $ | 244 | | | | $ | 310 | | | | $ | 269 | | | | $ | 380 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.69 | %(e) | | | | 0.70 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.70 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.81 | %(e) | | | | 0.83 | % | | | | 0.83 | % | | | | 0.74 | % | | | | 0.76 | % | | | | 0.78 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.87 | %(e) | | | | 1.45 | % | | | | 1.30 | % | | | | 1.21 | % | | | | 0.79 | % | | | | 1.16 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 19.43 | | | | $ | 17.01 | | | | $ | 22.43 | | | | $ | 21.05 | | | | $ | 19.04 | | | | $ | 16.03 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.13 | | | | | 0.35 | | | | | 0.33 | | | | | 0.38 | | | | | 0.23 | | | | | 0.30 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.13 | | | | | 3.11 | | | | | (4.60 | ) | | | | 3.89 | | | | | 2.33 | | | | | 3.84 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.26 | | | | | 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 period | | | $ | 21.69 | | | | $ | 19.43 | | | | $ | 17.01 | | | | $ | 22.43 | | | | $ | 21.05 | | | | $ | 19.04 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.63 | % | | | | 20.52 | % | | | | (19.08 | )% | | | | 20.36 | % | | | | 13.44 | % | | | | 25.97 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 6,813 | | | | $ | 5,682 | | | | $ | 4,888 | | | | $ | 5,797 | | | | $ | 4,908 | | | | $ | 4,517 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.30 | %(e) | | | | 0.31 | % | | | | 0.31 | % | | | | 0.31 | % | | | | 0.32 | % | | | | 0.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.42 | %(e) | | | | 0.45 | % | | | | 0.45 | % | | | | 0.35 | % | | | | 0.39 | % | | | | 0.41 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.30 | %(e) | | | | 1.90 | % | | | | 1.72 | % | | | | 1.61 | % | | | | 1.24 | % | | | | 1.66 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 14 | | 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 Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 20.18 | | | | $ | 17.63 | | | | $ | 23.14 | | | | $ | 21.63 | | | | $ | 19.55 | | | | $ | 16.44 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.14 | | | | | 0.39 | | | | | 0.01 | | | | | 0.40 | | | | | 0.25 | | | | | 0.49 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.22 | | | | | 3.22 | | | | | (4.39 | ) | | | | 4.03 | | | | | 2.40 | | | | | 3.78 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.36 | | | | | 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 period | | | $ | 22.54 | | | | $ | 20.18 | | | | $ | 17.63 | | | | $ | 23.14 | | | | $ | 21.63 | | | | $ | 19.55 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.69 | % | | | | 20.66 | % | | | | (18.99 | )% | | | | 20.55 | % | | | | 13.57 | % | | | | 26.14 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 3,755 | | | | $ | 4,139 | | | | $ | 2,980 | | | | $ | 544,796 | | | | $ | 490,832 | | | | $ | 478,073 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.30 | %(e) | | | | 0.32 | % | | | | 0.23 | % | | | | 0.23 | % | | | | 0.25 | % | | | | 0.26 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.31 | %(e) | | | | 2.00 | % | | | | 0.04 | % | | | | 1.66 | % | | | | 1.36 | % | | | | 2.55 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Class R Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 19.56 | | | | $ | 17.12 | | | | $ | 22.56 | | | | $ | 21.17 | | | | $ | 19.15 | | | | $ | 16.13 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.08 | | | | | 0.26 | | | | | 0.23 | | | | | 0.23 | | | | | 0.13 | | | | | 0.24 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.14 | | | | | 3.13 | | | | | (4.61 | ) | | | | 3.94 | | | | | 2.34 | | | | | 3.82 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.22 | | | | | 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 period | | | $ | 21.78 | | | | $ | 19.56 | | | | $ | 17.12 | | | | $ | 22.56 | | | | $ | 21.17 | | | | $ | 19.15 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.35 | % | | | | 19.95 | % | | | | (19.49 | )% | | | | 19.76 | % | | | | 12.88 | % | | | | 25.36 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 6,038 | | | | $ | 5,887 | | | | $ | 5,292 | | | | $ | 6,611 | | | | $ | 5,700 | | | | $ | 5,922 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.80 | %(e) | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.83 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.92 | %(e) | | | | 0.95 | % | | | | 0.95 | % | | | | 0.85 | % | | | | 0.89 | % | | | | 0.91 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 0.75 | %(e) | | | | 1.38 | % | | | | 1.19 | % | | | | 0.97 | % | | | | 0.70 | % | | | | 1.31 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 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 Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Dynamic Global Equity Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of year | | | $ | 20.14 | | | | $ | 17.59 | | | | $ | 23.15 | | | | $ | 21.64 | | | | $ | 19.56 | | | | $ | 16.44 | | | |
| | |
| | | | | | | | |
| | Net investment income(a)(b) | | | | 0.15 | | | | | 0.39 | | | | | 0.35 | | | | | 0.40 | | | | | 0.26 | | | | | 0.37 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.21 | | | | | 3.22 | | | | | (4.74 | ) | | | | 4.03 | | | | | 2.39 | | | | | 3.91 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 2.36 | | | | | 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 | | | $ | 22.50 | | | | $ | 20.14 | | | | $ | 17.59 | | | | $ | 23.15 | | | | $ | 21.64 | | | | $ | 19.56 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 11.72 | % | | | | 20.71 | % | | | | (19.00 | )% | | | | 20.54 | % | | | | 13.57 | % | | | | 26.19 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 150,336 | | | | $ | 133,081 | | | | $ | 117,502 | | | | $ | 160,360 | | | | $ | 130,610 | | | | $ | 127,367 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.18 | %(e) | | | | 0.19 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.18 | % | | | | 0.19 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.30 | %(e) | | | | 0.32 | % | | | | 0.32 | % | | | | 0.23 | % | | | | 0.25 | % | | | | 0.27 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets(b) | | | | 1.41 | %(e) | | | | 2.01 | % | | | | 1.78 | % | | | | 1.64 | % | | | | 1.37 | % | | | | 1.96 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 4 | % | | | | 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 period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements June 30, 2024 (Unaudited) |
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.
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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.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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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.
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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).
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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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
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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, 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 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 June 30, 2024:
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| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
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Assets | | | | | | | | | | | | |
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Underlying Funds | | | | | | | | | | | | |
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Equity | | $ | 107,701,206 | | | $ | — | | | $ | — | |
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Exchange Traded Funds | | | 217,874,649 | | | | — | | | | — | |
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Investment Company | | | 14,499,622 | | | | — | | | | — | |
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Total | | $ | 340,075,477 | | | $ | — | | | $ | — | |
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| Derivative Type | | | | | | | | | |
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Assets | | | | | | | | | | | | |
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Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 211,370 | | | $ | — | |
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Futures Contracts(a) | | | 92,682 | | | | — | | | | — | |
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Purchased option contracts | | | 1,070,356 | | | | 414,506 | | | | — | |
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Total | | $ | 1,163,038 | | | $ | 625,876 | | | $ | — | |
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GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
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Liabilities | | | | | | | | | | | | |
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Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (12,449 | ) | | $ | — | |
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Futures Contracts(a) | | | (130,798 | ) | | | — | | | | — | |
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Written option contracts | | | (91,708 | ) | | | — | | | | — | |
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Total | | $ | (222,506 | ) | | $ | (12,449 | ) | | $ | — | |
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| | (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
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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 June 30, 2024. 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.
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| Risk | | Statement of Assets and Liabilities | | Assets | | | Statement of Assets and Liabilities | | Liabilities | |
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| Currency | | Receivable for unrealized gain on forward
foreign currency exchange contracts;
Purchased options, at value | | $ | 625,876 | | | Payable for unrealized loss on forward
foreign currency exchange contracts | | $ | (12,449 | ) |
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| Equity | | Variation margin on futures contracts | | | 92,682 | (a) | | Written options, at value; Variation margin
on futures contracts | | | (222,506 | ) |
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| Interest rate | | Purchased options, at value | | | 1,070,356 | | | — | | | — | |
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Total | | | | $ | 1,788,914 | | | | | $ | (234,955 | ) |
| | (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 six months ended June 30, 2024. 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 DYNAMIC GLOBAL EQUITY FUND
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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 Statement of Operations:
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Risk | | Statement of Operations | | Net Realized Gain (Loss) | | Net Change in Unrealized Gain (Loss) |
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| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts and purchased options | | | $ | 413,445 | | | | $ | 274,217 | |
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| Equity | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | | | | 7,750,830 | | | | | (1,476,891 | ) |
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| Interest rate | | Net realized gain (loss) from purchased options /Net change in unrealized gain (loss) on purchased options | | | | (531,094 | ) | | | | (789,782 | ) |
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Total | | | | | $ | 7,633,181 | | | | $ | (1,992,456 | ) |
For the six months ended June 30, 2024, the relevant values for each derivative type were as follows:
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| | | Average Number of Contracts, Notional Amounts, or Shares/Units(a) |
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| Fund | | Futures Contracts | | Forward Contracts | | Purchased Options | | Written Options |
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Dynamic Global Equity Fund | | 250 | | $17,638,820 | | 42,842,286 | | 8,900 |
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| | (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 six month period ended June 30, 2024. |
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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
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Fund, as set forth below.
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| | | Distribution and/or Service Plan Rates | |
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| | | Class A* | | | Class C | | | Service | | | Class R* | |
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Distribution and/or Service Plan | | | 0.25% | | | | 0.75% | | | | 0.25% | | | | 0.50% | |
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| | * | 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 six months ended June 30, 2024, Goldman Sachs retained $2,141 of the front end sales charges and $360 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 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.
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 29, 2025, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended June 30, 2024, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
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Transfer Agency Waivers/Credits | | Other Expense Reimbursements | | Total Expense Reductions |
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$1,112 | | $196,860 | | $197,972 |
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G. Line of Credit Facility — As of June 30, 2024, the Fund participated in a $1,150,000,000 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
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2024, the Fund did not have any borrowings under the facility. Prior to April 16, 2024, the facility was $1,110,000,000.
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 six months ended June 30, 2024 (in thousands):
Dynamic Global Equity Fund
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Underlying Fund | | Beginning Value as of 12/31/23 | | Purchases at Cost | | Proceeds from Sales | | Net Realized Gain (Loss) | | Change In Unrealized Gain (Loss) | | Ending Value as of 6/30/24 | | Shares as of 6/30/24 | | Dividend Income |
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Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | | $ | 8,958 | | | | $ | 905 | | | | $ | 1,003 | | | | $ | (16 | ) | | | $ | 562 | | | | $ | 9,406 | | | | | 288 | | | | $ | — | |
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Goldman Sachs ActiveBeta International Equity ETF | | | | 20,658 | | | | | 368 | | | | | 513 | | | | | 29 | | | | | 597 | | | | | 21,139 | | | | | 628 | | | | | 370 | |
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Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | | | | 52,306 | | | | | — | | | | | 1,864 | | | | | 1,018 | | | | | 6,261 | | | | | 57,721 | | | | | 540 | | | | | 334 | |
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Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | | | | 8,886 | | | | | 500 | | | | | 1,001 | | | | | (71 | ) | | | | 973 | | | | | 9,287 | | | | | 1,039 | | | | | — | |
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Goldman Sachs Financial Square Government Fund — Institutional Shares | | | | 20,123 | | | | | 28,132 | | | | | 33,755 | | | | | — | | | | | — | | | | | 14,500 | | | | | 14,500 | | | | | 436 | |
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Goldman Sachs Global Infrastructure Fund — Class R6 | | | | 4,828 | | | | | 71 | | | | | — | | | | | — | | | | | (70 | ) | | | | 4,829 | | | | | 393 | | | | | 70 | |
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Goldman Sachs Global Real Estate Securities Fund — Class R6 | | | | 4,914 | | | | | 113 | | | | | — | | | | | — | | | | | (312 | ) | | | | 4,715 | | | | | 512 | | | | | 112 | |
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Goldman Sachs International Equity Insights Fund — Class R6 | | | | 20,905 | | | | | 500 | | | | | 700 | | | | | 36 | | | | | 1,727 | | | | | 22,468 | | | | | 1,494 | | | | | — | |
| | | | | | | | |
Goldman Sachs International Small Cap Insights Fund — Class R6 | | | | 2,675 | | | | | — | | | | | — | | | | | — | | | | | 131 | | | | | 2,806 | | | | | 219 | | | | | — | |
| | | | | | | | |
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | | | | 26,789 | | | | | — | | | | | 1,500 | | | | | (32 | ) | | | | 6,076 | | | | | 31,333 | | | | | 917 | | | | | — | |
| | | | | | | | |
Goldman Sachs Large Cap Value Insights Fund — Class R6 | | | | 26,277 | | | | | 172 | | | | | 600 | | | | | 27 | | | | | 2,032 | | | | | 27,908 | | | | | 1,148 | | | | | 172 | |
| | | | | | | | |
Goldman Sachs MarketBeta Emerging Markets Equity ETF | | | | 18,573 | | | | | — | | | | | 684 | | | | | (21 | ) | | | | 1,132 | | | | | 19,000 | | | | | 423 | | | | | — | |
| | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | | 42,257 | | | | | 950 | | | | | 1,552 | | | | | 33 | | | | | 1,720 | | | | | 43,408 | | | | | 776 | | | | | 736 | |
| | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | | 54,329 | | | | | 1,689 | | | | | 1,914 | | | | | 133 | | | | | 7,772 | | | | | 62,009 | | | | | 829 | | | | | 372 | |
| | | | | | | | |
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | | | | 4,067 | | | | | — | | | | | — | | | | | — | | | | | 288 | | | | | 4,355 | | | | | 155 | | | | | — | |
| | | | | | | | |
Total | | | $ | 316,545 | | | | $ | 33,400 | | | | $ | 45,086 | | | | $ | 1,136 | | | | $ | 28,889 | | | | $ | 334,884 | | | | | | | | | $ | 2,602 | |
|
|
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2024, were $12,273,771 and $11,328,068, respectively.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
As of the Fund’s most recent fiscal year end, December 31, 2023, the Fund’s certain timing differences on a tax basis were as follows:
| | | | |
| |
| |
Timing differences (Late Year Loss Deferral and Straddle Loss Deferral) | | | $(766,544) | |
| |
As of June 30, 2024, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
| |
| |
Tax Cost | | | $272,848,942 | |
| |
| |
Gross unrealized gain | | | 73,804,853 | |
| |
Gross unrealized loss | | | (6,578,318) | |
| |
| |
Net unrealized gain | | | $ 67,226,535 | |
| |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures and options contracts and net mark to market gains/(losses) on foreign currency contracts.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
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,
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
|
8. OTHER RISKS (continued) |
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.
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.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
8. OTHER RISKS (continued) |
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.
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
|
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Dynamic Global Equity Fund | |
| | |
| | | For the Six Months
Ended June 30, 2024
(Unaudited) | | | For the Fiscal Year Ended
December 31, 2023 | |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 96,281 | | | $ | 2,014,311 | | | | 242,174 | | | $ | 4,603,700 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 358,829 | | | | 6,978,690 | |
| | | | |
Shares redeemed | | | (506,065 | ) | | | (10,637,921 | ) | | | (848,866 | ) | | | (16,092,103 | ) |
| |
| | | | |
| | | (409,784 | ) | | | (8,623,610 | ) | | | (247,863 | ) | | | (4,509,713 | ) |
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 9,634 | | | | 195,230 | | | | 16,466 | | | | 299,431 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 15,001 | | | | 278,828 | |
| | | | |
Shares redeemed | | | (33,378 | ) | | | (670,915 | ) | | | (92,450 | ) | | | (1,697,944 | ) |
| |
| | | | |
| | | (23,744 | ) | | | (475,685 | ) | | | (60,983 | ) | | | (1,119,685 | ) |
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 63,857 | | | | 1,335,394 | | | | 162,544 | | | | 3,098,330 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 42,390 | | | | 840,868 | |
| | | | |
Shares redeemed | | | (87,522 | ) | | | (1,883,249 | ) | | | (226,925 | ) | | | (4,399,257 | ) |
| |
| | | | |
| | | (23,665 | ) | | | (547,855 | ) | | | (21,991 | ) | | | (460,059 | ) |
| |
| | | | |
Service Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 28 | | | | 596 | | | | 174 | | | | 3,246 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 536 | | | | 10,386 | |
| | | | |
Shares redeemed | | | (779 | ) | | | (16,773 | ) | | | (2,055 | ) | | | (39,815 | ) |
| |
| | | | |
| | | (751 | ) | | | (16,177 | ) | | | (1,345 | ) | | | (26,183 | ) |
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 41,247 | | | | 852,606 | | | | 57,552 | | | | 1,088,035 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 15,388 | | | | 294,543 | |
| | | | |
Shares redeemed | | | (19,605 | ) | | | (398,631 | ) | | | (67,864 | ) | | | (1,254,952 | ) |
| |
| | | | |
| | | 21,642 | | | | 453,975 | | | | 5,076 | | | | 127,626 | |
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 11,569 | | | | 249,307 | | | | 47,832 | | | | 942,907 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 8,320 | | | | 165,675 | |
| | | | |
Shares redeemed | | | (50,117 | ) | | | (1,086,243 | ) | | | (20,072 | ) | | | (378,243 | ) |
| |
| | | | |
| | | (38,548 | ) | | | (836,936 | ) | | | 36,080 | | | | 730,339 | |
| |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 10,728 | | | | 221,159 | | | | 26,834 | | | | 503,470 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 14,489 | | | | 277,760 | |
| | | | |
Shares redeemed | | | (34,503 | ) | | | (713,603 | ) | | | (49,391 | ) | | | (948,612 | ) |
| |
| | | | |
| | | (23,775 | ) | | | (492,444 | ) | | | (8,068 | ) | | | (167,382 | ) |
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 308,200 | | | | 6,470,143 | | | | 269,430 | | | | 5,258,492 | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 340,567 | | | | 6,762,450 | |
| | | | |
Shares redeemed | | | (233,910 | ) | | | (4,790,004 | ) | | | (680,393 | ) | | | (12,995,347 | ) |
| |
| | | | |
| | | 74,290 | | | | 1,680,139 | | | | (70,396 | ) | | | (974,405 | ) |
| |
| | | | |
NET DECREASE | | | (424,335 | ) | | $ | (8,858,593 | ) | | | (369,490 | ) | | $ | (6,399,462 | ) |
| |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Dynamic Global Equity Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2025 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 11-12, 2024 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
| | (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
| | (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| | (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| | (iii) | trends in employee headcount; |
| | (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| | (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| | (b) | information on the investment performance of the Fund and the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund and the Underlying Funds invest; |
| | (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| | (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| | (e) | fee and expense information for the Fund, including: |
| | (i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| | (ii) | the Fund’s expense trends over time; and |
| | (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| | (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| | (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations with respect to the Fund and the Underlying Funds; |
| | (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
| | (i) | whether the Fund’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale; |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| | (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Fund and/or the Underlying Funds for transfer agency, securities lending, portfolio trading, distribution and other services; |
| | (k) | a summary of potential benefits derived by the Fund and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
| | (l) | information regarding commissions paid by the Fund and the Underlying Equity Funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| | (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| | (n) | the nature and quality of the services provided to the Fund and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| | (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund, the Underlying Funds and their service providers operate, including developments associated with geopolitical events and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s efforts relating to business continuity planning. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund, the Underlying Funds, and the Investment Adviser and its affiliates.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Fund and the Underlying Funds In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2023, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2024. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s and Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the portfolio management teams of certain Underlying Funds to continue to enhance the investment models used in managing the Underlying Funds.
The Trustees observed that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2024. They also noted that in February 2019, the Fund had been repositioned from the Equity Growth Strategy Portfolio, which involved changes to the Fund’s investment strategies.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations with respect to the Fund and the Underlying Funds. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2023 and 2022, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund.
The Trustees noted that, although the Fund itself does not have breakpoints in its management fee schedules, any benefits of the breakpoints in the management fee schedules of certain Underlying Funds, when reached, would pass through to the shareholders in the Fund at the specified asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; information comparing the fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Fund and Underlying Funds that exceed specified levels. They also considered the services provided to the Fund under the Management Agreement and the fees and expenses borne by the Underlying Funds and considered the Investment Adviser’s finding that the management fees payable by the Fund were not duplicative of the management fees paid at the Underlying Fund level.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund and/or the Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund and/or the Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Fund and/or the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for certain Underlying Funds (and fees earned by the Investment Adviser for managing the fund in which those Underlying Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund and the Underlying Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund and Underlying Funds; (j) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; (k) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (l) the possibility that the working relationship between the Investment Adviser and the Fund’s and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund and/or the Underlying Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund and/or the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) with respect to the Fund and certain Underlying Funds, the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Fund’s and Underlying Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) with respect to certain Underlying Funds, the ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Underlying Funds in connection with the program; and (i) the Fund’s and Underlying Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2025.
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 OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Robert Griffith, Secretary GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282 © 2024 Goldman Sachs. All rights reserved. DYNGLEQSAR-24
Goldman Sachs Funds Semi-Annual Financial Statements June 30, 2024 Tax-Advantaged Equity Funds II Goldman Sachs International Equity Dividend and Premium Fund Goldman Sachs U.S. Equity Dividend and Premium Fund
Goldman Sachs Tax-Advantaged Equity Funds II
TABLE OF CONTENTS
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – 94.6% | |
| |
| | Australia – 7.8% | |
| | 3,336 | | Ampol Ltd. (Oil, Gas & Consumable Fuels) | | $ | 71,752 | |
| | 66,716 | | ANZ Group Holdings Ltd. (Banks) | | | 1,253,440 | |
| | 65,815 | | APA Group (Gas Utilities) | | | 349,838 | |
| | 4,390 | | ASX Ltd. (Capital Markets) | | | 175,164 | |
| | 34,810 | | Aurizon Holdings Ltd. (Ground Transportation) | | | 84,562 | |
| | 52,372 | | BHP Group Ltd. (Metals & Mining) | | | 1,496,894 | |
| | 36,463 | | Coles Group Ltd. (Consumer Staples Distribution & Retail) | | | 413,075 | |
| | 5,498 | | Commonwealth Bank of Australia (Banks) | | | 465,743 | |
| | 24 | | CSL Ltd. (Biotechnology) | | | 4,706 | |
| | 88,181 | | Fortescue Ltd. (Metals & Mining) | | | 1,255,384 | |
| | 11,819 | | Goodman Group (Industrial REITs) | | | 272,663 | |
| | 177,915 | | Medibank Pvt Ltd. (Insurance) | | | 440,929 | |
| | 95,333 | | National Australia Bank Ltd. (Banks) | | | 2,298,977 | |
| | 80,305 | | Origin Energy Ltd. (Electric Utilities) | | | 581,003 | |
| | 416 | | Rio Tinto Ltd. (Metals & Mining) | | | 32,952 | |
| | 8,669 | | Sonic Healthcare Ltd. (Health Care Providers & Services) | | | 151,393 | |
| | 87,626 | | Transurban Group (Transportation Infrastructure) | | | 722,702 | |
| | 12,492 | | Wesfarmers Ltd. (Broadline Retail) | | | 540,922 | |
| | 33,742 | | Westpac Banking Corp. (Banks) | | | 610,971 | |
| | 60,542 | | Woodside Energy Group Ltd. (Oil, Gas & Consumable Fuels) | | | 1,140,066 | |
| | | | | | | | |
| | | |
| | | | | | | 12,363,136 | |
| | | |
| |
| | Austria – 0.2% | |
| | 7,260 | | OMV AG (Oil, Gas & Consumable Fuels) | | | 315,572 | |
| | | |
| |
| | Belgium – 0.6% | |
| | 13,960 | | Ageas SA (Insurance) | | | 636,950 | |
| | 10,234 | | Warehouses De Pauw CVA (Industrial REITs) | | | 276,406 | |
| | | | | | | | |
| | | |
| | | | | | | 913,356 | |
| | | |
| |
| | China(a) – 0.1% | |
| | 90,400 | | ESR Group Ltd. (Real Estate Management & Development) | | | 118,872 | |
| | | |
| |
| | Denmark – 3.2% | |
| | 4,380 | | Coloplast AS Class B (Health Care Equipment & Supplies) | | | 526,534 | |
| | 1 | | Danske Bank AS (Banks) | | | 30 | |
| | 29,710 | | Novo Nordisk AS Class B (Pharmaceuticals) | | | 4,251,048 | |
| | 2,108 | | Tryg AS (Insurance) | | | 46,057 | |
| | 9,993 | | Vestas Wind Systems AS* (Electrical Equipment) | | | 231,717 | |
| | | | | | | | |
| | | |
| | | | | | | 5,055,386 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks (continued) | |
| |
| | Finland – 2.0% | |
| | 20,276 | | Kesko OYJ Class B (Consumer Staples Distribution & Retail) | | $ | 356,696 | |
| | 16,878 | | Kone OYJ Class B (Machinery) | | | 836,834 | |
| | 28,499 | | Metso OYJ (Machinery) | | | 302,899 | |
| | 647 | | Neste OYJ (Oil, Gas & Consumable Fuels) | | | 11,545 | |
| | 106,332 | | Nordea Bank Abp (Banks) | | | 1,267,541 | |
| | 8,662 | | Orion OYJ Class B (Pharmaceuticals) | | | 369,430 | |
| | 3 | | Stora Enso OYJ Class R (Paper & Forest Products) | | | 41 | |
| | | | | | | | |
| | | |
| | | | | | | 3,144,986 | |
| | | |
| |
| | France – 10.9% | |
| | 14,223 | | Amundi SA(a) (Capital Markets) | | | 919,901 | |
| | 36,191 | | AXA SA (Insurance) | | | 1,186,024 | |
| | 29,137 | | BNP Paribas SA (Banks) | | | 1,863,372 | |
| | 21,873 | | Bouygues SA (Construction & Engineering) | | | 703,095 | |
| | 1,425 | | Capgemini SE (IT Services) | | | 283,058 | |
| | 113,231 | | Credit Agricole SA (Banks) | | | 1,546,126 | |
| | 12,806 | | Danone SA (Food Products) | | | 784,365 | |
| | 9,273 | | Dassault Systemes SE (Software) | | | 348,674 | |
| | 1 | | Edenred SE (Financial Services) | | | 42 | |
| | 108,433 | | Engie SA (Multi-Utilities) | | | 1,552,799 | |
| | 18,051 | | Getlink SE (Transportation Infrastructure) | | | 298,877 | |
| | 120 | | Hermes International SCA (Textiles, Apparel & Luxury Goods) | | | 277,155 | |
| | 974 | | Kering SA (Textiles, Apparel & Luxury Goods) | | | 354,288 | |
| | 1,005 | | La Francaise des Jeux SAEM(a) | | | | |
| | | | (Hotels, Restaurants & Leisure) | | | 34,230 | |
| | 1,669 | | L’Oreal SA (Personal Products) | | | 734,636 | |
| | 3,497 | | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | | | 2,684,964 | |
| | 14,431 | | Orange SA (Diversified Telecommunication Services) | | | 144,330 | |
| | 3,671 | | Pernod Ricard SA (Beverages) | | | 500,870 | |
| | 2,275 | | Rexel SA (Trading Companies & Distributors) | | | 58,851 | |
| | 10,227 | | Sanofi SA (Pharmaceuticals) | | | 986,324 | |
| | 548 | | Sartorius Stedim Biotech (Life | | | | |
| | | | Sciences Tools & Services) | | | 90,563 | |
| | 1,743 | | Schneider Electric SE (Electrical | | | | |
| | | | Equipment) | | | 417,877 | |
| | 7,777 | | TotalEnergies SE (Oil, Gas & | | | | |
| | | | Consumable Fuels) | | | 519,092 | |
| | 8,158 | | Vinci SA (Construction & Engineering) | | | 859,889 | |
| | 1 | | Vivendi SE (Media) | | | 10 | |
| | | | | | | | |
| | | |
| | | | | | | 17,149,412 | |
| | | |
| |
| | Germany – 6.1% | |
| | 1,665 | | Allianz SE (Insurance) | | | 462,422 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 1 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks (continued) | |
| |
| | Germany (continued) | |
| | 31,388 | | BASF SE (Chemicals) | | $ | 1,517,376 | |
| | 4,412 | | Bechtle AG (IT Services) | | | 207,535 | |
| | 1,243 | | Carl Zeiss Meditec AG (Health Care Equipment & Supplies) | | | 87,388 | |
| | 12,730 | | Daimler Truck Holding AG (Machinery) | | | 507,712 | |
| | 22,464 | | Deutsche Post AG (Air Freight & Logistics) | | | 912,194 | |
| | 26,780 | | Mercedes-Benz Group AG (Automobiles) | | | 1,853,484 | |
| | 1,425 | | Nemetschek SE (Software) | | | 139,118 | |
| | 550 | | Rheinmetall AG (Aerospace & Defense) | | | 280,289 | |
| | 9,771 | | SAP SE (Software) | | | 1,962,755 | |
| | 7,615 | | Siemens AG (Industrial Conglomerates) | | | 1,417,346 | |
| | 4,920 | | Siemens Healthineers AG(a) (Health Care Equipment & Supplies) | | | 283,338 | |
| | | | | | | | |
| | | |
| | | | | | | 9,630,957 | |
| | | |
| |
| | Hong Kong – 1.3% | |
| | 74,600 | | AIA Group Ltd. (Insurance) | | | 504,725 | |
| | 54,000 | | Galaxy Entertainment Group Ltd. (Hotels, Restaurants & Leisure) | | | 251,312 | |
| | 28,000 | | Hang Lung Properties Ltd. (Real Estate Management & Development) | | | 23,826 | |
| | 45,000 | | HKT Trust & HKT Ltd. (Diversified Telecommunication Services) | | | 50,474 | |
| | 98 | | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | | | 74 | |
| | 12,096 | | Hong Kong Exchanges & Clearing Ltd. (Capital Markets) | | | 387,110 | |
| | 300 | | Jardine Matheson Holdings Ltd. (Industrial Conglomerates) | | | 10,614 | |
| | 73,368 | | MTR Corp. Ltd. (Ground Transportation) | | | 231,581 | |
| | 27,245 | | Sino Land Co. Ltd. (Real Estate Management & Development) | | | 28,038 | |
| | 31,000 | | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | | | 268,601 | |
| | 400 | | Swire Properties Ltd. (Real Estate Management & Development) | | | 637 | |
| | 24,500 | | Techtronic Industries Co. Ltd. (Machinery) | | | 279,297 | |
| | | | | | | | |
| | | |
| | | | | | | 2,036,289 | |
| | | |
| |
| | Ireland(b) – 0.9% | |
| | 18,470 | | CRH PLC (Construction Materials) | | | 1,384,881 | |
| | | |
| |
| | Israel – 0.2% | |
| | 13,593 | | Bank Hapoalim BM (Banks) | | | 120,048 | |
| | 96 | | CyberArk Software Ltd.* (Software) | | | 26,248 | |
| | 6,559 | | ICL Group Ltd. (Chemicals) | | | 28,205 | |
| | 2,910 | | Teva Pharmaceutical Industries Ltd.* (Pharmaceuticals) | | | 47,288 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks (continued) | |
| |
| | Israel (continued) | |
| | 185 | | Wix.com Ltd.*(b) (IT Services) | | $ | 29,428 | |
| | | | | | | | |
| | | |
| | | | | | | 251,217 | |
| | | |
| |
| | Italy – 2.8% | |
| | 274 | | Amplifon SpA (Health Care Providers & Services) | | | 9,743 | |
| | 21,729 | | Banco BPM SpA (Banks) | | | 139,843 | |
| | 47,076 | | Enel SpA (Electric Utilities) | | | 326,651 | |
| | 43,048 | | Eni SpA (Oil, Gas & Consumable Fuels) | | | 660,987 | |
| | 512,701 | | Intesa Sanpaolo SpA (Banks) | | | 1,905,409 | |
| | 37,491 | | Mediobanca Banca di Credito Finanziario SpA (Banks) | | | 548,795 | |
| | 8,467 | | Moncler SpA (Textiles, Apparel & Luxury Goods) | | | 519,399 | |
| | 6,836 | | Recordati Industria Chimica e Farmaceutica SpA (Pharmaceuticals) | | | 355,799 | |
| | | | | | | | |
| | | |
| | | | | | | 4,466,626 | |
| | | |
| |
| | Japan – 21.6% | |
| | 10,200 | | Advantest Corp. (Semiconductors & Semiconductor Equipment) | | | 413,365 | |
| | 12,400 | | AGC, Inc. (Building Products) | | | 403,480 | |
| | 1,600 | | Asahi Group Holdings Ltd. (Beverages) | | | 56,615 | |
| | 4,200 | | Asahi Intecc Co. Ltd. (Health Care Equipment & Supplies) | | | 58,964 | |
| | 16,600 | | Asahi Kasei Corp. (Chemicals) | | | 106,590 | |
| | 24,200 | | Astellas Pharma, Inc. (Pharmaceuticals) | | | 238,751 | |
| | 22,600 | | Bridgestone Corp. (Automobile Components) | | | 891,782 | |
| | 31,600 | | Canon, Inc. (Technology Hardware, Storage & Peripherals) | | | 857,234 | |
| | 8,200 | | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals) | | | 291,988 | |
| | 1,500 | | Dai-ichi Life Holdings, Inc. (Insurance) | | | 40,170 | |
| | 16,700 | | Daiichi Sankyo Co. Ltd. (Pharmaceuticals) | | | 580,387 | |
| | 600 | | Daikin Industries Ltd. (Building Products) | | | 83,529 | |
| | 1,000 | | Daito Trust Construction Co. Ltd. (Real Estate Management & Development) | | | 103,511 | |
| | 69,500 | | Daiwa Securities Group, Inc. (Capital Markets) | | | 533,573 | |
| | 17,600 | | Denso Corp. (Automobile Components) | | | 274,719 | |
| | 1,400 | | Disco Corp. (Semiconductors & Semiconductor Equipment) | | | 533,259 | |
| | 4,800 | | Eisai Co. Ltd. (Pharmaceuticals) | | | 197,585 | |
| | 23,700 | | FANUC Corp. (Machinery) | | | 650,629 | |
| | 600 | | Fast Retailing Co. Ltd. (Specialty Retail) | | | 151,765 | |
| | | |
| | |
| 2 | | 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) | |
| | 2,600 | | Fuji Electric Co. Ltd. (Electrical Equipment) | | $ | 148,566 | |
| | 1,300 | | Hikari Tsushin, Inc. (Industrial Conglomerates) | | | 243,517 | |
| | 1,916 | | Hirose Electric Co. Ltd. (Electronic Equipment, Instruments & Components) | | | 212,459 | |
| | 6,500 | | Hitachi Construction Machinery Co. Ltd. (Machinery) | | | 174,298 | |
| | 12,000 | | Hitachi Ltd. (Industrial Conglomerates) | | | 270,196 | |
| | 13,900 | | Honda Motor Co. Ltd. (Automobiles) | | | 149,425 | |
| | 2,900 | | Hoya Corp. (Health Care Equipment & Supplies) | | | 339,124 | |
| | 8,600 | | Inpex Corp. (Oil, Gas & Consumable Fuels) | | | 126,295 | |
| | 25,200 | | Isuzu Motors Ltd. (Automobiles) | | | 335,020 | |
| | 27,500 | | ITOCHU Corp. (Trading Companies & Distributors) | | | 1,351,849 | |
| | 14,600 | | Japan Post Insurance Co. Ltd. (Insurance) | | | 283,943 | |
| | 16,400 | | Japan Tobacco, Inc. (Tobacco) | | | 444,103 | |
| | 11,600 | | JFE Holdings, Inc. (Metals & Mining) | | | 167,418 | |
| | 12,400 | | Kajima Corp. (Construction & Engineering) | | | 215,090 | |
| | 6,700 | | Kansai Electric Power Co., Inc. (Electric Utilities) | | | 112,505 | |
| | 1,700 | | Kao Corp. (Personal Products) | | | 68,828 | |
| | 600 | | Keyence Corp. (Electronic Equipment, Instruments & Components) | | | 262,607 | |
| | 32,500 | | Kirin Holdings Co. Ltd. (Beverages) | | | 419,822 | |
| | 12,500 | | Komatsu Ltd. (Machinery) | | | 365,119 | |
| | 600 | | Lasertec Corp. (Semiconductors & Semiconductor Equipment) | | | 134,688 | |
| | 9,700 | | M3, Inc. (Health Care Technology) | | | 92,810 | |
| | 48,500 | | Marubeni Corp. (Trading Companies & Distributors) | | | 899,315 | |
| | 8,400 | | Mitsubishi Chemical Group Corp. (Chemicals) | | | 46,803 | |
| | 30,700 | | Mitsubishi Corp. (Trading Companies & Distributors) | | | 603,497 | |
| | 5,500 | | Mitsubishi Electric Corp. (Electrical Equipment) | | | 88,138 | |
| | 49,600 | | Mitsubishi HC Capital, Inc. (Financial Services) | | | 328,178 | |
| | 11,800 | | Mitsubishi Heavy Industries Ltd. (Machinery) | | | 127,028 | |
| | 104,300 | | Mitsubishi UFJ Financial Group, Inc. (Banks) | | | 1,125,608 | |
| | 24,200 | | Mitsui & Co. Ltd. (Trading Companies & Distributors) | | | 551,920 | |
| | 11,800 | | Mitsui OSK Lines Ltd. (Marine Transportation) | | | 354,786 | |
| | 37,200 | | MS&AD Insurance Group Holdings, Inc. (Insurance) | | | 830,528 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks (continued) | |
| |
| | Japan (continued) | |
| | 20,700 | | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | | $ | 428,663 | |
| | 400 | | NIDEC Corp. (Electrical Equipment) | | | 18,000 | |
| | 13,000 | | Nintendo Co. Ltd. (Entertainment) | | | 694,220 | |
| | 1,000 | | Nippon Paint Holdings Co. Ltd. (Chemicals) | | | 6,537 | |
| | 463 | | Nippon Prologis REIT, Inc. (Industrial REITs) | | | 722,670 | |
| | 22,201 | | Nippon Steel Corp. (Metals & Mining) | | | 470,626 | |
| | 5,200 | | Nippon Yusen KK (Marine Transportation) | | | 151,720 | |
| | 3,900 | | Nissan Chemical Corp. (Chemicals) | | | 123,960 | |
| | 1,800 | | Nitto Denko Corp. (Chemicals) | | | 142,770 | |
| | 9,400 | | Nomura Research Institute Ltd. (IT Services) | | | 265,679 | |
| | 18,000 | | Obayashi Corp. (Construction & Engineering) | | | 215,107 | |
| | 1,100 | | Obic Co. Ltd. (IT Services) | | | 141,935 | |
| | 300 | | Odakyu Electric Railway Co. Ltd. (Ground Transportation) | | | 2,910 | |
| | 5,100 | | Olympus Corp. (Health Care Equipment & Supplies) | | | 82,326 | |
| | 4,000 | | Otsuka Corp. (IT Services) | | | 77,152 | |
| | 34,400 | | Panasonic Holdings Corp. (Household Durables) | | | 282,785 | |
| | 9,800 | | Recruit Holdings Co. Ltd. (Professional Services) | | | 527,310 | |
| | 5,100 | | Renesas Electronics Corp. (Semiconductors & Semiconductor Equipment) | | | 96,720 | |
| | 20,300 | | Resona Holdings, Inc. (Banks) | | | 135,039 | |
| | 13,900 | | Seiko Epson Corp. (Technology Hardware, Storage & Peripherals) | | | 217,300 | |
| | 7,600 | | Sekisui Chemical Co. Ltd. (Household Durables) | | | 105,508 | |
| | 36,500 | | Sekisui House Ltd. (Household Durables) | | | 811,219 | |
| | 4,800 | | Seven & i Holdings Co. Ltd. (Consumer Staples Distribution & Retail) | | | 58,657 | |
| | 3,600 | | SG Holdings Co. Ltd. (Air Freight & Logistics) | | | 33,290 | |
| | 3,700 | | Shimadzu Corp. (Electronic Equipment, Instruments & Components) | | | 92,737 | |
| | 17,700 | | Shin-Etsu Chemical Co. Ltd. (Chemicals) | | | 688,205 | |
| | 800 | | Shiseido Co. Ltd. (Personal Products) | | | 22,799 | |
| | 136,400 | | SoftBank Corp. (Wireless Telecommunication Services) | | | 1,668,173 | |
| | 3,700 | | SoftBank Group Corp. (Wireless Telecommunication Services) | | | 237,988 | |
| | 5,100 | | Sompo Holdings, Inc. (Insurance) | | | 109,261 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 3 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Japan (continued) | |
| | 6,100 | | Sony Group Corp. (Household | | | | |
| | | | Durables) | | $ | 519,849 | |
| | 11,800 | | Sumitomo Corp. (Trading Companies & Distributors) | | | 296,439 | |
| | 15,300 | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 1,027,011 | |
| | 10,800 | | Sysmex Corp. (Health Care Equipment & Supplies) | | | 174,333 | |
| | 4,300 | | T&D Holdings, Inc. (Insurance) | | | 75,108 | |
| | 41,200 | | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | | | 1,068,655 | |
| | 3,000 | | TDK Corp. (Electronic Equipment, Instruments & Components) | | | 184,476 | |
| | 4,800 | | Tokio Marine Holdings, Inc. (Insurance) | | | 180,379 | |
| | 5,300 | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | | 1,160,172 | |
| | 300 | | Tokyo Gas Co. Ltd. (Gas Utilities) | | | 6,458 | |
| | 6,600 | | TOTO Ltd. (Building Products) | | | 155,491 | |
| | 105,000 | | Toyota Motor Corp. (Automobiles) | | | 2,154,334 | |
| | 4,100 | | Trend Micro, Inc. (Software) | | | 167,119 | |
| | 66,400 | | USS Co. Ltd. (Specialty Retail) | | | 559,141 | |
| | 1,000 | | West Japan Railway Co. (Ground Transportation) | | | 18,660 | |
| | 100 | | Yamaha Corp. (Leisure Products) | | | 2,350 | |
| | 24,500 | | Yamaha Motor Co. Ltd. (Automobiles) | | | 227,772 | |
| | 200 | | Yamato Holdings Co. Ltd. (Air Freight & Logistics) | | | 2,204 | |
| | 900 | | Yaskawa Electric Corp. (Machinery) | | | 32,453 | |
| | 7,500 | | ZOZO, Inc. (Specialty Retail) | | | 187,512 | |
| | | | | | | | |
| | | |
| | | | | | | 34,172,561 | |
| | | |
| |
| | Macau* – 0.1% | |
| | 90,400 | | Sands China Ltd. (Hotels, Restaurants & Leisure) | | | 187,969 | |
| | | |
| |
| | Netherlands – 4.6% | |
| | 3,522 | | Airbus SE (Aerospace & Defense) | | | 483,383 | |
| | 1 | | Akzo Nobel NV (Chemicals) | | | 61 | |
| | 414 | | Argenx SE* (Biotechnology) | | | 179,630 | |
| | 600 | | ASM International NV (Semiconductors & Semiconductor Equipment) | | | 458,626 | |
| | 3,852 | | ASML Holding NV (Semiconductors & Semiconductor Equipment) | | | 3,925,827 | |
| | 17,546 | | ASR Nederland NV (Insurance) | | | 835,341 | |
| | 1,017 | | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | | | 169,891 | |
| | 42 | | Heineken NV (Beverages) | | | 4,063 | |
| | 36,753 | | Koninklijke Philips NV* (Health Care Equipment & Supplies) | | | 924,284 | |
| | 4,249 | | NN Group NV (Insurance) | | | 197,487 | |
| | 238 | | Prosus NV (Broadline Retail) | | | 8,463 | |
| | 2,508 | | Randstad NV (Professional Services) | | | 113,870 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | Netherlands (continued) | |
| | 1,068 | | Universal Music Group NV (Entertainment) | | $ | 31,771 | |
| | | | | | | | |
| | | |
| | | | | | | 7,332,697 | |
| | | |
| |
| | New Zealand – 1.0% | |
| | 16,591 | | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Supplies) | | | 303,976 | |
| | 36,465 | | Meridian Energy Ltd. (Independent Power and Renewable Electricity Producers) | | | 139,706 | |
| | 460,620 | | Spark New Zealand Ltd. (Diversified Telecommunication Services) | | | 1,167,144 | |
| | | | | | | | |
| | | |
| | | | | | | 1,610,826 | |
| | | |
| | Norway – 0.6% | |
| | 4,968 | | Aker BP ASA (Oil, Gas & Consumable Fuels) | | | 126,946 | |
| | 58 | | Gjensidige Forsikring ASA (Insurance) | | | 1,035 | |
| | 20,044 | | Norsk Hydro ASA (Metals & Mining) | | | 124,964 | |
| | 4,592 | | Salmar ASA (Food Products) | | | 240,826 | |
| | 45,454 | | Telenor ASA (Diversified Telecommunication Services) | | | 518,100 | |
| | | | | | | | |
| | | |
| | | | | | | 1,011,871 | |
| | | |
| |
| | Portugal – 0.1% | |
| | 9,319 | | Jeronimo Martins SGPS SA (Consumer Staples Distribution & Retail) | | | 182,130 | |
| | | |
| |
| | Singapore – 1.2% | |
| | 1,500 | | City Developments Ltd. (Real Estate Management & Development) | | | 5,702 | |
| | 23,700 | | DBS Group Holdings Ltd. (Banks) | | | 624,230 | |
| | 27,900 | | Keppel Ltd. (Industrial Conglomerates) | | | 132,623 | |
| | 511 | | Sea Ltd.* (Entertainment) | | | 36,496 | |
| | 4,962 | | Seatrium Ltd.* (Machinery) | | | 5,033 | |
| | 13,900 | | Singapore Exchange Ltd. (Capital | | | | |
| | | | Markets) | | | 96,930 | |
| | 208,400 | | Singapore Technologies Engineering Ltd. (Aerospace & Defense) | | | 663,617 | |
| | 121,600 | | Singapore Telecommunications Ltd. (Diversified Telecommunication Services) | | | 246,066 | |
| | | | | | | | |
| | | |
| | | | | | | 1,810,697 | |
| | | |
| |
| | Spain – 2.1% | |
| | 3,623 | | Aena SME SA(a) (Transportation Infrastructure) | | | 733,647 | |
| | 169 | | Amadeus IT Group SA (Hotels, Restaurants & Leisure) | | | 11,246 | |
| | 92,474 | | Enagas SA (Gas Utilities) | | | 1,375,080 | |
| | 6,904 | | Endesa SA (Electric Utilities) | | | 129,719 | |
| | 11,487 | | Industria de Diseno Textil SA (Specialty Retail) | | | 570,024 | |
| | 4,107 | | Repsol SA (Oil, Gas & Consumable Fuels) | | | 65,132 | |
| | | |
| | |
| 4 | | 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) | |
| |
| | Spain (continued) | |
| | 117,375 | | Telefonica SA (Diversified Telecommunication Services) | | $ | 497,228 | |
| | | | | | | | |
| | | |
| | | | | | | 3,382,076 | |
| | | |
| |
| | Sweden – 2.3% | |
| | 11,084 | | Assa Abloy AB Class B (Building Products) | | | 313,905 | |
| | 7,042 | | Atlas Copco AB Class A (Machinery) | | | 132,222 | |
| | 40,761 | | Atlas Copco AB Class B (Machinery) | | | 658,180 | |
| | 1,550 | | EQT AB (Capital Markets) | | | 45,442 | |
| | 37,271 | | H & M Hennes & Mauritz AB Class B (Specialty Retail) | | | 590,376 | |
| | 2,157 | | Investment AB Latour Class B (Industrial Conglomerates) | | | 58,264 | |
| | 33,129 | | Nibe Industrier AB Class B (Building Products) | | | 139,723 | |
| | 123,506 | | Tele2 AB Class B (Wireless Telecommunication Services) | | | 1,246,716 | |
| | 139,600 | | Telia Co. AB (Diversified Telecommunication Services) | | | 374,280 | |
| | | | | | | | |
| | | |
| | | | | | | 3,559,108 | |
| | | |
| |
| | Switzerland – 10.6% | |
| | 6,863 | | ABB Ltd. (Electrical Equipment) | | | 380,560 | |
| | 41,020 | | Adecco Group AG (Professional Services) | | | 1,360,833 | |
| | 1,211 | | Bachem Holding AG (Life Sciences Tools & Services) | | | 110,658 | |
| | 501 | | Cie Financiere Richemont SA Class A (Textiles, Apparel & Luxury Goods) | | | 78,298 | |
| | 6,411 | | Coca-Cola HBC AG (Beverages) | | | 218,193 | |
| | 5,623 | | DSM-Firmenich AG (Chemicals) | | | 633,179 | |
| | 713 | | Geberit AG (Building Products) | | | 419,994 | |
| | 10,445 | | Holcim AG (Construction Materials) | | | 923,255 | |
| | 1,578 | | Kuehne & Nagel International AG (Marine Transportation) | | | 454,120 | |
| | 28,308 | | Nestle SA (Food Products) | | | 2,889,518 | |
| | 22,119 | | Novartis AG (Pharmaceuticals) | | | 2,355,046 | |
| | 468 | | Partners Group Holding AG (Capital Markets) | | | 599,300 | |
| | 6,564 | | Roche Holding AG (Pharmaceuticals) | | | 1,818,613 | |
| | 6,644 | | SGS SA (Professional Services) | | | 592,325 | |
| | 5,513 | | SIG Group AG (Containers & Packaging) | | | 101,306 | |
| | 1,110 | | Sika AG (Chemicals) | | | 316,860 | |
| | 766 | | Sonova Holding AG (Health Care Equipment & Supplies) | | | 235,979 | |
| | 2,265 | | Straumann Holding AG (Health Care Equipment & Supplies) | | | 279,588 | |
| | 7,477 | | Swiss Re AG (Insurance) | | | 926,975 | |
| | 662 | | VAT Group AG(a) (Machinery) | | | 373,803 | |
| | 3,229 | | Zurich Insurance Group AG (Insurance) | | | 1,720,074 | |
| | | | | | | | |
| | | |
| | | | | | | 16,788,477 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks (continued) | |
| |
| | United Arab Emirates – 0.2% | |
| | 7,315 | | Experian PLC (Professional Services) | | $ | 339,831 | |
| | | |
| |
| | United Kingdom – 14.1% | |
| | 997 | | Anglo American PLC (Metals & Mining) | | | 31,506 | |
| | 1,429 | | Ashtead Group PLC (Trading Companies & Distributors) | | | 95,277 | |
| | 17,478 | | AstraZeneca PLC (Pharmaceuticals) | | | 1,363,109 | |
| | 55,060 | | BAE Systems PLC (Aerospace & Defense) | | | 917,114 | |
| | 2,733 | | BP PLC (Oil, Gas & Consumable Fuels) | | | 98,661 | |
| | 15,806 | | British American Tobacco PLC (Tobacco) | | | 485,555 | |
| | 4,415 | | Coca-Cola Europacific Partners PLC (Beverages) | | | 321,721 | |
| | 13,945 | | Diageo PLC (Beverages) | | | 437,789 | |
| | 74,513 | | Evraz PLC*(c) (Metals & Mining) | | | — | |
| | 31,029 | | GSK PLC (Pharmaceuticals) | | | 1,194,616 | |
| | 228,322 | | HSBC Holdings PLC(d) (Banks) | | | 3,113,849 | |
| | 17,297 | | Imperial Brands PLC (Tobacco) | | | 442,609 | |
| | 379,782 | | M&G PLC (Financial Services) | | | 976,350 | |
| | 44,580 | | National Grid PLC (Multi-Utilities) | | | 497,786 | |
| | 55,810 | | Persimmon PLC (Household Durables) | | | 947,056 | |
| | 149,885 | | Phoenix Group Holdings PLC (Insurance) | | | 986,683 | |
| | 3,787 | | Reckitt Benckiser Group PLC (Household Products) | | | 204,874 | |
| | 17,073 | | RELX PLC (Professional Services) | | | 782,265 | |
| | 1,647 | | Rentokil Initial PLC (Commerical Services & Supplies) | | | 48,834 | |
| | 32,916 | | Rio Tinto PLC (Metals & Mining) | | | 2,170,152 | |
| | 19 | | Rolls-Royce Holdings PLC* (Aerospace & Defense) | | | 109 | |
| | 15,392 | | Segro PLC (Industrial REITs) | | | 174,147 | |
| | 82,070 | | Shell PLC (Oil, Gas & Consumable Fuels) | | | 2,944,437 | |
| | 43,498 | | SSE PLC (Electric Utilities) | | | 982,340 | |
| | 9,343 | | St. James’s Place PLC (Capital Markets) | | | 64,204 | |
| | 153,062 | | Taylor Wimpey PLC (Household Durables) | | | 274,091 | |
| | 32,698 | | Unilever PLC (Personal Products) | | | 1,796,416 | |
| | 94,560 | | Vodafone Group PLC (Wireless Telecommunication Services) | | | 838,747 | |
| | | | | | | | |
| | | |
| | | | | | | 22,190,297 | |
| | | |
| | |
| | TOTAL COMMON STOCKS
(Cost $118,995,573) | | $ | 149,399,230 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 5 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Preferred Stocks – 1.2% | |
| |
| | Germany – 1.2% | |
| | Bayerische Motoren Werke AG (Automobiles) | |
| | 17,214 | | 7.301% | | $ | 1,520,002 | |
| |
| | Sartorius AG (Life Sciences Tools & Services) | |
| | 423 | | 0.340 | | | 99,018 | |
| |
| | Volkswagen AG (Automobiles) | |
| | 1,650 | | 8.604 | | | 186,308 | |
| | | |
| | |
| | TOTAL PREFERRED STOCKS
(Cost $1,572,564) | | $ | 1,805,328 | |
| | | |
| | | | | | | | | | |
| | | Units | | Description | | Expiration Date | | Value | |
| |
| | Rights* – 0.0% | |
| | | |
| | Italy – 0.0% | | | | | | |
| | Amplifon SpA (Health Care Equipment & Supplies) | | | | |
| | 274 | | | | 07/09/24 | | $ | — | |
| | (COST $0) | | | | | | |
| | | |
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Securities Lending Reinvestment Vehicle(e) –0.8% | |
| |
| | Goldman Sachs Financial Square Government Fund—
Institutional Shares | |
| | 1,279,850 | | 5.213% | | $ | 1,279,850 | |
| | (Cost $1,279,850) | | | | |
| | | |
| | TOTAL INVESTMENTS – 96.6%
(Cost $121,847,987) | | $ | 152,484,408 | |
| | | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.4% | | | 5,435,962 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 157,920,370 | |
| | | |
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 segregated as collateral for initial margin requirement on futures transactions. |
| (c) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
| (d) | All or a portion of security is on loan. |
| (e) | Represents an affiliated issuer. |
|
|
SECTOR ALLOCATION AS OF JUNE 30, 2024 |
| | | | |
| Sector | | % of Total
Market Value | |
| |
Financials | | | 20.9% | |
| |
Industrials | | | 16.8 | |
| |
Health Care | | | 12.7 | |
| |
Consumer Discretionary | | | 11.6 | |
| |
Information Technology | | | 8.5 | |
| |
Materials | | | 7.8 | |
| |
Consumer Staples | | | 7.3 | |
| |
Communication Services | | | 5.1 | |
| |
Energy | | | 4.0 | |
| |
Utilities | | | 4.0 | |
| |
Real Estate | | | 1.3 | |
| |
| | | | 100.0% | |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2024, 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 | | | 27 | | | | 09/20/24 | | | $ | 1,424,386 | | | | $(3,687) | |
FTSE 100 Index | | | 5 | | | | 09/20/24 | | | | 519,039 | | | | 232 | |
Hang Seng Index | | | 1 | | | | 07/30/24 | | | | 112,882 | | | | (2,103) | |
MSCI Singapore Index | | | 2 | | | | 07/30/24 | | | | 46,659 | | | | 401 | |
S&P 200 Index | | | 2 | | | | 09/19/24 | | | | 259,235 | | | | 1,003 | |
TOPIX Futures | | | 4 | | | | 09/12/24 | | | | 698,738 | | | | 14,776 | |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $10,622 | |
|
| |
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS—At June 30, 2024, 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 | | $ | 39,250.00 | | | | 09/13/2024 | | | | (63) | | | $ | (247,275,000 | ) | | $ | (512,959 | ) | | | $ (387,942 | ) | | | $(125,017) | |
Euro Stoxx 50 Index | | | 5,050.00 | | | | 09/20/2024 | | | | (666) | | | | (336,330,000 | ) | | | (531,374 | ) | | | (681,175 | ) | | | 149,801 | |
FTSE 100 Index | | | 8,375.00 | | | | 09/20/2024 | | | | (99) | | | | (82,912,500 | ) | | | (113,257 | ) | | | (147,243 | ) | | | 33,986 | |
|
| |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | (828) | | | | (666,517,500 | ) | | $ | (1,157,590 | ) | | | $(1,216,360 | ) | | | $ 58,770 | |
|
| |
| | | | | | | |
| TOTAL | | | | | | | | | | | (828) | | | $ | (666,517,500 | ) | | $ | (1,157,590 | ) | | | $(1,216,360 | ) | | | $ 58,770 | |
|
| |
| | | | |
| | |
| |
| Investment Abbreviations: | | |
| | |
| PLC | | —Public Limited Company | | |
| | |
| REIT | | —Real Estate Investment Trust | | |
| |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 101.4% | |
| |
| | Aerospace & Defense – 1.8% | |
| | 72,800 | | General Electric Co. | | $ | 11,573,016 | |
| | 28,034 | | Lockheed Martin Corp. | | | 13,094,681 | |
| | 124,677 | | RTX Corp. | | | 12,516,324 | |
| | 17,900 | | TransDigm Group, Inc. | | | 22,869,219 | |
| | | | | | | | |
| | | |
| | | | | | | 60,053,240 | |
| | | |
| |
| | Air Freight & Logistics – 0.6% | |
| | 145,144 | | United Parcel Service, Inc. | | | | |
| | | | Class B | | | 19,862,956 | |
| | | |
| |
| | Automobile Components – 0.1% | |
| | 23,300 | | Lear Corp. | | | 2,661,093 | |
| | 6,100 | | QuantumScape Corp.*(a) | | | 30,012 | |
| | | | | | | | |
| | | |
| | | | | | | 2,691,105 | |
| | | |
| |
| | Automobiles* – 1.3% | |
| | 11,500 | | Lucid Group, Inc.(a) | | | 30,015 | |
| | 220,633 | | Tesla, Inc. | | | 43,658,858 | |
| | | | | | | | |
| | | |
| | | | | | | 43,688,873 | |
| | | |
| |
| | Banks – 3.0% | |
| | 160,829 | | Columbia Banking System, Inc. | | | 3,198,889 | |
| | 6,300 | | Cullen/Frost Bankers, Inc. | | | 640,269 | |
| | 7,300 | | First Hawaiian, Inc. | | | 151,548 | |
| | 80,500 | | First Horizon Corp. | | | 1,269,485 | |
| | 66,000 | | FNB Corp. | | | 902,880 | |
| | 248,506 | | JPMorgan Chase & Co.(b) | | | 50,262,823 | |
| | 87,800 | | PNC Financial Services Group, Inc. | | | 13,651,144 | |
| | 339,600 | | U.S. Bancorp | | | 13,482,120 | |
| | 600 | | Webster Financial Corp. | | | 26,154 | |
| | 309,900 | | Wells Fargo & Co. | | | 18,404,961 | |
| | | | | | | | |
| | | |
| | | | | | | 101,990,273 | |
| | | |
| | |
| | Beverages – 1.6% | | | | |
| | 529,570 | | Coca-Cola Co. | | | 33,707,131 | |
| | 113,351 | | PepsiCo, Inc. | | | 18,694,980 | |
| | | | | | | | |
| | | |
| | | | | | | 52,402,111 | |
| | | |
| | |
| | Biotechnology – 1.7% | | | | |
| | 177,386 | | AbbVie, Inc. | | | 30,425,247 | |
| | 40,661 | | Amgen, Inc. | | | 12,704,529 | |
| | 3,107 | | Exact Sciences Corp.* | | | 131,271 | |
| | 199,395 | | Gilead Sciences, Inc. | | | 13,680,491 | |
| | 3,600 | | Mirati Therapeutics, Inc.*(c) | | | 2,520 | |
| | 3,342 | | Natera, Inc.* | | | 361,905 | |
| | 974 | | Sarepta Therapeutics, Inc.* | | | 153,892 | |
| | | | | | | | |
| | | |
| | | | | | | 57,459,855 | |
| | | |
| | |
| | Broadline Retail – 4.0% | | | | |
| | 681,568 | | Amazon.com, Inc.* | | | 131,713,016 | |
| | 818 | | MercadoLibre, Inc.* | | | 1,344,301 | |
| | 1,200 | | Nordstrom, Inc. | | | 25,464 | |
| | | | | | | | |
| | | |
| | | | | | | 133,082,781 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Building Products – 0.0% | |
| | 1,800 | | Advanced Drainage Systems, Inc. | | $ | 288,702 | |
| | 200 | | Lennox International, Inc. | | | 106,996 | |
| | | | | | | | |
| | | |
| | | | | | | 395,698 | |
| | | |
| |
| | Capital Markets – 3.2% | |
| | 94,300 | | ARES Management Corp. Class A | | | 12,568,304 | |
| | 18,800 | | BlackRock, Inc. | | | 14,801,616 | |
| | 137,200 | | Blackstone, Inc. | | | 16,985,360 | |
| | 83,600 | | Blue Owl Capital, Inc. | | | 1,483,900 | |
| | 23,400 | | Carlyle Group, Inc. | | | 939,510 | |
| | 9,800 | | Evercore, Inc. Class A | | | 2,042,614 | |
| | 560,500 | | Franklin Resources, Inc. | | | 12,527,175 | |
| | 296,700 | | Janus Henderson Group PLC | | | 10,001,757 | |
| | 44,700 | | Jefferies Financial Group, Inc. | | | 2,224,272 | |
| | 219,374 | | Morgan Stanley | | | 21,320,959 | |
| | 4,125 | | Robinhood Markets, Inc. | | | | |
| | | | Class A* | | | 93,679 | |
| | 114,400 | | T Rowe Price Group, Inc. | | | 13,191,464 | |
| | | | | | | | |
| | | |
| | | | | | | 108,180,610 | |
| | | |
| |
| | Chemicals – 1.6% | |
| | 438,603 | | Dow, Inc. | | | 23,267,889 | |
| | 67,001 | | Huntsman Corp. | | | 1,525,613 | |
| | 28,291 | | Linde PLC | | | 12,414,374 | |
| | 182,600 | | LyondellBasell Industries NV Class A | | | 17,467,516 | |
| | | | | | | | |
| | | |
| | | | | | | 54,675,392 | |
| | | |
| |
| | Commerical Services & Supplies – 0.0% | |
| | 600 | | MSA Safety, Inc. | | | 112,614 | |
| | 13,103 | | Vestis Corp. | | | 160,250 | |
| | | | | | | | |
| | | |
| | | | | | | 272,864 | |
| | | |
| |
| | Communications Equipment – 0.9% | |
| | 613,693 | | Cisco Systems, Inc. | | | 29,156,554 | |
| | | |
| |
| | Construction & Engineering – 0.1% | |
| | 50,500 | | MDU Resources Group, Inc. | | | 1,267,550 | |
| | 1,200 | | Valmont Industries, Inc. | | | 329,340 | |
| | | | | | | | |
| | | |
| | | | | | | 1,596,890 | |
| | | |
| |
| | Consumer Finance – 0.5% | |
| | 61,832 | | American Express Co. | | | 14,317,200 | |
| | 5,600 | | OneMain Holdings, Inc. | | | 271,544 | |
| | 17,600 | | SLM Corp. | | | 365,904 | |
| | 18,700 | | SoFi Technologies, Inc.* | | | 123,607 | |
| | | | | | | | |
| | | |
| | | | | | | 15,078,255 | |
| | | |
| |
| | Consumer Staples Distribution & Retail – 1.6% | |
| | 27,170 | | Costco Wholesale Corp. | | | 23,094,228 | |
| | 88,500 | | Target Corp. | | | 13,101,540 | |
| | 268,489 | | Walmart, Inc. | | | 18,179,390 | |
| | | | | | | | |
| | | |
| | | | | | | 54,375,158 | |
| | | |
| | |
| 8 | | 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) | |
| |
| | Containers & Packaging – 0.8% | |
| | 1,449,400 | | Amcor PLC | | $ | 14,175,132 | |
| | | 60,800 | | Packaging Corp. of America | | | 11,099,648 | |
| | 44,400 | | Sonoco Products Co. | | | 2,251,968 | |
| | | | | | | | |
| | | |
| | | | | | | 27,526,748 | |
| | | |
| |
| | Diversified Consumer Services – 0.0% | |
| | 19,672 | | ADT, Inc. | | | 149,507 | |
| | 24,800 | | H&R Block, Inc. | | | 1,344,904 | |
| | 4,283 | | Mister Car Wash, Inc.* | | | 30,495 | |
| | | | | | | | |
| | | |
| | | | | | | 1,524,906 | |
| | | |
| |
| | Diversified REITs – 0.0% | |
| | 7,100 | | WP Carey, Inc. | | | 390,855 | |
| | | |
| |
| | Diversified Telecommunication Services – 1.5% | |
| | 1,201,324 | | AT&T, Inc. | | | 22,957,302 | |
| | 670,610 | | Verizon Communications, Inc.(b) | | | 27,655,956 | |
| | | | | | | | |
| | | |
| | | | | | | 50,613,258 | |
| | | |
| |
| | Electric Utilities – 1.8% | |
| | 12,600 | | Avangrid, Inc. | | | 447,678 | |
| | 277,800 | | Duke Energy Corp. | | | 27,843,894 | |
| | 193,000 | | OGE Energy Corp. | | | 6,890,100 | |
| | 330,301 | | Southern Co. | | | 25,621,449 | |
| | | | | | | | |
| | | |
| | | | | | | 60,803,121 | |
| | | |
| |
| | Electrical Equipment – 0.6% | |
| | 8,980 | | ChargePoint Holdings, Inc.*(a) | | | 13,560 | |
| | 68,362 | | Eaton Corp. PLC | | | 21,434,905 | |
| | 16,930 | | Plug Power, Inc.*(a) | | | 39,447 | |
| | 13,703 | | Sunrun, Inc.* | | | 162,517 | |
| | | | | | | | |
| | | |
| | | | | | | 21,650,429 | |
| | | |
| |
| | Electronic Equipment, Instruments & Components – 0.1% | |
| | | |
| | 69,300 | | Avnet, Inc. | | | 3,568,257 | |
| | | |
| |
| | Entertainment* – 0.7% | |
| | 35,017 | | Netflix, Inc. | | | 23,632,273 | |
| | 12,228 | | ROBLOX Corp. Class A | | | 455,004 | |
| | 5,480 | | Roku, Inc. | | | 328,416 | |
| | | | | | | | |
| | | |
| | | | | | | 24,415,693 | |
| | | |
| |
| | Financial Services – 3.1% | |
| | 17,776 | | Affirm Holdings, Inc.* | | | 537,013 | |
| | 43,000 | | Apollo Global Management, Inc. | | | 5,077,010 | |
| | 79,314 | | Berkshire Hathaway, Inc. Class B* | | | 32,264,935 | |
| | 8,647 | | Block, Inc.* | | | 557,645 | |
| | 110,700 | | Corebridge Financial, Inc. | | | 3,223,584 | |
| | 142,600 | | Equitable Holdings, Inc. | | | 5,826,636 | |
| | 48,675 | | Mastercard, Inc. Class A | | | 21,473,463 | |
| | 3,800 | | Shift4 Payments, Inc. Class A* | | | 278,730 | |
| | 110,513 | | Visa, Inc. Class A | | | 29,006,347 | |
| | 426,999 | | Western Union Co. | | | 5,217,928 | |
| | | | | | | | |
| | | |
| | | | | | | 103,463,291 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Food Products – 0.3% | |
| | 78,000 | | Flowers Foods, Inc. | | $ | 1,731,600 | |
| | 264,600 | | Kraft Heinz Co. | | | 8,525,412 | |
| | | | | | | | |
| | | |
| | | | | | | 10,257,012 | |
| | | |
| |
| | Ground Transportation – 1.0% | |
| | 100 | | Avis Budget Group, Inc. | | | 10,452 | |
| | 17,300 | | Ryder System, Inc. | | | 2,143,124 | |
| | 159,700 | | Uber Technologies, Inc.* | | | 11,606,996 | |
| | 82,561 | | Union Pacific Corp. | | | 18,680,252 | |
| | | | | | | | |
| | | |
| | | | | | | 32,440,824 | |
| | | |
| |
| | Health Care Equipment & Supplies – 2.3% | |
| | 159,205 | | Abbott Laboratories | | | 16,542,991 | |
| | 32,602 | | Intuitive Surgical, Inc.* | | | 14,503,000 | |
| | 323,253 | | Medtronic PLC | | | 25,443,244 | |
| | 10,738 | | Novocure Ltd.* | | | 183,942 | |
| | 3,741 | | Penumbra, Inc.* | | | 673,268 | |
| | 58,888 | | Stryker Corp. | | | 20,036,642 | |
| | 4,980 | | Tandem Diabetes Care, Inc.* | | | 200,644 | |
| | | | | | | | |
| | | |
| | | | | | | 77,583,731 | |
| | | |
| |
| | Health Care Providers & Services – 2.3% | |
| | 15,824 | | agilon health, Inc.* | | | 103,489 | |
| | 29,636 | | Cigna Group | | | 9,796,772 | |
| | 254,786 | | CVS Health Corp. | | | 15,047,661 | |
| | 23,900 | | Elevance Health, Inc. | | | 12,950,454 | |
| | 78,018 | | UnitedHealth Group, Inc. | | | 39,731,447 | |
| | | | | | | | |
| | | |
| | | | | | | 77,629,823 | |
| | | |
| |
| | Health Care REITs – 0.5% | |
| | 6,800 | | Healthcare Realty Trust, Inc. | | | 112,064 | |
| | 5 | | Omega Healthcare Investors, Inc. | | | 171 | |
| | 156,000 | | Welltower, Inc. | | | 16,263,000 | |
| | | | | | | | |
| | | |
| | | | | | | 16,375,235 | |
| | | |
| |
| | Hotels, Restaurants & Leisure – 1.9% | |
| | 32,254 | | Aramark | | | 1,097,281 | |
| | 4,000 | | Booking Holdings, Inc. | | | 15,846,000 | |
| | 74,100 | | Darden Restaurants, Inc. | | | 11,212,812 | |
| | 1,400 | | DoorDash, Inc. Class A* | | | 152,292 | |
| | 18,300 | | DraftKings, Inc. Class A* | | | 698,511 | |
| | 20,919 | | Hyatt Hotels Corp. Class A | | | 3,178,015 | |
| | 2,700 | | Marriott Vacations Worldwide Corp. | | | 235,764 | |
| | 68,200 | | McDonald’s Corp. | | | 17,380,088 | |
| | 171,833 | | Starbucks Corp. | | | 13,377,199 | |
| | 8,000 | | Travel & Leisure Co. | | | 359,840 | |
| | 5,800 | | Vail Resorts, Inc. | | | 1,044,754 | |
| | 9,500 | | Wendy’s Co. | | | 161,120 | |
| | | | | | | | |
| | | |
| | | | | | | 64,743,676 | |
| | | |
| |
| | Household Durables – 0.1% | |
| | 138,400 | | Leggett & Platt, Inc. | | | 1,586,064 | |
| | 12,600 | | Tempur Sealy International, Inc. | | | 596,484 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | | Household Durables – (continued) | |
| | 200 | | TopBuild Corp.* | | $ | 77,054 | |
| | | | | | | | |
| | | |
| | | | | | | 2,259,602 | |
| | | |
| |
| | Household Products – 1.3% | |
| | 65,662 | | Kimberly-Clark Corp. | | | 9,074,489 | |
| | 194,298 | | Procter & Gamble Co. | | | 32,043,626 | |
| | 26,100 | | Reynolds Consumer Products, Inc. | | | 730,278 | |
| | | | | | | | |
| | | |
| | | | | | | 41,848,393 | |
| | | |
| |
| | Industrial Conglomerates – 0.7% | |
| | 228,367 | | 3M Co. | | | 23,336,824 | |
| | | |
| |
| | Industrial REITs – 0.8% | |
| | 9,200 | | First Industrial Realty Trust, Inc. | | | 437,092 | |
| | 188,000 | | Prologis, Inc. | | | 21,114,280 | |
| | 82,100 | | Rexford Industrial Realty, Inc. | | | 3,660,839 | |
| | | | | | | | |
| | | |
| | | | | | | 25,212,211 | |
| | | |
| |
| | Insurance – 1.8% | |
| | 10,300 | | American Financial Group, Inc. | | | 1,267,106 | |
| | 8,800 | | Axis Capital Holdings Ltd. | | | 621,720 | |
| | 32,300 | | CNA Financial Corp. | | | 1,488,061 | |
| | 7,200 | | Erie Indemnity Co. Class A | | | 2,609,280 | |
| | 131,858 | | Fidelity National Financial, Inc. | | | 6,516,422 | |
| | 42,600 | | First American Financial Corp. | | | 2,298,270 | |
| | 3,300 | | Hanover Insurance Group, Inc. | | | 413,952 | |
| | 448,104 | | Old Republic International Corp. | | | 13,846,414 | |
| | 250,053 | | Prudential Financial, Inc. | | | 29,303,711 | |
| | 1,000 | | Reinsurance Group of America, Inc. | | | 205,270 | |
| | 42,700 | | Unum Group | | | 2,182,397 | |
| | | | | | | | |
| | | |
| | | | | | | 60,752,603 | |
| | | |
| |
| | Interactive Media & Services – 7.0% | |
| | 165,599 | | Alphabet, Inc. Class C | | | 30,374,169 | |
| | 635,953 | | Alphabet, Inc. Class A | | | 115,838,839 | |
| | 1 | | Match Group, Inc.* | | | 30 | |
| | 173,462 | | Meta Platforms, Inc. Class A | | | 87,463,010 | |
| | 4,400 | | Pinterest, Inc. Class A* | | | 193,908 | |
| | 38,200 | | Snap, Inc. Class A* | | | 634,502 | |
| | | | | | | | |
| | | |
| | | | | | | 234,504,458 | |
| | | |
| |
| | IT Services – 1.5% | |
| | 57,439 | | Accenture PLC Class A | | | 17,427,567 | |
| | 15,800 | | Amdocs Ltd. | | | 1,246,936 | |
| | 27,700 | | Cloudflare, Inc. Class A* | | | 2,294,391 | |
| | 140,578 | | International Business Machines Corp. | | | 24,312,965 | |
| | 3 | | Kyndryl Holdings, Inc.* | | | 79 | |
| | 6,388 | | MongoDB, Inc.* | | | 1,596,744 | |
| | 10,124 | | Okta, Inc.* | | | 947,708 | |
| | 9,400 | | Snowflake, Inc. Class A* | | | 1,269,846 | |
| | 10,000 | | Twilio, Inc. Class A* | | | 568,100 | |
| | | | | | | | |
| | | |
| | | | | | | 49,664,336 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Leisure Products – 0.0% | |
| | 9,300 | | Brunswick Corp. | | $ | 676,761 | |
| | 25,500 | | Peloton Interactive, Inc. Class A* | | | 86,190 | |
| | | | | | | | |
| | | |
| | | | | | | 762,951 | |
| | | |
| |
| | Life Sciences Tools & Services – 1.1% | |
| | 13,952 | | 10X Genomics, Inc. Class A* | | | 271,367 | |
| | 7,981 | | Azenta, Inc.* | | | 419,960 | |
| | 8,900 | | Bruker Corp. | | | 567,909 | |
| | 75,125 | | Danaher Corp. | | | 18,769,981 | |
| | 3,600 | | Maravai LifeSciences Holdings, Inc. Class A* | | | 25,776 | |
| | 21,400 | | Repligen Corp.* | | | 2,697,684 | |
| | 28,105 | | Thermo Fisher Scientific, Inc. | | | 15,542,065 | |
| | | | | | | | |
| | | |
| | | | | | | 38,294,742 | |
| | | |
| |
| | Machinery – 1.4% | |
| | 59,305 | | Caterpillar, Inc. | | | 19,754,495 | |
| | 7,000 | | Flowserve Corp. | | | 336,700 | |
| | 107,380 | | Illinois Tool Works, Inc. | | | 25,444,765 | |
| | 1,600 | | Lincoln Electric Holdings, Inc. | | | 301,824 | |
| | | | | | | | |
| | | |
| | | | | | | 45,837,784 | |
| | | |
| |
| | Media – 1.2% | |
| | 393,772 | | Comcast Corp. Class A | | | 15,420,112 | |
| | 409,500 | | Interpublic Group of Cos., Inc. | | | 11,912,355 | |
| | 127,400 | | Omnicom Group, Inc. | | | 11,427,780 | |
| | 3,500 | | Trade Desk, Inc. Class A* | | | 341,845 | |
| | | | | | | | |
| | | |
| | | | | | | 39,102,092 | |
| | | |
| |
| | Metals & Mining – 0.4% | |
| | 87,000 | | Newmont Corp. | | | 3,642,690 | |
| | 75,489 | | Southern Copper Corp. | | | 8,133,185 | |
| | | | | | | | |
| | | |
| | | | | | | 11,775,875 | |
| | | |
| |
| | Multi-Utilities – 0.5% | |
| | 373,344 | | Dominion Energy, Inc. | | | 18,293,856 | |
| | | |
| |
| | Office REITs – 0.0% | |
| | 477 | | NET Lease Office Properties | | | 11,744 | |
| | | |
| |
| | Oil, Gas & Consumable Fuels – 4.3% | |
| | 173,017 | | Chevron Corp. | | | 27,063,319 | |
| | 93,700 | | Diamondback Energy, Inc. | | | 18,757,803 | |
| | 5,200 | | DT Midstream, Inc. | | | 369,356 | |
| | 343,944 | | Exxon Mobil Corp. | | | 39,594,833 | |
| | 1,320,800 | | Kinder Morgan, Inc. | | | 26,244,296 | |
| | 159,300 | | ONEOK, Inc. | | | 12,990,915 | |
| | 1 | | Vitesse Energy, Inc. | | | 24 | |
| | 491,500 | | Williams Cos., Inc. | | | 20,888,750 | |
| | | | | | | | |
| | | |
| | | | | | | 145,909,296 | |
| | | |
| |
| | Paper & Forest Products – 0.0% | |
| | 7 | | Sylvamo Corp. | | | 480 | |
| | | |
| |
| | Personal Products – 0.3% | |
| | 557,216 | | Kenvue, Inc. | | | 10,130,187 | |
| | | |
| | |
| 10 | | 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) | |
| |
| | Pharmaceuticals – 4.5% | |
| | 364,634 | | Bristol-Myers Squibb Co. | | $ | 15,143,250 | |
| | 56,933 | | Eli Lilly & Co. | | | 51,546,000 | |
| | 226,743 | | Johnson & Johnson | | | 33,140,757 | |
| | 183,799 | | Merck & Co., Inc. | | | 22,754,316 | |
| | 7 | | Organon & Co. | | | 145 | |
| | 1,047,902 | | Pfizer, Inc. | | | 29,320,298 | |
| | 5 | | Viatris, Inc. | | | 53 | |
| | | | | | | | |
| | | |
| | | | | | | 151,904,819 | |
| | | |
| |
| | Professional Services – 1.2% | |
| | 62,585 | | Automatic Data Processing, Inc. | | | 14,938,413 | |
| | 20,933 | | Booz Allen Hamilton Holding Corp. | | | 3,221,589 | |
| | 31,800 | | ManpowerGroup, Inc. | | | 2,219,640 | |
| | 172,600 | | Paychex, Inc. | | | 20,463,456 | |
| | | | | | | | |
| | | |
| | | | | | | 40,843,098 | |
| | | |
| |
| | Residential REITs – 0.2% | |
| | 189,690 | | American Homes 4 Rent Class A | | | 7,048,880 | |
| | 1,193 | | Sun Communities, Inc. | | | 143,566 | |
| | | | | | | | |
| | | |
| | | | | | | 7,192,446 | |
| | | |
| |
| | Retail REITs – 0.0% | |
| | 14,300 | | Brixmor Property Group, Inc. | | | 330,187 | |
| | 8,300 | | NNN REIT, Inc. | | | 353,580 | |
| | 1 | | Realty Income Corp. | | | 53 | |
| | | | | | | | |
| | | |
| | | | | | | 683,820 | |
| | | |
| |
| | Semiconductors & Semiconductor Equipment – 13.0% | |
| | 135,293 | | Advanced Micro Devices, Inc.* | | | 21,945,878 | |
| | 74,100 | | Analog Devices, Inc. | | | 16,914,066 | |
| | 105,000 | | Applied Materials, Inc. | | | 24,778,950 | |
| | 37,826 | | Broadcom, Inc. | | | 60,730,778 | |
| | 352,208 | | Intel Corp. | | | 10,907,882 | |
| | 13,953 | | Lam Research Corp. | | | 14,857,852 | |
| | 1,759 | | Marvell Technology, Inc. | | | 122,954 | |
| | 1,954,000 | | NVIDIA Corp. | | | 241,397,160 | |
| | 104,697 | | QUALCOMM, Inc. | | | 20,853,548 | |
| | 129,550 | | Texas Instruments, Inc. | | | 25,201,361 | |
| | | | | | | | |
| | | |
| | | | | | | 437,710,429 | |
| | | |
| |
| | Software – 11.0% | |
| | 35,473 | | Adobe, Inc.* | | | 19,706,670 | |
| | 1,600 | | AppLovin Corp. Class A* | | | 133,152 | |
| | 9,800 | | Atlassian Corp. Class A* | | | 1,733,424 | |
| | 8,400 | | Bill Holdings, Inc.* | | | 442,008 | |
| | 18,633 | | Confluent, Inc. Class A* | | | 550,232 | |
| | 10,100 | | Crowdstrike Holdings, Inc. Class A* | | | 3,870,219 | |
| | 22,800 | | Datadog, Inc. Class A* | | | 2,956,932 | |
| | 7,168 | | DocuSign, Inc.* | | | 383,488 | |
| | 6,000 | | Elastic NV* | | | 683,460 | |
| | 4,900 | | Five9, Inc.* | | | 216,090 | |
| | 7,600 | | HubSpot, Inc.* | | | 4,482,404 | |
| | 29,220 | | Intuit, Inc. | | | 19,203,676 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | | Common Stocks – (continued) | |
| |
| | Software – (continued) | |
| | 570,021 | | Microsoft Corp.(b) | | $ | 254,770,886 | |
| | 3,000 | | nCino, Inc.* | | | 94,350 | |
| | 110,076 | | Oracle Corp. | | | 15,542,731 | |
| | 54,000 | | Palantir Technologies, Inc. Class A* | | | 1,367,820 | |
| | 2,800 | | RingCentral, Inc. Class A* | | | 78,960 | |
| | 82,080 | | Salesforce, Inc. | | | 21,102,768 | |
| | 14,136 | | SentinelOne, Inc. Class A* | | | 297,563 | |
| | 21,462 | | ServiceNow, Inc.* | | | 16,883,512 | |
| | 23,400 | | Smartsheet, Inc. Class A* | | | 1,031,472 | |
| | 33,972 | | Unity Software, Inc.* | | | 552,385 | |
| | 14,600 | | Zscaler, Inc.* | | | 2,805,974 | |
| | | | | | | | |
| | | |
| | | | | | | 368,890,176 | |
| | | |
| |
| | Specialized REITs – 0.4% | |
| | 17,100 | | CubeSmart | | | 772,407 | |
| | 14,400 | | Equinix, Inc. | | | 10,895,040 | |
| | 41,400 | | Gaming & Leisure Properties, Inc. | | | 1,871,694 | |
| | 3,100 | | Rayonier, Inc. | | | 90,179 | |
| | | | | | | | |
| | | |
| | | | | | | 13,629,320 | |
| | | |
| |
| | Specialty Retail – 2.1% | |
| | 18,100 | | Dick’s Sporting Goods, Inc. | | | 3,888,785 | |
| | 13,400 | | Gap, Inc. | | | 320,126 | |
| | 99,276 | | Home Depot, Inc. | | | 34,174,770 | |
| | 61,599 | | Lowe’s Cos., Inc. | | | 13,580,116 | |
| | 9,000 | | Penske Automotive Group, Inc. | | | 1,341,180 | |
| | 144,800 | | TJX Cos., Inc. | | | 15,942,480 | |
| | 1,400 | | Wayfair, Inc. Class A* | | | 73,822 | |
| | 2,200 | | Williams-Sonoma, Inc. | | | 621,214 | |
| | | | | | | | |
| | | |
| | | | | | | 69,942,493 | |
| | | |
| |
| | Technology Hardware, Storage & Peripherals – 6.8% | |
| | 1,061,880 | | Apple, Inc. | | | 223,653,166 | |
| | 28,900 | | Dell Technologies, Inc. Class C | | | 3,985,599 | |
| | | | | | | | |
| | | |
| | | | | | | 227,638,765 | |
| | | |
| |
| | Textiles, Apparel & Luxury Goods – 0.0% | |
| | 16,200 | | Carter’s, Inc. | | | 1,003,914 | |
| | 2 | | Kontoor Brands, Inc. | | | 132 | |
| | | | | | | | |
| | | |
| | | | | | | 1,004,046 | |
| | | |
| |
| | Tobacco – 0.6% | |
| | 466,592 | | Altria Group, Inc. | | | 21,253,266 | |
| | | |
| |
| | Trading Companies & Distributors – 0.3% | |
| | 78,500 | | MSC Industrial Direct Co., Inc. Class A | | | 6,225,835 | |
| | 10,499 | | Watsco, Inc. | | | 4,863,557 | |
| | | | | | | | |
| | | |
| | | | | | | 11,089,392 | |
| | | |
| | TOTAL COMMON STOCKS
(Cost $2,281,978,735) | | $ | 3,407,428,978 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
|
Schedule of Investments (continued) June 30, 2024 (Unaudited) |
| | | | | | | | | | |
| | | Shares | | | Dividend Rate | | Value | |
| |
| | | Investment Company(d) – 0.1% | |
| |
| |
| Goldman Sachs Financial Square Government Fund —
Institutional Shares |
|
| | | 2,971,917 | | | 5.213% | | $ | 2,971,917 | |
| |
| | | (Cost $2,971,917) | |
| | | | |
| |
| | | | |
| |
| | | Securities Lending Reinvestment Vehicle(d) –0.0% | |
| |
| |
| Goldman Sachs Financial Square Government Fund —
Institutional Shares |
|
| | | 118,205 | | | 5.213% | | $ | 118,205 | |
| |
| | | (Cost $118,205) | |
| | | | |
| | |
| |
| TOTAL INVESTMENTS – 101.5%
(Cost $2,285,068,857) | | $ | 3,410,519,100 | |
| | | | |
| | |
| |
| LIABILITIES IN EXCESS OF OTHER
ASSETS – ( 1.5)%
| | | (50,492,673 | ) |
| | | | |
| | |
| | | NET ASSETS – 100.0% | | $ | 3,360,026,427 | |
| | | | |
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) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
| (d) | Represents an affiliated issuer. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2024, 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 | | | (149) | | | | 09/20/24 | | | $ | (41,135,175 | ) | | | $205,699 | |
|
| |
WRITTEN OPTIONS CONTRACTS—At June 30, 2024, 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 | | $ | 5,175.00 | | | | 07/31/2024 | | | | | | | | (830 | ) | | | | | | $ | (429,525,000 | ) | | | $(26,875,400 | ) | | | $(7,704,442 | ) | | | $(19,170,958 | ) |
S&P 500 Index | | | 5,325.00 | | | | 08/30/2024 | | | | | | | | (796 | ) | | | | | | | (423,870,000 | ) | | | (18,574,660 | ) | | | (10,169,075 | ) | | | (8,405,585 | ) |
S&P 500 Index | | | 5,600.00 | | | | 09/30/2024 | | | | | | | | (789 | ) | | | | | | | (441,840,000 | ) | | | (6,810,853 | ) | | | (6,810,853 | ) | | | — | |
|
| |
| | | | | | | | | |
| Total written option contracts | | | | | | | | | | | | | | | (2,415 | ) | | | | | | | (1,295,235,000 | ) | | | $(52,260,913 | ) | | | $(24,684,370 | ) | | | $(27,576,543 | ) |
|
| |
| | | | | | | | | |
| TOTAL | | | | | | | | | | | | | | | (2,415 | ) | | | | | | $ | (1,295,235,000 | ) | | | $(52,260,913 | ) | | | $(24,684,370 | ) | | | $(27,576,543 | ) |
|
| |
| | | | |
| | |
| |
| Investment Abbreviations: | | |
| | |
| PLC | | —Public Limited Company | | |
| | |
| REIT | | —Real Estate Investment Trust | | |
| |
| | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Statements of Assets and Liabilities June 30, 2024 (Unaudited) |
| | | | | | | | | | | | | | |
| | | | | International Equity
Dividend and Premium Fund | | | | U.S. Equity
Dividend and Premium Fund | | |
| | | | | |
| | Assets: | | | | | | | | | | | | |
| | | | | |
| | Investments in unaffiliated issuers, at value (cost $120,568,137 and $2,281,978,735, respectively)(a) | | | $151,204,558 | | | | | | $3,407,428,978 | | | |
| | | | | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 1,279,850 | | | | | | 118,205 | | | |
| | Investments in affiliated issuers, at value (cost $0 and $2,971,917, respectively) | | | — | | | | | | 2,971,917 | | | |
| | Cash | | | — | | | | | | 2,579,947 | | | |
| | Foreign currencies, at value (cost $3,797,487 and $0, respectively) | | | 3,775,408 | | | | | | — | | | |
| | Variation margin on futures contracts | | | 821 | | | | | | 182,551 | | | |
| | Receivables: | | | | | | | | | | | | |
| | Fund shares sold | | | 3,067,358 | | | | | | 4,073,389 | | | |
| | Foreign tax reclaims | | | 1,313,763 | | | | | | — | | | |
| | Dividends | | | 327,435 | | | | | | 2,165,568 | | | |
| | Reimbursement from investment adviser | | | 23,226 | | | | | | 32,931 | | | |
| | Securities lending income | | | 438 | | | | | | 350 | | | |
| | Investments sold | | | — | | | | | | 6,810,853 | | | |
| | Other assets | | | 43,361 | | | | | | 87,534 | | | |
| | |
| | Total assets | | | 161,036,218 | | | | | | 3,426,452,223 | | | |
| | |
| | | | | | | | | | | | | | |
| | | | | |
| | Liabilities: | | | | | | | | | | | | |
| | | | | |
| | Written option contracts, at value (premium received $1,216,360 and $24,684,370, respectively) | | | 1,157,590 | | | | | | 52,260,913 | | | |
| | Due to custodian (overdraft) | | | 350,025 | | | | | | — | | | |
| | Payables: | | | | | | | | | | | | |
| | Payable upon return of securities loaned | | | 1,279,850 | | | | | | 118,205 | | | |
| | Management fees | | | 104,347 | | | | | | 1,749,044 | | | |
| | Distribution and Service fees and Transfer Agency fees | | | 4,432 | | | | | | 240,865 | | | |
| | Fund shares redeemed | | | 371 | | | | | | 3,549,695 | | | |
| | Investments purchased | | | — | | | | | | 37,004 | | | |
| | Due to broker | | | — | | | | | | 8,096,704 | | | |
| | Accrued expenses | | | 219,233 | | | | | | 373,366 | | | |
| | |
| | Total liabilities | | | 3,115,848 | | | | | | 66,425,796 | | | |
| | |
| | | | | | | | | | | | | | |
| | | | | |
| | Net Assets: | | | | | | | | | | | | |
| | | | | |
| | Paid-in capital | | | 210,834,118 | | | | | | 2,204,135,481 | | | |
| | Total distributable earnings (loss) | | | (52,913,748 | ) | | | | | 1,155,890,946 | | | |
| | |
| | NET ASSETS | | | $157,920,370 | | | | | | $3,360,026,427 | | | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | | $1,412,197 | | | | | | $199,968,577 | | | |
| | | Class C | | | 105,229 | | | | | | 68,415,171 | | | |
| | | Institutional | | | 3,954,839 | | | | | | 1,458,137,688 | | | |
| | | Investor | | | 1,367,032 | | | | | | 490,509,773 | | | |
| | | Class R6 | | | 84,992,949 | | | | | | 384,648,728 | | | |
| | | Class P | | | 66,088,124 | | | | | | 758,346,490 | | | |
| | | Total Net Assets | | | $157,920,370 | | | | | | $3,360,026,427 | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 195,534 | | | | | | 12,015,753 | | | |
| | | Class C | | | 15,164 | | | | | | 4,127,894 | | | |
| | | Institutional | | | 560,317 | | | | | | 87,943,032 | | | |
| | | Investor | | | 194,354 | | | | | | 29,559,193 | | | |
| | | Class R6 | | | 12,045,274 | | | | | | 23,211,923 | | | |
| | | Class P | | | 9,350,570 | | | | | | 45,747,093 | | | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | | | | | |
| | | Class A | | | $7.22 | | | | | | $16.64 | | | |
| | | Class C | | | 6.94 | | | | | | 16.57 | | | |
| | | Institutional | | | 7.06 | | | | | | 16.58 | | | |
| | | Investor | | | 7.03 | | | | | | 16.59 | | | |
| | | Class R6 | | | 7.06 | | | | | | 16.57 | | | |
| | | Class P | | | 7.07 | | | | | | 16.58 | | | |
| | (a) | Includes loaned securities having a market value of $1,250,678 and $109,969, 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 $7.64 and $17.61, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Statements of Operations For the Six Months Ended June 30, 2024 (Unaudited) |
| | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | | U.S. Equity Dividend and Premium Fund | | | |
| | | | |
| | | Investment Income: | | | | | | | | | | |
| | | | |
| | Dividends — unaffiliated issuers (net of tax withholding of $429,440 and $0, respectively) | | | $ 3,987,436 | | | | $ 32,774,903 | | | |
| | | | |
| | Dividends — affiliated issuers | | | 4,309 | | | | 518,493 | | | |
| | | | |
| | Securities lending income, net of rebates received or paid to borrowers | | | 3,866 | | | | 5,006 | | | |
| | |
| | | | |
| | Total investment income | | | 3,995,611 | | | | 33,298,402 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | |
| | | | |
| | Management fees | | | 617,939 | | | | 11,146,680 | | | |
| | | | |
| | Professional fees | | | 70,163 | | | | 55,451 | | | |
| | | | |
| | Registration fees | | | 45,434 | | | | 74,416 | | | |
| | | | |
| | Custody, accounting and administrative services | | | 33,514 | | | | 92,177 | | | |
| | | | |
| | Transfer Agency fees(a) | | | 24,870 | | | | 1,001,417 | | | |
| | | | |
| | Printing and mailing costs | | | 17,020 | | | | 45,484 | | | |
| | | | |
| | Trustee fees | | | 10,644 | | | | 12,616 | | | |
| | | | |
| | Distribution and Service (12b-1) fees(a) | | | 2,396 | | | | 494,820 | | | |
| | | | |
| | Service fees — Class C | | | 182 | | | | 87,388 | | | |
| | | | |
| | Other | | | 6,965 | | | | 24,829 | | | |
| | |
| | | | |
| | Total expenses | | | 829,127 | | | | 13,035,278 | | | |
| | |
| | | | |
| | Less — expense reductions | | | (148,858 | ) | | | (1,221,585 | ) | | |
| | |
| | | | |
| | Net expenses | | | 680,269 | | | | 11,813,693 | | | |
| | |
| | | | |
| | NET INVESTMENT INCOME | | | 3,315,342 | | | | 21,484,709 | | | |
| | |
| | | | | | | | | | | | |
| | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | |
| | | | |
| | Net realized gain (loss) from: | | | | | | | | | | |
| | | | |
| | Investments — unaffiliated issuers | | | 3,152,149 | | | | 158,986,380 | | | |
| | | | |
| | Futures contracts | | | (44,479 | ) | | | 214,170 | | | |
| | | | |
| | Written options | | | (3,737,902 | ) | | | (95,376,161 | ) | | |
| | | | |
| | Foreign currency transactions | | | (75,292 | ) | | | — | | | |
| | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | |
| | | | |
| | Investments — unaffiliated issuers | | | (1,567,658 | ) | | | 267,098,961 | | | |
| | | | |
| | Futures contracts | | | 11,370 | | | | 563,811 | | | |
| | | | |
| | Written options | | | (30,761 | ) | | | 18,156,147 | | | |
| | | | |
| | Foreign currency translation | | | (66,224 | ) | | | — | | | |
| | |
| | | | |
| | Net realized and unrealized gain (loss) | | | (2,358,797 | ) | | | 349,643,308 | | | |
| | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ 956,545 | | | | $371,128,017 | | | |
| | |
| | (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 Fund | | | $ 1,851 | | | | $ 545 | | | | $ 1,111 | | | | $ 109 | | | | $ 868 | | | | $ 988 | | | | $ 11,769 | | | | $ 10,025 | |
| U.S. Equity Dividend and Premium Fund | | | 232,654 | | | | 262,166 | | | | 139,593 | | | | 52,433 | | | | 278,385 | | | | 366,967 | | | | 52,663 | | | | 111,376 | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
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
Six Months Ended
June 30, 2024
(Unaudited) | | | For the Fiscal
Year Ended
December 31, 2023 | | | For the
Six Months Ended
June 30, 2024
(Unaudited) | | | For the Fiscal
Year Ended
December 31, 2023 | | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 3,315,342 | | | | $ 5,556,121 | | | | $ 21,484,709 | | | | $ 44,273,392 | | | |
| | | | | | |
| | Net realized gain (loss) | | | (705,524 | ) | | | (2,859,450 | ) | | | 63,824,389 | | | | 132,313,444 | | | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | (1,653,273 | ) | | | 19,096,351 | | | | 285,818,919 | | | | 385,795,317 | | | |
| | |
| | | | | | |
| | Net increase in net assets resulting from operations | | | 956,545 | | | | 21,793,022 | | | | 371,128,017 | | | | 562,382,153 | | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | (27,660 | ) | | | (55,946 | ) | | | (1,004,407 | ) | | | (10,230,466 | ) | | |
| | | | | | |
| | Class C Shares | | | (1,598 | ) | | | (4,551 | ) | | | (109,724 | ) | | | (3,823,808 | ) | | |
| | | | | | |
| | Institutional Shares | | | (86,749 | ) | | | (149,250 | ) | | | (9,485,526 | ) | | | (82,636,462 | ) | | |
| | | | | | |
| | Investor Shares | | | (28,684 | ) | | | (62,461 | ) | | | (3,157,636 | ) | | | (29,462,340 | ) | | |
| | | | | | |
| | Class R6 Shares | | | (1,719,892 | ) | | | (2,764,257 | ) | | | (2,432,563 | ) | | | (21,084,084 | ) | | |
| | | | | | |
| | Class P Shares | | | (1,411,855 | ) | | | (2,477,888 | ) | | | (5,068,745 | ) | | | (44,762,329 | ) | | |
| | | | | | |
| | Return of capital: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Class A Shares | | | — | | | | — | | | | — | | | | (52,807 | ) | | |
| | | | | | |
| | Class C Shares | | | — | | | | — | | | | — | | | | (19,738 | ) | | |
| | | | | | |
| | Institutional Shares | | | — | | | | — | | | | — | | | | (426,552 | ) | | |
| | | | | | |
| | Investor Shares | | | — | | | | — | | | | — | | | | (152,078 | ) | | |
| | | | | | |
| | Class R6 Shares | | | — | | | | — | | | | — | | | | (108,831 | ) | | |
| | | | | | |
| | Class P Shares | | | — | | | | — | | | | — | | | | (231,054 | ) | | |
| | |
| | | | | | |
| | Total distributions to shareholders | | | (3,276,438 | ) | | | (5,514,353 | ) | | | (21,258,601 | ) | | | (192,990,549 | ) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 10,790,320 | | | | 5,148,304 | | | | 264,689,777 | | | | 495,139,027 | | | |
| | | | | | |
| | Reinvestment of distributions | | | 3,239,177 | | | | 5,459,522 | | | | 19,646,969 | | | | 178,721,417 | | | |
| | | | | | |
| | Cost of shares redeemed | | | (7,026,556 | ) | | | (14,095,448 | ) | | | (377,687,757 | ) | | | (605,486,154 | ) | | |
| | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | 7,002,941 | | | | (3,487,622 | ) | | | (93,351,011 | ) | | | 68,374,290 | | | |
| | |
| | | | | | |
| | TOTAL INCREASE | | | 4,683,048 | | | | 12,791,047 | | | | 256,518,405 | | | | 437,765,894 | | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of period | | | 153,237,322 | | | | 140,446,275 | | | | 3,103,508,022 | | | | 2,665,742,128 | | | |
| | |
| | | | | | |
| | End of period | | | $157,920,370 | | | | $153,237,322 | | | | $3,360,026,427 | | | | $3,103,508,022 | | | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | |
| | | | | Six Months Ended June 30, 2024
(Unaudited) | | Year Ended December 31, |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.33 | | | | $ | 6.55 | | | | $ | 7.59 | | | | $ | 7.16 | | | | $ | 7.28 | | | | $ | 6.55 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.14 | | | | | 0.24 | (b) | | | | 0.24 | | | | | 0.21 | | | | | 0.15 | | | | | 0.20 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.11 | ) | | | | 0.77 | | | | | (1.02 | ) | | | | 0.42 | | | | | (0.11 | ) | | | | 0.73 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.03 | | | | | 1.01 | | | | | (0.78 | ) | | | | 0.63 | | | | | 0.04 | | | | | 0.93 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.23 | ) | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.20 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.26 | ) | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.20 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 7.22 | | | | $ | 7.33 | | | | $ | 6.55 | | | | $ | 7.59 | | | | $ | 7.16 | | | | $ | 7.28 | | | |
| | |
| | | | | | | | |
| | Total return(d) | | | | 0.43 | % | | | | 15.91 | % | | | | (10.29 | )% | | | | 8.94 | % | | | | 0.93 | % | | | | 14.42 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,412 | | | | $ | 1,667 | | | | $ | 1,576 | | | | $ | 2,170 | | | | $ | 2,050 | | | | $ | 2,424 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.20 | %(e) | | | | 1.21 | % | | | | 1.23 | % | | | | 1.23 | % | | | | 1.27 | % | | | | 1.33 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.45 | %(e) | | | | 1.43 | % | | | | 1.58 | % | | | | 1.39 | % | | | | 1.48 | % | | | | 1.44 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 3.86 | %(e) | | | | 3.45 | % | | | | 3.63 | % | | | | 2.85 | % | | | | 2.39 | % | | | | 2.86 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 12 | % | | | | 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 0.09% 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | |
| | | | | Six Months Ended June 30, 2024
(Unaudited) | | Year Ended December 31, |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.04 | | | | $ | 6.30 | | | | $ | 7.32 | | | | $ | 6.90 | | | | $ | 7.02 | | | | $ | 6.32 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.10 | | | | | 0.19 | (b) | | | | 0.18 | | | | | 0.14 | | | | | 0.10 | | | | | 0.14 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.09 | ) | | | | 0.73 | | | | | (0.98 | ) | | | | 0.42 | | | | | (0.11 | ) | | | | 0.71 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.01 | | | | | 0.92 | | | | | (0.80 | ) | | | | 0.56 | | | | | (0.01 | ) | | | | 0.85 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (0.18 | ) | | | | (0.20 | ) | | | | (0.14 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | (0.02 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.11 | ) | | | | (0.18 | ) | | | | (0.22 | ) | | | | (0.14 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 6.94 | | | | $ | 7.04 | | | | $ | 6.30 | | | | $ | 7.32 | | | | $ | 6.90 | | | | $ | 7.02 | | | |
| | |
| | | | | | | | |
| | Total return(d) | | | | 0.10 | % | | | | 14.99 | % | | | | (10.99 | )% | | | | 8.22 | % | | | | 0.18 | % | | | | 13.54 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 105 | | | | $ | 180 | | | | $ | 206 | | | | $ | 362 | | | | $ | 621 | | | | $ | 815 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.95 | %(e) | | | | 1.96 | % | | | | 1.98 | % | | | | 1.98 | % | | | | 2.02 | % | | | | 2.08 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 2.20 | %(e) | | | | 2.18 | % | | | | 2.33 | % | | | | 2.16 | % | | | | 2.23 | % | | | | 2.19 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 2.82 | %(e) | | | | 2.85 | % | | | | 2.77 | % | | | | 1.91 | % | | | | 1.63 | % | | | | 2.11 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 12 | % | | | | 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 0.09% 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Six Months Ended June 30, 2024
(Unaudited) | | Year Ended December 31, |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.16 | | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.14 | | | | $ | 6.42 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.15 | | | | | 0.25 | (b) | | | | 0.25 | | | | | 0.24 | | | | | 0.16 | | | | | 0.22 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.10 | ) | | | | 0.75 | | | | | (1.00 | ) | | | | 0.41 | | | | | (0.10 | ) | | | | 0.73 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.05 | | | | | 1.00 | | | | | (0.75 | ) | | | | 0.65 | | | | | 0.06 | | | | | 0.95 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.24 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 7.06 | | | | $ | 7.16 | | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.14 | | | |
| | |
| | | | | | | | |
| | Total return(d) | | | | 0.73 | % | | | | 16.15 | % | | | | (9.99 | )% | | | | 9.38 | % | | | | 1.18 | % | | | | 14.82 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 3,955 | | | | $ | 4,248 | | | | $ | 3,391 | | | | $ | 4,417 | | | | $ | 4,897 | | | | $ | 12,005 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.90 | %(e) | | | | 0.89 | % | | | | 0.89 | % | | | | 0.89 | % | | | | 0.92 | % | | | | 0.95 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.09 | %(e) | | | | 1.06 | % | | | | 1.21 | % | | | | 1.04 | % | | | | 1.10 | % | | | | 1.06 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 4.31 | %(e) | | | | 3.71 | % | | | | 3.90 | % | | | | 3.19 | % | | | | 2.51 | % | | | | 3.28 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 12 | % | | | | 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 0.09% 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.14 | | | | $ | 6.39 | | | | $ | 7.41 | | | | $ | 7.00 | | | | $ | 7.12 | | | | $ | 6.41 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.15 | | | | | 0.26 | (b) | | | | 0.25 | | | | | 0.23 | | | | | 0.15 | | | | | 0.21 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.11 | ) | | | | 0.74 | | | | | (1.00 | ) | | | | 0.40 | | | | | (0.09 | ) | | | | 0.72 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.04 | | | | | 1.00 | | | | | (0.75 | ) | | | | 0.63 | | | | | 0.06 | | | | | 0.93 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.24 | ) | | | | (0.22 | ) | | | | (0.18 | ) | | | | (0.22 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.27 | ) | | | | (0.22 | ) | | | | (0.18 | ) | | | | (0.22 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 7.03 | | | | $ | 7.14 | | | | $ | 6.39 | | | | $ | 7.41 | | | | $ | 7.00 | | | | $ | 7.12 | | | |
| | |
| | | | | | | | |
| | Total return(d) | | | | 0.57 | % | | | | 16.13 | % | | | | (10.09 | )% | | | | 9.15 | % | | | | 1.20 | % | | | | 14.71 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,367 | | | | $ | 1,296 | | | | $ | 1,362 | | | | $ | 5,313 | | | | $ | 4,288 | | | | $ | 8,915 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.95 | %(e) | | | | 0.96 | % | | | | 0.98 | % | | | | 0.98 | % | | | | 1.03 | % | | | | 1.08 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.20 | %(e) | | | | 1.18 | % | | | | 1.33 | % | | | | 1.14 | % | | | | 1.23 | % | | | | 1.19 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 4.35 | %(e) | | | | 3.82 | % | | | | 3.81 | % | | | | 3.09 | % | | | | 2.39 | % | | | | 3.14 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 12 | % | | | | 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 0.09% 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | |
| | | | | Six Months Ended
June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.16 | | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.13 | | | | $ | 6.42 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.16 | | | | | 0.25 | (b) | | | | 0.25 | | | | | 0.23 | | | | | 0.17 | | | | | 0.22 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.11 | ) | | | | 0.76 | | | | | (1.00 | ) | | | | 0.42 | | | | | (0.10 | ) | | | | 0.72 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.05 | | | | | 1.01 | | | | | (0.75 | ) | | | | 0.65 | | | | | 0.07 | | | | | 0.94 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.15 | ) | | | | (0.26 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 7.06 | | | | $ | 7.16 | | | | $ | 6.41 | | | | $ | 7.43 | | | | $ | 7.01 | | | | $ | 7.13 | | | |
| | |
| | | | | | | | |
| | Total return(d) | | | | 0.73 | % | | | | 16.17 | % | | | | (9.99 | )% | | | | 9.38 | % | | | | 1.34 | % | | | | 14.85 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 84,993 | | | | $ | 76,462 | | | | $ | 68,864 | | | | $ | 91,208 | | | | $ | 102,041 | | | | $ | 136,241 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.89 | %(e) | | | | 0.88 | % | | | | 0.88 | % | | | | 0.88 | % | | | | 0.90 | % | | | | 0.94 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.08 | %(e) | | | | 1.05 | % | | | | 1.20 | % | | | | 1.02 | % | | | | 1.10 | % | | | | 1.05 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 4.39 | %(e) | | | | 3.77 | % | | | | 3.90 | % | | | | 3.14 | % | | | | 2.70 | % | | | | 3.23 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 12 | % | | | | 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 0.09% 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | | |
| | | | | Six Months Ended
June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 7.17 | | | | $ | 6.42 | | | | $ | 7.44 | | | | $ | 7.02 | | | | $ | 7.14 | | | | $ | 6.43 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.15 | | | | | 0.26 | (b) | | | | 0.25 | | | | | 0.23 | | | | | 0.17 | | | | | 0.22 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | (0.10 | ) | | | | 0.75 | | | | | (1.00 | ) | | | | 0.42 | | | | | (0.10 | ) | | | | 0.72 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 0.05 | | | | | 1.01 | | | | | (0.75 | ) | | | | 0.65 | | | | | 0.07 | | | | | 0.94 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.15 | ) | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | | | | | | | |
| | Distributions to shareholders from return of capital | | | | — | | | | | — | | | | | (0.03 | ) | | | | — | | | | | — | (c) | | | | — | | | |
| | |
| | | | | | | | |
| | Total distributions | | | | (0.15 | ) | | | | (0.26 | ) | | | | (0.27 | ) | | | | (0.23 | ) | | | | (0.19 | ) | | | | (0.23 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 7.07 | | | | $ | 7.17 | | | | $ | 6.42 | | | | $ | 7.44 | | | | $ | 7.02 | | | | $ | 7.14 | | | |
| | |
| | | | | | | | |
| | Total return(d) | | | | 0.73 | % | | | | 16.14 | % | | | | (9.97 | )% | | | | 9.37 | % | | | | 1.33 | % | | | | 14.83 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 66,088 | | | | $ | 69,385 | | | | $ | 65,048 | | | | $ | 81,611 | | | | $ | 86,949 | | | | $ | 138,381 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.89 | %(e) | | | | 0.88 | % | | | | 0.88 | % | | | | 0.88 | % | | | | 0.90 | % | | | | 0.94 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.08 | %(e) | | | | 1.05 | % | | | | 1.20 | % | | | | 1.02 | % | | | | 1.10 | % | | | | 1.05 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 4.31 | %(e) | | | | 3.77 | % | | | | 3.88 | % | | | | 3.17 | % | | | | 2.67 | % | | | | 3.26 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(f) | | | | 12 | % | | | | 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 0.09% 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class A Shares | | |
| | | | |
| | | | | Six Months Ended
June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.94 | | | | $ | 13.12 | | | | $ | 16.43 | | | | $ | 14.20 | | | | $ | 13.38 | | | | $ | 11.46 | | | | | | |
| | | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.08 | | | | | 0.18 | | | | | 0.17 | | | | | 0.15 | | | | | 0.18 | | | | | 0.21 | | | | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.70 | | | | | 2.56 | | | | | (2.59 | ) | | | | 3.01 | | | | | 1.61 | | | | | 2.57 | | | | | | |
| | | |
| | | | | | | | |
| | Total from investment operations | | | | 1.78 | | | | | 2.74 | | | | | (2.42 | ) | | | | 3.16 | | | | | 1.79 | | | | | 2.78 | | | | | | |
| | | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.08 | ) | | | | (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 | | | | (0.08 | ) | | | | (0.92 | ) | | | | (0.89 | ) | | | | (0.93 | ) | | | | (0.97 | ) | | | | (0.86 | ) | | | | | |
| | | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 16.64 | | | | $ | 14.94 | | | | $ | 13.12 | | | | $ | 16.43 | | | | $ | 14.20 | | | | $ | 13.38 | | | | | | |
| | | |
| | | | | | | | |
| | Total return(c) | | | | 11.95 | % | | | | 21.04 | % | | | | (14.84 | )% | | | | 22.42 | % | | | | 13.62 | % | | | | 24.62 | % | | | | | |
| | | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 199,969 | | | | $ | 176,352 | | | | $ | 151,973 | | | | $ | 183,895 | | | | $ | 135,937 | | | | $ | 195,689 | | | | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.00 | %(d) | | | | 1.02 | % | | | | 1.05 | % | | | | 1.06 | % | | | | 1.09 | % | | | | 1.12 | % | | | | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.11 | %(d) | | | | 1.12 | % | | | | 1.14 | % | | | | 1.13 | % | | | | 1.15 | % | | | | 1.16 | % | | | | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.06 | %(d) | | | | 1.24 | % | | | | 1.18 | % | | | | 0.97 | % | | | | 1.41 | % | | | | 1.65 | % | | | | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 10 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class C Shares | | |
| | | | |
| | | | | Six Months Ended
June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.88 | | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.14 | | | | $ | 13.33 | | | | $ | 11.41 | | | | | | |
| | | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.02 | | | | | 0.07 | | | | | 0.06 | | | | | 0.04 | | | | | 0.08 | | | | | 0.12 | | | | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.70 | | | | | 2.55 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | | | | |
| | | |
| | | | | | | | |
| | Total from investment operations | | | | 1.72 | | | | | 2.62 | | | | | (2.51 | ) | | | | 3.03 | | | | | 1.68 | | | | | 2.69 | | | | | | |
| | | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.03 | ) | | | | (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 | | | | (0.03 | ) | | | | (0.81 | ) | | | | (0.78 | ) | | | | (0.81 | ) | | | | (0.87 | ) | | | | (0.77 | ) | | | | | |
| | | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 16.57 | | | | $ | 14.88 | | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.14 | | | | $ | 13.33 | | | | | | |
| | | |
| | | | | | | | |
| | Total return(c) | | | | 11.53 | % | | | | 20.12 | % | | | | (15.48 | )% | | | | 21.48 | % | | | | 12.83 | % | | | | 23.72 | % | | | | | |
| | | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 68,415 | | | | $ | 70,396 | | | | $ | 72,831 | | | | $ | 109,023 | | | | $ | 118,819 | | | | $ | 141,029 | | | | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 1.75 | %(d) | | | | 1.77 | % | | | | 1.80 | % | | | | 1.81 | % | | | | 1.84 | % | | | | 1.87 | % | | | | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 1.86 | %(d) | | | | 1.87 | % | | | | 1.89 | % | | | | 1.88 | % | | | | 1.90 | % | | | | 1.91 | % | | | | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 0.32 | %(d) | | | | 0.50 | % | | | | 0.42 | % | | | | 0.23 | % | | | | 0.64 | % | | | | 0.90 | % | | | | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 10 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.88 | | | | $ | 13.08 | | | | $ | 16.37 | | | | $ | 14.16 | | | | $ | 13.35 | | | | $ | 11.43 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.11 | | | | | 0.23 | | | | | 0.22 | | | | | 0.21 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.70 | | | | | 2.53 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.81 | | | | | 2.76 | | | | | (2.35 | ) | | | | 3.20 | | | | | 1.83 | | | | | 2.83 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (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 | | | | (0.11 | ) | | | | (0.96 | ) | | | | (0.94 | ) | | | | (0.99 | ) | | | | (1.02 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 16.58 | | | | $ | 14.88 | | | | $ | 13.08 | | | | $ | 16.37 | | | | $ | 14.16 | | | | $ | 13.35 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 12.16 | % | | | | 21.34 | % | | | | (14.53 | )% | | | | 22.82 | % | | | | 14.12 | % | | | | 25.06 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 1,458,138 | | | | $ | 1,325,844 | | | | $ | 1,122,307 | | | | $ | 1,329,450 | | | | $ | 1,252,383 | | | | $ | 1,242,858 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.68 | %(d) | | | | 0.69 | % | | | | 0.71 | % | | | | 0.71 | % | | | | 0.72 | % | | | | 0.75 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.75 | %(d) | | | | 0.76 | % | | | | 0.77 | % | | | | 0.76 | % | | | | 0.78 | % | | | | 0.77 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.38 | %(d) | | | | 1.57 | % | | | | 1.52 | % | | | | 1.33 | % | | | | 1.73 | % | | | | 2.02 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 10 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Investor Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.89 | | | | $ | 13.09 | | | | $ | 16.38 | | | | $ | 14.17 | | | | $ | 13.36 | | | | $ | 11.44 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.10 | | | | | 0.21 | | | | | 0.21 | | | | | 0.19 | | | | | 0.21 | | | | | 0.25 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.70 | | | | | 2.54 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.80 | | | | | 2.75 | | | | | (2.36 | ) | | | | 3.18 | | | | | 1.81 | | | | | 2.82 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.10 | ) | | | | (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 | | | | (0.10 | ) | | | | (0.95 | ) | | | | (0.93 | ) | | | | (0.97 | ) | | | | (1.00 | ) | | | | (0.90 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 16.59 | | | | $ | 14.89 | | | | $ | 13.09 | | | | $ | 16.38 | | | | $ | 14.17 | | | | $ | 13.36 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 12.12 | % | | | | 21.23 | % | | | | (14.60 | )% | | | | 22.78 | % | | | | 13.90 | % | | | | 25.00 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 490,510 | | | | $ | 479,421 | | | | $ | 409,319 | | | | $ | 473,054 | | | | $ | 402,711 | | | | $ | 468,254 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.75 | %(d) | | | | 0.77 | % | | | | 0.80 | % | | | | 0.81 | % | | | | 0.83 | % | | | | 0.87 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.86 | %(d) | | | | 0.87 | % | | | | 0.89 | % | | | | 0.88 | % | | | | 0.90 | % | | | | 0.91 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.31 | %(d) | | | | 1.49 | % | | | | 1.44 | % | | | | 1.23 | % | | | | 1.64 | % | | | | 1.90 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 10 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.87 | | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.15 | | | | $ | 13.34 | | | | $ | 11.42 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.11 | | | | | 0.23 | | | | | 0.22 | | | | | 0.21 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.70 | | | | | 2.54 | | | | | (2.57 | ) | | | | 2.99 | | | | | 1.60 | | | | | 2.57 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.81 | | | | | 2.77 | | | | | (2.35 | ) | | | | 3.20 | | | | | 1.83 | | | | | 2.83 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (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 | | | | (0.11 | ) | | | | (0.97 | ) | | | | (0.94 | ) | | | | (0.99 | ) | | | | (1.02 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 16.57 | | | | $ | 14.87 | | | | $ | 13.07 | | | | $ | 16.36 | | | | $ | 14.15 | | | | $ | 13.34 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 12.17 | % | | | | 21.36 | % | | | | (14.53 | )% | | | | 22.85 | % | | | | 14.13 | % | | | | 25.09 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 384,649 | | | | $ | 331,528 | | | | $ | 304,083 | | | | $ | 336,827 | | | | $ | 208,584 | | | | $ | 275,973 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.67 | %(d) | | | | 0.68 | % | | | | 0.70 | % | | | | 0.70 | % | | | | 0.72 | % | | | | 0.74 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.74 | %(d) | | | | 0.75 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 0.76 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.39 | %(d) | | | | 1.58 | % | | | | 1.54 | % | | | | 1.33 | % | | | | 1.77 | % | | | | 2.03 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 10 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Equity Dividend and Premium Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | | |
| | | | | Six Months Ended June 30, 2024 (Unaudited) | | Year Ended December 31, | | |
| | | | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 | | |
| | | | | | | | |
| | | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | Net asset value, beginning of period | | | $ | 14.88 | | | | $ | 13.07 | | | | $ | 16.37 | | | | $ | 14.15 | | | | $ | 13.34 | | | | $ | 11.43 | | | |
| | |
| | | | | | | | |
| | Net investment income(a) | | | | 0.11 | | | | | 0.23 | | | | | 0.22 | | | | | 0.21 | | | | | 0.23 | | | | | 0.26 | | | |
| | | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.70 | | | | | 2.55 | | | | | (2.58 | ) | | | | 3.00 | | | | | 1.60 | | | | | 2.56 | | | |
| | |
| | | | | | | | |
| | Total from investment operations | | | | 1.81 | | | | | 2.78 | | | | | (2.36 | ) | | | | 3.21 | | | | | 1.83 | | | | | 2.82 | | | |
| | |
| | | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.11 | ) | | | | (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 | | | | (0.11 | ) | | | | (0.97 | ) | | | | (0.94 | ) | | | | (0.99 | ) | | | | (1.02 | ) | | | | (0.91 | ) | | |
| | |
| | | | | | | | |
| | Net asset value, end of period | | | $ | 16.58 | | | | $ | 14.88 | | | | $ | 13.07 | | | | $ | 16.37 | | | | $ | 14.15 | | | | $ | 13.34 | | | |
| | |
| | | | | | | | |
| | Total return(c) | | | | 12.17 | % | | | | 21.44 | % | | | | (14.59 | )% | | | | 22.93 | % | | | | 14.05 | % | | | | 25.07 | % | | |
| | |
| | | | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 758,346 | | | | $ | 719,967 | | | | $ | 605,229 | | | | $ | 703,803 | | | | $ | 593,220 | | | | $ | 679,431 | | | |
| | | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.67 | %(d) | | | | 0.68 | % | | | | 0.70 | % | | | | 0.70 | % | | | | 0.72 | % | | | | 0.74 | % | | |
| | | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.74 | %(d) | | | | 0.75 | % | | | | 0.76 | % | | | | 0.75 | % | | | | 0.77 | % | | | | 0.76 | % | | |
| | | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.39 | %(d) | | | | 1.58 | % | | | | 1.53 | % | | | | 1.34 | % | | | | 1.76 | % | | | | 2.03 | % | | |
| | | | | | | | |
| | Portfolio turnover rate(e) | | | | 10 | % | | | | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements June 30, 2024 (Unaudited) |
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 |
| | |
Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S. Equity Dividend and Premium Fund | | 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
|
|
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 Fund, U.S. Equity Dividend and Premium Fund | | 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
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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 Shares 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
|
|
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 June 30, 2024:
| | | | | | | | | | | | |
| INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Asia | | $ | 102,964 | | | $ | 38,377,057 | | | $ | — | |
| | | |
Australia and Oceania | | | 1,610,826 | | | | 12,363,136 | | | | — | |
| | | |
Europe | | | 10,981,115 | | | | 85,866,548 | | | | — | |
| | | |
North America | | | 47,110 | | | | 50,474 | | | | — | |
| | | |
Preferred Stocks | | | — | | | | 1,805,328 | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 1,279,850 | | | | — | | | | — | |
| | | |
Rights | | | — | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 14,021,865 | | | $ | 138,462,543 | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets(b) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 16,412 | | | $ | — | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | (5,790 | ) | | $ | — | | | $ | — | |
| | | |
Written Option Contracts | | | (1,157,590 | ) | | | — | | | | — | |
| |
Total | | $ | (1,163,380 | ) | | $ | — | | | $ | — | |
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| U.S. EQUITY DIVIDEND AND PREMIUM FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Europe | | $ | 101,140,926 | | | $ | — | | | $ | — | |
| | | |
North America | | | 3,306,285,532 | | | | — | | | | 2,520 | |
| | | |
Securities Lending Reinvestment Vehicle | | | 118,205 | | | | — | | | | — | |
| | | |
Investment Company | | | 2,971,917 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 3,410,516,580 | | | $ | — | | | $ | 2,520 | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets(b) | | | | | | | | | | | | |
| | | |
Futures Contracts | | $ | 205,699 | | | $ | — | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Written Option Contracts | | $ | (52,260,913 | ) | | $ | — | | | $ | — | |
|
| |
| | (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 June 30, 2024. 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 Fund | | | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Equity | | Variation margin on futures contracts | | $ | 16,412 | | | Variation margin on futures contracts; Written options, at value | | $ | (1,163,380 | )(a) |
| | | |
| U.S. Equity Dividend and Premium Fund | | | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Equity | | Variation margin on futures contracts | | $ | 205,699 | | | Written options, at value | | $ | (52,260,913 | )(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 six months ended June 30, 2024. 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
|
|
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 Fund | | | | | |
| | | |
| 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 | | | $ (3,782,381 | ) | | $ | (19,391 | ) |
| |
| U.S. Equity Dividend and Premium Fund | | | | | |
| | | |
| 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 | | | $18,719,958 | | | $ | (95,161,991 | ) |
For the six months ended June 30, 2024, 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 Fund | | 36 | | 8,559 |
| | |
| U.S. Equity Dividend and Premium Fund | | 159 | | 237,617 |
| | (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 six months ended June 30, 2024. |
|
|
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 six months ended June 30, 2024, 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 Fund | | 0.81% | | 0.73% | | 0.69% | | 0.68% | | 0.67% | | 0.81% | | 0.81% |
|
|
| | | | | | | |
U.S. Equity Dividend and Premium Fund | | 0.75 | | 0.68 | | 0.65 | | 0.64 | | 0.63 | | 0.69 | | 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. This arrangement will remain in effect through at least April 29, 2025, 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
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
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 six months ended June 30, 2024, GSAM waived $139 and $16,298 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 six months ended
June 30, 2024, Goldman Sachs did not retain any of the Class C Shares’ CDSC. During the six months ended June 30, 2024, Goldman Sachs retained the following amounts:
| | |
| | | Front End
Sales Charge |
| | | |
| |
| Fund | | Class A |
|
|
| |
International Equity Dividend and Premium Fund | | $ 2 |
|
|
| |
U.S. Equity Dividend and Premium Fund | | 11,076 |
|
|
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.
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
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
remain in effect through at least April 29, 2025, and prior to such date, Goldman Sachs may not terminate the arrangements 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 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 29, 2025, 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 six months ended June 30, 2024, 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 Fund | | | $ 139 | | | | $ 895 | | | | $147,824 | | | $ | 148,858 | |
|
| |
| | | | |
U.S. Equity Dividend and Premium Fund | | | 824,288 | | | | 151,068 | | | | 246,229 | | | | 1,221,585 | |
|
| |
G. Line of Credit Facility — As of June 30, 2024, the Funds participated in a $1,150,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2024, the Funds did not have any borrowings under the facility. Prior to April 16, 2024, the facility was $1,110,000,000.
H. Other Transactions with Affiliates — As of June 30, 2024, 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 Fund | | 53% |
|
|
| |
| U.S. Equity Dividend and Premium Fund | | 8 |
|
|
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended June 30, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Underlying Fund | | Beginning
Value as of
December 31,
2023 | | | Purchases at Cost | | | Proceeds from Sales | | | Ending
Value as of
June 30,
2024 | | | Shares as of
June 30,
2024 | | | Dividend
Income | |
|
| |
| | | | | | | |
International Equity Dividend and Premium Fund | | Goldman Sachs Financial Square Government Fund - Institutional Shares | | | $ — | | | $ | 5,100,671 | | | $ | (5,100,671 | ) | | $ | — | | | | — | | | $ | 4,309 | |
|
| |
| | | | | | | |
U.S. Equity Dividend and Premium Fund | | Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 54,916,205 | | | | 186,672,942 | | | | (238,617,230 | ) | | | 2,971,917 | | | | 2,971,917 | | | | 518,493 | |
|
| |
|
|
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2024, 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 Fund | | $ 18,254,534 | | $ 23,412,278 |
|
|
| | |
U.S. Equity Dividend and Premium Fund | | 313,353,824 | | 479,636,510 |
|
|
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
|
|
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 June 30, 2024, 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 six months ended June 30, 2024, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | |
| | | For the Six Months Ended June 30, 2024 | | |
| 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
June 30, 2024 |
|
|
| | | |
International Equity Dividend and Premium Fund | | $425 | | $3,834 | | $ — |
|
|
| | | |
U.S. Equity Dividend and Premium Fund | | 552 | | 4,970 | | 59,330 |
|
|
The following table provides information about the Funds’ investments in the Government Money Market Fund for the six months ended June 30, 2024:
| | | | | | | | | | |
| Fund | | Beginning Value as of
December 31, 2023 | | Purchases
at cost | | Proceeds
from Sales | | Ending Value as of
June 30, 2024 | | Shares as of
June 30, 2024 |
|
|
| | | | | |
International Equity Dividend And Premium Fund | | $1,285,948 | | $9,133,437 | | $9,139,535 | | $1,279,850 | | 1,279,850 |
|
|
| | | | | |
U.S. Equity Dividend And Premium Fund | | 197,500 | | 5,234,059 | | (5,313,354) | | 118,205 | | 118,205 |
|
|
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
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 | |
| |
| | |
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) | |
| |
As of June 30, 2024, 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 | | $122,084,188 | | $2,239,901,842 |
|
| | |
Gross unrealized gain | | 38,789,742 | | 1,273,144,464 |
| | |
Gross unrealized loss | | (8,389,522) | | (102,527,206) |
|
| | |
Net unrealized gain | | $ 30,400,220 | | $1,170,617,258 |
|
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.
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
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
| | |
|
9. OTHER RISKS (continued) |
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.
Foreign Custody Risk — A Fund invests in foreign securities, and as such the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
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.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
| | |
|
9. OTHER RISKS (continued) |
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.
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 TAX-ADVANTAGED EQUITY FUNDS II
| | |
|
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | International Equity Dividend and Premium Fund | |
| | | |
| | | | | For the Six Months Ended | | | | |
| | | | | June 30, 2024 | | | For the Fiscal Year Ended | |
| | | | | (Unaudited) | | | December 31, 2023 | |
| | | | | |
| | | | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | | |
| | Class A Shares | | | | | | | | | | | | | | | | |
| | | | | |
| | Shares sold | | | 6,082 | | | $ | 44,592 | | | | 12,025 | | | $ | 84,952 | |
| | | | | |
| | Reinvestment of distributions | | | 3,813 | | | | 27,618 | | | | 8,139 | | | | 55,946 | |
| | | | | |
| | Shares redeemed | | | (41,898 | ) | | | (305,581 | ) | | | (33,126 | ) | | | (225,870 | ) |
| |
| | | |
| | | | | |
| | | | | (32,003 | ) | | | (233,371 | ) | | | (12,962 | ) | | | (84,972 | ) |
| |
| | | |
| | | | | |
| | Class C Shares | | | | | | | | | | | | | | | | |
| | | | | |
| | Shares sold | | | 1,268 | | | | 8,967 | | | | 794 | | | | 5,265 | |
| | | | | |
| | Reinvestment of distributions | | | 230 | | | | 1,598 | | | | 689 | | | | 4,551 | |
| | | | | |
| | Shares redeemed | | | (11,860 | ) | | | (83,356 | ) | | | (8,594 | ) | | | (57,564 | ) |
| |
| | | |
| | | | | |
| | | | | (10,362 | ) | | | (72,791 | ) | | | (7,111 | ) | | | (47,748 | ) |
| |
| | | |
| | | | | |
| | Institutional Shares | | | | | | | | | | | | | | | | |
| | | | | |
| | Shares sold | | | 56,103 | | | | 391,451 | | | | 122,117 | | | | 836,732 | |
| | | | | |
| | Reinvestment of distributions | | | 8,008 | | | | 56,740 | | | | 14,265 | | | | 95,941 | |
| | | | | |
| | Shares redeemed | | | (96,763 | ) | | | (697,919 | ) | | | (72,030 | ) | | | (493,814 | ) |
| |
| | | |
| | | | | |
| | | | | (32,652 | ) | | | (249,728 | ) | | | 64,352 | | | | 438,859 | |
| |
| | | |
| | | | | |
| | Investor Shares | | | | | | | | | | | | | | | | |
| | | | | |
| | Shares sold | | | 23,790 | | | | 169,180 | | | | 102,799 | | | | 683,914 | |
| | | | | |
| | Reinvestment of distributions | | | 4,067 | | | | 28,684 | | | | 9,328 | | | | 62,461 | |
| | | | | |
| | Shares redeemed | | | (14,993 | ) | | | (106,464 | ) | | | (143,725 | ) | | | (955,673 | ) |
| |
| | | |
| | | | | |
| | | | | 12,864 | | | | 91,400 | | | | (31,598 | ) | | | (209,298 | ) |
| |
| | | |
| | | | | |
| | Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | | |
| | Shares sold | | | 1,126,516 | | | | 8,047,701 | | | | 13 | | | | 84 | |
| | | | | |
| | Reinvestment of distributions | | | 241,794 | | | | 1,712,682 | | | | 411,294 | | | | 2,764,257 | |
| | | | | |
| | Shares redeemed | | | — | | | | — | | | | (473,941 | ) | | | (3,266,308 | ) |
| |
| | | |
| | | | | |
| | | | | 1,368,310 | | | | 9,760,383 | | | | (62,634 | ) | | | (501,967 | ) |
| |
| | | |
| | | | | |
| | Class P Shares | | | | | | | | | | | | | | | | |
| | | | | |
| | Shares sold | | | 297,801 | | | | 2,128,429 | | | | 518,046 | | | | 3,537,357 | |
| | | | | |
| | Reinvestment of distributions | | | 198,995 | | | | 1,411,855 | | | | 367,584 | | | | 2,476,366 | |
| | | | | |
| | Shares redeemed | | | (818,834 | ) | | | (5,833,236 | ) | | | (1,341,664 | ) | | | (9,096,219 | ) |
| |
| | | |
| | | | | |
| | | | | (322,038 | ) | | | (2,292,952 | ) | | | (456,034 | ) | | | (3,082,496 | ) |
| |
| | | |
| | | | | |
| | NET INCREASE (DECREASE) | | | 984,119 | | | $ | 7,002,941 | | | | (505,987 | ) | | $ | (3,487,622 | ) |
| | | |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
|
Notes to Financial Statements (continued) June 30, 2024 (Unaudited) |
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Dividend and Premium Fund | |
| | | For the Six Months Ended | | | | | |
| | | June 30, 2024 | | | | For the Fiscal Year Ended | |
| | | (Unaudited) | | | | December 31, 2023 | |
| | | Shares | | | | Dollars | | | | Shares | | | | Dollars | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,154,149 | | | $ | 18,318,018 | | | | 2,107,608 | | | $ | 30,414,025 | |
| | | | |
Reinvestment of distributions | | | 54,058 | | | | 881,598 | | | | 610,621 | | | | 9,000,171 | |
| | | | |
Shares redeemed | | | (997,094 | ) | | | (15,730,226 | ) | | | (2,493,795 | ) | | | (35,600,722 | ) |
|
| |
| | | | |
| | | 211,113 | | | | 3,469,390 | | | | 224,434 | | | | 3,813,474 | |
|
| |
| | | | |
Class C Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 286,068 | | | | 4,496,277 | | | | 502,239 | | | | 7,248,548 | |
| | | | |
Reinvestment of distributions | | | 6,295 | | | | 101,691 | | | | 241,256 | | | | 3,545,109 | |
| | | | |
Shares redeemed | | | (895,283 | ) | | | (14,167,466 | ) | | | (1,583,819 | ) | | | (22,777,934 | ) |
|
| |
| | | | |
| | | (602,920 | ) | | | (9,569,498 | ) | | | (840,324 | ) | | | (11,984,277 | ) |
|
| |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 9,226,186 | | | | 144,446,100 | | | | 19,466,138 | | | | 278,435,415 | |
| | | | |
Reinvestment of distributions | | | 534,376 | | | | 8,685,143 | | | | 5,186,511 | | | | 76,117,613 | |
| | | | |
Shares redeemed | | | (10,908,480 | ) | | | (172,020,382 | ) | | | (21,395,176 | ) | | | (307,013,838 | ) |
|
| |
| | | | |
| | | (1,147,918 | ) | | | (18,889,139 | ) | | | 3,257,473 | | | | 47,539,190 | |
|
| |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 3,304,018 | | | | 51,518,898 | | | | 8,836,939 | | | | 126,421,798 | |
| | | | |
Reinvestment of distributions | | | 194,350 | | | | 3,157,484 | | | | 2,015,342 | | | | 29,614,250 | |
| | | | |
Shares redeemed | | | (6,125,974 | ) | | | (96,123,602 | ) | | | (9,944,613 | ) | | | (143,294,374 | ) |
|
| |
| | | | |
| | | (2,627,606 | ) | | | (41,447,220 | ) | | | 907,668 | | | | 12,741,674 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,197,503 | | | | 19,228,726 | | | | 259,341 | | | | 3,708,165 | |
| | | | |
Reinvestment of distributions | | | 107,917 | | | | 1,753,786 | | | | 1,052,941 | | | | 15,450,891 | |
| | | | |
Shares redeemed | | | (383,413 | ) | | | (5,992,668 | ) | | | (2,291,462 | ) | | | (33,112,466 | ) |
|
| |
| | | | |
| | | 922,007 | | | | 14,989,844 | | | | (979,180 | ) | | | (13,953,410 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 1,710,171 | | | | 26,681,758 | | | | 3,428,434 | | | | 48,911,076 | |
| | | | |
Reinvestment of distributions | | | 312,037 | | | | 5,067,267 | | | | 3,066,242 | | | | 44,993,383 | |
| | | | |
Shares redeemed | | | (4,663,010 | ) | | | (73,653,413 | ) | | | (4,403,511 | ) | | | (63,686,820 | ) |
|
| |
| | | | |
| | | (2,640,802 | ) | | | (41,904,388 | ) | | | 2,091,165 | | | | 30,217,639 | |
|
| |
| | | | |
NET INCREASE (DECREASE) | | | (5,886,126 | ) | | $ | (93,351,011 | ) | | | 4,661,236 | | | $ | 68,374,290 | |
|
| |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S. Equity Dividend and Premium Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2025 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 11-12, 2024 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| | (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| | (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| | (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| | (iii) | trends in employee headcount; |
| | (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| | (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| | (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
| | (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| | (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| | (e) | fee and expense information for the Fund, including: |
| | (i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| | (ii) | the Fund’s expense trends over time; and |
| | (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| | (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| | (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| | (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
| | (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| | (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| | (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| | (l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| | (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| | (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| | (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including developments associated with geopolitical events and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s efforts relating to business continuity planning. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2023, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2024. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees observed that the International Equity Dividend and Premium Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three-year period, and in the fourth quartile for the one-, five-, and ten-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2024. They noted that the U.S. Equity Dividend and Premium Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2024.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2023 and 2022, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| | | | | | | | |
Average Daily Net Assets | | International Equity
Dividend and Premium Fund | | | U.S. Equity
Dividend and Premium Fund | |
| | | | | | | | | |
| | |
First $1 billion | | | 0.81% | | | | 0.75% | |
Next $1 billion | | | 0.73 | | | | 0.68 | |
Next $3 billion | | | 0.69 | | | | 0.65 | |
Next $3 billion | | | 0.68 | | | | 0.64 | |
Over $8 billion | | | 0.67 | | | | 0.63 | |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee with respect to U.S. Equity Dividend and Premium Fund and to limit certain expenses of the Funds that exceed specified levels as well as Goldman Sachs & Co. LLC’s (“Goldman Sachs”) undertaking to waive a portion of its transfer agency fee with respect to U.S. Equity Dividend and Premium Fund. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the U.S. Equity Dividend and Premium Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (i) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; (j) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (k) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2025.
| ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The aggregate remuneration paid to the Funds’ trustees, officers and others, if any, is included in Item 7 of this report.
| ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The Funds’ statement regarding the basis for approval of their investment advisory contract is included in Item 7 of this report.
| ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
| ITEM 15. | 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 16. | 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 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 18. | 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.
| | | | |
| | | | Goldman Sachs Trust |
| | |
| By: | | | | /s/ James A. McNamara |
| | |
| | | | James A. McNamara |
| | | | President/Chief Executive Officer |
| | | | Goldman Sachs Trust |
| | |
| Date: | | | | August 29, 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: | | | | August 29, 2024 |
| | |
| By: | | | | /s/ Joseph F. DiMaria |
| | |
| | | | Joseph F. DiMaria |
| | | | Principal Financial Officer |
| | | | Goldman Sachs Trust |
| | |
| Date: | | | | August 29, 2024 |
